Fields.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 <OnixS/CME/ConflatedUDP/Time.h>
#include <OnixS/CME/ConflatedUDP/String.h>
#include <OnixS/CME/ConflatedUDP/Integral.h>

ONIXS_CONFLATEDUDP_NAMESPACE_BEGIN
ONIXS_CONFLATEDUDP_DATA_PACKING_BEGIN(1)

/// Asset.
/// 
/// FIX type: String.
typedef Char Asset[6];


/// CFICode type.
/// 
/// FIX type: String.
typedef Char CFICode[6];


/// char.
typedef Char CHAR;


/// ISO 2-character country code.
/// 
/// FIX type: String.
typedef Char CountryCode[2];


/// Currency.
/// 
/// FIX type: Currency.
typedef Char Currency[3];


/// Eligibility.
typedef 
IntegralConstant<Int8, 24> 
InstAttribType;


/// int16.
typedef Int16 Int16;


/// int32.
typedef Int32 Int32;


/// int8.
typedef Int8 Int8;


/// LocalMktDate type.
/// 
/// FIX type: LocalMktDate.
typedef UInt16 LocalMktDate;


/// Financial Instrument Full Name.
/// 
/// FIX type: String.
typedef Char LongName[35];


/// Channel Reset message entry type.
typedef 
IntegralConstant<Char, 'J'> 
EntryTypeChannelReset;


/// MDEntryTypeLimits.
typedef 
IntegralConstant<Char, 'g'> 
EntryTypeLimits;


/// MDEntryTypeTrade.
typedef 
IntegralConstant<Char, '2'> 
EntryTypeTrade;


/// MDEntryTypeVol.
typedef 
IntegralConstant<Char, 'e'> 
EntryTypeVol;


/// MDFeedType type.
/// 
/// FIX type: String.
typedef Char FeedType[3];


/// MDUpdateActionNew.
typedef 
IntegralConstant<Int8, 0> 
UpdateActionNew;


/// MDUpdateTypeNew.
typedef 
IntegralConstant<Int8, 0> 
UpdateTypeNew;


/// QuoteReqId type.
/// 
/// FIX type: String.
typedef Char QuoteReqId[23];


/// SecurityAltIDSourceISIN type.
/// 
/// FIX type: int.
typedef 
IntegralConstant<UInt8, 4> 
SecurityAltIDSourceISIN;


/// SecurityExchange type.
/// 
/// FIX type: Exchange.
typedef Char SecurityExchange[4];


/// SecurityGroup type.
/// 
/// FIX type: String.
typedef Char SecurityGroup[6];


/// SecurityIDSource.
/// 
/// FIX type: char.
typedef 
IntegralConstant<Char, '8'> 
SecurityIDSource;


/// SecuritySubType type.
/// 
/// FIX type: String.
typedef Char SecuritySubType[5];


/// SecurityType.
/// 
/// FIX type: String.
typedef Char SecurityType[6];


/// String length 12.
/// 
/// FIX type: String.
typedef Char String12[12];


/// String length 20.
/// 
/// FIX type: String.
typedef Char String20[20];


/// String length 25.
/// 
/// FIX type: String.
typedef Char String25[25];


/// String length 3.
/// 
/// FIX type: String.
typedef Char String3[3];


/// String length 5.
/// 
/// FIX type: String.
typedef Char String5[5];


/// String with length of 6.
/// 
/// FIX type: String.
typedef Char String6[6];


/// String length 7.
/// 
/// FIX type: String.
typedef Char String7[7];


/// String length 8.
/// 
/// FIX type: String.
typedef Char String8[8];


/// Symbol.
/// 
/// FIX type: String.
typedef Char Symbol[20];


/// Text.
/// 
/// FIX type: String.
typedef Char Text[180];


/// UnderlyingSymbol type.
/// 
/// FIX type: String.
typedef Char UnderlyingSymbol[20];


/// UnitOfMeasure type.
/// 
/// FIX type: String.
typedef Char UnitOfMeasure[30];


/// UserDefinedInstrument type.
/// 
/// FIX type: char.
typedef 
Char 
UserDefinedInstrument;


/// uInt16.
typedef UInt16 UInt16;


/// uInt32.
typedef UInt32 UInt32;


/// uInt64.
typedef UInt64 UInt64;


/// uInt8.
typedef UInt8 UInt8;


/// AggressorFlag type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT AggressorFlag
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Not Aggressor.
        NotAggressor = 0,

