Package velox.api.layer1.providers.data

Class TradeAggregator

java.lang.Object

velox.api.layer1.providers.data.TradeAggregator

All Implemented Interfaces:

java.lang.Runnable

public final class TradeAggregator
extends java.lang.Object
implements java.lang.Runnable

Provides logic for trade aggregation boolean flags calculation - one flag for each new trade with new ticket ID (provided by target system - time stamp, aggressor order ID or real trade ID) and second flag for completing previous 'execution chain' on new trade or by timer.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static interface	TradeAggregator.TradeAggregatorConsumer

Constructor Summary

Constructors

Constructor	Description
TradeAggregator(TradeAggregator.TradeAggregatorConsumer callback)	Creates new instance of TradeAggregator object.

Method Summary

Modifier and Type	Method	Description
void	onTrade(double price, java.lang.String aTicketId, boolean isBidAggressor, boolean isOtc, int size)	Handles trades aggregation logic and forwards the trade, do not call Layer1ApiDataListener.onTrade(String, double, int, TradeInfo) after you call this method.
void	onTrade(double price, java.lang.String aTicketId, boolean isBidAggressor, boolean isOtc, int size, java.lang.String aggressorOrderId, java.lang.String passiveOrderId)	Handles trades aggregation logic and forwards the trade, do not call Layer1ApiDataListener.onTrade(String, double, int, TradeInfo) after you call this method.
void	run()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

TradeAggregator

public TradeAggregator(TradeAggregator.TradeAggregatorConsumer callback)

Creates new instance of TradeAggregator object.

Parameters:

callback - Callback method for reporting trades upstream.

Method Details

onTrade

public void onTrade(double price, java.lang.String aTicketId, boolean isBidAggressor, boolean isOtc, int size)

Handles trades aggregation logic and forwards the trade, do not call Layer1ApiDataListener.onTrade(String, double, int, TradeInfo) after you call this method.

onTrade

public void onTrade(double price, java.lang.String aTicketId, boolean isBidAggressor, boolean isOtc, int size, java.lang.String aggressorOrderId, java.lang.String passiveOrderId)

Handles trades aggregation logic and forwards the trade, do not call Layer1ApiDataListener.onTrade(String, double, int, TradeInfo) after you call this method.

run

public void run()

Specified by:

run in interface java.lang.Runnable