MarketDataListener.h

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// Copyright Onix Solutions Limited [OnixS]. All rights reserved.
//
// This software owned by Onix Solutions Limited [OnixS] and is
// protected by copyright law and international copyright treaties.
//
// Access to and use of the software is governed by the terms of the applicable
// OnixS Software Services Agreement (the Agreement) and Customer end user license
// agreements granting a non-assignable, non-transferable and non-exclusive license
// to use the software for it's own data processing purposes under the terms defined
// in the Agreement.
//
// Except as otherwise granted within the terms of the Agreement, copying or
// reproduction of any part of this source code or associated reference material
// to any other location for further reproduction or redistribution, and any
// amendments to this copyright notice, are expressly prohibited.
//
// Any reproduction or redistribution for sale or hiring of the Software not in
// accordance with the terms of the Agreement is a violation of copyright law.
//

#pragma once

#include <OnixS/CME/MDH/Packet.h>
#include <OnixS/CME/MDH/Messages.h>

#include <OnixS/CME/MDH/FIX/MultiContainer.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

ONIXS_CMEMDH_EXPORTED_CLASS_DECL(Handler);

/// Collection of market data supplied
/// via message processing callbacks.
template <class MessageType>
class MessageArgs
{
public:
    /// Type of message whose instance
    /// is referenced by given arguments.
    typedef MessageType Message;

    /// Initializes instance with given message
    /// instance and packet containing that message.
    MessageArgs(const NetPacket& packet, const Message& message)
        : packet_(packet)
        , message_(message)
    {
    }

    /// Instance of packet containing the message.
    const NetPacket& packet() const
    {
        return packet_;
    }

    /// Instance of message being processed.
    const Message& message() const
    {
        return message_;
    }

private:
    const NetPacket& packet_;
    const Message& message_;

    // Coping/cloning is not supposed.

    MessageArgs(const MessageArgs&);

    MessageArgs& operator=(const MessageArgs&);
};

/// MessageArgs template instantiation
/// for InstrumentDefinitionFixedIncome57 message type.
typedef MessageArgs<InstrumentDefinitionFixedIncome57> InstrumentDefinitionFixedIncome57Args;

/// MessageArgs template instantiation
/// for ChannelReset4 message type.
typedef MessageArgs<ChannelReset4> ChannelReset4Args;

/// MessageArgs template instantiation
/// for AdminHeartbeat12 message type.
typedef MessageArgs<AdminHeartbeat12> AdminHeartbeat12Args;

/// MessageArgs template instantiation
/// for AdminLogin15 message type.
typedef MessageArgs<AdminLogin15> AdminLogin15Args;

/// MessageArgs template instantiation
/// for AdminLogout16 message type.
typedef MessageArgs<AdminLogout16> AdminLogout16Args;

/// MessageArgs template instantiation
/// for AdminLogin408 message type.
typedef MessageArgs<AdminLogin408> AdminLogin408Args;

/// MessageArgs template instantiation
/// for AdminLogout409 message type.
typedef MessageArgs<AdminLogout409> AdminLogout409Args;

/// MessageArgs template instantiation
/// for AdminHeartbeat410 message type.
typedef MessageArgs<AdminHeartbeat410> AdminHeartbeat410Args;

/// MessageArgs template instantiation
/// for InstrumentDefinitionFuture54 message type.
typedef MessageArgs<InstrumentDefinitionFuture54> InstrumentDefinitionFuture54Args;

/// MessageArgs template instantiation
/// for InstrumentDefinitionSpread56 message type.
typedef MessageArgs<InstrumentDefinitionSpread56> InstrumentDefinitionSpread56Args;

/// MessageArgs template instantiation
/// for SecurityStatus30 message type.
typedef MessageArgs<SecurityStatus30> SecurityStatus30Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshBook46 message type.
typedef MessageArgs<IncrementalRefreshBook46> IncrementalRefreshBook46Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshDailyStatistics49 message type.
typedef MessageArgs<IncrementalRefreshDailyStatistics49> IncrementalRefreshDailyStatistics49Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshLimitsBanding50 message type.
typedef MessageArgs<IncrementalRefreshLimitsBanding50> IncrementalRefreshLimitsBanding50Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshSessionStatistics51 message type.
typedef MessageArgs<IncrementalRefreshSessionStatistics51> IncrementalRefreshSessionStatistics51Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshVolume37 message type.
typedef MessageArgs<IncrementalRefreshVolume37> IncrementalRefreshVolume37Args;

