SecurityListener.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/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
{
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.
    explicit 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_;
    }

private:
    Data entry_;
    Container message_;
    const NetPacket& packet_;

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

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

    return theNull;
}
} // namespace

/// Attributes of trade summary.
template <class Summary, class Data = typename Summary::Entry>
class TradeSummaryArgs : public SecurityDataArgs<Summary, Data>
{
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_;
    }

private:
    const TradeOrderIds& orderIds_;

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

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.
struct ONIXS_CMEMDH_EXPORTED 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) {}

    /// Invoked when the `Security` object is created. The returned value is attached to `Security::userData`.
    virtual Security::UserData onSecurityCreated(Handler&, const Security&)
    {
        return Security::UserData(0);
    }
};

template <class Book>
std::ostream& operator<<(std::ostream& stream, const BookUpdateErrorArgs<Book>& args)
{
    return stream << args.description();
}

ONIXS_CMEMDH_NAMESPACE_END