Fields.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/messaging/Time.h>
#include <OnixS/CME/MDH/messaging/String.h>
#include <OnixS/CME/MDH/messaging/Integral.h>
 
ONIXS_CMEMDH_MESSAGING_NAMESPACE_BEGIN
ONIXS_CMEMDH_DATA_PACKING_BEGIN(1)
 

typedef Char CHAR;
 

typedef Char Currency[3];
 

typedef
IntegralConstant<Int8, 24>
InstAttribType;
 

typedef Int16 Int16;
 

typedef Int32 Int32;
 

typedef Int8 Int8;
 

typedef UInt16 LocalMktDate;
 

typedef
IntegralConstant<Char, 'J'>
EntryTypeChannelReset;
 

typedef
IntegralConstant<Char, 'g'>
EntryTypeLimits;
 

typedef
IntegralConstant<Char, '2'>
EntryTypeTrade;
 

typedef
IntegralConstant<Char, 'e'>
EntryTypeVol;
 

typedef
IntegralConstant<Int8, 0>
UpdateActionNew;
 

typedef
IntegralConstant<Int8, 0>
UpdateTypeNew;
 

typedef
IntegralConstant<UInt8, 4>
SecurityAltIDSourceISIN;
 

typedef Char SecurityExchange[4];
 

typedef
IntegralConstant<Char, '8'>
SecurityIDSource;
 

typedef
Char
UserDefinedInstrument;
 

typedef UInt16 UInt16;
 

typedef UInt32 UInt32;
 

typedef UInt64 UInt64;
 

typedef UInt8 UInt8;
 

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

        Aggressor = 1
    };
};

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

        Buy = 1,

        Sell = 2
    };
};

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

        LastEligibleTradeDate = 7
    };
};

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

        SurveillanceIntervention = 1,

        MarketEvent = 2,

        InstrumentActivation = 3,

        InstrumentExpiration = 4,

        Unknown = 5,

        RecoveryInProcess = 6,

        TradeDateRoll = 7
    };
};

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

        SellSide = 2
    };
};

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'
    };
};

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

        Offer = '1',

        ImpliedBid = 'E',

        ImpliedOffer = 'F',

        BookReset = 'J',

        MarketBestOffer = 'w',

        MarketBestBid = 'x'
    };
};

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

        ClearedVolume = 'B',

        OpenInterest = 'C',

        FixingPrice = 'W'
    };
};

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

        HighTrade = '7',

        LowTrade = '8',

        VWAP = '9',

        HighestBid = 'N',

        LowestOffer = 'O'
    };
};

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

        Change = 1,

        Delete = 2,

        DeleteThru = 3,

        DeleteFrom = 4,

        Overlay = 5
    };
};

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

        Par = 2
    };
};

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

        IndicativeOpeningPrice = 5,

        IntradayVWAP = 100,

        RepoAverage8_30AM = 101,

        RepoAverage10AM = 102,

        PrevSessionRepoAverage10AM = 103
    };
};

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

        Update = 1,

        Delete = 2
    };
};

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

        Globex = 1,

        Refinitiv = 2,

        ICAP = 3
    };
};

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

        Call = 1
    };
};

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

        GC = 1,

        GCForDBV = 2
    };
};

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

        ISIN = 4
    };
};

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

        NoCancel = 1,

        ResetStatistics = 4,

        ImpliedMatchingON = 5,

        ImpliedMatchingOFF = 6,

        EndOfWorkup = 7
    };
};

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
    };
};

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

        Delete = 'D',

        Modify = 'M'
    };
};

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

        Sell = 2
    };
};

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

        NotAvailableForTrading = 18,

        PrivateWorkup = 201,

        PublicWorkup = 202
    };
};

struct InstAttribValue
{
public:
    typedef UInt32 Bits;
 
    enum
    {
        Size = sizeof(Bits)
    };

    typedef InstAttribValue ThisType;

    struct MemberTraits
    {
        enum { Count = 1 };
 
        typedef Bits FirstArgType;
    };

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

    ThisType& setElectronicMatchEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x1; else bits_ &= ~0x1;
        return *this;
    }