/// MessageArgs template instantiation
/// for SnapshotFullRefresh52 message type.
typedef MessageArgs<SnapshotFullRefresh52> SnapshotFullRefresh52Args;

/// MessageArgs template instantiation
/// for QuoteRequest39 message type.
typedef MessageArgs<QuoteRequest39> QuoteRequest39Args;

/// MessageArgs template instantiation
/// for InstrumentDefinitionOption55 message type.
typedef MessageArgs<InstrumentDefinitionOption55> InstrumentDefinitionOption55Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshTradeSummary48 message type.
typedef MessageArgs<IncrementalRefreshTradeSummary48> IncrementalRefreshTradeSummary48Args;

/// MessageArgs template instantiation
/// for IncrementalRefreshOrderBook47 message type.
typedef MessageArgs<IncrementalRefreshOrderBook47> IncrementalRefreshOrderBook47Args;

/// MessageArgs template instantiation
/// for SnapshotFullRefreshOrderBook53 message type.
typedef MessageArgs<SnapshotFullRefreshOrderBook53> SnapshotFullRefreshOrderBook53Args;

ONIXS_CMEMDH_NAMESPACE_END
ONIXS_CMEMDHFIX_NAMESPACE_BEGIN

/// MessageArgs template instantiation for a FIX multi-container.
typedef MessageArgs<MultiContainer> MultiContainerArgs;

ONIXS_CMEMDHFIX_NAMESPACE_END
ONIXS_CMEMDH_NAMESPACE_BEGIN

/// Callbacks invoked by Handler during market data
/// processing to reflect various stages of processing.
struct ONIXS_CMEMDH_EXPORTED MarketDataListener
{
    /// Invoked when processing of packet has begun.
    virtual void onPacket(Handler&, const PacketArgs&) {}

    /// Invoked when processing of packet has ended.
    virtual void onEndOfPacket(Handler&, const PacketArgs&) {}

    /// Invoked when processing of
    /// InstrumentDefinitionFixedIncome57 message has begun.
    virtual void onMessage(Handler&, const InstrumentDefinitionFixedIncome57Args&) {}

    /// Invoked when processing of message of
    /// InstrumentDefinitionFixedIncome57 message has ended.
    virtual void onEndOfMessage(Handler&, const InstrumentDefinitionFixedIncome57Args&) {}

    /// Invoked when processing of
    /// ChannelReset4 message has begun.
    virtual void onMessage(Handler&, const ChannelReset4Args&) {}

    /// Invoked when processing of message of
    /// ChannelReset4 message has ended.
    virtual void onEndOfMessage(Handler&, const ChannelReset4Args&) {}

    /// Invoked when processing of
    /// AdminHeartbeat12 message has begun.
    virtual void onMessage(Handler&, const AdminHeartbeat12Args&) {}

    /// Invoked when processing of message of
    /// AdminHeartbeat12 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminHeartbeat12Args&) {}

    /// Invoked when processing of
    /// AdminHeartbeat410 message has begun.
    virtual void onMessage(Handler&, const AdminHeartbeat410Args&) {}

    /// Invoked when processing of message of
    /// AdminHeartbeat410 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminHeartbeat410Args&) {}

    /// Invoked when processing of
    /// AdminLogin15 message has begun.
    virtual void onMessage(Handler&, const AdminLogin15Args&) {}

    /// Invoked when processing of message of
    /// AdminLogin15 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminLogin15Args&) {}

    /// Invoked when processing of
    /// AdminLogout16 message has begun.
    virtual void onMessage(Handler&, const AdminLogout16Args&) {}

    /// Invoked when processing of message of
    /// AdminLogout16 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminLogout16Args&) {}

    /// Invoked when processing of
    /// AdminLogin408 message has begun.
    virtual void onMessage(Handler&, const AdminLogin408Args&) {}

    /// Invoked when processing of message of
    /// AdminLogin408 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminLogin408Args&) {}

    /// Invoked when processing of
    /// AdminLogout409 message has begun.
    virtual void onMessage(Handler&, const AdminLogout409Args&) {}

    /// Invoked when processing of message of
    /// AdminLogout409 message has ended.
    virtual void onEndOfMessage(Handler&, const AdminLogout409Args&) {}

    /// Invoked when processing of
    /// InstrumentDefinitionFuture54 message has begun.
    virtual void onMessage(Handler&, const InstrumentDefinitionFuture54Args&) {}

