How to use

MarketDataSnapshot

in

com.activequant.domainmodel.streaming

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();
}

public MarketDataSnapshot demarshall(AQMessages.MarketDataSnapshot mdsm) {
  MarketDataSnapshot mds = new MarketDataSnapshot();
  mds.setMdiId(mdsm.getMdiId());
  mds.setTimeStamp(new TimeStamp(mdsm.getTimestamp()));
  mds.setBidPrices(ArrayUtils.toPrimArray(mdsm.getBidPxList()));
  mds.setAskPrices(ArrayUtils.toPrimArray(mdsm.getAskPxList()));
  mds.setBidSizes(ArrayUtils.toPrimArray(mdsm.getBidQList()));
  mds.setAskSizes(ArrayUtils.toPrimArray(mdsm.getAskQList()));
  if (mdsm.hasResend())
    mds.setResend(mdsm.getResend());
  return mds;
}

public String toString(){
  return "MDS:" + mdiId + " - " + getTimeStamp().getCalendar().getTime(); 
}

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();
  }
  //
}

String tdiId = mds.getTdiId();
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]);
  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]);
  lob.addOrder(bestAsk);

  @Override
  public void eventFired(byte[] event) {
    BaseMessage bm;
    try {
      bm = marshaller.demarshall(event);
      if(log.isDebugEnabled())
        log.debug("Event type: " + bm.getType());
      if (bm.getType().equals(CommandType.MDS)) {
        MarketDataSnapshot mds = marshaller
            .demarshall(((AQMessages.MarketDataSnapshot) bm
                .getExtension(AQMessages.MarketDataSnapshot.cmd)));
        if(!mds.isResend())
          collectionList.add(mds);
        // else we drop it. 
      }
    } catch (Exception e) {
      e.printStackTrace();
      log.warn("Exception: ", e);
    }
  }
});

Double mid = ((MarketDataSnapshot)se).getBidPrices()[0] +  ((MarketDataSnapshot)se).getAskPrices()[0];
mid /= 2.0; 
midpoints.add(mid);

  @Override
  public void eventFired(byte[] event) {
    BaseMessage bm;
    try {
      bm = marshaller.demarshall(event);
      if (log.isDebugEnabled())
        log.debug("Event type: " + bm.getType());
      if (bm.getType().equals(CommandType.MDS)) {
        MarketDataSnapshot mds = marshaller
            .demarshall(((AQMessages.MarketDataSnapshot) bm
                .getExtension(AQMessages.MarketDataSnapshot.cmd)));
        // we'll ignore resends. 
        if(!mds.isResend())
          process(mds);
        
      }
    } catch (Exception e) {
      e.printStackTrace();
      log.warn("Exception: ", e);
    }
  }
});

  return;
counter++;
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(), "BIDQUANTITY",
      bestBidQ);
  if (log.isDebugEnabled())
    log.debug("Wrote " + seriesId + ", " + mds.getTimeStamp()
        + ", " + bestBidPx +", "+ bestBidQ);
  for(int i=0;i<mds.getBidSizes().length;i++){
    rawWriter.write(seriesId, mds.getTimeStamp(), "BID_"+i, mds.getBidPrices()[i]);
    rawWriter.write(seriesId, mds.getTimeStamp(), "BIDQUANTITY_"+i, mds.getBidSizes()[i]);
if (mds.getAskSizes() != null && mds.getAskSizes().length > 0) {
  double bestAskPx = mds.getAskPrices()[0];
  double bestAskQ = mds.getAskSizes()[0];
  rawWriter.write(seriesId, mds.getTimeStamp(), "ASK", bestAskPx);
  rawWriter.write(seriesId, mds.getTimeStamp(), "ASKQUANTITY",
      bestAskQ);
    log.debug("Wrote " + seriesId + ", " + mds.getTimeStamp()
        + ", " + bestAskPx +", "+ bestAskQ);
  for(int i=0;i<mds.getAskSizes().length;i++){
    rawWriter.write(seriesId, mds.getTimeStamp(), "ASK_"+i, mds.getAskPrices()[i]);

