Although given release is based on the same processing core as a previous major version release, a lot of aspects have been principally redesigned and improved. Given section covers major differences for painless migration from previous releases.
In previous generations of SDK, listeners were designed to cover smallest aspects of market data processingand thus API contained bunch of listeners to be used to get market-related events handled in a regular application. For example, there was a
OnixS::CME::MDP3::SecurityDefinitionListener whose members were involved once instrument definition was received and updated. For each type of book there was corresponding listener exposing books after updates. Atomic book changes could be accessed through another set of listeners.
To reduce overhead caused by necessity of using wide range of listeners and to bring more clarity, most of listeners have been consolidated.
Primary principle was to consolidated Handler, Market Data (message) and Security related events. Table below depicts basic correspondence between old and new listeners.
|Old Listeners||New Listener||Notes|
|State change and issue (warning, error) events were merged into the new listener containing callbacks which are invoked to notify users on various aspects of market data processing by Handler.|
OnixS::CME::MDH::MarketDataListener represents adoptation of
Also, new members defining bounds of packet processing have been added. For this reason old
Security-related events are now consolidated into single listener.
Following important changes were done in the how particular cases are handled:
Previously, maitenance of books of particular type (MBO, direct, implied, consolidated) was automatically enabled by Handler if either corresponding listener was associated with an instance of OnixS::CME::MDH::Handler or book maintenance was forcibly enabled through Handler's settings.
Also, depending on which listeners are registered (for example, listener for atomic changes in direct order book), Handler selected appropriate source of recovery data to catch-up up-to-date market state during late join or after detecting gap in incremental data. For example, if user was interested in receiving MBO book updates without subscribing to MBP book updates, Handler listened to recovery data on MBO snapshot feed only without joining snapshot feed for MBP books.
In given release, Handler's behavior has been improved to be more clear for the users.
Book updates are now exposed through OnixS::CME::MDH::SecurityListener::onBookUpdate members of consolidated listener for security-related data. However, overriding noted virtual member doesn't mean subscribing to a book updates. Book maintenance is explicitly defined by corresponding parameter from OnixS::CME::MDH::HandlerSettings::bookManagement() section:
|Enables or disables MBO books maintenance|
|Enables or disables direct books maintenance|
|Enables or disables implied books maintenance|
|Enables or disables consolidated books maintenance|
Once parameter is turned on, Handler invokes OnixS::CME::MDH::SecurityListener::onBookUpdate overload corresponding to the type of book.
Also, behavior of the Handler in case of market recovery is now controlled by OnixS::CME::MDH::SessionSettings::marketRecovery parameter. It allows to define explicitly whether Handler must listen and process data from either MBO snapshot feed or MBP snapshot feed or both feeds.
Given improvement in behavior of the Handler allows users to obtain desired processing behavior without involving book maintenance.
Book classes have been cleaned up. OnixS::CME::MDP3::BookBase::securityId and OnixS::CME::MDP3::BookBase::lastAppliedSecurityLevelSeqNumber members have been removed.
Data exposed by eliminated members is now consolidated into a new OnixS::CME::MDH::Security class, containing all security-related attributes. Instances of given class are exposed in all callbacks of OnixS::CME::MDH::SecurityListener listener. Therefore, security identifier and instrument-level sequence number are now available for trade and statistics events.
|Old Member||New Member||Description|
|Security id relocated from book to security instance|
|Now available in other security-related callbacks|
Concept of Setting Up Feed Engine was introduced in previous major release of the SDK and given release inherits given concept. However, a few important changes have been made.
Previosly, to provide backward compatibility with older minor releases, feed engine could be constructed explicitly and binded with OnixS::CME::MDH::Handler instances. If no instance of OnixS::CME::MDH::FeedEngine was associated with an instance of OnixS::CME::MDH::Handler, then Handler constructed private instance of the feed engine.
In given release, implicit construction has been eliminated to provide better clarity on Handler behavior and use of system resources. Therefore, to make live market data processing happen, instance of OnixS::CME::MDH::FeedEngine must be constructed and binded to the instance of OnixS::CME::MDH::Handler.
Feed-related events have been redesigned. First of all, direct access to sockets used to listen to multicast data has been eliminated. OnixS::CME::MDP3::FeedSocket class is not available any more. Feed identification in events have been improved and now feed is identified by OnixS::CME::MDH::NetFeed class containing primary attributes of the feed which caused an event.
Event listener was enhanced with a new member OnixS::CME::MDH::FeedListener::onFeedPacket allowing to trace market data received by the Handler on a particular feed. An important difference between this callback and the one in OnixS::CME::MDH::MarketDataListener is that given callback is invoked by Handler every time data is received no matter whether this is duplicated or out-of-order data. Given enhancement allows to implement various tracing facilities to determine issues in data reception or its sequencing.
OnixS::CME::MDP3::FeedListener::onFeedSequenceIssues event and related with it functionality was removed from the Handler. Instead, OnixS::CME::MDH::FeedListener::onFeedPacket can be used to trace feeds for the issues.
Handler exposes ability to cache instrument definitions received on live instrument feed for further reuse at late join. Previously, Handler used predefined filename and stored cache in a certain location. Therefore, settings exposed boolean parameter OnixS::CME::MDP3::HandlerSettings::cacheSecurityDefinitions which allowed to either enable or disable instrument definition caching.
In given release, behavior was been improved and now Handler allows to specify arbitrary filename and location. Instrument definition caching is enabled while non-empty path to the cache is specified through OnixS::CME::MDH::HandlerSettings::instrumentCache parameter.
One of major improvements done in given release is redesigned message subsystem. In previous releases, market data was exposed through the OnixS::CME::MDP3::Message class representing an unified container of FIX fields. In given release message subsystem has been redesigned. Now market data messages are exposed to the users as they are defined in XML-based specification published by CME. Given approach gives more clarity on data structure and use and increases robustness.
|3.X Release||4.X Release|
OnixS::CME::MDH::MarketDataListener as the listener for the received market data was enhanced with overloads for each type of SBE message.
Additionaly, since given release original network packets received on live feeds are exposed to the users through OnixS::CME::MDH::MarketDataListener interface as instances of OnixS::CME::MDH::Packet class. Correspondently, listener was enhanced with OnixS::CME::MDH::MarketDataListener::onPacket and OnixS::CME::MDH::MarketDataListener::onEndOfPacket allowing to determine bounds of packet processing.
Logging layer was significantly reworked and abstraction of logging service was introduced. Now users can implement their logging service including memory-based ones. SDK offers ready-to-use implementation for logging events into a file.
Following examples depict how to enable file-based logging for the Handler in previous and current releases:
For more information see Logging Services.
Starting from given release, SDK exposes improved filtering to the users. Previously, market data filtering was managed by set of routines exposed by the OnixS::CME::MDH::Handler class like
OnixS::CME::MDP3::Handler::addSecurityIdFilter. Also, there were inconsistency related with filtering security definitions which consisted in the fact security definitions were not filtered no matter users were interested in them or not.
In given release filtering was been redesigned and eliminates existent albiguities and inconsistencies available in previous releases. According to new concept, filtering is applied to security-related events consolidated into OnixS::CME::MDH::SecurityListener listener. Filtering is not used by the Handler on a market data level, therefore members of OnixS::CME::MDH::MarketDataListener are always invoked under same conditions and filtering has no influence on their invocation.
For more information on how security-related events can be filtered, see Selecting Securities of Interest.