OnixS C++ CME MDP Premium Market Data Handler  5.9.0
API Documentation
SecurityListener.h
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20 
21 #pragma once
22 
23 #include <OnixS/CME/MDH/MboBook.h>
27 
29 
32 
34 
37 
38 /// Collection of attributes associated with
39 /// security-related data in security listener
40 /// callbacks.
41 template <class Container, class Data = typename Container::Entry>
43 {
44 public:
45  /// Type of message whose instance
46  /// is referenced by given arguments.
47  typedef Container Message;
48 
49  /// Type of repeating group entry whose
50  /// instance referenced by given arguments.
51  typedef Data Entry;
52 
53  /// Initializes instance with
54  /// given market data entry.
55  SecurityDataArgs(const NetPacket& packet, const Message& message, const Entry& entry)
56  : entry_(entry)
57  , message_(message)
58  , packet_(packet)
59  {
60  }
61 
62  /// Initializes instance as copy of other one.
63  explicit SecurityDataArgs(const SecurityDataArgs& other)
64  : entry_(other.entry_)
65  , message_(other.message_)
66  , packet_(other.packet_)
67  {
68  }
69 
70  /// Instance of the packet containing the message
71  /// which in its turn contains the market data entry.
72  const NetPacket& packet() const
73  {
74  return packet_;
75  }
76 
77  /// Instance of message containing market data entry.
78  const Message& message() const
79  {
80  return message_;
81  }
82 
83  /// Instance of market data being referenced.
84  const Entry& entry() const
85  {
86  return entry_;
87  }
88 
89 private:
90  Data entry_;
91  Container message_;
92  const NetPacket& packet_;
93 
94  /// Reinitializes instance as copy of other one.
95  SecurityDataArgs& operator=(const SecurityDataArgs&);
96 };
97 
98 namespace {
99 /// Empty order list.
100 inline const TradeOrderIds& nullOrders()
101 {
102  static const TradeOrderIds theNull;
103 
104  return theNull;
105 }
106 } // namespace
107 
108 /// Attributes of trade summary.
109 template <class Summary, class Data = typename Summary::Entry>
110 class TradeSummaryArgs : public SecurityDataArgs<Summary, Data>
111 {
112 public:
114 
115  /// Aliases type of message holding
116  /// trade summary repeating group entries.
117  typedef typename Base::Message Message;
118 
119  /// Aliases trade summary data entry.
120  typedef typename Base::Entry Entry;
121 
122  /// Aliases collection of order ids.
124 
125  /// Initializes instance with data to be referenced.
127  const NetPacket& packet,
128  const Message& message,
129  const Entry& entry,
130  const OrderIds& ids = nullOrders()
131  )
132  : Base(packet, message, entry)
133  , orderIds_(ids)
134  {
135  }
136 
137  /// Initializes the instance as ref-copy of the other one.
139  : Base(static_cast<const Base&>(other))
140  , orderIds_(other.orderIds_)
141  {
142  }
143 
144  /// Order details referring to given trade.
145  /// Collection may be empty if order details
146  /// gather is not enabled.
147  ///
148  /// @see HandlerSettings::tradeProcessing
149  /// for more information.
150  const OrderIds& orderIds() const
151  {
152  return orderIds_;
153  }
154 
155 private:
156  const TradeOrderIds& orderIds_;
157 
158  TradeSummaryArgs& operator=(const TradeSummaryArgs&);
159 };
160 
162 
164 
165 /// Instantiation of security data attributes for volumes.
167 
168 /// Instantiation of security data attributes for volumes.
170 
171 /// Instantiation of security data attributes for MBO book atomic updates.
173 
174 /// Instantiation of security data attributes for MBO book atomic updates.
177 
178 /// Instantiation of security data attributes for MBO book atomic updates.
181 
182 /// Instantiation of security data attributes for MBP book atomic updates.
184 
185 /// Instantiation of security data attributes for MBP book atomic updates.
