DepthSnapshot.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/Defines.h>
#include <OnixS/Eurex/MarketData/Group.h>
#include <OnixS/Eurex/MarketData/Tags.h>
#include <OnixS/Eurex/MarketData/Numeric.h>
#include <OnixS/Eurex/MarketData/Message.h>

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            /// Exposes list of available sub book types.
            struct RefreshIndicator
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    /// Mandatory Refresh
                    MandatoryRefresh = 0,

                    /// Optional Refresh
                    OptionalRefresh = 1,
                };
            };

            /// Market data snapshot entry.
            class ONIXS_EUREX_EMDI_API MDSnapshotEntry : GroupInstance
            {
                public:

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

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

                    /// Top-of-book is only applicable to IPS, i.e. requires the presence of MDSubBookType.
                    BookType::Enum mdBookType() const
                    {
                        return getIntEnumFieldValue<BookType> (*this, Tags::MDBookType);
                    }

                    /// Optional qualifier to MDBookType.
                    SubBookType::Enum mdSubBookType() const
                    {
                        return getIntEnumFieldValue<SubBookType> (*this, Tags::MDSubBookType);
                    }

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

                    /// Defines the trading session ID.
                    ///
                    /// @note Attached to MDEntryType 2=Trade and TradeCondition
                    /// U=Exchange Last unless there has been no trade so far.
                    /// In this case it is attached to book information which can simply
                    /// be Q=Auction Clearing Price or all bids and offers for the
                    /// currently visible depth (uncrossed book).
                    /// If there are no trades and no book information then it is attached
                    /// to J=Empty Book.
                    TradingSessionId::Enum tradingSessionId() const
                    {
                        return getIntEnumFieldValue<TradingSessionId> (*this, Tags::TradingSessionID);
                    }

                    /// Defines the trading session sub ID.
                    TradingSessionSubID::Enum tradingSessionSubID() const
                    {
                        return getIntEnumFieldValue<TradingSessionSubID> (*this, Tags::TradingSessionSubID);
                    }

                    /// Defines the TES trading session status.
                    TradSesStatus::Enum tesTradSesStatus() const
                    {
                        return getIntEnumFieldValue<TradSesStatus> (*this, Tags::TESTradSesStatus);
                    }

                    /// Indicator for stressed market conditions.
                    MarketCondition::Enum marketCondition() const
                    {
                        return getIntEnumFieldValue<MarketCondition>(*this, Tags::MarketCondition);
                    }

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

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

                    /// Indicates if product is in the state Fast Market.
                    bool fastMarketIndicator() const
                    {
                        UInt32 value;
                        return (get (Tags::FastMarketIndicator).toNumber (value) ) ? (value == 1) : false;
                    }

                    /// Defines the security trading status.
                    SecurityTradingStatus::Enum securityTradingStatus() const
                    {
                        return getIntEnumFieldValue<SecurityTradingStatus> (*this, Tags::SecurityTradingStatus);
                    }

                    /// Identifies an event related to a securityTradingStatus()
                    SecurityTradingEvent::Enum securityTradingEvent() const
                    {
                        return getIntEnumFieldValue<SecurityTradingEvent> (*this, Tags::SecurityTradingEvent);
                    }

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

                    /// Applicable for cash market products only (trading model continuous auction).
                    SoldOutIndicator::Enum soldOutIndicator() const
                    {
                        return getNonZeroIntEnumFieldValue<SoldOutIndicator>(*this, Tags::SoldOutIndicator);
                    }

                    /// Upper boundary price.
                    bool highPx(Decimal& price) const
                    {
                        return get(Tags::HighPx).toNumber(price);
                    }

                    /// Lower boundary price.
                    bool lowPx(Decimal& price) const
                    {
                        return get(Tags::LowPx).toNumber(price);
                    }

                    /// Defines the trade �ondition.
                    ///
                    /// @note LastAuctionPrice is not be combined with any other value and have its own
                    /// entry in order to convey the auction type through TrdType. Instrument
                    /// state already changed to continuous when the auction
                    /// trade is reported.
                    TradeConditionSet tradeCondition() const
                    {
                        UInt64 value;
                        return (get (Tags::TradeCondition).toNumber (value) ? TradeConditionSet (value) : TradeConditionSet (0) );
                    }

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

                    /// 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);
                    }

                    /// Time of entry (nanoseconds) for last trade entry only (TradeCondition="U").
                    bool mdEntryTime (UInt64& time) const
                    {
                        return get (Tags::MDEntryTime).toNumber (time);
                    }

                    /// Non disclosed trade volumes.
                    bool nonDisclosedTradeVolume (Decimal& volume) const
                    {
                        return get (Tags::NonDisclosedTradeVolume).toNumber (volume);
                    }

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

                private:
                    friend class TypedGroup<MDSnapshotEntry>;

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

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

                    friend class DepthSnapshot;
            };

            /// Depth snapshot
            class ONIXS_EUREX_EMDI_API DepthSnapshot : public Message
            {
                public:

                    /// Last message sequence number sent regardless of message type.
                    bool lastMsgSeqNumProcessed (UInt32& seqNum) const
                    {
                        return get (Tags::LastMsgSeqNumProcessed).toNumber (seqNum);
                    }

                    /// Refresh Indicator
                    RefreshIndicator::Enum refreshIndicator() const
                    {
                        return getIntEnumFieldValue<RefreshIndicator>(*this, Tags::RefreshIndicator);
                    }

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

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

                    /// Type of instrument
                    InstrumentType::Enum productComplex() const
                    {
                        return getNonZeroIntEnumFieldValue<InstrumentType> (*this, Tags::ProductComplex);
                    }

                    /// Security Status.
                    SecurityStatus::Enum securityStatus() const
                    {
                        return getIntEnumFieldValue<SecurityStatus> (*this, Tags::SecurityStatus);
                    }

                    /// Defines the TES security status.
                    SecurityStatus::Enum tesSecurityStatus() const
                    {
                        return getIntEnumFieldValue<SecurityStatus> (*this, Tags::TESSecurityStatus);
                    }

                    /// Time of last change for SecurityID (nanoseconds).
                    UInt64 lastUpdateTime() const
                    {
                        return getUInt64 (Tags::LastUpdateTime);
                    }

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

                private:
                    friend class DepthSnapshotWrapper;

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