OnixS C++ Eurex T7 Market and Reference Data Interface (EMDI, RDI, EOBI) Handlers  8.1.0
API documentation
EOBILayouts.h
Go to the documentation of this file.
1 /*******************************************************************************
2  * Permission to use this/these file(s) is subject to the Terms of Use set
3  * forth in the file Terms_of_Use.txt accompanying this file.
4  *******************************************************************************
5  *
6  * FILE NAME: EOBILayouts.h
7  *
8  * INTERFACE VERSION: 8.0
9  *
10  * BUILD NUMBER: 80.3.34.ga-80003034-1
11  *
12  * DESCRIPTION:
13  *
14  * This header file documents the binary message format of EOBI.
15  * - All integers are in little endian byte order.
16  * - Padding bytes in following structures (char PadX[...]) are not required to be initialized.
17  *
18  * DISCLAIMER:
19  *
20  * Supported on Linux/x64 platforms with GNU C/C++ version 4.1 and 4.4.
21  *
22  * This header file is meant to be compatible (but not supported) with any C/C++
23  * compiler/architecture that defines C99 compliant integer types in stdint.h and
24  * corresponds with the following alignment and padding requirements:
25  *
26  * Padding:
27  * The compiler does not add implicit padding bytes between any of the following
28  * structure members. All padding bytes required for the alignment rules below are
29  * already explicitly contained in the structures.
30  *
31  * Alignment rules:
32  * 1 byte alignment for int8_t and uint8_t types
33  * 2 byte alignment for int16_t and uint16_t types
34  * 4 byte alignment for int32_t and uint32_t types
35  * 8 byte alignment for int64_t and uint64_t types
36  *
37  *******************************************************************************/
38 
39 #ifndef __EOBI_EOBI_LAYOUTS__
40 #define __EOBI_EOBI_LAYOUTS__
41 
43 
47 typedef OnixS::Eurex::MarketData::Int64 int64_t;
51 typedef OnixS::Eurex::MarketData::UInt64 uint64_t;
52 
53 //#include <stdint.h>
54 
55 #if defined(__cplusplus) || defined(c_plusplus)
56 extern "C"
57 {
58 #endif
59 
60 #define EOBI_INTERFACE_VERSION "8.0"
61 #define EOBI_BUILD_NUMBER "80.3.34.ga-80003034-1"
62 
63 /*
64  * No Value defines
65  */
66 #define NO_VALUE_SLONG ((int64_t) 0x8000000000000000L)
67 #define NO_VALUE_ULONG ((uint64_t) 0xffffffffffffffffUL)
68 #define NO_VALUE_SINT ((int32_t) 0x80000000)
69 #define NO_VALUE_UINT ((uint32_t) 0xffffffff)
70 #define NO_VALUE_SSHORT ((int16_t) 0x8000)
71 #define NO_VALUE_USHORT ((uint16_t) 0xffff)
72 #define NO_VALUE_SCHAR ((int8_t) 0x80)
73 #define NO_VALUE_UCHAR ((uint8_t) 0xff)
74 #define NO_VALUE_STR 0
75 #define NO_VALUE_DATA_16 {0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0}
76 
77 /*
78  * Template IDs defines
79  */
80 #define TID_ADD_COMPLEX_INSTRUMENT 13400 // < AddComplexInstrument (Add Complex Instrument)
81 #define TID_AUCTION_BBO 13500 // < AuctionBBO (Auction Best Bid/Offer)