187 
188 /// Instantiation of security data attributes for daily statistics.
190 
191 /// Instantiation of security data attributes for session statistics.
193 
194 /// Instantiation of security data attributes for session statistics.
196 
197 /// Instantiation of security data attributes for limits and banding.
199 
200 /// Instantiation of security data attributes for quote request related symbols.
202 
203 //
204 
205 /// Instantiation of security data attributes for recovery data.
207 
208 /// Instantiation of security data attributes for recovery data.
210 
211 /// Instantiation of security data attributes for MBO recovery data.
213 
214 //
215 
216 /// Exposes details of book maintenance failure.
217 template <class Book>
219 {
220 public:
221  /// Initializes instance with reference
222  /// to a book and failure reason.
223  BookUpdateErrorArgs(const Book& book, const std::string& description)
224  : book_(book)
225  , description_(description)
226  {
227  }
228 
229  /// Book which wasn't updated successfully.
230  const Book& book() const
231  {
232  return book_;
233  }
234 
235  /// Details on book update failure.
236  const std::string& description() const
237  {
238  return description_;
239  }
240 
241 private:
242  const Book& book_;
243  const std::string& description_;
244 
246 
247  BookUpdateErrorArgs& operator=(const BookUpdateErrorArgs&);
248 };
249 
250 /// Instantiation of book update error
251 /// arguments for books of MBO type.
253 
254 /// Instantiation of book update error
255 /// arguments for books of direct type.
257 
258 /// Instantiation of book update error
259 /// arguments for books of implied type.
261 
262 /// Callbacks invoked by Handler to expose market data entities.
264 {
265  /// Invoked when book reset procedure
266  /// is spawned by MDP on a channel.
267  virtual void onReset(Handler&) {}
268 
269  /// Invoked upon instrument definition reception.
271 
272  /// Invoked upon instrument definition reception.
274 
275  /// Invoked upon instrument definition reception.
277 
278  /// Invoked upon instrument definition reception.
280 
281  /// Invoked upon instrument definition reception.
282  virtual void onDefinition(Handler&, const Security&, const InstrumentDefinitionFX63Args&) {}
283 
284  /// Invoked upon processing of an instrument
285  /// definition extracted from instrument cache.
286  virtual void onDefinition(Handler&, const Security&, const FIX::MultiContainerArgs&) {}
287 
288  /// Invoked for the instrument whose instrument
289  /// data wasn't received but other data like trades
290  /// or book updates is about to be processed.
291  virtual void onUndefined(Handler&, Security&) {}
292 
293  /// Invoked when snapshot is received for
294  /// the security while Handler recovers market
295  /// state from snapshots.
296  virtual void onRecovery(Handler&, const Security&, const SnapshotFullRefresh52Args&) {}
297 
298  /// Invoked when snapshot is received for
299  /// the security while Handler recovers market
300  /// state from snapshots.
301  virtual void onRecovery(Handler&, const Security&, const SnapshotFullRefresh69Args&) {}
302 
303  /// Invoked when snapshot is received for
304  /// the security while Handler recovers market
305  /// state from snapshots.
307 
308  /// Invoked when trade is recovered from snapshot
309  /// while Handler recovers market state from snapshots.
310  virtual void onTrade(Handler&, const Security&, const Recovery52EntryArgs&) {}
311 
312  /// Invoked when trade is recovered from snapshot
313  /// while Handler recovers market state from snapshots.
314  virtual void onTrade(Handler&, const Security&, const Recovery69EntryArgs&) {}
315 
316  /// Invoked when trade summary
317  /// is received for the security.
318  virtual void onTrade(Handler&, const Security&, const TradeSummary48Args&) {}
319 
320  /// Invoked when trade summary
321  /// is received for the security.
322  virtual void onTrade(Handler&, const Security&, const TradeSummary65Args&) {}
323 
324  /// Invoked when electronic volume is
325  /// recovered from snapshot for the security.
