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Data Listeners

This guide covers the various listener interfaces available for receiving market data in Bookmap add-ons.

TimeListener​

Add-ons implementing TimeListener receive onTimestamp callback before any other update, providing the true timestamp for subsequent updates.

@Layer1SimpleAttachable
@Layer1StrategyName("Market Data Listener")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION1)
public class MarketDataListener implements CustomModuleAdapter, TimeListener {

    private long timestamp;

    @Override
    public void onTimestamp(long nanoseconds) {
        timestamp = nanoseconds;
    }
}

DepthDataListener (MBP Data)​

Implement DepthDataListener to receive Market By Price (MBP) depth updates.

Method Signature​

void onDepth(boolean isBid, int price, int size)

Parameters​

ParameterDescription
isBidtrue for bid side, false for ask side
pricePrice level (as level number)
sizeNew size (0 if level removed)

Example: Building an Order Book​

@Layer1SimpleAttachable
@Layer1StrategyName("Market Data Listener")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION1)
public class MarketDataListener implements CustomModuleAdapter, DepthDataListener {

    private final TreeMap<Integer, Integer> bids = new TreeMap<>(Comparator.reverseOrder());
    private final TreeMap<Integer, Integer> asks = new TreeMap<>();

    @Override
    public void onDepth(boolean isBid, int price, int size) {
        TreeMap<Integer, Integer> book = isBid ? bids : asks;
        if (size == 0) {
            book.remove(price);
        } else {
            book.put(price, size);
        }
    }
}

TradeDataListener​

Implement TradeDataListener to receive trade events.

Method Signature​

void onTrade(double price, int size, TradeInfo tradeInfo)

Parameters​

ParameterDescription
priceTrade price
sizeTrade size
tradeInfoAdditional trade information (includes isBidAggressor)

Example: VWAP Calculation​

Helper class for VWAP:

public class Vwap {
    public double priceSize = 0;
    public long volume = 0;

    public void onTrade(double price, int size) {
        priceSize += price * size;
        volume += size;
    }
}

Complete implementation:

@Layer1SimpleAttachable
@Layer1StrategyName("Market Data Listener")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION1)
public class MarketDataListener implements CustomModuleAdapter, TradeDataListener {

    private final Vwap buyers = new Vwap();
    private final Vwap sellers = new Vwap();
    private double minPriceIncrement;

    @Override
    public void initialize(String alias, InstrumentInfo info, Api api, InitialState initialState) {
        minPriceIncrement = info.pips;
    }

    @Override
    public void onTrade(double price, int size, TradeInfo tradeInfo) {
        (tradeInfo.isBidAggressor ? buyers : sellers).onTrade(price, size);
    }

    @Override
    public void stop() {
        double vwapBuy = minPriceIncrement * buyers.priceSize / buyers.volume;
        double vwapSell = minPriceIncrement * sellers.priceSize / sellers.volume;
        double vwap = minPriceIncrement * (buyers.priceSize + sellers.priceSize) / (buyers.volume + sellers.volume);
        Log.info(String.format("VWAP Buy: %.2f, Sell: %.2f, Total: %.2f", vwapBuy, vwapSell, vwap));
    }
}

BarDataListener​

Implement BarDataListener to receive OHLC bar data at fixed intervals.

Methods​

void onBar(OrderBook orderBook, Bar bar)
long getInterval()  // From IntervalListener - defines bar interval

Parameters​

ParameterDescription
orderBookOrder book snapshot when bar completes
barBar data (OHLC values)

Common Intervals​

Use constants from Intervals class:

  • Intervals.INTERVAL_1_MINUTE
  • Intervals.INTERVAL_2_MINUTES
  • Intervals.INTERVAL_5_MINUTES
  • etc.

MarketByOrderDepthDataListener (MBO Data)​

MBO (Market By Order) data provides order-by-order information from CME (available via Rithmic since 2017).

Methods​

void send(String orderId, boolean isBid, int price, int size)
void replace(String orderId, int price, int size)
void cancel(String orderId)

Example​

@Layer1SimpleAttachable
@Layer1StrategyName("Market Data Listener")
@Layer1ApiVersion(Layer1ApiVersionValue.VERSION1)
public class MarketDataListener implements CustomModuleAdapter, MarketByOrderDepthDataListener {

    private final OrderBookMbo orderBook = new OrderBookMbo();

    @Override
    public void send(String orderId, boolean isBid, int price, int size) {
        orderBook.send(orderId, isBid, price, size);
    }

    @Override
    public void replace(String orderId, int price, int size) {
        orderBook.replace(orderId, price, size);
    }

    @Override
    public void cancel(String orderId) {
        orderBook.cancel(orderId);
    }
}

See Also​