82 #define TID_AUCTION_CLEARING_PRICE 13501 // < AuctionClearingPrice (Auction Clearing Price)
83 #define TID_CROSS_REQUEST 13502 // < CrossRequest (Cross Request)
84 #define TID_EXECUTION_SUMMARY 13202 // < ExecutionSummary (Execution Summary)
85 #define TID_FULL_ORDER_EXECUTION 13104 // < FullOrderExecution (Full Order Execution)
86 #define TID_HEARTBEAT 13001 // < Heartbeat (Heartbeat)
87 #define TID_INSTRUMENT_STATE_CHANGE 13301 // < InstrumentStateChange (Instrument State Change)
88 #define TID_INSTRUMENT_SUMMARY 13601 // < InstrumentSummary (Instrument Summary)
89 #define TID_MASS_INSTRUMENT_STATE_CHANGE 13302 // < MassInstrumentStateChange (Mass Instrument State Change)
90 #define TID_ORDER_ADD 13100 // < OrderAdd (Order Add)
91 #define TID_ORDER_DELETE 13102 // < OrderDelete (Order Delete)
92 #define TID_ORDER_MASS_DELETE 13103 // < OrderMassDelete (Order Mass Delete)
93 #define TID_ORDER_MODIFY 13101 // < OrderModify (Order Modify)
94 #define TID_ORDER_MODIFY_SAME_PRIO 13106 // < OrderModifySamePrio (Order Modify Same Priority)
95 #define TID_PACKET_HEADER 13000 // < PacketHeader (Packet Header)
96 #define TID_PARTIAL_ORDER_EXECUTION 13105 // < PartialOrderExecution (Partial Order Execution)
97 #define TID_PRODUCT_STATE_CHANGE 13300 // < ProductStateChange (Product State Change)
98 #define TID_PRODUCT_SUMMARY 13600 // < ProductSummary (Product Summary)
99 #define TID_QUOTE_REQUEST 13503 // < QuoteRequest (Quote Request)
100 #define TID_SNAPSHOT_ORDER 13602 // < SnapshotOrder (Snapshot Order)
101 #define TID_TOP_OF_BOOK 13504 // < TopOfBook (Top of Book)
102 #define TID_TRADE_REPORT 13201 // < TradeReport (Trade Report)
103 #define TID_TRADE_REVERSAL 13200 // < TradeReversal (Trade Reversal)
104 
105 const int EOBI_EOBI_TID_MIN = 13000; // lowest assigned template ID
106 const int EOBI_EOBI_TID_MAX = 13602; // highest assigned template ID
107 
108 /*
109  * Max defines for sequences defines
110  */
111 #define MAX_ADD_COMPLEX_INSTRUMENT_INSTRMT_LEG_GRP 20
112 #define MAX_INSTRUMENT_SUMMARY_MD_INSTRUMENT_ENTRY_GRP 15
113 #define MAX_MASS_INSTRUMENT_STATE_CHANGE_SEC_MASS_STAT_GRP 24
114 #define MAX_TRADE_REVERSAL_MD_TRADE_ENTRY_GRP 15
115 
116 /*
117  * Data Type defines
118  */
119 
120 // DataType AggressorSide
121 #define ENUM_AGGRESSOR_SIDE_BUY 1
122 #define ENUM_AGGRESSOR_SIDE_SELL 2
123 
124 // DataType AlgorithmicTradeIndicator
125 #define ENUM_ALGORITHMIC_TRADE_INDICATOR_ALGORITHMIC_TRADE 1
126 
127 // DataType ApplSeqResetIndicator
128 #define ENUM_APPL_SEQ_RESET_INDICATOR_NO_RESET 0
129 #define ENUM_APPL_SEQ_RESET_INDICATOR_RESET 1
130 
131 // DataType BidOrdType
132 #define ENUM_BID_ORD_TYPE_MARKET 1
133 
134 // DataType CompletionIndicator
135 #define ENUM_COMPLETION_INDICATOR_INCOMPLETE 0
136 #define ENUM_COMPLETION_INDICATOR_COMPLETE 1
137 
138 // DataType CrossRequestType
139 #define ENUM_CROSS_REQUEST_TYPE_CROSS_ANNOUNCEMENT 1
140 #define ENUM_CROSS_REQUEST_TYPE_LIQUIDITY_IMPROVEMENT_CROSS 2