326  virtual void onElectronicVolume(Handler&, const Security&, const Recovery52EntryArgs&) {}
327 
328  /// Invoked when electronic volume is
329  /// recovered from snapshot for the security.
330  virtual void onElectronicVolume(Handler&, const Security&, const Recovery69EntryArgs&) {}
331 
332  /// Invoked when electronic volume
333  /// is received for the security.
334  virtual void onElectronicVolume(Handler&, const Security&, const Volume37Args&) {}
335 
336  /// Invoked when electronic volume
337  /// is received for the security.
338  virtual void onElectronicVolume(Handler&, const Security&, const Volume66Args&) {}
339 
340  /// Invoked when atomic book update for
341  // the security is recovered from snapshot.
342  virtual void onBookAtomicUpdate(Handler&, const Security&, const MboRecovery53EntryArgs&) {}
343 
344  /// Invoked when atomic book update for
345  // the security is recovered from snapshot.
346  virtual void onBookAtomicUpdate(Handler&, const Security&, const Recovery52EntryArgs&) {}
347 
348  /// Invoked when atomic book update for
349  // the security is recovered from snapshot.
350  virtual void onBookAtomicUpdate(Handler&, const Security&, const Recovery69EntryArgs&) {}
351 
352  /// Invoked when atomic book update
353  /// for the security is received.
354  virtual void onBookAtomicUpdate(Handler&, const Security&, const MboBook47AtomicUpdateArgs&) {}
355 
356  /// Invoked when atomic book update
357  /// for the security is received.
359 
360  /// Invoked when atomic book update
361  /// for the security is received.
363 
364  /// Invoked when atomic book update
365  /// for the security is received.
366  virtual void onBookAtomicUpdate(Handler&, const Security&, const MbpBook46AtomicUpdateArgs&) {}
367 
368  /// Invoked when atomic book update
369  /// for the security is received.
370  virtual void onBookAtomicUpdate(Handler&, const Security&, const MbpBook64AtomicUpdateArgs&) {}
371 
372  /// Invoked when MBO book
373  /// is updated for the security.
374  ///
375  /// @note Callback is invoked if
376  /// MBO book maintenance is enabled.
377  ///
378  /// @see HandlerSettings::bookManagement()
379  /// for more information.
380  virtual void onBookUpdate(Handler&, const Security&, const MboBook&) {}
381 
382  /// Invoked when direct book
383  /// is updated for the security.
384  ///
385  /// @note Callback is invoked if direct
386  /// book maintenance is enabled.
387  ///
388  /// @see HandlerSettings::bookManagement()
389  /// for more information.
390  virtual void onBookUpdate(Handler&, const Security&, const DirectBook&) {}
391 
392  /// Invoked when implied book
393  /// is updated for the security.
394  ///
395  /// @note Callback is invoked if direct
396  /// book maintenance is enabled.
397  ///
398  /// @see HandlerSettings::bookManagement()
399  /// for more information.
400  virtual void onBookUpdate(Handler&, const Security&, const ImpliedBook&) {}
401 
402  /// Invoked when consolidated book
403  /// is updated for the security.
404  ///
405  /// @note Callback is invoked if direct
406  /// book maintenance is enabled.
407  ///
408  /// @see HandlerSettings::bookManagement()
409  /// for more information.
410  virtual void onBookUpdate(Handler&, const Security&, const ConsolidatedBook&) {}
411 
412  /// Invoked when Handler fails to update
413  /// MBO book for given security.
414  virtual void onBookUpdateError(Handler&, const Security&, const MboBookUpdateErrorArgs&) {}
415 
416  /// Invoked when Handler fails to update
417  /// direct book for given security.
418  virtual void onBookUpdateError(Handler&, const Security&, const DirectBookUpdateErrorArgs&) {}
419 
420  /// Invoked when Handler fails to update
421  /// implied book for given security.
422  virtual void onBookUpdateError(Handler&, const Security&, const ImpliedBookUpdateErrorArgs&) {}
423 
424  /// Invoked when settlement price for the
425  /// security is recovered from snapshot.
