CombinationOrderBookDirectoryMsg.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/eSpeed/MarketData/Itch/BinaryMessage.h>
#include <OnixS/eSpeed/MarketData/Itch/IncomingMessage.h>

ONIXS_ESPEED_ITCH_NAMESPACE_BEGIN

    /// The Combination Order Book Directory is a
    /// specialized directory message used when Combined
    /// order books are traded on the NFI ATS.
    struct ONIXS_ESPEED_ITCH_API CombinationOrderBookDirectoryMsg : public IncomingMessage
    {
        /// Timestamp
        UInt64 timestamp() const
        {
            return ordinary<UInt64>(1);
        }

        /// Unique identifier of an Order book. This
        /// identifier will stay constant until this
        OrderBookId orderBookId() const
        {
            return ordinary<UInt32>(9);
        }

        /// UST security symbol in the NFI ATS (e.g. 10Y_UST)
        StrRef symbol() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<20>(13);
        }

        /// Instrument Description
        StrRef securityDescription() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<16>(33);
        }

        /// CUSIP code identifying security
        StrRef cusip() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<9>(49);
        }

        /// Reserved
        UInt8 reserved1() const
        {
            return ordinaryRef<UInt8>(58);
        }

        /// Product type
        ProductType::Enum productType() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return enumeration<ProductType>(59);
        }

        /// Price type
        PriceType::Enum priceType() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return enumeration<PriceType>(60);
        }

        /// The number of decimals used in price or yield for
        /// this order book in NFI ATS.
        UInt16 priceDecimals() const
        {
            return ordinary<UInt16>(61);
        }

        /// For securities that do not trade in Yield but will
        /// have yield published, this field describes number
        /// of decimals for yield field.
        UInt16 yieldDecimals() const
        {
            return ordinary<UInt16>(63);
        }

        /// 1000000 million is the value published for US
        /// Treasury Notes.
        UInt32 quantityMultiplier() const
        {
            return ordinary<UInt32>(65);
        }

        /// Reserved
        StrRef reserved2() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<18>(69);
        }

        /// Indicates how many legs of a combination
        /// instrument has
        UInt8 numberOfLegs() const
        {
            return ordinaryRef<UInt8>(87);
        }

        /// Leg 1 Symbol
        StrRef leg1Symbol() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<20>(88);
        }

        /// Leg 1 Side
        LegSide::Enum leg1Side() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return enumeration<LegSide>(108);
        }

        /// DV01 value of leg 1
        UInt16 leg1DV01() const
        {
            return ordinary<UInt16>(109);
        }

        /// 
        UInt8 leg1Reserved() const
        {
            return ordinaryRef<UInt8>(111);
        }

        /// Leg 2 Symbol
        StrRef leg2Symbol() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<20>(112);
        }

        /// Leg 2 Side
        LegSide::Enum leg2Side() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return enumeration<LegSide>(132);
        }

        /// DV01 value of leg 2
        UInt16 leg2DV01() const
        {
            return ordinary<UInt16>(133);
        }

        /// 
        UInt8 leg2Reserved() const
        {
            return ordinaryRef<UInt8>(135);
        }

        /// Leg ratio used for implied trading derived from
        /// DV01 values
        UInt16 legRatio1() const
        {
            return ordinary<UInt16>(136);
        }

        /// Leg 3 Symbol
        StrRef leg3Symbol() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<20>(138);
        }

        /// Leg 3 Side
        LegSide::Enum leg3Side() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return enumeration<LegSide>(158);
        }

        /// DV01 value of leg 3
        UInt16 leg3DV01() const
        {
            return ordinary<UInt16>(159);
        }

        /// 
        UInt8 leg3Reserved() const
        {
            return ordinaryRef<UInt8>(161);
        }

        /// The ratio used for implied trading that is applied
        /// for 3 leg combination instrument
        UInt16 legRatio2() const
        {
            return ordinary<UInt16>(162);
        }

        /// The maximum spread defined for the short duration
        /// leg
        UInt16 maximumSpreadTolerance1() const
        {
            return ordinary<UInt16>(164);
        }

        /// The maximum spread defined for the middle duration
        /// leg
        UInt16 maximumSpreadTolerance2() const
        {
            return ordinary<UInt16>(166);
        }

        /// Trading Features
        TradingFeatures::Enum tradingFeatures() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return static_cast<TradingFeatures::Enum>(ordinary<TradingFeatures::Base>(168));
        }

        /// The minimum visible quantity of the order allowed
        /// to be added to the book.
        UInt32 minimumEntryQuantity() const
        {
            return ordinary<UInt32>(170);
        }

        /// The minimum increment for visible quantity of the
        /// order.
        UInt32 minimumQuantityIncrement() const
        {
            return ordinary<UInt32>(174);
        }

        /// The price tick for the instrument
        UInt64 priceTickSize() const
        {
            return ordinary<UInt64>(178);
        }

        /// Reserved
        StrRef reserved3() const
        ONIXS_ESPEED_ITCH_NOTHROW
        {
            return fixedStr<14>(186);
        }

        /// Total message size.
        static ONIXS_ESPEED_ITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 200;

        /// Check the given size.
        static void validateSize(MessageSize size)
        {
            if (ONIXS_ESPEED_ITCH_CHECK_EXPECT((size < messageSize_), false))
                throwIncorrectSize("CombinationOrderBookDirectoryMsg", size, messageSize_);
        }

        /// Initializes instance over given memory block.
        CombinationOrderBookDirectoryMsg(const void* data, MessageSize size)
        ONIXS_ESPEED_ITCH_NOTHROW
            : IncomingMessage(data, size)
        {
        }
    };

    /// Serializes object into string.
    ONIXS_ESPEED_ITCH_API void toStr(std::string&, const CombinationOrderBookDirectoryMsg&);

    /// Serializes object into string.
    inline std::string toStr(const CombinationOrderBookDirectoryMsg& msg)
    {
        std::string str;
        toStr(str, msg);
        return str;
    }

    ///
    inline std::ostream& operator<<(std::ostream& stream, const CombinationOrderBookDirectoryMsg& msg)
    {
        stream << toStr(msg);
        return stream;
    }

ONIXS_ESPEED_ITCH_NAMESPACE_END