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.getBidPrices() != null && mds.getBidPrices().length > 0 && !Double.isNaN(mds.getBidPrices()[0])) { row[rowIndx][BID_COL_IDX] = mds.getBidPrices()[0]; row[rowIndx][BID_SIZE_COL_IDX] = mds.getBidSizes()[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 bestBidPx = mds.getBidPrices()[0]; double bestBidQ = mds.getBidSizes()[0]; bid = bestBidPx;
String seriesId = mds.getMdiId(); if (mds.getBidSizes() != null && mds.getBidSizes().length > 0) { double bestBidPx = mds.getBidPrices()[0]; double bestBidQ = mds.getBidSizes()[0]; rawWriter.write(seriesId, mds.getTimeStamp(), "BID", bestBidPx); rawWriter.write(seriesId, mds.getTimeStamp(), "BID_"+i, mds.getBidPrices()[i]); rawWriter.write(seriesId, mds.getTimeStamp(), "BIDQUANTITY_"+i, mds.getBidSizes()[i]);
if (mds.getBidPrices() != null && mds.getBidPrices().length > 0) { LimitOrder bestBid = new LimitOrder(); bestBid.setWorkingTimeStamp(currentExchangeTime); bestBid.setOrderSide(OrderSide.BUY); bestBid.setLimitPrice(mds.getBidPrices()[0]); bestBid.setQuantity(mds.getBidSizes()[0]); bestBid.setOpenQuantity(mds.getBidSizes()[0]);