426  virtual void onSettlementPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}
427 
428  /// Invoked when settlement price for the
429  /// security is recovered from snapshot.
430  virtual void onSettlementPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
431 
432  /// Invoked when settlement price
433  /// for the security is received.
434  virtual void onSettlementPrice(Handler&, const Security&, const DailyStatistics49Args&) {}
435 
436  /// Invoked when cleared volume for the
437  /// security is recovered from snapshot.
438  virtual void onClearedVolume(Handler&, const Security&, const Recovery52EntryArgs&) {}
439 
440  /// Invoked when cleared volume for the
441  /// security is recovered from snapshot.
442  virtual void onClearedVolume(Handler&, const Security&, const Recovery69EntryArgs&) {}
443 
444  /// Invoked when cleared volume
445  /// for the security is received.
446  virtual void onClearedVolume(Handler&, const Security&, const DailyStatistics49Args&) {}
447 
448  /// Invoked when open interest for the
449  /// security is recovered from snapshot.
450  virtual void onOpenInterest(Handler&, const Security&, const Recovery52EntryArgs&) {}
451 
452  /// Invoked when open interest for the
453  /// security is recovered from snapshot.
454  virtual void onOpenInterest(Handler&, const Security&, const Recovery69EntryArgs&) {}
455 
456  /// Invoked when open interest
457  /// for the security is received.
458  virtual void onOpenInterest(Handler&, const Security&, const DailyStatistics49Args&) {}
459 
460  /// Invoked when fixing price recovered
461  /// from snapshot for given security.
462  virtual void onFixingPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}
463 
464  /// Invoked when fixing price recovered
465  /// from snapshot for given security.
466  virtual void onFixingPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
467 
468  /// Invoked when fixing price
469  /// is received for the security.
470  virtual void onFixingPrice(Handler&, const Security&, const DailyStatistics49Args&) {}
471 
472  /// Invoked when opening price recovered
473  /// from snapshot for given security.
474  virtual void onOpeningPrice(Handler&, const Security&, const Recovery52EntryArgs&) {}
475 
476  /// Invoked when opening price recovered
477  /// from snapshot for given security.
478  virtual void onOpeningPrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
479 
480  /// Invoked when opening price
481  /// is received for the security.
482  virtual void onOpeningPrice(Handler&, const Security&, const SessionStatistics51Args&) {}
483 
484  /// Invoked when opening price
485  /// is received for the security.
486  virtual void onOpeningPrice(Handler&, const Security&, const SessionStatistics67Args&) {}
487 
488  /// Invoked when session high trade price
489  /// recovered from snapshot for given security.
490  virtual void onHighTradePrice(Handler&, const Security&, const Recovery52EntryArgs&) {}
491 
492  /// Invoked when session high trade price
493  /// recovered from snapshot for given security.
494  virtual void onHighTradePrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
495 
496 
497  /// Invoked when session high trade
498  /// price is received for the security.
499  virtual void onHighTradePrice(Handler&, const Security&, const SessionStatistics51Args&) {}
500 
501  /// Invoked when session high trade
502  /// price is received for the security.
503  virtual void onHighTradePrice(Handler&, const Security&, const SessionStatistics67Args&) {}
504 
505  /// Invoked when session low trade price
506  /// recovered from snapshot for given security.
507  virtual void onLowTradePrice(Handler&, const Security&, const Recovery52EntryArgs&) {}
508 
509  /// Invoked when session low trade price
510  /// recovered from snapshot for given security.
511  virtual void onLowTradePrice(Handler&, const Security&, const Recovery69EntryArgs&) {}
512 
513  /// Invoked when session low trade
514  /// price is received for the security.
515  virtual void onLowTradePrice(Handler&, const Security&, const SessionStatistics51Args&) {}
516 
517  /// Invoked when session low trade
518  /// price is received for the security.