141 
142 // DataType FastMarketIndicator
143 #define ENUM_FAST_MARKET_INDICATOR_NO 0
144 #define ENUM_FAST_MARKET_INDICATOR_YES 1
145 
146 // DataType FuncCategory
147 #define LEN_FUNC_CATEGORY 100
148 #define ENUM_FUNC_CATEGORY_GENERAL "General "
149 #define ENUM_FUNC_CATEGORY_ORDER_DATA "Order Data "
150 #define ENUM_FUNC_CATEGORY_TRADE_DATA "Trade Data "
151 #define ENUM_FUNC_CATEGORY_STATE_CHANGE "State Change "
152 #define ENUM_FUNC_CATEGORY_REFERENCE_DATA "Reference Data "
153 #define ENUM_FUNC_CATEGORY_SNAPSHOT "Snapshot "
154 
155 // DataType ImpliedMarketIndicator
156 #define ENUM_IMPLIED_MARKET_INDICATOR_NOT_IMPLIED 0
157 #define ENUM_IMPLIED_MARKET_INDICATOR_IMPLIED_IN_OUT 3
158 
159 // DataType InputSource
160 #define ENUM_INPUT_SOURCE_CLIP_CLIENT_BROKER 1
161 
162 // DataType InstrumentScopeProductComplex
163 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_SIMPLE_INSTRUMENT 1
164 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_STANDARD_OPTION_STRATEGY 2
165 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_NON_STANDARD_OPTION_STRATEGY 3
166 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_VOLATILITY_STRATEGY 4
167 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_FUTURES_SPREAD 5
168 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_INTER_PRODUCT_SPREAD 6
169 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_STANDARD_FUTURES_STRATEGY 7
170 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_PACK_AND_BUNDLE 8
171 #define ENUM_INSTRUMENT_SCOPE_PRODUCT_COMPLEX_STRIP 9
172 
173 // DataType LastFragment
174 #define ENUM_LAST_FRAGMENT_N 0
175 #define ENUM_LAST_FRAGMENT_Y 1
176 
177 // DataType LegSecurityIDSource
178 #define LEN_LEG_SECURITY_ID_SOURCE 1
179 #define ENUM_LEG_SECURITY_ID_SOURCE_MARKETPLACE "M"
180 #define ENUM_LEG_SECURITY_ID_SOURCE_MARKETPLACE_CHAR 'M'
181 
182 // DataType LegSecurityType
183 #define ENUM_LEG_SECURITY_TYPE_LEG_SECURITY_MULTI_LEG 1
184 #define ENUM_LEG_SECURITY_TYPE_LEG_SECURITY_UNDERLYING_LEG 2
185 
186 // DataType LegSide
187 #define ENUM_LEG_SIDE_BUY 1
188 #define ENUM_LEG_SIDE_SELL 2
189 
190 // DataType MDEntryType
191 #define ENUM_MD_ENTRY_TYPE_TRADE 2
192 #define ENUM_MD_ENTRY_TYPE_OPENING_PRICE 4
193 #define ENUM_MD_ENTRY_TYPE_CLOSING_PRICE 5
194 #define ENUM_MD_ENTRY_TYPE_HIGH_PRICE 7
195 #define ENUM_MD_ENTRY_TYPE_LOW_PRICE 8
196 #define ENUM_MD_ENTRY_TYPE_TRADE_VOLUME 66
197 #define ENUM_MD_ENTRY_TYPE_PREVIOUS_CLOSING_PRICE 101
198 #define ENUM_MD_ENTRY_TYPE_OPENING_AUCTION 200
199 #define ENUM_MD_ENTRY_TYPE_INTRADAY_AUCTION 201
200 #define ENUM_MD_ENTRY_TYPE_CIRCUIT_BREAKER_AUCTION 202
201 #define ENUM_MD_ENTRY_TYPE_CLOSING_AUCTION 203
202 #define ENUM_MD_ENTRY_TYPE_IPO_AUCTION 204
203 
204 // DataType MDReportEvent
205 #define ENUM_MD_REPORT_EVENT_SCOPE_DEFINITION 0
206 
207 // DataType MDUpdateAction
208 #define ENUM_MD_UPDATE_ACTION_NEW 0
209 #define ENUM_MD_UPDATE_ACTION_CHANGE 1