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

    ThisType& setOrderCrossEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x2; else bits_ &= ~0x2;
        return *this;
    }

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

    ThisType& setBlockTradeEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x4; else bits_ &= ~0x4;
        return *this;
    }

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

    ThisType& setEfpEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x8; else bits_ &= ~0x8;
        return *this;
    }

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

    ThisType& setEbfEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x10; else bits_ &= ~0x10;
        return *this;
    }

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

    ThisType& setEfsEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x20; else bits_ &= ~0x20;
        return *this;
    }

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

    ThisType& setEfrEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x40; else bits_ &= ~0x40;
        return *this;
    }

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

    ThisType& setOtcEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x80; else bits_ &= ~0x80;
        return *this;
    }

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

    ThisType& setILinkIndicativeMassQuotingEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x100; else bits_ &= ~0x100;
        return *this;
    }

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

    ThisType& setNegativeStrikeEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x200; else bits_ &= ~0x200;
        return *this;
    }

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

    ThisType& setNegativePriceOutrightEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x400; else bits_ &= ~0x400;
        return *this;
    }

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

    ThisType& setIsFractional(bool value) noexcept
    {
        if (value) bits_ |= 0x800; else bits_ &= ~0x800;
        return *this;
    }

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

    ThisType& setVolatilityQuotedOption(bool value) noexcept
    {
        if (value) bits_ |= 0x1000; else bits_ &= ~0x1000;
        return *this;
    }

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

    ThisType& setRfqCrossEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x2000; else bits_ &= ~0x2000;
        return *this;
    }

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

    ThisType& setZeroPriceOutrightEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x4000; else bits_ &= ~0x4000;
        return *this;
    }

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

    ThisType& setDecayingProductEligibility(bool value) noexcept
    {
        if (value) bits_ |= 0x8000; else bits_ &= ~0x8000;
        return *this;
    }

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

    ThisType& setVariableProductEligibility(bool value) noexcept
    {
        if (value) bits_ |= 0x10000; else bits_ &= ~0x10000;
        return *this;
    }

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

    ThisType& setDailyProductEligibility(bool value) noexcept
    {
        if (value) bits_ |= 0x20000; else bits_ &= ~0x20000;
        return *this;
    }

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

    ThisType& setGtOrdersEligibility(bool value) noexcept
    {
        if (value) bits_ |= 0x40000; else bits_ &= ~0x40000;
        return *this;
    }

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

    ThisType& setImpliedMatchingEligibility(bool value) noexcept
    {
        if (value) bits_ |= 0x80000; else bits_ &= ~0x80000;
        return *this;
    }

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

    ThisType& setTriangulationEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x100000; else bits_ &= ~0x100000;
        return *this;
    }

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

    ThisType& setVariableCabEligible(bool value) noexcept
    {
        if (value) bits_ |= 0x200000; else bits_ &= ~0x200000;
        return *this;
    }

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

    ThisType& setInvertedBook(bool value) noexcept
    {
        if (value) bits_ |= 0x400000; else bits_ &= ~0x400000;
        return *this;
    }

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

    ThisType& setIsAoNInstrument(bool value) noexcept
    {
        if (value) bits_ |= 0x800000; else bits_ &= ~0x800000;
        return *this;
    }

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

    ThisType& setSefRegulated(bool value) noexcept
    {
        if (value) bits_ |= 0x1000000; else bits_ &= ~0x1000000;
        return *this;
    }

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

    ThisType& setMtfRegulated(bool value) noexcept
    {
        if (value) bits_ |= 0x2000000; else bits_ &= ~0x2000000;
        return *this;
    }

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

    ThisType& setEFIXInstrument(bool value) noexcept
    {
        if (value) bits_ |= 0x4000000; else bits_ &= ~0x4000000;
        return *this;
    }

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

    ThisType& setHedgeInstrument(bool value) noexcept
    {
        if (value) bits_ |= 0x8000000; else bits_ &= ~0x8000000;
        return *this;
    }

