DepthIncremental.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/Eurex/MarketData/ABI.h>
#include <OnixS/Eurex/MarketData/Message.h>
#include <OnixS/Eurex/MarketData/Group.h>
#include <OnixS/Eurex/MarketData/Defines.h>
#include <OnixS/Eurex/MarketData/Tags.h>

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            /// Market data incremental entry.
            class ONIXS_EUREX_EMDI_API MDIncrementalEntry : GroupInstance
            {
                public:

                    /// Origin type.
                    MDOriginType::Enum mdOriginType() const
                    {
                        return getIntEnumFieldValue<MDOriginType> (*this, Tags::MDOriginType);
                    }

                    /// Update action.
                    MDUpdateAction::Enum mdUpdateAction() const
                    {
                        return getIntEnumFieldValue<MDUpdateAction> (*this, Tags::MDUpdateAction);
                    }

                    /// Defines the entry type.
                    MDEntryType::Enum mdEntryType() const
                    {
                        return getIntEnumFieldValue<MDEntryType> (*this, Tags::MDEntryType);
                    }

                    /// Instrument identifier.
                    SecurityId securityId() const
                    {
                        return getInt64 (Tags::SecurityID);
                    }

                    /// Price.
                    bool mdEntryPx (Decimal& price) const
                    {
                        return get (Tags::MDEntryPx).toNumber (price);
                    }

                    /// Quantity.
                    bool mdEntrySize (Decimal& size) const
                    {
                        return get (Tags::MDEntrySize).toNumber (size);
                    }

                    /// Number Of Orders.
                    bool numberOfOrders (UInt32& number) const
                    {
                        return get (Tags::NumberOfOrders).toNumber (number);
                    }

                    /// Book level.
                    ///
                    /// @note Absent for implied bid/offer prices.
                    bool mdPriceLevel (UInt32& level) const
                    {
                        return get (Tags::MDPriceLevel).toNumber (level);
                    }

                    /// For bids and offers the official time of book entry, for trades official time of execution (all in nanoseconds).
                    bool mdEntryTime (UInt64& time) const
                    {
                        return get (Tags::MDEntryTime).toNumber (time);
                    }

                    /// Potential security trading event.
                    SecurityTradingEvent::Enum potentialSecurityTradingEvent() const
                    {
                        return getIntEnumFieldValue<SecurityTradingEvent> (*this, Tags::PotentialSecurityTradingEvent);
                    }

                    /// Potential security trading event.
                    QuoteCondition::Enum quoteCondition() const
                    {
                        return getIntEnumFieldValue<QuoteCondition> (*this, Tags::QuoteCondition);
                    }

                    /// Defines when the trade happens.
                    ///
                    /// Only present for MDEntryType=Trade and TradeCondition=AW.
                    TrdType::Enum trdType() const
                    {
                        return getIntEnumFieldValue<TrdType> (*this, Tags::TrdType);
                    }

                    /// Algorithmic-Trade-Indicator
                    AlgorithmicTradeIndicator::Enum algorithmicTradeIndicator() const
                    {
                        return getNonZeroIntEnumFieldValue<AlgorithmicTradeIndicator>(*this, Tags::AlgorithmicTradeIndicator);
                    }

                    /// Defines the trade condition.
                    ///
                    /// @note Defines the type of price for MDEntryPx. Only present for MDEntryType=Trade.
                    TradeConditionSet tradeCondition() const
                    {
                        UInt64 value;
                        return (get (Tags::TradeCondition).toNumber (value) ? TradeConditionSet (value) : TradeConditionSet (0) );
                    }

                    /// MultiLegReportingType
                    MultiLegReportingType::Enum multiLegReportingType() const
                    {
                        return getNonZeroIntEnumFieldValue<MultiLegReportingType>(*this, Tags::MultiLegReportingType);
                    }

                    /// MultiLegPriceModel
                    MultiLegPriceModel::Enum multiLegPriceModel() const
                    {
                        return getIntEnumFieldValue<MultiLegPriceModel>(*this, Tags::MultiLegPriceModel);
                    }

                    /// Entry time of the incoming order that triggered the trade. Only present for MDEntryType=Trade.
                    bool aggressorTimestamp (UInt64& time) const
                    {
                        return get (Tags::AggressorTime).toNumber (time);
                    }

                    /// Request time.
                    bool requestTime (UInt64& time) const
                    {
                        return get (Tags::RequestTime).toNumber (time);
                    }

                    /// Side of the incoming order, which created the trade. Only present for MDEntryType=Trade.
                    Side::Enum aggressorSide() const
                    {
                        return getNonZeroIntEnumFieldValue<Side> (*this, Tags::AggressorSide);
                    }

                    /// Number of buy orders involved in this trade.
                    ///
                    /// @note Only present for MDEntryType = Trade.
                    bool numberOfBuyOrders (UInt32& number) const
                    {
                        return get (Tags::NumberOfBuyOrders).toNumber (number);
                    }

                    /// Number of sell orders involved in this trade.
                    ///
                    /// @note Only present for MDEntryType = Trade.
                    bool numberOfSellOrders (UInt32& number) const
                    {
                        return get (Tags::NumberOfSellOrders).toNumber (number);
                    }

                    /// Total Number Of Trades.
                    ///
                    /// @note Only present for MDEntryType = Trade.
                    bool totalNumOfTrades (UInt32& number) const
                    {
                        return get (Tags::TotalNumOfTrades).toNumber (number);
                    }

                    /// Quantity of orders, that are deleted due to a SMP event.
                    ///
                    /// @note Only present for MDEntryType = Trade.
                    bool restingCxlQty (Decimal& quantity) const
                    {
                        return get (Tags::RestingCxlQty).toNumber (quantity);
                    }

                    /// Represents the match step (unique together with SenderCompID).
                    ///
                    /// @note Only present for MDEntryType = Trade.
                    bool mdEntryId (UInt32& id) const
                    {
                        return get (Tags::MDEntryID).toNumber (id);
                    }

                    /// Contains the TES trade volume that is not displayed during the day. Only present for MDEntryType=B "Trade Volume". Used when trade volume is finally disclosed and also for recovery.
                    bool nonDisclosedTradeVolume (Decimal& id) const
                    {
                        return get (Tags::NonDisclosedTradeVolume).toNumber (id);
                    }

                private:
                    friend class TypedGroup<MDIncrementalEntry>;

                    MDIncrementalEntry (const GroupInstance& groupInstance)
                        : GroupInstance (groupInstance)
                    {
                    }
            };

            class MDIncrementalEntries : public TypedGroup<MDIncrementalEntry>
            {
                private:
                    explicit
                    MDIncrementalEntries (const Group& group)
                        : TypedGroup<MDIncrementalEntry> (group)
                    {
                    }

                    friend class DepthIncremental;
            };

            /// Depth incremental
            class ONIXS_EUREX_EMDI_API DepthIncremental : public Message
            {
                public:

                    /// Product identifier.
                    MarketSegmentId marketSegmentId() const
                    {
                        return getUInt32 (Tags::MarketSegmentID);
                    }

                    /// Entries.
                    MDIncrementalEntries mdEntries() const
                    {
                        return MDIncrementalEntries ( getGroup (Tags::NoMDEntries) );
                    }

                private:
                    friend class DepthIncrementalWrapper;

                    DepthIncremental (const void* impl)
                        : Message (impl)
                    {
                    }
            };
        }
    }
}