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);

template <class Container, class Data = typename Container::Entry>
class SecurityDataArgs
{
public:
    typedef Container Message;

    typedef Data Entry;

    SecurityDataArgs(const NetPacket& packet, const Message& message, const Entry& entry)
        : entry_(entry)
        , message_(message)
        , packet_(packet)
    {
    }

    explicit SecurityDataArgs(const SecurityDataArgs& other)
        : entry_(other.entry_)
        , message_(other.message_)
        , packet_(other.packet_)
    {
    }

    const NetPacket& packet() const
    {
        return packet_;
    }

    const Message& message() const
    {
        return message_;
    }

    const Entry& entry() const
    {
        return entry_;
    }
 
private:
    Data entry_;
    Container message_;
    const NetPacket& packet_;

    SecurityDataArgs& operator=(const SecurityDataArgs&);
};
 
namespace {
inline const TradeOrderIds& nullOrders()
{
    static const TradeOrderIds theNull;
 
    return theNull;
}
} // namespace

template <class Summary, class Data = typename Summary::Entry>
class TradeSummaryArgs : public SecurityDataArgs<Summary, Data>
{
public:
    typedef SecurityDataArgs<Summary, Data> Base;

    typedef typename Base::Message Message;

    typedef typename Base::Entry Entry;

    typedef TradeOrderIds OrderIds;

    TradeSummaryArgs(
        const NetPacket& packet,
        const Message& message,
        const Entry& entry,
        const OrderIds& ids = nullOrders()
    )
        : Base(packet, message, entry)
        , orderIds_(ids)
    {
    }

    TradeSummaryArgs(const TradeSummaryArgs& other)
        : Base(static_cast<const Base&>(other))
        , orderIds_(other.orderIds_)
    {
    }

    const OrderIds& orderIds() const
    {
        return orderIds_;
    }
 
private:
    const TradeOrderIds& orderIds_;
 
    TradeSummaryArgs& operator=(const TradeSummaryArgs&);
};
 
typedef TradeSummaryArgs<IncrementalRefreshTradeSummary48> TradeSummary48Args;
 
typedef TradeSummaryArgs<IncrementalRefreshTradeSummaryLongQty65> TradeSummary65Args;

typedef SecurityDataArgs<IncrementalRefreshVolume37> Volume37Args;

typedef SecurityDataArgs<IncrementalRefreshVolumeLongQty66> Volume66Args;

typedef SecurityDataArgs<IncrementalRefreshOrderBook47> MboBook47AtomicUpdateArgs;

typedef SecurityDataArgs<IncrementalRefreshBook46, IncrementalRefreshBook46CombinedEntry>
    MboBookCombined46AtomicUpdateArgs;

typedef SecurityDataArgs<IncrementalRefreshBookLongQty64, IncrementalRefreshBook64CombinedEntry>
    MboBookCombined64AtomicUpdateArgs;

typedef SecurityDataArgs<IncrementalRefreshBook46> MbpBook46AtomicUpdateArgs;

typedef SecurityDataArgs<IncrementalRefreshBookLongQty64> MbpBook64AtomicUpdateArgs;

typedef SecurityDataArgs<IncrementalRefreshDailyStatistics49> DailyStatistics49Args;

typedef SecurityDataArgs<IncrementalRefreshSessionStatistics51> SessionStatistics51Args;

typedef SecurityDataArgs<IncrementalRefreshSessionStatisticsLongQty67> SessionStatistics67Args;

typedef SecurityDataArgs<IncrementalRefreshLimitsBanding50> LimitsAndBanding50Args;

typedef SecurityDataArgs<QuoteRequest39, QuoteRequest39::RelatedSymEntry> QuoteRequest39RelatedSymArgs;

typedef SecurityDataArgs<SnapshotFullRefresh52> Recovery52EntryArgs;

typedef SecurityDataArgs<SnapshotFullRefreshLongQty69> Recovery69EntryArgs;

typedef SecurityDataArgs<SnapshotFullRefreshOrderBook53> MboRecovery53EntryArgs;

template <class Book>
class BookUpdateErrorArgs
{
public:
    BookUpdateErrorArgs(const Book& book, const std::string& description)
        : book_(book)
        , description_(description)
    {
    }

    const Book& book() const
    {
        return book_;
    }

    const std::string& description() const
    {
        return description_;
    }
 
private:
    const Book& book_;
    const std::string& description_;
 
    BookUpdateErrorArgs(const BookUpdateErrorArgs&);
 
