QuoteExecution.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.
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* Access to and use of the software is governed by the terms of the applicable ONIXS Software
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* 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
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*/

#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 {

    /// A Quote Execution message is used to indicate an execution has occurred on a resting quote.
    struct ONIXS_CBOE_CFE_BOE_API QuoteExecution : 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);
        }

        /// Echoed back from the most recent Quote Update request for this quote.
        StrRef quoteUpdateId() const
        {
            return fixedStr<16>(8);
        }

        /// Order identifier supplied by CFE.
        Binary8 orderId() const
        {
            return ordinary<Binary8>(24);
        }

        /// Sent to the OCC in the Trade Id field.
        Binary8 execId() const
        {
            return ordinary<Binary8>(32);
        }

        /// Echoed back from the TPH message
        StrRef quoteSymbol() const
        {
            return fixedStr<6>(40);
        }

        /// EFID that will clear the trade.
        StrRef clearingFirm() const
        {
            return fixedStr<4>(46);
        }

        /// Executed contracts quantity.
        Binary4 lastShares() const
        {
            return ordinary<Binary4>(50);
        }

        /// Price of this fill.
        BinaryPrice lastPx() const
        {
            return ordinary<BinaryPrice>(54);
        }

        /// Quantity still open for further execution.
        Binary4 leavesQty() const
        {
            return ordinary<Binary4>(62);
        }

        /// Side
        Side::Enum side() const
        {
            return enumeration<Side>(66);
        }

        /// Indicates whether the trade added or removed liquidity.
        BaseLiquidityIndicator::Enum baseLiquidityIndicator() const
        {
            return enumeration<BaseLiquidityIndicator>(67);
        }

        /// Additional information about the liquidity of an order.
        SubLiquidityIndicator::Enum subLiquidityIndicator() const
        {
            return enumeration<SubLiquidityIndicator>(68);
        }

        /// Indicates fee associated with an execution.
        StrRef feeCode() const
        {
            return fixedStr<2>(69);
        }

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

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

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

}
}
}
}