Topics

order book price level number of entries


Dmitri Fedorov <dfedorov.solace@...>
 

Hi,

I'm working on a performance issue with the Solace proprietary OpenMAMA bridge processing MAMDA messages and I've come across this:

void MamdaOrderBookPriceLevel::setNumEntries (mama_u32_t  numEntries)
    {
        mImpl.mNumEntries      = numEntries;
        mImpl.mNumEntriesTotal = (mImpl.mEntries ?  mImpl.mEntries->size() : 
                                                        numEntries);
    }
Could someone explain to me please, what's the difference between the "number of entries" and the "total number of entries" in the order book price level, and whe the "total" number of sets it with this condition?

Thank you in advance.

Regards,
Dmitri Fedorov
Software Architect
Solace
Ottawa, ON Canada

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.


Damian Maguire <damian.j.maguire@...>
 

Hey Dmitri, 

There's probably someone who can clarify better, but I believe the difference is the 'mNumEntries' is the total number of entries which the data feed has reported is part of the book, but which may not necessarily be accessible within the MAMDA Price Level structure (for example, if the feed doesn't supply entry level information for the book we might still report the number of entries, but have nothing we can look at). The 'mNumEntriesTotal' is then the total number of entries which are actually iterable within the same structure. 

Looking at the logic in that snippit, I'm not convinced there's not a small issue there (I don't know that we should be setting mNumEntriesTotal as part of this logic) - it might be worth raising a bug in GitHub and someone more familiar with that code might be able to comment. 

Cheers, 

D


On Thu, Jan 26, 2017 at 8:23 PM Dmitri Fedorov <dfedorov.solace@...> wrote:
Hi,

I'm working on a performance issue with the Solace proprietary OpenMAMA bridge processing MAMDA messages and I've come across this:

void MamdaOrderBookPriceLevel::setNumEntries (mama_u32_t  numEntries)
    {
        mImpl.mNumEntries      = numEntries;
        mImpl.mNumEntriesTotal = (mImpl.mEntries ?  mImpl.mEntries->size() : 
                                                        numEntries);
    }
Could someone explain to me please, what's the difference between the "number of entries" and the "total number of entries" in the order book price level, and whe the "total" number of sets it with this condition?

Thank you in advance.

Regards,
Dmitri Fedorov
Software Architect
Solace
Ottawa, ON Canada

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.
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Openmama-dev@...
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Dmitri Fedorov <dfedorov.solace@...>
 

Thank you Damian,

I don't want to bring it up just based on the code analysis.

Let's see if I'd be able to come up with a test case that demonstrates different behaviour that is triggered by this logic .

Cheers
Dmitri

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.

On Fri, Jan 27, 2017 at 2:59 AM, Damian Maguire <damian.j.maguire@...> wrote:
Hey Dmitri, 

There's probably someone who can clarify better, but I believe the difference is the 'mNumEntries' is the total number of entries which the data feed has reported is part of the book, but which may not necessarily be accessible within the MAMDA Price Level structure (for example, if the feed doesn't supply entry level information for the book we might still report the number of entries, but have nothing we can look at). The 'mNumEntriesTotal' is then the total number of entries which are actually iterable within the same structure. 

Looking at the logic in that snippit, I'm not convinced there's not a small issue there (I don't know that we should be setting mNumEntriesTotal as part of this logic) - it might be worth raising a bug in GitHub and someone more familiar with that code might be able to comment. 

Cheers, 

D

On Thu, Jan 26, 2017 at 8:23 PM Dmitri Fedorov <dfedorov.solace@...> wrote:
Hi,

I'm working on a performance issue with the Solace proprietary OpenMAMA bridge processing MAMDA messages and I've come across this:

void MamdaOrderBookPriceLevel::setNumEntries (mama_u32_t  numEntries)
    {
        mImpl.mNumEntries      = numEntries;
        mImpl.mNumEntriesTotal = (mImpl.mEntries ?  mImpl.mEntries->size() : 
                                                        numEntries);
    }
Could someone explain to me please, what's the difference between the "number of entries" and the "total number of entries" in the order book price level, and whe the "total" number of sets it with this condition?

Thank you in advance.

Regards,
Dmitri Fedorov
Software Architect
Solace
Ottawa, ON Canada

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.
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Frank Quinn <fquinn@...>
 

Thanks Dmitri – we’ll await your test case.

 

FRANK QUINN

Principal Engineer - EMEA

Vela Trading Technologies

 

O. +44 289 568 0209 ext. 3592

fquinn@...

 

Adelaide Exchange Building, 2nd Floor, 24-26 Adelaide Street, Belfast, BT2 8GD

velatradingtech.com | @vela_tt

 

 

From: openmama-dev-bounces@... [mailto:openmama-dev-bounces@...] On Behalf Of Dmitri Fedorov
Sent: 27 January 2017 20:49
To: Damian Maguire <damian.j.maguire@...>
Cc: openmama-dev <openmama-dev@...>
Subject: Re: [Openmama-dev] order book price level number of entries

 

Thank you Damian,

I don't want to bring it up just based on the code analysis.

Let's see if I'd be able to come up with a test case that demonstrates different behaviour that is triggered by this logic .

Cheers

Dmitri

 

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.

 

On Fri, Jan 27, 2017 at 2:59 AM, Damian Maguire <damian.j.maguire@...> wrote:

Hey Dmitri, 

 

There's probably someone who can clarify better, but I believe the difference is the 'mNumEntries' is the total number of entries which the data feed has reported is part of the book, but which may not necessarily be accessible within the MAMDA Price Level structure (for example, if the feed doesn't supply entry level information for the book we might still report the number of entries, but have nothing we can look at). The 'mNumEntriesTotal' is then the total number of entries which are actually iterable within the same structure. 

 

Looking at the logic in that snippit, I'm not convinced there's not a small issue there (I don't know that we should be setting mNumEntriesTotal as part of this logic) - it might be worth raising a bug in GitHub and someone more familiar with that code might be able to comment. 

 

Cheers, 

 

D

 

On Thu, Jan 26, 2017 at 8:23 PM Dmitri Fedorov <dfedorov.solace@...> wrote:

Hi,

I'm working on a performance issue with the Solace proprietary OpenMAMA bridge processing MAMDA messages and I've come across this:


void MamdaOrderBookPriceLevel::setNumEntries (mama_u32_t  numEntries)
    {
        mImpl.mNumEntries      = numEntries;
        mImpl.mNumEntriesTotal = (mImpl.mEntries ?  mImpl.mEntries->size() : 
                                                        numEntries);
    }

Could someone explain to me please, what's the difference between the "number of entries" and the "total number of entries" in the order book price level, and whe the "total" number of sets it with this condition?

Thank you in advance.

 

Regards,

Dmitri Fedorov

Software Architect

Solace

Ottawa, ON Canada

 

Solace Corporation accepts no liability for the content of this email, or for the consequences of any actions taken on the basis of the information provided, unless that information is subsequently confirmed in writing. Any views or opinions presented in this email are solely those of the author and do not necessarily represent those of Solace Corporation.

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