Re: Build Mamda Book from Mama Subscription

Tom Doust
 

Hi Nestor, Glenn

 

Order book handling is outside the scope of the current version of our BLP bridge.

 

In our TREP bridge we take OMM MarketByPrice and MarketByOrder messages and build mamda book messages from them. Conceptually, it’s quite simple because the OMM and the Mamda models are almost identical. In practice, it’s a bit messy because in order to key the price levels correctly you have to maintain some state between updates.

 

I think generating the messages in the bridge is the right way to go.

 

From what I recall of the Open Bloomberg  API there are several, source dependent representations, some of which are similar to the TR OMM model.

 

The TREP bridge code described above is in our  open source release in git hub if you want to take a look. A lot of the code we used to build the mama book messages is based on code doing the same thing in the mamda book publisher example that ships with OpenMAMA.


Apologies that this doesn’t really give any easy answers but hopefully will point you in the right direction.

 

Best regards

 

Tom

 

From: openmama-users-bounces@... [mailto:openmama-users-bounces@...] On Behalf Of Glenn McClements
Sent: 01 October 2015 08:23
To: Macrux <kmacrux@...>; openmama-dev@...; openmama-users@...
Subject: Re: [Openmama-users] Build Mamda Book from Mama Subscription

 

Hi Nestor,

Perhaps one of the tick42blp bridge developers could help out, but one thing that may help is a orderbook message spec for OpenMAMDA. This isn't currently published on the OpenMAMA website but I see when we can get it out.

 

Regards,

Glenn 

 

Glenn McClements, SVP Engineering 

Adelaide Exchange | 24-26 Adelaide Street | Belfast | UK | BT2 8GD

www.srtechlabs.com

 

SR.LABS Proven High Speed Electronic Trading Solutions

 


From: openmama-users-bounces@... <openmama-users-bounces@...> on behalf of Macrux <kmacrux@...>
Sent: 30 September 2015 22:39
To: openmama-dev@...; openmama-users@...
Subject: [Openmama-users] Build Mamda Book from Mama Subscription

 

Hi there,

I'm wondering if there is any example in which data received through OpenMAMA is transformed into a Mamda Order book. For example, I have a subcription to Bloomberg through the tick42blp bridge but I need to transform the data received into a Mamda Order Book because I have a client (other program) which works with OpenMamda order books, that's the point.


Thanks in advance for any help you could give about that case.

Regards,

Nestor.


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