    BookUpdateErrorArgs& operator=(const BookUpdateErrorArgs&);
};

typedef BookUpdateErrorArgs<MboBook> MboBookUpdateErrorArgs;

typedef BookUpdateErrorArgs<DirectBook> DirectBookUpdateErrorArgs;

typedef BookUpdateErrorArgs<ImpliedBook> ImpliedBookUpdateErrorArgs;

struct ONIXS_CMEMDH_EXPORTED SecurityListener
{
    virtual void onReset(Handler&) {}

    virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionFuture54Args&) {}

    virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionOption55Args&) {}

    virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionSpread56Args&) {}

    virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionFixedIncome57Args&) {}

    virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionFX63Args&) {}

    virtual void onDefinition(Handler&, const Security&, const FIX::MultiContainerArgs&) {}

    virtual void onUndefined(Handler&, Security&) {}

    virtual void onRecovery(Handler&, const Security&, const SnapshotFullRefresh52Args&) {}

    virtual void onRecovery(Handler&, const Security&, const SnapshotFullRefresh69Args&) {}

    virtual void onRecovery(Handler&, const Security&, const SnapshotFullRefreshOrderBook53Args&) {}

    virtual void onTrade(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onTrade(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onTrade(Handler&, const Security&, const TradeSummary48Args&) {}

    virtual void onTrade(Handler&, const Security&, const TradeSummary65Args&) {}

    virtual void onElectronicVolume(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onElectronicVolume(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onElectronicVolume(Handler&, const Security&, const Volume37Args&) {}

    virtual void onElectronicVolume(Handler&, const Security&, const Volume66Args&) {}

    // the security is recovered from snapshot.
    virtual void onBookAtomicUpdate(Handler&, const Security&, const MboRecovery53EntryArgs&) {}

    // the security is recovered from snapshot.
    virtual void onBookAtomicUpdate(Handler&, const Security&, const Recovery52EntryArgs&) {}

    // the security is recovered from snapshot.
    virtual void onBookAtomicUpdate(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onBookAtomicUpdate(Handler&, const Security&, const MboBook47AtomicUpdateArgs&) {}

    virtual void onBookAtomicUpdate(Handler&, const Security&, const MboBookCombined46AtomicUpdateArgs&) {}

    virtual void onBookAtomicUpdate(Handler&, const Security&, const MboBookCombined64AtomicUpdateArgs&) {}

    virtual void onBookAtomicUpdate(Handler&, const Security&, const MbpBook46AtomicUpdateArgs&) {}

    virtual void onBookAtomicUpdate(Handler&, const Security&, const MbpBook64AtomicUpdateArgs&) {}

    virtual void onBookUpdate(Handler&, const Security&, const MboBook&) {}

    virtual void onBookUpdate(Handler&, const Security&, const DirectBook&) {}

    virtual void onBookUpdate(Handler&, const Security&, const ImpliedBook&) {}

    virtual void onBookUpdate(Handler&, const Security&, const ConsolidatedBook&) {}

    virtual void onBookUpdateError(Handler&, const Security&, const MboBookUpdateErrorArgs&) {}

    virtual void onBookUpdateError(Handler&, const Security&, const DirectBookUpdateErrorArgs&) {}

    virtual void onBookUpdateError(Handler&, const Security&, const ImpliedBookUpdateErrorArgs&) {}

    virtual void onSettlementPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onSettlementPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onSettlementPrice(Handler&, const Security&, const DailyStatistics49Args&) {}

    virtual void onClearedVolume(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onClearedVolume(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onClearedVolume(Handler&, const Security&, const DailyStatistics49Args&) {}

    virtual void onOpenInterest(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onOpenInterest(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onOpenInterest(Handler&, const Security&, const DailyStatistics49Args&) {}

    virtual void onFixingPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onFixingPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onFixingPrice(Handler&, const Security&, const DailyStatistics49Args&) {}

    virtual void onOpeningPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onOpeningPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onOpeningPrice(Handler&, const Security&, const SessionStatistics51Args&) {}

    virtual void onOpeningPrice(Handler&, const Security&, const SessionStatistics67Args&) {}

    virtual void onHighTradePrice(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onHighTradePrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
 

    virtual void onHighTradePrice(Handler&, const Security&, const SessionStatistics51Args&) {}

    virtual void onHighTradePrice(Handler&, const Security&, const SessionStatistics67Args&) {}

    virtual void onLowTradePrice(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onLowTradePrice(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onLowTradePrice(Handler&, const Security&, const SessionStatistics51Args&) {}

    virtual void onLowTradePrice(Handler&, const Security&, const SessionStatistics67Args&) {}

    virtual void onHighestBid(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onHighestBid(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onHighestBid(Handler&, const Security&, const SessionStatistics51Args&) {}

    virtual void onHighestBid(Handler&, const Security&, const SessionStatistics67Args&) {}

    virtual void onLowestOffer(Handler&, const Security&, const Recovery52EntryArgs&) {}

    virtual void onLowestOffer(Handler&, const Security&, const Recovery69EntryArgs&) {}

    virtual void onLowestOffer(Handler&, const Security&, const SessionStatistics51Args&) {}

    virtual void onLowestOffer(Handler&, const Security&, const SessionStatistics67Args&) {}

    virtual void onLimitsAndBanding(Handler&, const Security&, const LimitsAndBanding50Args&) {}

    virtual void onQuoteRequest(Handler&, const Security&, const QuoteRequest39RelatedSymArgs&) {}

    virtual void onStatus(Handler&, const Security&, const SnapshotFullRefresh52Args&) {}

    virtual void onStatus(Handler&, const Security&, const SnapshotFullRefresh69Args&) {}

    virtual void onStatus(Handler&, const Security&, const SecurityStatus30Args&) {}

    virtual void onGroupStatus(Handler&, const SecurityStatus30Args&) {}

    virtual void onGap(Handler&, const Security&, UInt32) {}

    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