SecurityListener.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/MDH/MboBook.h>
#include <OnixS/CME/MDH/DirectBook.h>
#include <OnixS/CME/MDH/ImpliedBook.h>
#include <OnixS/CME/MDH/ConsolidatedBook.h>

#include <OnixS/CME/MDH/TradeOrderIds.h>

#include <OnixS/CME/MDH/MarketDataListener.h>
#include <OnixS/CME/MDH/MessageSupplements.h>

ONIXS_CMEMDH_NAMESPACE_BEGIN

ONIXS_CMEMDH_EXPORTED_CLASS_DECL(Handler);
ONIXS_CMEMDH_EXPORTED_CLASS_DECL(Security);

/// Collection of attributes associated with 
/// security-related data in security listener 
/// callbacks. 
template
<
    class Container,
    class Data = typename Container::Entry
>
class SecurityDataArgs
{
    Data entry_;
    Container message_;
    const NetPacket& packet_;

    /// Reinitializes instance as copy of other one. 
    SecurityDataArgs& 
    operator =(
        const SecurityDataArgs&);

public:
    /// Type of message whose instance 
    /// is referenced by given arguments.
    typedef Container Message;

    /// Type of repeating group entry whose  
    /// instance referenced by given arguments.
    typedef Data Entry;

    /// Initializes instance with 
    /// given market data entry. 
    SecurityDataArgs(
        const NetPacket& packet,
        const Message& message,
        const Entry& entry)
        : entry_(entry)
        , message_(message)
        , packet_(packet)
    {
    }

    /// Initializes instance as copy of other one. 
    SecurityDataArgs(
        const SecurityDataArgs& other)
        : entry_(other.entry_)
        , message_(other.message_)
        , packet_(other.packet_)
    {
    }

    /// Instance of the packet containing the message 
    /// which in its turn contains the market data entry. 
    const NetPacket& packet() const
    {
        return packet_;
    }

    /// Instance of message containing market data entry. 
    const Message& message() const
    {
        return message_;
    }

    /// Instance of market data being referenced. 
    const Entry& entry() const
    {
        return entry_;
    }
};

namespace
{
    /// Empty order list. 
    inline 
    const 
    TradeOrderIds&
    nullOrders() 
    {
        static 
        const 
        TradeOrderIds 
        theNull;

        return theNull;
    }
}

/// Attributes of trade summary. 
template
<
    class Summary,
    class Data = typename Summary::Entry
>
class TradeSummaryArgs 
: public SecurityDataArgs
<
    Summary,
    Data
> 
{
    const TradeOrderIds& orderIds_;

    TradeSummaryArgs&
    operator =(
        const TradeSummaryArgs&);

public:
    typedef 
    SecurityDataArgs
    <
        Summary,
        Data
    > 
    Base;

    /// Aliases type of message holding 
    /// trade summary repeating group entries. 
    typedef 
    typename 
    Base::Message 
    Message;

    /// Aliases trade summary data entry. 
    typedef 
    typename 
    Base::Entry 
    Entry;

    /// Aliases collection of order ids. 
    typedef 
    TradeOrderIds
    OrderIds;

    /// Initializes instance with data to be referenced. 
    TradeSummaryArgs(
        const NetPacket& packet, 
        const Message& message,
        const Entry& entry,
        const OrderIds& ids = nullOrders())
        : Base(packet, message, entry)
        , orderIds_(ids)
    {
    }

    /// Initializes the instance as ref-copy of the other one. 
    TradeSummaryArgs(
        const TradeSummaryArgs& other)
        : Base(static_cast<const Base&>(other))
        , orderIds_(other.orderIds_)
    {
    }

    /// Order details referring to given trade. 
    /// Collection may be empty if order details 
    /// gather is not enabled. 
    ///
    /// @see HandlerSettings::tradeProcessing 
    /// for more information. 
    const 
    OrderIds& 
    orderIds() const
    {
        return orderIds_;
    }
}; 

typedef 
TradeSummaryArgs
<
    IncrementalRefreshTradeSummary48
> 
TradeSummary48Args;

/// Instantiation of security data attributes for volumes. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshVolume37
> 
Volume37Args; 

/// Instantiation of security data attributes for MBO book atomic updates. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshOrderBook47
> 
MboBook47AtomicUpdateArgs; 