    Bits bits() const noexcept
    {
        return bits_;
    }

    explicit
    InstAttribValue(Bits bits = 0) noexcept
      : bits_(bits)
    {
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator!=(
        const InstAttribValue& other) const noexcept
    {
        return !(*this == other);
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator==(
        const InstAttribValue& other) const noexcept
    {
        return this->bits_ == other.bits_;
    }
 
private:
    Bits bits_;
};

struct MatchEventIndicator
{
public:
    typedef UInt8 Bits;
 
    enum
    {
        Size = sizeof(Bits)
    };

    typedef MatchEventIndicator ThisType;

    struct MemberTraits
    {
        enum { Count = 1 };
 
        typedef Bits FirstArgType;
    };

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

    ThisType& setLastTradeMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x1; else bits_ &= ~0x1;
        return *this;
    }

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

    ThisType& setLastVolumeMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x2; else bits_ &= ~0x2;
        return *this;
    }

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

    ThisType& setLastQuoteMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x4; else bits_ &= ~0x4;
        return *this;
    }

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

    ThisType& setLastStatsMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x8; else bits_ &= ~0x8;
        return *this;
    }

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

    ThisType& setLastImpliedMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x10; else bits_ &= ~0x10;
        return *this;
    }

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

    ThisType& setRecoveryMsg(bool value) noexcept
    {
        if (value) bits_ |= 0x20; else bits_ &= ~0x20;
        return *this;
    }

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

    ThisType& setReserved(bool value) noexcept
    {
        if (value) bits_ |= 0x40; else bits_ &= ~0x40;
        return *this;
    }

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

    ThisType& setEndOfEvent(bool value) noexcept
    {
        if (value) bits_ |= 0x80; else bits_ &= ~0x80;
        return *this;
    }

    Bits bits() const noexcept
    {
        return bits_;
    }

    explicit
    MatchEventIndicator(Bits bits = 0) noexcept
      : bits_(bits)
    {
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator!=(
        const MatchEventIndicator& other) const noexcept
    {
        return !(*this == other);
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator==(
        const MatchEventIndicator& other) const noexcept
    {
        return this->bits_ == other.bits_;
    }
 
private:
    Bits bits_;
};

struct SettlPriceType
{
public:
    typedef UInt8 Bits;
 
    enum
    {
        Size = sizeof(Bits)
    };

    typedef SettlPriceType ThisType;

    struct MemberTraits
    {
        enum { Count = 1 };
 
        typedef Bits FirstArgType;
    };

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

    ThisType& setFinalDaily(bool value) noexcept
    {
        if (value) bits_ |= 0x1; else bits_ &= ~0x1;
        return *this;
    }

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

    ThisType& setActual(bool value) noexcept
    {
        if (value) bits_ |= 0x2; else bits_ &= ~0x2;
        return *this;
    }

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

    ThisType& setRounded(bool value) noexcept
    {
        if (value) bits_ |= 0x4; else bits_ &= ~0x4;
        return *this;
    }

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

    ThisType& setIntraday(bool value) noexcept
    {
        if (value) bits_ |= 0x8; else bits_ &= ~0x8;
        return *this;
    }

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

    ThisType& setReservedBits(bool value) noexcept
    {
        if (value) bits_ |= 0x10; else bits_ &= ~0x10;
        return *this;
    }

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

    ThisType& setNullValue(bool value) noexcept
    {
        if (value) bits_ |= 0x80; else bits_ &= ~0x80;
        return *this;
    }

    Bits bits() const noexcept
    {
        return bits_;
    }

    explicit
    SettlPriceType(Bits bits = 0) noexcept
      : bits_(bits)
    {
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator!=(
        const SettlPriceType& other) const noexcept
    {
        return !(*this == other);
    }

    ONIXS_CMEMDH_NODISCARD
    bool
    operator==(
        const SettlPriceType& other) const noexcept
    {
        return this->bits_ == other.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_CMEMDH_NODISCARD
inline LocalMktDate timestampToLocalMktDate(const Timestamp& timestamp) noexcept
{
    return static_cast<LocalMktDate>(TimeSpan(timestamp.sinceEpoch()).days());
}
 
ONIXS_CMEMDH_DATA_PACKING_END
ONIXS_CMEMDH_MESSAGING_NAMESPACE_END