210 #define ENUM_MD_UPDATE_ACTION_DELETE 2
211 #define ENUM_MD_UPDATE_ACTION_OVERLAY 5
212 
213 // DataType MarketCondition
214 #define ENUM_MARKET_CONDITION_NORMAL 0
215 #define ENUM_MARKET_CONDITION_STRESSED 1
216 
217 // DataType MarketDataType
218 #define ENUM_MARKET_DATA_TYPE_ORDER_BOOK_MAINTENANCE 1
219 #define ENUM_MARKET_DATA_TYPE_ORDER_BOOK_EXECUTION 2
220 #define ENUM_MARKET_DATA_TYPE_TRADE_REVERSAL 3
221 #define ENUM_MARKET_DATA_TYPE_TRADE_REPORT 4
222 #define ENUM_MARKET_DATA_TYPE_AUCTION_BBO 5
223 #define ENUM_MARKET_DATA_TYPE_AUCTION_CLEARING_PRICE 6
224 #define ENUM_MARKET_DATA_TYPE_CROSS_TRADE_ANNOUNCEMENT 7
225 #define ENUM_MARKET_DATA_TYPE_QUOTE_REQUEST 8
226 #define ENUM_MARKET_DATA_TYPE_MARKET_SEGMENT_SNAPSHOT 9
227 #define ENUM_MARKET_DATA_TYPE_SINGLE_INSTRUMENT_SNAPSHOT 10
228 #define ENUM_MARKET_DATA_TYPE_ORDER_BOOK_SNAPSHOT 11
229 #define ENUM_MARKET_DATA_TYPE_MATCH_EVENT 12
230 #define ENUM_MARKET_DATA_TYPE_TOP_OF_BOOK 13
231 
232 // DataType MassMarketCondition
233 #define ENUM_MASS_MARKET_CONDITION_NORMAL 0
234 #define ENUM_MASS_MARKET_CONDITION_STRESSED 1
235 
236 // DataType MassSoldOutIndicator
237 #define ENUM_MASS_SOLD_OUT_INDICATOR_SOLD_OUT 1
238 
239 // DataType MatchSubType
240 #define ENUM_MATCH_SUB_TYPE_OPENING_AUCTION 1
241 #define ENUM_MATCH_SUB_TYPE_CLOSING_AUCTION 2
242 #define ENUM_MATCH_SUB_TYPE_INTRADAY_AUCTION 3
243 #define ENUM_MATCH_SUB_TYPE_CIRCUIT_BREAKER_AUCTION 4
244 #define ENUM_MATCH_SUB_TYPE_IPO_AUCTION 5
245 
246 // DataType MatchType
247 #define ENUM_MATCH_TYPE_CONFIRMED_TRADE_REPORT 3
248 #define ENUM_MATCH_TYPE_CROSS_AUCTION 5
249 #define ENUM_MATCH_TYPE_CALL_AUCTION 7
250 #define ENUM_MATCH_TYPE_LIQUIDITY_IMPROVEMENT_CROSS 13
251 #define ENUM_MATCH_TYPE_CONTINUOUS_AUCTION 14
252 
253 // DataType MsgType
254 #define LEN_MSG_TYPE 3
255 #define ENUM_MSG_TYPE_MARKET_DATA_REPORT "U20"
256 #define ENUM_MSG_TYPE_HEARTBEAT "0 "
257 #define ENUM_MSG_TYPE_MARKET_DATA_ORDER "U21"
258 #define ENUM_MSG_TYPE_MARKET_DATA_TRADE "U22"
259 #define ENUM_MSG_TYPE_TRADING_SESSION_STATUS "h "
260 #define ENUM_MSG_TYPE_SECURITY_STATUS "f "
261 #define ENUM_MSG_TYPE_SECURITY_MASS_STATUS "CO "
262 #define ENUM_MSG_TYPE_SECURITY_DEFINITION_UPDATE_REPORT "BP "
263 #define ENUM_MSG_TYPE_MARKET_DATA_INSTRUMENT "U23"
264 
265 // DataType NoMarketSegments
266 #define ENUM_NO_MARKET_SEGMENTS_ONE 1
267 
268 // DataType OfferOrdType
269 #define ENUM_OFFER_ORD_TYPE_MARKET 1
270 
271 // DataType OrdType
272 #define ENUM_ORD_TYPE_MARKET 1
273 
274 // DataType Pad1
275 #define LEN_PAD1 1
276 
277 // DataType Pad2
278 #define LEN_PAD2 2
279 
280 // DataType Pad3
281 #define LEN_PAD3 3
282 
283 // DataType Pad4
284 #define LEN_PAD4 4
285 
286 // DataType Pad5
287 #define LEN_PAD5 5
288 
289 // DataType Pad6
290 #define LEN_PAD6 6
291 
292 // DataType Pad7
293 #define LEN_PAD7 7
294 
295 // DataType PotentialSecurityTradingEvent