        /// Aggressor.
        Aggressor = 1
    };
};

/// AggressorSide type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT AggressorSide
{
    typedef UInt8 Base;

    enum Enum
    {
        /// No Aggressor.
        NoAggressor = 0,

        /// Buy.
        Buy = 1,

        /// Sell.
        Sell = 2
    };
};

/// EventType type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT EventType
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Activation.
        Activation = 5,

        /// Last Eligible Trade Date.
        LastEligibleTradeDate = 7
    };
};

/// HaltReason type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT HaltReason
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Group Schedule.
        GroupSchedule = 0,

        /// Surveillance Intervention .
        SurveillanceIntervention = 1,

        /// Market Event .
        MarketEvent = 2,

        /// Instrument Activation.
        InstrumentActivation = 3,

        /// Instrument Expiration.
        InstrumentExpiration = 4,

        /// Unknown.
        Unknown = 5,

        /// Recovery In Process.
        RecoveryInProcess = 6,

        /// Trade Date Roll.
        TradeDateRoll = 7
    };
};

/// LegSide type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT LegSide
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Buy Side.
        BuySide = 1,

        /// Sell Side.
        SellSide = 2
    };
};

/// MDEntryType type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryType
{
    typedef CHAR Base;

    enum Enum
    {
        /// Bid.
        Bid = '0',

        /// Offer.
        Offer = '1',

        /// Trade.
        Trade = '2',

        /// Open Price.
        OpenPrice = '4',

        /// Settlement Price.
        SettlementPrice = '6',

        /// Trading Session High Price.
        TradingSessionHighPrice = '7',

        /// Trading Session Low Price.
        TradingSessionLowPrice = '8',

        /// Trading Session Volume Weighted Average Price.
        VWAP = '9',

        /// Cleared Volume.
        ClearedVolume = 'B',

        /// Open Interest.
        OpenInterest = 'C',

        /// Implied Bid.
        ImpliedBid = 'E',

        /// Implied Offer.
        ImpliedOffer = 'F',

        /// Book Reset.
        BookReset = 'J',

        /// Session High Bid.
        SessionHighBid = 'N',

        /// Session Low Offer.
        SessionLowOffer = 'O',

        /// Fixing Price.
        FixingPrice = 'W',

        /// Electronic Volume.
        ElectronicVolume = 'e',

        /// Threshold Limits and Price Band Variation.
        ThresholdLimitsandPriceBandVariation = 'g',

        /// Market Best Offer.
        MarketBestOffer = 'w',

        /// Market Best Bid.
        MarketBestBid = 'x'
    };
};

/// MDEntryTypeBook type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeBook
{
    typedef CHAR Base;

    enum Enum
    {
        /// Bid.
        Bid = '0',

        /// Offer.
        Offer = '1',

        /// Implied Bid.
        ImpliedBid = 'E',

        /// Implied Offer.
        ImpliedOffer = 'F',

        /// Book Reset.
        BookReset = 'J',

        /// Market Best Offer.
        MarketBestOffer = 'w',

        /// Market Best Bid.
        MarketBestBid = 'x'
    };
};

/// MDEntryTypeDailyStatistics type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeDailyStatistics
{
    typedef CHAR Base;

    enum Enum
    {
        /// Settlement Price.
        SettlementPrice = '6',

        /// Cleared Volume.
        ClearedVolume = 'B',

        /// Open Interest.
        OpenInterest = 'C',

        /// Fixing Price.
        FixingPrice = 'W'
    };
};

/// MDEntryTypeStatistics type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeStatistics
{
    typedef CHAR Base;

    enum Enum
    {
        /// Open Price.
        OpenPrice = '4',

        /// High Trade.
        HighTrade = '7',

        /// Low Trade.
        LowTrade = '8',

        /// Trading Session Volume Weighted Average Price.
        VWAP = '9',

        /// Highest Bid.
        HighestBid = 'N',

        /// Lowest Offer.
        LowestOffer = 'O'
    };
};

/// MDUpdateAction type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT UpdateAction
{
    typedef UInt8 Base;

    enum Enum
    {
        /// New.
        New = 0,

        /// Change.
        Change = 1,

        /// Delete.
        Delete = 2,

        /// Delete Thru.
        DeleteThru = 3,

        /// Delete From.
        DeleteFrom = 4,

        /// Overlay.
        Overlay = 5
    };
};

/// MoneyOrPar type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT MoneyOrPar
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Money Filled.
        Money = 1,

