Fields.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/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)
 

typedef Char Asset[6];
 

typedef Char CFICode[6];
 

typedef Char CHAR;
 

typedef Char CountryCode[2];
 

typedef Char Currency[3];
 

typedef 
IntegralConstant<Int8, 24> 
InstAttribType;
 

typedef Int16 Int16;
 

typedef Int32 Int32;
 

typedef Int8 Int8;
 

typedef UInt16 LocalMktDate;
 

typedef Char LongName[35];
 

typedef 
IntegralConstant<Char, 'J'> 
EntryTypeChannelReset;
 

typedef 
IntegralConstant<Char, 'g'> 
EntryTypeLimits;
 

typedef 
IntegralConstant<Char, '2'> 
EntryTypeTrade;
 

typedef 
IntegralConstant<Char, 'e'> 
EntryTypeVol;
 

typedef Char FeedType[3];
 

typedef 
IntegralConstant<Int8, 0> 
UpdateActionNew;
 

typedef 
IntegralConstant<Int8, 0> 
UpdateTypeNew;
 

typedef Char QuoteReqId[23];
 

typedef 
IntegralConstant<UInt8, 4> 
SecurityAltIDSourceISIN;
 

typedef Char SecurityExchange[4];
 

typedef Char SecurityGroup[6];
 

typedef 
IntegralConstant<Char, '8'> 
SecurityIDSource;
 

typedef Char SecuritySubType[5];
 

typedef Char SecurityType[6];
 

typedef Char String12[12];
 

typedef Char String20[20];
 

typedef Char String25[25];
 

typedef Char String3[3];
 

typedef Char String5[5];
 

typedef Char String6[6];
 

typedef Char String7[7];
 

typedef Char String8[8];
 

typedef Char Symbol[20];
 

typedef Char Text[180];
 

typedef Char UnderlyingSymbol[20];
 

typedef Char UnitOfMeasure[30];
 

typedef 
Char 
UserDefinedInstrument;
 

typedef UInt16 UInt16;
 

typedef UInt32 UInt32;
 

typedef UInt64 UInt64;
 

typedef UInt8 UInt8;
 

ONIXS_CONFLATEDUDP_LTWT_STRUCT AggressorFlag
{
    typedef UInt8 Base;
 
    enum Enum
    {
        NotAggressor = 0,

        Aggressor = 1
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT AggressorSide
{
    typedef UInt8 Base;
 
    enum Enum
    {
        NoAggressor = 0,

        Buy = 1,

        Sell = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT EventType
{
    typedef UInt8 Base;
 
    enum Enum
    {
        Activation = 5,

        LastEligibleTradeDate = 7
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT HaltReason
{
    typedef UInt8 Base;
 
    enum Enum
    {
        GroupSchedule = 0,

        SurveillanceIntervention = 1,

        MarketEvent = 2,

        InstrumentActivation = 3,

        InstrumentExpiration = 4,

        Unknown = 5,

        RecoveryInProcess = 6,

        TradeDateRoll = 7
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT LegSide
{
    typedef UInt8 Base;
 
    enum Enum
    {
        BuySide = 1,

        SellSide = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryType
{
    typedef CHAR Base;
 
    enum Enum
    {
        Bid = '0',

        Offer = '1',

        Trade = '2',

        OpenPrice = '4',

        SettlementPrice = '6',

        TradingSessionHighPrice = '7',

        TradingSessionLowPrice = '8',

        VWAP = '9',

        ClearedVolume = 'B',

        OpenInterest = 'C',

        ImpliedBid = 'E',

        ImpliedOffer = 'F',

        BookReset = 'J',

        SessionHighBid = 'N',

        SessionLowOffer = 'O',

        FixingPrice = 'W',

        ElectronicVolume = 'e',

        ThresholdLimitsandPriceBandVariation = 'g',

        MarketBestOffer = 'w',

        MarketBestBid = 'x'
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeBook
{
    typedef CHAR Base;
 
    enum Enum
    {
        Bid = '0',

        Offer = '1',

        ImpliedBid = 'E',

        ImpliedOffer = 'F',

        BookReset = 'J',

        MarketBestOffer = 'w',

        MarketBestBid = 'x'
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeDailyStatistics
{
    typedef CHAR Base;
 
    enum Enum
    {
        SettlementPrice = '6',

        ClearedVolume = 'B',

        OpenInterest = 'C',

        FixingPrice = 'W'
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT EntryTypeStatistics
{
    typedef CHAR Base;
 