296 #define ENUM_POTENTIAL_SECURITY_TRADING_EVENT_NONE 0
297 #define ENUM_POTENTIAL_SECURITY_TRADING_EVENT_PRICE_VOLATILITY_AUCTION_IS_EXTENDED 10
298 
299 // DataType ProductComplex
300 #define ENUM_PRODUCT_COMPLEX_STANDARD_OPTION_STRATEGY 2
301 #define ENUM_PRODUCT_COMPLEX_NON_STANDARD_OPTION_STRATEGY 3
302 #define ENUM_PRODUCT_COMPLEX_VOLATILITY_STRATEGY 4
303 #define ENUM_PRODUCT_COMPLEX_FUTURES_SPREAD 5
304 #define ENUM_PRODUCT_COMPLEX_INTER_PRODUCT_SPREAD 6
305 #define ENUM_PRODUCT_COMPLEX_STANDARD_FUTURES_STRATEGY 7
306 #define ENUM_PRODUCT_COMPLEX_PACK_AND_BUNDLE 8
307 #define ENUM_PRODUCT_COMPLEX_STRIP 9
308 
309 // DataType SecurityIDSource
310 #define LEN_SECURITY_ID_SOURCE 1
311 #define ENUM_SECURITY_ID_SOURCE_MARKETPLACE "M"
312 #define ENUM_SECURITY_ID_SOURCE_MARKETPLACE_CHAR 'M'
313 
314 // DataType SecurityMassStatus
315 #define ENUM_SECURITY_MASS_STATUS_ACTIVE 1
316 #define ENUM_SECURITY_MASS_STATUS_INACTIVE 2
317 #define ENUM_SECURITY_MASS_STATUS_EXPIRED 4
318 #define ENUM_SECURITY_MASS_STATUS_KNOCKED_OUT 6
319 #define ENUM_SECURITY_MASS_STATUS_KNOCK_OUT_REVOKED 7
320 #define ENUM_SECURITY_MASS_STATUS_SUSPENDED 9
321 #define ENUM_SECURITY_MASS_STATUS_PENDING_DELETION 11
322 #define ENUM_SECURITY_MASS_STATUS_KNOCKED_OUT_AND_SUSPENDED 12
323 
324 // DataType SecurityMassTradingEvent
325 #define ENUM_SECURITY_MASS_TRADING_EVENT_PRICE_VOLATILITY_AUCTION_IS_EXTENDED 10
326 #define ENUM_SECURITY_MASS_TRADING_EVENT_PRICE_VOLATILITY_AUCTION_IS_EXTENDED_AGAIN 11
327 
328 // DataType SecurityMassTradingStatus
329 #define ENUM_SECURITY_MASS_TRADING_STATUS_TRADING_HALT 2
330 #define ENUM_SECURITY_MASS_TRADING_STATUS_MARKET_IMBALANCE_BUY 7
331 #define ENUM_SECURITY_MASS_TRADING_STATUS_MARKET_IMBALANCE_SELL 8
332 #define ENUM_SECURITY_MASS_TRADING_STATUS_CLOSED 200
333 #define ENUM_SECURITY_MASS_TRADING_STATUS_RESTRICTED 201
334 #define ENUM_SECURITY_MASS_TRADING_STATUS_BOOK 202
335 #define ENUM_SECURITY_MASS_TRADING_STATUS_CONTINUOUS 203
336 #define ENUM_SECURITY_MASS_TRADING_STATUS_OPENING_AUCTION 204
337 #define ENUM_SECURITY_MASS_TRADING_STATUS_OPENING_AUCTION_FREEZE 205
338 #define ENUM_SECURITY_MASS_TRADING_STATUS_INTRADAY_AUCTION 206
339 #define ENUM_SECURITY_MASS_TRADING_STATUS_INTRADAY_AUCTION_FREEZE 207
340 #define ENUM_SECURITY_MASS_TRADING_STATUS_CIRCUIT_BREAKER_AUCTION 208
341 #define ENUM_SECURITY_MASS_TRADING_STATUS_CIRCUIT_BREAKER_AUCTION_FREEZE 209
342 #define ENUM_SECURITY_MASS_TRADING_STATUS_CLOSING_AUCTION 210
343 #define ENUM_SECURITY_MASS_TRADING_STATUS_CLOSING_AUCTION_FREEZE 211
344 #define ENUM_SECURITY_MASS_TRADING_STATUS_IPO_AUCTION 212
345 #define ENUM_SECURITY_MASS_TRADING_STATUS_IPO_AUCTION_FREEZE 213
346 #define ENUM_SECURITY_MASS_TRADING_STATUS_PRE_CALL 214
347 #define ENUM_SECURITY_MASS_TRADING_STATUS_CALL 215
348 #define ENUM_SECURITY_MASS_TRADING_STATUS_FREEZE 216
349 
350 // DataType SecurityStatus
351 #define ENUM_SECURITY_STATUS_ACTIVE 1