    /// Invoked when processing of message of
    /// InstrumentDefinitionFuture54 message has ended.
    virtual void onEndOfMessage(Handler&, const InstrumentDefinitionFuture54Args&) {}

    /// Invoked when processing of
    /// InstrumentDefinitionSpread56 message has begun.
    virtual void onMessage(Handler&, const InstrumentDefinitionSpread56Args&) {}

    /// Invoked when processing of message of
    /// InstrumentDefinitionSpread56 message has ended.
    virtual void onEndOfMessage(Handler&, const InstrumentDefinitionSpread56Args&) {}

    /// Invoked when processing of
    /// SecurityStatus30 message has begun.
    virtual void onMessage(Handler&, const SecurityStatus30Args&) {}

    /// Invoked when processing of message of
    /// SecurityStatus30 message has ended.
    virtual void onEndOfMessage(Handler&, const SecurityStatus30Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshBook46 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshBook46Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshBook46 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshBook46Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshDailyStatistics49 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshDailyStatistics49Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshDailyStatistics49 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshDailyStatistics49Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshLimitsBanding50 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshLimitsBanding50Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshLimitsBanding50 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshLimitsBanding50Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshSessionStatistics51 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshSessionStatistics51Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshSessionStatistics51 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshSessionStatistics51Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshVolume37 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshVolume37Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshVolume37 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshVolume37Args&) {}

    /// Invoked when processing of
    /// SnapshotFullRefresh52 message has begun.
    virtual void onMessage(Handler&, const SnapshotFullRefresh52Args&) {}

    /// Invoked when processing of message of
    /// SnapshotFullRefresh52 message has ended.
    virtual void onEndOfMessage(Handler&, const SnapshotFullRefresh52Args&) {}

    /// Invoked when processing of
    /// QuoteRequest39 message has begun.
    virtual void onMessage(Handler&, const QuoteRequest39Args&) {}

    /// Invoked when processing of message of
    /// QuoteRequest39 message has ended.
    virtual void onEndOfMessage(Handler&, const QuoteRequest39Args&) {}

    /// Invoked when processing of
    /// InstrumentDefinitionOption55 message has begun.
    virtual void onMessage(Handler&, const InstrumentDefinitionOption55Args&) {}

    /// Invoked when processing of message of
    /// InstrumentDefinitionOption55 message has ended.
    virtual void onEndOfMessage(Handler&, const InstrumentDefinitionOption55Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshTradeSummary48 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshTradeSummary48Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshTradeSummary48 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshTradeSummary48Args&) {}

    /// Invoked when processing of
    /// IncrementalRefreshOrderBook47 message has begun.
    virtual void onMessage(Handler&, const IncrementalRefreshOrderBook47Args&) {}

    /// Invoked when processing of message of
    /// IncrementalRefreshOrderBook47 message has ended.
    virtual void onEndOfMessage(Handler&, const IncrementalRefreshOrderBook47Args&) {}

    /// Invoked when processing of
    /// SnapshotFullRefreshOrderBook53 message has begun.
    virtual void onMessage(Handler&, const SnapshotFullRefreshOrderBook53Args&) {}

    /// Invoked when processing of message of
    /// SnapshotFullRefreshOrderBook53 message has ended.
    virtual void onEndOfMessage(Handler&, const SnapshotFullRefreshOrderBook53Args&) {}

    /// Invoked when processing of the FIX message has begun.
    ///
    /// \warning FIX messages processed by the Handler in bounds
    /// of instrument cache replay. These messages do not belong
    /// to any packet and thus invocation of the given callback
    /// is not surrounded by callbacks identifying beginning and
    /// end of packet processing. Also, as there's no packet
    /// containing the FIX message, the packet component of
    /// the 'args' argument refers to no data.
    virtual void onMessage(Handler&, const FIX::MultiContainerArgs&) {}

    /// Invoked when processing of the FIX message has ended.
    ///
    /// \warning FIX messages processed by the Handler in bounds
    /// of instrument cache replay. These messages do not belong
    /// to any packet and thus invocation of the given callback
    /// is not surrounded by callbacks identifying beginning and
    /// end of packet processing. Also, as there's no packet
    /// containing the FIX message, the packet component of
    /// the 'args' argument refers to no data.
    virtual void onEndOfMessage(Handler&, const FIX::MultiContainerArgs&) {}
};

ONIXS_CMEMDH_NAMESPACE_END