/// Instantiation of security data attributes for MBO book atomic updates. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshBook46,
    IncrementalRefreshBook46CombinedEntry
>
MboBookCombined46AtomicUpdateArgs;

/// Instantiation of security data attributes for MBP book atomic updates. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshBook46
> 
MbpBook46AtomicUpdateArgs; 

/// Instantiation of security data attributes for daily statistics. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshDailyStatistics49
> 
DailyStatistics49Args; 

/// Instantiation of security data attributes for session statistics. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshSessionStatistics51
> 
SessionStatistics51Args; 

/// Instantiation of security data attributes for limits and banding. 
typedef 
SecurityDataArgs
<
    IncrementalRefreshLimitsBanding50
> 
LimitsAndBanding50Args; 

/// Instantiation of security data attributes for quote request related symbols. 
typedef 
SecurityDataArgs
<
    QuoteRequest39,
    QuoteRequest39::RelatedSymEntry
> 
QuoteRequest39RelatedSymArgs; 

//

/// Instantiation of security data attributes for recovery data. 
typedef 
SecurityDataArgs
<
    SnapshotFullRefresh52
> 
Recovery52EntryArgs; 

/// Instantiation of security data attributes for MBO recovery data. 
typedef 
SecurityDataArgs
<
    SnapshotFullRefreshOrderBook53
> 
MboRecovery53EntryArgs; 

//

/// Exposes details of book maintenance failure. 
template
<
    class Book
>
class
BookUpdateErrorArgs
{
public:
    /// Initializes instance with reference 
    /// to a book and failure reason. 
    BookUpdateErrorArgs(
        const Book& book, 
        const std::string& description)
        : book_(book)
        , description_(description)
    {
    }

    /// Book which wasn't updated successfully. 
    const Book& book() const
    {
        return book_;
    }

    /// Details on book update failure.
    const std::string& description() const
    {
        return description_;
    }

private:
    const Book& book_;
    const std::string& description_;

    BookUpdateErrorArgs(
        const BookUpdateErrorArgs&);

    BookUpdateErrorArgs& 
    operator =(
        const BookUpdateErrorArgs&);
};

/// Instantiation of book update error 
/// arguments for books of MBO type. 
typedef 
BookUpdateErrorArgs<MboBook>
MboBookUpdateErrorArgs;

/// Instantiation of book update error 
/// arguments for books of direct type. 
typedef 
BookUpdateErrorArgs<DirectBook>
DirectBookUpdateErrorArgs;

/// Instantiation of book update error 
/// arguments for books of implied type. 
typedef 
BookUpdateErrorArgs<ImpliedBook>
ImpliedBookUpdateErrorArgs;

/// Callbacks invoked by Handler to expose market data entities. 
ONIXS_CMEMDH_EXPORTED_STRUCT SecurityListener
{
    /// Invoked when book reset procedure 
    /// is spawned by MDP on a channel. 
    virtual
    void
    onReset(
        Handler&)
    {
    }

    /// Invoked upon instrument definition reception. 
    virtual 
    void 
    onDefinition(
        Handler&, 
        const Security&, 
        const InstrumentDefinitionFuture54Args&)
    {
    }

    /// Invoked upon instrument definition reception. 
    virtual 
    void 
    onDefinition(
        Handler&, 
        const Security&, 
        const InstrumentDefinitionOption55Args&)
    {
    }

    /// Invoked upon instrument definition reception. 
    virtual 
    void 
    onDefinition(
        Handler&, 
        const Security&, 
        const InstrumentDefinitionSpread56Args&)
    {
    }

    /// Invoked upon instrument definition reception. 
    virtual 
    void 
    onDefinition(
        Handler&, 
        const Security&, 
        const InstrumentDefinitionFixedIncome57Args&)
    {
    }

    /// Invoked upon processing of an instrument 
    /// definition extracted from instrument cache. 
    virtual 
    void 
    onDefinition(
        Handler&, 
        const Security&, 
        const FIX::MultiContainerArgs&)
    {
    }

    /// Invoked for the instrument whose instrument 
    /// data wasn't received but other data like trades 
    /// or book updates is about to be processed. 
    virtual 
    void
    onUndefined(
        Handler&,
        Security&)
    {
    }