519  virtual void onLowTradePrice(Handler&, const Security&, const SessionStatistics67Args&) {}
520 
521  /// Invoked when session highest bid price
522  /// recovered from snapshot for given security.
523  virtual void onHighestBid(Handler&, const Security&, const Recovery52EntryArgs&) {}
524 
525  /// Invoked when session highest bid price
526  /// recovered from snapshot for given security.
527  virtual void onHighestBid(Handler&, const Security&, const Recovery69EntryArgs&) {}
528 
529  /// Invoked when session highest bid
530  /// price is received for the security.
531  virtual void onHighestBid(Handler&, const Security&, const SessionStatistics51Args&) {}
532 
533  /// Invoked when session highest bid
534  /// price is received for the security.
535  virtual void onHighestBid(Handler&, const Security&, const SessionStatistics67Args&) {}
536 
537  /// Invoked when session lowest offer price
538  /// recovered from snapshot for given security.
539  virtual void onLowestOffer(Handler&, const Security&, const Recovery52EntryArgs&) {}
540 
541  /// Invoked when session lowest offer price
542  /// recovered from snapshot for given security.
543  virtual void onLowestOffer(Handler&, const Security&, const Recovery69EntryArgs&) {}
544 
545  /// Invoked when session lowest offer
546  /// price is received for the security.
547  virtual void onLowestOffer(Handler&, const Security&, const SessionStatistics51Args&) {}
548 
549  /// Invoked when session lowest offer
550  /// price is received for the security.
551  virtual void onLowestOffer(Handler&, const Security&, const SessionStatistics67Args&) {}
552 
553  /// Invoked when threshold limits and price
554  /// band variation is received for the security.
555  virtual void onLimitsAndBanding(Handler&, const Security&, const LimitsAndBanding50Args&) {}
556 
557  /// Invoked when request for quote
558  /// data is received for the security.
559  virtual void onQuoteRequest(Handler&, const Security&, const QuoteRequest39RelatedSymArgs&) {}
560 
561  /// Invoked when security status
562  /// is recovered from snapshot.
563  virtual void onStatus(Handler&, const Security&, const SnapshotFullRefresh52Args&) {}
564 
565  /// Invoked when security status
566  /// is recovered from snapshot.
567  virtual void onStatus(Handler&, const Security&, const SnapshotFullRefresh69Args&) {}
568 
569  /// Invoked when security status
570  /// is received for given security.
571  virtual void onStatus(Handler&, const Security&, const SecurityStatus30Args&) {}
572 
573  /// Invoked when security status
574  /// is received for group of securities.
575  virtual void onGroupStatus(Handler&, const SecurityStatus30Args&) {}
576 
577  /// Invoked when gap on is detected in market
578  /// data referring to the given security.
579  virtual void onGap(Handler&, const Security&, UInt32) {}
580 
581  /// Invoked when the `Security` object is created. The returned value is attached to `Security::userData`.
583  {
584  return Security::UserData(0);
585  }
586 };
587 
588 template <class Book>
589 std::ostream& operator<<(std::ostream& stream, const BookUpdateErrorArgs<Book>& args)
590 {
591  return stream << args.description();
592 }
593 
Collection of attributes associated with security-related data in security listener callbacks...
virtual void onLowTradePrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session low trade price is received for the security.
SecurityDataArgs< QuoteRequest39, QuoteRequest39::RelatedSymEntry > QuoteRequest39RelatedSymArgs
Instantiation of security data attributes for quote request related symbols.
virtual void onLowTradePrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session low trade price recovered from snapshot for given security.
virtual void onOpeningPrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when opening price is received for the security.
Exposes the FIX message being processed by the Handler and the packet containing it.
TradeSummaryArgs(const TradeSummaryArgs &other)
Initializes the instance as ref-copy of the other one.
virtual void onHighestBid(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session highest bid price is received for the security.
virtual void onHighTradePrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session high trade price recovered from snapshot for given security. ...
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboRecovery53EntryArgs &)
Invoked when atomic book update for.
virtual void onOpeningPrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when opening price is received for the security.
