Re: Build Mamda Book from Mama Subscription
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.
From: openmama-users-bounces@... [mailto:openmama-users-bounces@...]
On Behalf Of Glenn McClements
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.
Glenn McClements, SVP Engineering
Adelaide Exchange | 24-26 Adelaide Street | Belfast | UK | BT2 8GD
SR.LABS Proven High Speed Electronic Trading Solutions
openmama-users-bounces@... <openmama-users-bounces@...> on behalf of Macrux <kmacrux@...>
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.