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TradeAggregator

Package: velox.api.layer1.providers.data

Type: Class

Inheritance: java.lang.Object → TradeAggregator

All Implemented Interfaces: Runnable

Description​

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 Classes​

TradeAggregator.TradeAggregatorConsumer​

static interface TradeAggregator.TradeAggregatorConsumer

Constructors​

TradeAggregator​

public TradeAggregator(TradeAggregator.TradeAggregatorConsumer callback)

Creates new instance of TradeAggregator object.

Parameters:

  • callback - Callback method for reporting trades upstream.

Methods​

onTrade​

void onTrade(double price, 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​

void onTrade(double price, String aTicketId, boolean isBidAggressor, boolean isOtc, int size, String aggressorOrderId, 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​

void run()

Specified by: run in interface Runnable