FuturesInstrumentDefinition.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/MarketData/Pitch/ABI.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Defines.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Enumerations.h>
#include <OnixS/CboeCFE/MarketData/Pitch/BinaryMessage.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Messages/Variance.h>
#include <OnixS/CboeCFE/MarketData/Pitch/Messages/Leg.h>


namespace OnixS {
namespace CboeCFE {
namespace MarketData {
namespace Pitch {

    /// 
    struct FuturesInstrumentDefinitionMsg : public BinaryMessage
    {
        /// Nanosecond offset from last unit timestamp or Unit Timestamp in this message if it is non-zero.
        Binary4 timeOffset() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary4>(2);
        }

        /// Symbol right padded with spaces.
        StrRef symbol() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return fixedStr<6>(6);
        }

        /// Unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC).
        Binary4 unitTimestamp() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary4>(12);
        }

        /// Symbol for product or underlying security.
        StrRef reportSymbol() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return fixedStr<6>(16);
        }

        /// Bit 0 - Variance (1: Variance Future, 0:Standard Future)
        BitField futuresFlags() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BitField>(22);
        }

        /// Expiration Date of Instrument.
        BinaryDate expirationDate() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BinaryDate>(23);
        }

        /// Contract size of Instrument.
        Binary2 contractSize() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary2>(27);
        }

        /// Listing State
        ListingState::Enum listingState() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return enumeration<ListingState>(29);
        }

        /// Minimum Price Increment
        BinaryPrice priceIncrement() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BinaryPrice>(30);
        }

        /// Values greater than 0 indicate this is a multi-leg strategy.
        Binary1 legCount() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary1>(38);
        }

        /// Leg definitions, if any, begin at this offset from the beginning of the  message. Possible values
        /// are 0 (no legs present), 41 (no Variance Block), or 93 (Variance Block present). Cboe reserves the
        /// right to change these values without prior notice.
        Binary1 legOffset() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary1>(39);
        }

        /// Variance Future parameter block begins at this offset from the beginning of the message. Possible
        /// values are 0 (no Variance Block) or 41 (Variance Block present). Cboe reserves the right to change
        /// these values without prior notice.
        Binary1 varianceBlockOffset() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<Binary1>(40);
        }

        /// Populated for single-leg instruments only.
        BinaryDate contractDate() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            return ordinary<BinaryDate>(41);
        }

        /// Variance block
        Variance variance() const
        ONIXS_BATS_PITCH_NOTHROW
        {
            assert(futuresFlags() & 0x01);
            assert(varianceBlockOffset() != 0);

            return
                submessage<Variance>(45, 52);
        }

        /// Leg
        Leg leg(MessageSize index) const
        ONIXS_BATS_PITCH_NOTHROW
        {
            assert(legCount() != 0);
            assert(legOffset() != 0);
            assert(index < legCount());

            return
                (varianceBlockOffset() == 0)
                    ? submessage<Leg>(45 + 10 * index, 10)
                    : submessage<Leg>((45 + 52) + 10 * index, 10);
        }

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

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

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

}
}
}
}