        /// Par Filled.
        Par = 2
    };
};

/// OpenCloseSettlFlag type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT OpenCloseSettlFlag
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Daily Open Price.
        DailyOpenPrice = 0,

        /// Indicative Opening Price.
        IndicativeOpeningPrice = 5,

        /// Latest update to VWAP.
        IntradayVWAP = 100,

        /// Repo Average 8-30 AM.
        RepoAverage8_30AM = 101,

        /// Repo Average 10 AM.
        RepoAverage10AM = 102,

        /// Prev Session Repo Average 10 AM.
        PrevSessionRepoAverage10AM = 103
    };
};

/// OrderUpdateAction type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT OrderUpdateAction
{
    typedef UInt8 Base;

    enum Enum
    {
        /// New.
        New = 0,

        /// Update.
        Update = 1,

        /// Delete.
        Delete = 2
    };
};

/// PriceSource type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT PriceSource
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Globex Market Surveillance team.
        MarketPlaceAssistant = 0,

        /// Globex Trading Activity.
        Globex = 1,

        /// Refinitiv.
        Refinitiv = 2,

        /// Icap Market Data Feed.
        ICAP = 3
    };
};

/// PutOrCall type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT PutOrCall
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Put Option.
        Put = 0,

        /// Call Option.
        Call = 1
    };
};

/// RepoSubType type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT RepoSubType
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Repo on a single underlying instrument.
        Special = 0,

        /// General Collateral Repo on a single or basket of eligible underlyings, allocation at BrokerTec.
        GC = 1,

        /// General Collateral Repo on a single or basket of eligible underlyings, allocation outside of BrokerTec, such as at the clearer, tri-party agent, etc..
        GCForDBV = 2
    };
};

/// SecurityAltIDSource type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityAltIDSource
{
    typedef UInt8 Base;

    enum Enum
    {
        /// CUSIP (9 char).
        CUSIP = 1,

        /// ISIN (12 char).
        ISIN = 4
    };
};

/// SecurityTradingEvent type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityTradingEvent
{
    typedef UInt8 Base;

    enum Enum
    {
        /// No Event.
        NoEvent = 0,

        /// No Cancel.
        NoCancel = 1,

        /// Reset Statistics.
        ResetStatistics = 4,

        /// Implied Matching ON.
        ImpliedMatchingON = 5,

        /// Implied Matching OFF.
        ImpliedMatchingOFF = 6,

        /// End Of Workup.
        EndOfWorkup = 7
    };
};

/// SecurityTradingStatus type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityTradingStatus
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Trading Halt.
        TradingHalt = 2,

        /// Close.
        Close = 4,

        /// New Price Indication.
        NewPriceIndication = 15,

        /// Ready To Trade.
        ReadyToTrade = 17,

        /// Not Available For Trading.
        NotAvailableForTrading = 18,

        /// Unknown or Invalid.
        UnknownorInvalid = 20,

        /// Pre Open.
        PreOpen = 21,

        /// Pre Cross.
        PreCross = 24,

        /// Cross.
        Cross = 25,

        /// Post Close.
        PostClose = 26,

        /// No Change.
        NoChange = 103,

        /// Private Workup.
        PrivateWorkup = 201,

        /// Public Workup.
        PublicWorkup = 202
    };
};

/// SecurityUpdateAction type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityUpdateAction
{
    typedef CHAR Base;

    enum Enum
    {
        /// Add.
        Add = 'A',

        /// Delete.
        Delete = 'D',

        /// Modify.
        Modify = 'M'
    };
};

/// Side type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT Side
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Buy.
        Buy = 1,

        /// Sell.
        Sell = 2
    };
};

/// WorkupTradingStatus type.
ONIXS_CONFLATEDUDP_LTWT_STRUCT WorkupTradingStatus
{
    typedef UInt8 Base;

    enum Enum
    {
        /// Ready To Trade.
        ReadyToTrade = 17,

        /// Not Available For Trading.
        NotAvailableForTrading = 18,

        /// Private Workup.
        PrivateWorkup = 201,

        /// Public Workup.
        PublicWorkup = 202
    };
};

/// InstAttribValue type.
ONIXS_CONFLATEDUDP_LTWT_CLASS InstAttribValue
{
public:
    /// Aliases integral type whose bits 
    /// are used to indicate flag presence. 
    typedef UInt32 Bits;