    /// Invoked when snapshot is received for 
    /// the security while Handler recovers market 
    /// state from snapshots. 
    virtual
    void
    onRecovery(
        Handler&,
        const Security&,
        const SnapshotFullRefresh52Args&)
    {
    }

    /// Invoked when snapshot is received for 
    /// the security while Handler recovers market 
    /// state from snapshots. 
    virtual
    void
    onRecovery(
        Handler&,
        const Security&,
        const SnapshotFullRefreshOrderBook53Args&)
    {
    }

    /// Invoked when trade is recovered from snapshot
    /// while Handler recovers market state from snapshots. 
    virtual
    void
    onTrade(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when trade summary 
    /// is received for the security. 
    virtual
    void
    onTrade(
        Handler&,
        const Security&, 
        const TradeSummary48Args&)
    {
    }

    /// Invoked when electronic volume is 
    /// recovered from snapshot for the security. 
    virtual
    void
    onElectronicVolume(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when electronic volume 
    /// is received for the security. 
    virtual
    void
    onElectronicVolume(
        Handler&,
        const Security&, 
        const Volume37Args&)
    {
    }

    /// Invoked when atomic book update for 
    // the security is recovered from snapshot. 
    virtual
    void
    onBookAtomicUpdate(
        Handler&,
        const Security&, 
        const MboRecovery53EntryArgs&)
    {
    }

    /// Invoked when atomic book update for 
    // the security is recovered from snapshot. 
    virtual
    void
    onBookAtomicUpdate(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when atomic book update 
    /// for the security is received. 
    virtual
    void
    onBookAtomicUpdate(
        Handler&,
        const Security&, 
        const MboBook47AtomicUpdateArgs&)
    {
    }

    /// Invoked when atomic book update 
    /// for the security is received. 
    virtual
    void
    onBookAtomicUpdate(
        Handler&,
        const Security&, 
        const MboBookCombined46AtomicUpdateArgs&)
    {
    }

    /// Invoked when atomic book update 
    /// for the security is received. 
    virtual
    void
    onBookAtomicUpdate(
        Handler&,
        const Security&, 
        const MbpBook46AtomicUpdateArgs&)
    {
    }

    /// Invoked when MBO book 
    /// is updated for the security. 
    /// 
    /// @note Callback is invoked if  
    /// MBO book maintenance is enabled. 
    ///
    /// @see HandlerSettings::bookManagement()
    /// for more information. 
    virtual
    void
    onBookUpdate(
        Handler&,
        const Security&,
        const MboBook&)
    {
    }

    /// Invoked when direct book 
    /// is updated for the security. 
    /// 
    /// @note Callback is invoked if direct 
    /// book maintenance is enabled. 
    ///
    /// @see HandlerSettings::bookManagement()
    /// for more information. 
    virtual
    void
    onBookUpdate(
        Handler&,
        const Security&,
        const DirectBook&)
    {
    }

    /// Invoked when implied book 
    /// is updated for the security. 
    /// 
    /// @note Callback is invoked if direct 
    /// book maintenance is enabled. 
    ///
    /// @see HandlerSettings::bookManagement()
    /// for more information. 
    virtual
    void
    onBookUpdate(
        Handler&,
        const Security&,
        const ImpliedBook&)
    {
    }

    /// Invoked when consolidated book 
    /// is updated for the security. 
    /// 
    /// @note Callback is invoked if direct 
    /// book maintenance is enabled. 
    ///
    /// @see HandlerSettings::bookManagement()
    /// for more information. 
    virtual
    void
    onBookUpdate(
        Handler&,
        const Security&,
        const ConsolidatedBook&)
    {
    }

    /// Invoked when Handler fails to update 
    /// MBO book for given security. 
    virtual
    void
    onBookUpdateError(
        Handler&,
        const Security&,
        const MboBookUpdateErrorArgs&)
    {
    }

    /// Invoked when Handler fails to update 
    /// direct book for given security. 
    virtual
    void
    onBookUpdateError(
        Handler&,
        const Security&,
        const DirectBookUpdateErrorArgs&)
    {
    }

    /// Invoked when Handler fails to update 
    /// implied book for given security. 
    virtual
    void
    onBookUpdateError(
        Handler&,
        const Security&,
        const ImpliedBookUpdateErrorArgs&)
    {
    }

