OrderExecution.h

Go to the documentation of this file.

/*
* 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 <vector>

#include <OnixS/CboeCFE/Trading/BOE/ABI.h>
#include <OnixS/CboeCFE/Trading/BOE/Defines.h>
#include <OnixS/CboeCFE/Trading/BOE/Enumerations.h>
#include <OnixS/CboeCFE/Trading/BOE/BinaryMessage.h>


namespace OnixS {
namespace CboeCFE {
namespace Trading {
namespace BOE {

    /// An Order Execution is sent for each fill on an order.
    struct ONIXS_CBOE_CFE_BOE_API OrderExecution : public BinaryMessage
    {
        /// The time the event occurred in the CFE Matching Engine (not the time the message was sent).
        DateTime transactionTime() const
        {
            return ordinary<DateTime>(0);
        }

        /// The order which was executed
        StrRef clOrdId() const
        {
            return fixedStr<20>(8);
        }

        /// Sent to the OCC in the Trade Id field.
        Binary8 execId() const
        {
            return ordinary<Binary8>(28);
        }

        /// Executed contracts quantity.
        Binary4 lastShares() const
        {
            return ordinary<Binary4>(36);
        }

        /// Price of this fill.
        BinaryPrice lastPx() const
        {
            return ordinary<BinaryPrice>(40);
        }

        /// Quantity still open for further execution. If zero, the order is complete.
        Binary4 leavesQty() const
        {
            return ordinary<Binary4>(48);
        }

        /// Indicates whether the trade added or removed liquidity.
        BaseLiquidityIndicator::Enum baseLiquidityIndicator() const
        {
            return enumeration<BaseLiquidityIndicator>(52);
        }

        /// Additional information about the liquidity of an order.
        SubLiquidityIndicator::Enum subLiquidityIndicator() const
        {
            return enumeration<SubLiquidityIndicator>(53);
        }

        /// Echoed back from the TPH message
        Side::Enum side() const
        {
            return enumeration<Side>(54);
        }

        /// Echoed back from the TPH message
        StrRef symbol() const
        {
            return fixedStr<8>(55);
        }

        /// Echoed back from the TPH message
        StrRef clearingFirm() const
        {
            return fixedStr<4>(63);
        }

        /// Maturity date of the instrument
        Date maturityDate() const
        {
            return ordinary<Date>(67);
        }

        /// Indicates fee associated with an execution.
        StrRef feeCode() const
        {
            return fixedStr<2>(71);
        }

        /// Business date of the execution.
        Date tradeDate() const
        {
            return ordinary<Date>(73);
        }

        /// Size to clear with OCC.
        Binary4 clearingSize() const
        {
            return ordinary<Binary4>(77);
        }

        /// Field is provided as a convenience to determine whether an Order Execution message is a preliminary notification representing a pending trade.
        PendingStatus::Enum pendingStatus() const
        {
            return enumeration<PendingStatus>(81);
        }

        /// Present on Order Execution, TAS Restatement and Variance Restatement messages representing either Spread orders or Simple orders that are part Spread execution.
        MultilegReportingType::Enum multilegReportingType() const
        {
            return enumeration<MultilegReportingType>(82);
        }

        /// Field indicates whether an execution is a spread or a simple instrument execution that is part of a spread trade.
        Binary8 secondaryExecId() const
        {
            return ordinary<Binary8>(83);
        }

        /// Initializes instance over given memory block.
        OrderExecution(const void* data, MessageSize size)
            : BinaryMessage(data, size)
        {
        }
    };

    /// Serializes object into string.
    ONIXS_CBOE_CFE_BOE_API void toStr(std::string&, const OrderExecution&);

    /// Serializes object into string.
    inline std::string toStr(const OrderExecution& msg)
    {
        std::string str;
        toStr(str, msg);
        return str;
    }

}
}
}
}