    /// Indicates whether ElectronicMatchEligible bit is set.
    bool electronicMatchEligible() const
    {
        return 0 != (bits_ & 0x1);
    }

    /// Indicates whether OrderCrossEligible bit is set.
    bool orderCrossEligible() const
    {
        return 0 != (bits_ & 0x2);
    }

    /// Indicates whether BlockTradeEligible bit is set.
    bool blockTradeEligible() const
    {
        return 0 != (bits_ & 0x4);
    }

    /// Indicates whether EFPEligible bit is set.
    bool efpEligible() const
    {
        return 0 != (bits_ & 0x8);
    }

    /// Indicates whether EBFEligible bit is set.
    bool ebfEligible() const
    {
        return 0 != (bits_ & 0x10);
    }

    /// Indicates whether EFSEligible bit is set.
    bool efsEligible() const
    {
        return 0 != (bits_ & 0x20);
    }

    /// Indicates whether EFREligible bit is set.
    bool efrEligible() const
    {
        return 0 != (bits_ & 0x40);
    }

    /// Indicates whether OTCEligible bit is set.
    bool otcEligible() const
    {
        return 0 != (bits_ & 0x80);
    }

    /// Indicates whether iLinkIndicativeMassQuotingEligible bit is set.
    bool iLinkIndicativeMassQuotingEligible() const
    {
        return 0 != (bits_ & 0x100);
    }

    /// Indicates whether NegativeStrikeEligible bit is set.
    bool negativeStrikeEligible() const
    {
        return 0 != (bits_ & 0x200);
    }

    /// Indicates whether NegativePriceOutrightEligible bit is set.
    bool negativePriceOutrightEligible() const
    {
        return 0 != (bits_ & 0x400);
    }

    /// Indicates whether IsFractional bit is set.
    bool isFractional() const
    {
        return 0 != (bits_ & 0x800);
    }

    /// Indicates whether VolatilityQuotedOption bit is set.
    bool volatilityQuotedOption() const
    {
        return 0 != (bits_ & 0x1000);
    }

    /// Indicates whether RFQCrossEligible bit is set.
    bool rfqCrossEligible() const
    {
        return 0 != (bits_ & 0x2000);
    }

    /// Indicates whether ZeroPriceOutrightEligible bit is set.
    bool zeroPriceOutrightEligible() const
    {
        return 0 != (bits_ & 0x4000);
    }

    /// Indicates whether DecayingProductEligibility bit is set.
    bool decayingProductEligibility() const
    {
        return 0 != (bits_ & 0x8000);
    }

    /// Indicates whether VariableProductEligibility bit is set.
    bool variableProductEligibility() const
    {
        return 0 != (bits_ & 0x10000);
    }

    /// Indicates whether DailyProductEligibility bit is set.
    bool dailyProductEligibility() const
    {
        return 0 != (bits_ & 0x20000);
    }

    /// Indicates whether GTOrdersEligibility bit is set.
    bool gtOrdersEligibility() const
    {
        return 0 != (bits_ & 0x40000);
    }

    /// Indicates whether ImpliedMatchingEligibility bit is set.
    bool impliedMatchingEligibility() const
    {
        return 0 != (bits_ & 0x80000);
    }

    /// Indicates whether TriangulationEligible bit is set.
    bool triangulationEligible() const
    {
        return 0 != (bits_ & 0x100000);
    }

    /// Indicates whether VariableCabEligible bit is set.
    bool variableCabEligible() const
    {
        return 0 != (bits_ & 0x200000);
    }

    /// Indicates whether InvertedBook bit is set.
    bool invertedBook() const
    {
        return 0 != (bits_ & 0x400000);
    }

    /// Indicates whether IsAoNInstrument bit is set.
    bool isAoNInstrument() const
    {
        return 0 != (bits_ & 0x800000);
    }

    /// Indicates whether SEFRegulated bit is set.
    bool sefRegulated() const
    {
        return 0 != (bits_ & 0x1000000);
    }

    /// Indicates whether MTFRegulated bit is set.
    bool mtfRegulated() const
    {
        return 0 != (bits_ & 0x2000000);
    }

    /// Indicates whether eFIXInstrument bit is set.
    bool eFIXInstrument() const
    {
        return 0 != (bits_ & 0x4000000);
    }

    /// Indicates whether HedgeInstrument bit is set.
    bool hedgeInstrument() const
    {
        return 0 != (bits_ & 0x8000000);
    }