@Override
public MarketDataEvent next() {
  Tuple<TimeStamp, Double> valueMap = streamIterator.next();
  
  // fixing ... 
  bid = new double[1];
  ask = new double[1];
  bidQ = new double[1];
  askQ = new double[1];    
  // take the value and create a synthetic bid and ask out of  it.
  ask[0] = valueMap.getB()+this.getAskOffset();
  bid[0] = valueMap.getB()+this.getBidOffset();
  askQ[0] = this.getAskQuantity();
  bidQ[0] = this.getBidQuantity();
  
  MarketDataSnapshot mds = new MarketDataSnapshot();
  mds.setMdiId(this.mdiId);
  mds.setTdiId(this.tdiId);
  mds.setAskPrices(ask);
  mds.setBidPrices(bid);
  mds.setAskSizes(askQ);
  mds.setBidSizes(bidQ);
  mds.setTimeStamp(valueMap.getA());
  return mds; 
}

  return;
String seriesId = mds.getMdiId();
Double bid = null;
Double ask = null;
if (mds.getBidSizes() != null && mds.getBidSizes().length > 0) {
  double bestBidPx = mds.getBidPrices()[0];
  double bestBidQ = mds.getBidSizes()[0];
  bid = bestBidPx;
  System.out.print("B");
if (mds.getAskSizes() != null && mds.getAskSizes().length > 0) {
  double bestAskPx = mds.getAskPrices()[0];
  double bestAskQ = mds.getAskSizes()[0];
  ask = bestAskPx;
  System.out.print("A");
  double mid = (bid + ask) / 2.0;
  OHLCV o = getCandle(seriesId);
  o.update(mds.getTimeStamp(), mid);
  o.update(mds.getTimeStamp(), bid);
  o.update(mds.getTimeStamp(), ask);			
  o.update(mds.getTimeStamp(), mid);

@Override
public MarketDataEvent next() {
  Tuple<TimeStamp, Map<String, Double>> valueMap = streamIterator.next();
  if (valueMap.getB().containsKey("BID")) bid[0] = valueMap.getB().get("BID");
  if (valueMap.getB().containsKey("ASK")) ask[0] = valueMap.getB().get("ASK");
  if (valueMap.getB().containsKey(bidQuantityKey)) bidQ[0] = valueMap.getB().get(bidQuantityKey);
  if (valueMap.getB().containsKey(askQuantityKey)) askQ[0] = valueMap.getB().get(askQuantityKey);
  //
  if (quantityOverride != 0.0) {
    bidQ[0] = askQ[0] = quantityOverride;
  }
  mds.setMdiId(this.mdiId);
  mds.setTdiId(this.tdiId);
  mds.setAskPrices(ask);
  mds.setBidPrices(bid);
  mds.setAskSizes(askQ);
  mds.setBidSizes(bidQ);
  mds.setTimeStamp(valueMap.getA());
  return mds;
}

  return;
String mdiId = mds.getMdiId();
if (getInstrumentTable().containsInstrumentId(mdiId)) {
  int rowIndx = getInstrumentTable().getRowIndexOf(mdiId);
  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];
  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];
  log.info("Dropping data for unknown instrument: " + mds.getMdiId());

for (int i = 0; i < 1000; i++) {
  long l1 = System.nanoTime();
  MarketDataSnapshot mds = new MarketDataSnapshot();
  mds.setMdiId("TT.SFE.XTH3M3.SFE_XT");
  mds.setTimeStamp(new TimeStamp());
  mds.setBidPrices(new double[] { Math.random() });
  mds.setAskPrices(new double[] { Math.random() });
  mds.setBidSizes(new double[] { Math.random() });
  mds.setAskSizes(new double[] {Math.random() });