Base attributes of order book.
Definition: MbpBook.h:59
virtual void onElectronicVolume(Handler &, const Security &, const Volume66Args &)
Invoked when electronic volume is received for the security.
virtual void onStatus(Handler &, const Security &, const SnapshotFullRefresh52Args &)
Invoked when security status is recovered from snapshot.
virtual void onOpenInterest(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when open interest for the security is recovered from snapshot.
SecurityDataArgs< IncrementalRefreshBook46, IncrementalRefreshBook46CombinedEntry > MboBookCombined46AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
virtual void onOpeningPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when opening price recovered from snapshot for given security.
virtual void onOpenInterest(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when open interest for the security is recovered from snapshot.
virtual void onLowTradePrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session low trade price recovered from snapshot for given security.
SecurityDataArgs< IncrementalRefreshDailyStatistics49 > DailyStatistics49Args
Instantiation of security data attributes for daily statistics.
UInt32 UInt32
uInt32.
Definition: Fields.h:202
Encapsulates all the machinery related with market data processing from CME Market Data Platform...
Definition: Handler.h:55
virtual void onOpenInterest(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when open interest for the security is received.
const NetPacket & packet() const
Instance of the packet containing the message which in its turn contains the market data entry...
BookUpdateErrorArgs< MboBook > MboBookUpdateErrorArgs
Instantiation of book update error arguments for books of MBO type.
virtual void onUndefined(Handler &, Security &)
Invoked for the instrument whose instrument data wasn&#39;t received but other data like trades or book u...
Attributes of trade summary.
Base::Entry Entry
Aliases trade summary data entry.
SecurityDataArgs< SnapshotFullRefreshOrderBook53 > MboRecovery53EntryArgs
Instantiation of security data attributes for MBO recovery data.
TradeSummaryArgs< IncrementalRefreshTradeSummary48 > TradeSummary48Args
virtual void onElectronicVolume(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when electronic volume is recovered from snapshot for the security.
virtual void onTrade(Handler &, const Security &, const TradeSummary65Args &)
Invoked when trade summary is received for the security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionFuture54Args &)
Invoked upon instrument definition reception.
virtual void onBookUpdate(Handler &, const Security &, const ImpliedBook &)
Invoked when implied book is updated for the security.
const Message & message() const
Instance of message containing market data entry.
virtual void onElectronicVolume(Handler &, const Security &, const Volume37Args &)
Invoked when electronic volume is received for the security.
SecurityDataArgs(const SecurityDataArgs &other)
Initializes instance as copy of other one.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBookCombined46AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onHighestBid(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session highest bid price recovered from snapshot for given security.
virtual void onBookUpdate(Handler &, const Security &, const ConsolidatedBook &)
Invoked when consolidated book is updated for the security.
#define ONIXS_CMEMDH_EXPORTED_CLASS_DECL(typeName)
Definition: Bootstrap.h:35
Data Entry
Type of repeating group entry whose instance referenced by given arguments.
Exposes details of book maintenance failure.
virtual void onBookUpdate(Handler &, const Security &, const MboBook &)
Invoked when MBO book is updated for the security.
Container Message
Type of message whose instance is referenced by given arguments.
virtual void onBookAtomicUpdate(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when atomic book update for.
virtual void onClearedVolume(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when cleared volume for the security is recovered from snapshot.
SecurityDataArgs< IncrementalRefreshSessionStatisticsLongQty67 > SessionStatistics67Args
Instantiation of security data attributes for session statistics.
const Entry & entry() const
Instance of market data being referenced.
virtual void onReset(Handler &)
Invoked when book reset procedure is spawned by MDP on a channel.
virtual void onHighestBid(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session highest bid price is received for the security.
Collection of order details referring to a single trade.
Definition: TradeOrderIds.h:75
virtual void onTrade(Handler &, const Security &, const TradeSummary48Args &)
Invoked when trade summary is received for the security.
const Book & book() const
Book which wasn&#39;t updated successfully.