    /// Returns elements as they packed in the set. 
    inline Bits bits() const
    {
        return bits_;
    }

    InstAttribValue(Bits bits = 0)
        : bits_(bits)
    {
    }

private:
    Bits bits_;
};

/// MatchEventIndicator type.
ONIXS_CONFLATEDUDP_LTWT_CLASS MatchEventIndicator
{
public:
    /// Aliases integral type whose bits 
    /// are used to indicate flag presence. 
    typedef UInt8 Bits;

    /// Indicates whether LastTradeMsg bit is set.
    bool lastTradeMsg() const
    {
        return 0 != (bits_ & 0x1);
    }

    /// Indicates whether LastVolumeMsg bit is set.
    bool lastVolumeMsg() const
    {
        return 0 != (bits_ & 0x2);
    }

    /// Indicates whether LastQuoteMsg bit is set.
    bool lastQuoteMsg() const
    {
        return 0 != (bits_ & 0x4);
    }

    /// Indicates whether LastStatsMsg bit is set.
    bool lastStatsMsg() const
    {
        return 0 != (bits_ & 0x8);
    }

    /// Indicates whether LastImpliedMsg bit is set.
    bool lastImpliedMsg() const
    {
        return 0 != (bits_ & 0x10);
    }

    /// Indicates whether RecoveryMsg bit is set.
    bool recoveryMsg() const
    {
        return 0 != (bits_ & 0x20);
    }

    /// Indicates whether Reserved bit is set.
    bool reserved() const
    {
        return 0 != (bits_ & 0x40);
    }

    /// Indicates whether EndOfEvent bit is set.
    bool endOfEvent() const
    {
        return 0 != (bits_ & 0x80);
    }

    /// Returns elements as they packed in the set. 
    inline Bits bits() const
    {
        return bits_;
    }

    MatchEventIndicator(Bits bits = 0)
        : bits_(bits)
    {
    }

private:
    Bits bits_;
};

/// SettlPriceType type.
ONIXS_CONFLATEDUDP_LTWT_CLASS SettlPriceType
{
public:
    /// Aliases integral type whose bits 
    /// are used to indicate flag presence. 
    typedef UInt8 Bits;

    /// Indicates whether FinalDaily bit is set.
    bool finalDaily() const
    {
        return 0 != (bits_ & 0x1);
    }

    /// Indicates whether Actual bit is set.
    bool actual() const
    {
        return 0 != (bits_ & 0x2);
    }

    /// Indicates whether Rounded bit is set.
    bool rounded() const
    {
        return 0 != (bits_ & 0x4);
    }

    /// Indicates whether Intraday bit is set.
    bool intraday() const
    {
        return 0 != (bits_ & 0x8);
    }

    /// Indicates whether ReservedBits bit is set.
    bool reservedBits() const
    {
        return 0 != (bits_ & 0x10);
    }

    /// Indicates whether NullValue bit is set.
    bool nullValue() const
    {
        return 0 != (bits_ & 0x80);
    }

    /// Returns elements as they packed in the set. 
    inline Bits bits() const
    {
        return bits_;
    }

    SettlPriceType(Bits bits = 0)
        : bits_(bits)
    {
    }

private:
    Bits bits_;
};


/// Null value for optional Int32 field.
typedef 
IntegralConstant<Int32, 2147483647> 
NullInt32;


/// Null value for optional Int8 field.
typedef 
IntegralConstant<Int8, 127> 
NullInt8;


/// Null value for optional LocalMktDate field.
typedef 
IntegralConstant<UInt16, 65535> 
NullLocalMktDate;


/// Null value for optional UInt16 field.
typedef 
IntegralConstant<UInt16, 65535> 
NullUInt16;


/// Null value for optional UInt32 field.
typedef 
IntegralConstant<UInt32, 4294967295> 
NullUInt32;


/// Null value for optional UInt64 field.
typedef 
IntegralConstant<UInt64, 18446744073709551615ULL> 
NullUInt64;


/// Null value for optional UInt8 field.
typedef 
IntegralConstant<UInt8, 255> 
NullUInt8;



/// Converts days since epoch to Timestamp value. 
inline 
Timestamp
localMktDateToTimestamp(LocalMktDate days)
{
    return Timestamp(TimeSpan(days, 0, 0, 0, 0).ticks());
}

ONIXS_CONFLATEDUDP_DATA_PACKING_END
ONIXS_CONFLATEDUDP_NAMESPACE_END