    /// Invoked when settlement price for the 
    /// security is recovered from snapshot. 
    virtual
    void
    onSettlementPrice(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when settlement price 
    /// for the security is received. 
    virtual
    void
    onSettlementPrice(
        Handler&,
        const Security&, 
        const DailyStatistics49Args&)
    {
    }

    /// Invoked when cleared volume for the 
    /// security is recovered from snapshot. 
    virtual
    void
    onClearedVolume(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when cleared volume 
    /// for the security is received. 
    virtual
    void
    onClearedVolume(
        Handler&,
        const Security&, 
        const DailyStatistics49Args&)
    {
    }

    /// Invoked when open interest for the 
    /// security is recovered from snapshot. 
    virtual
    void
    onOpenInterest(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when open interest
    /// for the security is received. 
    virtual
    void
    onOpenInterest(
        Handler&,
        const Security&, 
        const DailyStatistics49Args&)
    {
    }

    /// Invoked when fixing price recovered 
    /// from snapshot for given security. 
    virtual
    void
    onFixingPrice(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when fixing price 
    /// is received for the security. 
    virtual
    void
    onFixingPrice(
        Handler&,
        const Security&, 
        const DailyStatistics49Args&)
    {
    }

    /// Invoked when opening price recovered 
    /// from snapshot for given security. 
    virtual
    void
    onOpeningPrice(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when opening price 
    /// is received for the security. 
    virtual
    void
    onOpeningPrice(
        Handler&,
        const Security&, 
        const SessionStatistics51Args&)
    {
    }

    /// Invoked when session high trade price 
    /// recovered from snapshot for given security. 
    virtual
    void
    onHighTradePrice(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when session high trade
    /// price is received for the security. 
    virtual
    void
    onHighTradePrice(
        Handler&,
        const Security&, 
        const SessionStatistics51Args&)
    {
    }

    /// Invoked when session low trade price 
    /// recovered from snapshot for given security. 
    virtual
    void
    onLowTradePrice(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when session low trade
    /// price is received for the security. 
    virtual
    void
    onLowTradePrice(
        Handler&,
        const Security&, 
        const SessionStatistics51Args&)
    {
    }

    /// Invoked when session highest bid price 
    /// recovered from snapshot for given security. 
    virtual
    void
    onHighestBid(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when session highest bid 
    /// price is received for the security. 
    virtual
    void
    onHighestBid(
        Handler&,
        const Security&, 
        const SessionStatistics51Args&)
    {
    }

    /// Invoked when session lowest offer price 
    /// recovered from snapshot for given security. 
    virtual
    void
    onLowestOffer(
        Handler&,
        const Security&, 
        const Recovery52EntryArgs&)
    {
    }

    /// Invoked when session lowest offer
    /// price is received for the security. 
    virtual
    void
    onLowestOffer(
        Handler&,
        const Security&, 
        const SessionStatistics51Args&)
    {
    }

    /// Invoked when threshold limits and price 
    /// band variation is received for the security. 
    virtual
    void
    onLimitsAndBanding(
        Handler&,
        const Security&, 
        const LimitsAndBanding50Args&)
    {
    }

    /// Invoked when request for quote 
    /// data is received for the security. 
    virtual
    void
    onQuoteRequest(
        Handler&,
        const Security&, 
        const QuoteRequest39RelatedSymArgs&)
    {
    }

    /// Invoked when security status 
    /// is recovered from snapshot. 
    virtual
    void
    onStatus(
        Handler&, 
        const Security&, 
        const SnapshotFullRefresh52Args&)
    {
    }

    /// Invoked when security status 
    /// is received for given security. 
    virtual
    void
    onStatus(
        Handler&, 
        const Security&, 
        const SecurityStatus30Args&)
    {
    }

    /// Invoked when security status 
    /// is received for group of securities. 
    virtual
    void
    onGroupStatus(
        Handler&, 
        const SecurityStatus30Args&)
    {
    }

    /// Invoked when gap on is detected in market 
    /// data referring to the given security. 
    virtual
    void
    onGap(
        Handler&,
        const Security&,
        UInt32)
    {
    }
};

ONIXS_CMEMDH_NAMESPACE_END