Callbacks invoked by Handler to expose market data entities.
SecurityDataArgs< Summary, Data > Base
SecurityDataArgs< IncrementalRefreshSessionStatistics51 > SessionStatistics51Args
Instantiation of security data attributes for session statistics.
virtual void onQuoteRequest(Handler &, const Security &, const QuoteRequest39RelatedSymArgs &)
Invoked when request for quote data is received for the security.
virtual void onClearedVolume(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when cleared volume for the security is received.
virtual void onSettlementPrice(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when settlement price for the security is received.
virtual void onStatus(Handler &, const Security &, const SnapshotFullRefresh69Args &)
Invoked when security status is recovered from snapshot.
SecurityDataArgs(const NetPacket &packet, const Message &message, const Entry &entry)
Initializes instance with given market data entry.
Collection of market data supplied via message processing callbacks.
virtual void onGroupStatus(Handler &, const SecurityStatus30Args &)
Invoked when security status is received for group of securities.
SecurityDataArgs< IncrementalRefreshVolumeLongQty66 > Volume66Args
Instantiation of security data attributes for volumes.
TradeSummaryArgs(const NetPacket &packet, const Message &message, const Entry &entry, const OrderIds &ids=nullOrders())
Initializes instance with data to be referenced.
#define ONIXS_CMEMDH_NAMESPACE_BEGIN
Definition: Bootstrap.h:67
virtual void onFixingPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when fixing price recovered from snapshot for given security.
SecurityDataArgs< IncrementalRefreshLimitsBanding50 > LimitsAndBanding50Args
Instantiation of security data attributes for limits and banding.
virtual void onSettlementPrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when settlement price for the security is recovered from snapshot.
TradeOrderIds OrderIds
Aliases collection of order ids.
const std::string & description() const
Details on book update failure.
virtual void onTrade(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when trade is recovered from snapshot while Handler recovers market state from snapshots...
Attributes associated with security.
Definition: Security.h:29
virtual void onHighTradePrice(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session high trade price recovered from snapshot for given security. ...
SecurityDataArgs< IncrementalRefreshBook46 > MbpBook46AtomicUpdateArgs
Instantiation of security data attributes for MBP book atomic updates.
SecurityDataArgs< IncrementalRefreshBookLongQty64 > MbpBook64AtomicUpdateArgs
Instantiation of security data attributes for MBP book atomic updates.
BookUpdateErrorArgs(const Book &book, const std::string &description)
Initializes instance with reference to a book and failure reason.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MbpBook64AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onBookUpdateError(Handler &, const Security &, const MboBookUpdateErrorArgs &)
Invoked when Handler fails to update MBO book for given security.
#define ONIXS_CMEMDH_EXPORTED
Definition: Compiler.h:171
virtual void onLowestOffer(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session lowest offer price recovered from snapshot for given security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionOption55Args &)
Invoked upon instrument definition reception.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBookCombined64AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onHighestBid(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when session highest bid price recovered from snapshot for given security.
SecurityDataArgs< IncrementalRefreshOrderBook47 > MboBook47AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionFX63Args &)
Invoked upon instrument definition reception.
virtual void onBookAtomicUpdate(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when atomic book update for.
SecurityDataArgs< IncrementalRefreshBookLongQty64, IncrementalRefreshBook64CombinedEntry > MboBookCombined64AtomicUpdateArgs
Instantiation of security data attributes for MBO book atomic updates.
SecurityDataArgs< SnapshotFullRefreshLongQty69 > Recovery69EntryArgs
Instantiation of security data attributes for recovery data.
virtual void onBookUpdate(Handler &, const Security &, const DirectBook &)
Invoked when direct book is updated for the security.
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 onDefinition(Handler &, const Security &, const InstrumentDefinitionFixedIncome57Args &)
Invoked upon instrument definition reception.
virtual void onHighTradePrice(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session high trade price is received for the security.
const OrderIds & orderIds() const
Order details referring to given trade.