    enum Enum
    {
        OpenPrice = '4',

        HighTrade = '7',

        LowTrade = '8',

        VWAP = '9',

        HighestBid = 'N',

        LowestOffer = 'O'
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT UpdateAction
{
    typedef UInt8 Base;
 
    enum Enum
    {
        New = 0,

        Change = 1,

        Delete = 2,

        DeleteThru = 3,

        DeleteFrom = 4,

        Overlay = 5
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT MoneyOrPar
{
    typedef UInt8 Base;
 
    enum Enum
    {
        Money = 1,

        Par = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT OpenCloseSettlFlag
{
    typedef UInt8 Base;
 
    enum Enum
    {
        DailyOpenPrice = 0,

        IndicativeOpeningPrice = 5,

        IntradayVWAP = 100,

        RepoAverage8_30AM = 101,

        RepoAverage10AM = 102,

        PrevSessionRepoAverage10AM = 103
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT OrderUpdateAction
{
    typedef UInt8 Base;
 
    enum Enum
    {
        New = 0,

        Update = 1,

        Delete = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT PriceSource
{
    typedef UInt8 Base;
 
    enum Enum
    {
        MarketPlaceAssistant = 0,

        Globex = 1,

        Refinitiv = 2,

        ICAP = 3
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT PutOrCall
{
    typedef UInt8 Base;
 
    enum Enum
    {
        Put = 0,

        Call = 1
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT RepoSubType
{
    typedef UInt8 Base;
 
    enum Enum
    {
        Special = 0,

        GC = 1,

        GCForDBV = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityAltIDSource
{
    typedef UInt8 Base;
 
    enum Enum
    {
        CUSIP = 1,

        ISIN = 4
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityTradingEvent
{
    typedef UInt8 Base;
 
    enum Enum
    {
        NoEvent = 0,

        NoCancel = 1,

        ResetStatistics = 4,

        ImpliedMatchingON = 5,

        ImpliedMatchingOFF = 6,

        EndOfWorkup = 7
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityTradingStatus
{
    typedef UInt8 Base;
 
    enum Enum
    {
        TradingHalt = 2,

        Close = 4,

        NewPriceIndication = 15,

        ReadyToTrade = 17,

        NotAvailableForTrading = 18,

        UnknownorInvalid = 20,

        PreOpen = 21,

        PreCross = 24,

        Cross = 25,

        PostClose = 26,

        NoChange = 103,

        PrivateWorkup = 201,

        PublicWorkup = 202
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT SecurityUpdateAction
{
    typedef CHAR Base;
 
    enum Enum
    {
        Add = 'A',

        Delete = 'D',

        Modify = 'M'
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT Side
{
    typedef UInt8 Base;
 
    enum Enum
    {
        Buy = 1,

        Sell = 2
    };
};

ONIXS_CONFLATEDUDP_LTWT_STRUCT WorkupTradingStatus
{
    typedef UInt8 Base;
 
    enum Enum
    {
        ReadyToTrade = 17,

        NotAvailableForTrading = 18,

        PrivateWorkup = 201,

        PublicWorkup = 202
    };
};

ONIXS_CONFLATEDUDP_LTWT_CLASS InstAttribValue
{
public:
    typedef UInt32 Bits;

    bool electronicMatchEligible() const
    {
        return 0 != (bits_ & 0x1);
    }

    bool orderCrossEligible() const
    {
        return 0 != (bits_ & 0x2);
    }

    bool blockTradeEligible() const
    {
        return 0 != (bits_ & 0x4);
    }

    bool efpEligible() const
    {
        return 0 != (bits_ & 0x8);
    }

    bool ebfEligible() const
    {
        return 0 != (bits_ & 0x10);
    }

    bool efsEligible() const
    {
        return 0 != (bits_ & 0x20);
    }

    bool efrEligible() const
    {
        return 0 != (bits_ & 0x40);
    }

    bool otcEligible() const
    {
        return 0 != (bits_ & 0x80);
    }

    bool iLinkIndicativeMassQuotingEligible() const
    {
        return 0 != (bits_ & 0x100);
    }

    bool negativeStrikeEligible() const
    {
        return 0 != (bits_ & 0x200);
    }

    bool negativePriceOutrightEligible() const
    {
        return 0 != (bits_ & 0x400);
    }

    bool isFractional() const
    {
        return 0 != (bits_ & 0x800);
    }

    bool volatilityQuotedOption() const
    {
        return 0 != (bits_ & 0x1000);
    }

