private void process(MarketDataSnapshot mds) { int divs = 0; mp = 0; if (!Double.isNaN(mds.getBidPrices()[0])) { mp += mds.getBidPrices()[0]; divs++; } if (!Double.isNaN(mds.getAskPrices()[0])) { mp += mds.getAskPrices()[0]; divs++; } mp /= (double) divs; // System.out.println("Midpoint: " + mp); if (!initialized) { init(); } else { // reprice. reprice(); } // }
Double mid = ((MarketDataSnapshot)se).getBidPrices()[0] + ((MarketDataSnapshot)se).getAskPrices()[0]; mid /= 2.0; midpoints.add(mid);
if (mds.getAskPrices() != null && mds.getAskPrices().length > 0 && !Double.isNaN(mds.getAskPrices()[0])) { row[rowIndx][ASK_COL_IDX] = mds.getAskPrices()[0]; row[rowIndx][ASK_SIZE_COL_INDX] = mds.getAskSizes()[0];
public byte[] marshall(MarketDataSnapshot mds) throws InvalidProtocolBufferException { BaseMessage mdsm = mf.buildMds(mds.getMdiId(), ArrayUtils.toDoubleList(mds.getBidPrices()), ArrayUtils.toDoubleList(mds.getAskPrices()), ArrayUtils.toDoubleList(mds.getBidSizes()), ArrayUtils.toDoubleList(mds.getAskSizes()), mds.isResend()); return mdsm.toByteArray(); }
double bestAskPx = mds.getAskPrices()[0]; double bestAskQ = mds.getAskSizes()[0]; ask = bestAskPx;
double bestAskPx = mds.getAskPrices()[0]; double bestAskQ = mds.getAskSizes()[0]; rawWriter.write(seriesId, mds.getTimeStamp(), "ASK", bestAskPx); rawWriter.write(seriesId, mds.getTimeStamp(), "ASK_"+i, mds.getAskPrices()[i]); rawWriter.write(seriesId, mds.getTimeStamp(), "ASKQUANTITY_"+i, mds.getAskSizes()[i]);
lob.addOrder(bestBid); if (mds.getAskPrices() != null && mds.getAskPrices().length > 0) { LimitOrder bestAsk = new LimitOrder(); bestAsk.setOrderSide(OrderSide.SELL); bestAsk.setWorkingTimeStamp(currentExchangeTime); bestAsk.setLimitPrice(mds.getAskPrices()[0]); bestAsk.setQuantity(mds.getAskSizes()[0]); bestAsk.setOpenQuantity(mds.getAskSizes()[0]);