UInt64 UserData
User-defined data to be attached.
Definition: Security.h:90
BookUpdateErrorArgs< ImpliedBook > ImpliedBookUpdateErrorArgs
Instantiation of book update error arguments for books of implied type.
virtual void onElectronicVolume(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when electronic volume is recovered from snapshot for the security.
TradeSummaryArgs< IncrementalRefreshTradeSummaryLongQty65 > TradeSummary65Args
virtual void onHighTradePrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session high trade price is received for the security.
BookUpdateErrorArgs< DirectBook > DirectBookUpdateErrorArgs
Instantiation of book update error arguments for books of direct type.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MbpBook46AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onRecovery(Handler &, const Security &, const SnapshotFullRefreshOrderBook53Args &)
Invoked when snapshot is received for the security while Handler recovers market state from snapshots...
virtual Security::UserData onSecurityCreated(Handler &, const Security &)
Invoked when the Security object is created. The returned value is attached to Security::userData.
virtual void onFixingPrice(Handler &, const Security &, const DailyStatistics49Args &)
Invoked when fixing price is received for the security.
virtual void onBookAtomicUpdate(Handler &, const Security &, const MboBook47AtomicUpdateArgs &)
Invoked when atomic book update for the security is received.
virtual void onLimitsAndBanding(Handler &, const Security &, const LimitsAndBanding50Args &)
Invoked when threshold limits and price band variation is received for the security.
virtual void onLowestOffer(Handler &, const Security &, const SessionStatistics67Args &)
Invoked when session lowest offer price is received for the security.
SecurityDataArgs< SnapshotFullRefresh52 > Recovery52EntryArgs
Instantiation of security data attributes for recovery data.
virtual void onOpeningPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when opening price recovered from snapshot for given security.
virtual void onRecovery(Handler &, const Security &, const SnapshotFullRefresh69Args &)
Invoked when snapshot is received for the security while Handler recovers market state from snapshots...
virtual void onClearedVolume(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when cleared volume for the security is recovered from snapshot.
virtual void onStatus(Handler &, const Security &, const SecurityStatus30Args &)
Invoked when security status is received for given security.
virtual void onBookUpdateError(Handler &, const Security &, const ImpliedBookUpdateErrorArgs &)
Invoked when Handler fails to update implied book for given security.
virtual void onDefinition(Handler &, const Security &, const FIX::MultiContainerArgs &)
Invoked upon processing of an instrument definition extracted from instrument cache.
virtual void onGap(Handler &, const Security &, UInt32)
Invoked when gap on is detected in market data referring to the given security.
Base::Message Message
Aliases type of message holding trade summary repeating group entries.
virtual void onBookUpdateError(Handler &, const Security &, const DirectBookUpdateErrorArgs &)
Invoked when Handler fails to update direct book for given security.
virtual void onDefinition(Handler &, const Security &, const InstrumentDefinitionSpread56Args &)
Invoked upon instrument definition reception.
virtual void onLowestOffer(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session lowest offer price is received for the security.
virtual void onLowTradePrice(Handler &, const Security &, const SessionStatistics51Args &)
Invoked when session low trade price is received for the security.
virtual void onTrade(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when trade is recovered from snapshot while Handler recovers market state from snapshots...
virtual void onFixingPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when fixing price recovered from snapshot for given security.
Market By Order book.
Definition: MboBook.h:71
virtual void onSettlementPrice(Handler &, const Security &, const Recovery69EntryArgs &)
Invoked when settlement price for the security is recovered from snapshot.
virtual void onLowestOffer(Handler &, const Security &, const Recovery52EntryArgs &)
Invoked when session lowest offer price recovered from snapshot for given security.
SecurityDataArgs< IncrementalRefreshVolume37 > Volume37Args
Instantiation of security data attributes for volumes.
#define ONIXS_CMEMDH_NAMESPACE_END
Definition: Bootstrap.h:68