    bool rfqCrossEligible() const
    {
        return 0 != (bits_ & 0x2000);
    }

    bool zeroPriceOutrightEligible() const
    {
        return 0 != (bits_ & 0x4000);
    }

    bool decayingProductEligibility() const
    {
        return 0 != (bits_ & 0x8000);
    }

    bool variableProductEligibility() const
    {
        return 0 != (bits_ & 0x10000);
    }

    bool dailyProductEligibility() const
    {
        return 0 != (bits_ & 0x20000);
    }

    bool gtOrdersEligibility() const
    {
        return 0 != (bits_ & 0x40000);
    }

    bool impliedMatchingEligibility() const
    {
        return 0 != (bits_ & 0x80000);
    }

    bool triangulationEligible() const
    {
        return 0 != (bits_ & 0x100000);
    }

    bool variableCabEligible() const
    {
        return 0 != (bits_ & 0x200000);
    }

    bool invertedBook() const
    {
        return 0 != (bits_ & 0x400000);
    }

    bool isAoNInstrument() const
    {
        return 0 != (bits_ & 0x800000);
    }

    bool sefRegulated() const
    {
        return 0 != (bits_ & 0x1000000);
    }

    bool mtfRegulated() const
    {
        return 0 != (bits_ & 0x2000000);
    }

    bool eFIXInstrument() const
    {
        return 0 != (bits_ & 0x4000000);
    }

    bool hedgeInstrument() const
    {
        return 0 != (bits_ & 0x8000000);
    }

    inline Bits bits() const
    {
        return bits_;
    }
 
    InstAttribValue(Bits bits = 0)
        : bits_(bits)
    {
    }
 
private:
    Bits bits_;
};

ONIXS_CONFLATEDUDP_LTWT_CLASS MatchEventIndicator
{
public:
    typedef UInt8 Bits;

    bool lastTradeMsg() const
    {
        return 0 != (bits_ & 0x1);
    }

    bool lastVolumeMsg() const
    {
        return 0 != (bits_ & 0x2);
    }

    bool lastQuoteMsg() const
    {
        return 0 != (bits_ & 0x4);
    }

    bool lastStatsMsg() const
    {
        return 0 != (bits_ & 0x8);
    }

    bool lastImpliedMsg() const
    {
        return 0 != (bits_ & 0x10);
    }

    bool recoveryMsg() const
    {
        return 0 != (bits_ & 0x20);
    }

    bool reserved() const
    {
        return 0 != (bits_ & 0x40);
    }

    bool endOfEvent() const
    {
        return 0 != (bits_ & 0x80);
    }

    inline Bits bits() const
    {
        return bits_;
    }
 
    MatchEventIndicator(Bits bits = 0)
        : bits_(bits)
    {
    }
 
private:
    Bits bits_;
};

ONIXS_CONFLATEDUDP_LTWT_CLASS SettlPriceType
{
public:
    typedef UInt8 Bits;

    bool finalDaily() const
    {
        return 0 != (bits_ & 0x1);
    }

    bool actual() const
    {
        return 0 != (bits_ & 0x2);
    }

    bool rounded() const
    {
        return 0 != (bits_ & 0x4);
    }

    bool intraday() const
    {
        return 0 != (bits_ & 0x8);
    }

    bool reservedBits() const
    {
        return 0 != (bits_ & 0x10);
    }

    bool nullValue() const
    {
        return 0 != (bits_ & 0x80);
    }

    inline Bits bits() const
    {
        return bits_;
    }
 
    SettlPriceType(Bits bits = 0)
        : bits_(bits)
    {
    }
 
private:
    Bits bits_;
};
 

typedef 
IntegralConstant<Int32, 2147483647> 
NullInt32;
 

typedef 
IntegralConstant<Int8, 127> 
NullInt8;
 

typedef 
IntegralConstant<UInt16, 65535> 
NullLocalMktDate;
 

typedef 
IntegralConstant<UInt16, 65535> 
NullUInt16;
 

typedef 
IntegralConstant<UInt32, 4294967295> 
NullUInt32;
 

typedef 
IntegralConstant<UInt64, 18446744073709551615ULL> 
NullUInt64;
 

typedef 
IntegralConstant<UInt8, 255> 
NullUInt8;
 
 

inline 
Timestamp
localMktDateToTimestamp(LocalMktDate days)
{
    return Timestamp(TimeSpan(days, 0, 0, 0, 0).ticks());
}
 
ONIXS_CONFLATEDUDP_DATA_PACKING_END
ONIXS_CONFLATEDUDP_NAMESPACE_END