352 #define ENUM_SECURITY_STATUS_INACTIVE 2
353 #define ENUM_SECURITY_STATUS_EXPIRED 4
354 #define ENUM_SECURITY_STATUS_KNOCKED_OUT 6
355 #define ENUM_SECURITY_STATUS_KNOCK_OUT_REVOKED 7
356 #define ENUM_SECURITY_STATUS_SUSPENDED 9
357 #define ENUM_SECURITY_STATUS_PENDING_DELETION 11
358 #define ENUM_SECURITY_STATUS_KNOCKED_OUT_AND_SUSPENDED 12
359 
360 // DataType SecurityTradingEvent
361 #define ENUM_SECURITY_TRADING_EVENT_PRICE_VOLATILITY_AUCTION_IS_EXTENDED 10
362 #define ENUM_SECURITY_TRADING_EVENT_PRICE_VOLATILITY_AUCTION_IS_EXTENDED_AGAIN 11
363 
364 // DataType SecurityTradingStatus
365 #define ENUM_SECURITY_TRADING_STATUS_TRADING_HALT 2
366 #define ENUM_SECURITY_TRADING_STATUS_MARKET_IMBALANCE_BUY 7
367 #define ENUM_SECURITY_TRADING_STATUS_MARKET_IMBALANCE_SELL 8
368 #define ENUM_SECURITY_TRADING_STATUS_CLOSED 200
369 #define ENUM_SECURITY_TRADING_STATUS_RESTRICTED 201
370 #define ENUM_SECURITY_TRADING_STATUS_BOOK 202
371 #define ENUM_SECURITY_TRADING_STATUS_CONTINUOUS 203
372 #define ENUM_SECURITY_TRADING_STATUS_OPENING_AUCTION 204
373 #define ENUM_SECURITY_TRADING_STATUS_OPENING_AUCTION_FREEZE 205
374 #define ENUM_SECURITY_TRADING_STATUS_INTRADAY_AUCTION 206
375 #define ENUM_SECURITY_TRADING_STATUS_INTRADAY_AUCTION_FREEZE 207
376 #define ENUM_SECURITY_TRADING_STATUS_CIRCUIT_BREAKER_AUCTION 208
377 #define ENUM_SECURITY_TRADING_STATUS_CIRCUIT_BREAKER_AUCTION_FREEZE 209
378 #define ENUM_SECURITY_TRADING_STATUS_CLOSING_AUCTION 210
379 #define ENUM_SECURITY_TRADING_STATUS_CLOSING_AUCTION_FREEZE 211
380 #define ENUM_SECURITY_TRADING_STATUS_IPO_AUCTION 212
381 #define ENUM_SECURITY_TRADING_STATUS_IPO_AUCTION_FREEZE 213
382 #define ENUM_SECURITY_TRADING_STATUS_PRE_CALL 214
383 #define ENUM_SECURITY_TRADING_STATUS_CALL 215
384 #define ENUM_SECURITY_TRADING_STATUS_FREEZE 216
385 
386 // DataType SecurityType
387 #define LEN_SECURITY_TYPE 4
388 #define ENUM_SECURITY_TYPE_OPTION "OPT "
389 #define ENUM_SECURITY_TYPE_FUTURE "FUT "
390 #define ENUM_SECURITY_TYPE_MULTI_LEG "MLEG"
391 
392 // DataType SecurityUpdateAction
393 #define LEN_SECURITY_UPDATE_ACTION 1
394 #define ENUM_SECURITY_UPDATE_ACTION_ADD "A"
395 #define ENUM_SECURITY_UPDATE_ACTION_ADD_CHAR 'A'
396 
397 // DataType Side
398 #define ENUM_SIDE_BUY 1
399 #define ENUM_SIDE_SELL 2
400 
401 // DataType SoldOutIndicator
402 #define ENUM_SOLD_OUT_INDICATOR_SOLD_OUT 1
403 
404 // DataType TradSesEvent
405 #define ENUM_TRAD_SES_EVENT_TBD 0
406 #define ENUM_TRAD_SES_EVENT_STATUS_CHANGE 3
407 
408 // DataType TradSesStatus
409 #define ENUM_TRAD_SES_STATUS_HALTED 1
410 #define ENUM_TRAD_SES_STATUS_OPEN 2
411 #define ENUM_TRAD_SES_STATUS_CLOSED 3
412 
413 // DataType TradeCondition
414 #define ENUM_TRADE_CONDITION_IMPLIED_TRADE 1
415 #define ENUM_TRADE_CONDITION_OUT_OF_SEQUENCE 107
416 #define ENUM_TRADE_CONDITION_SYSTEMATIC_INTERNALIZER 153
417 #define ENUM_TRADE_CONDITION_MIDPOINT_PRICE 155
418 #define ENUM_TRADE_CONDITION_TRADING_ON_TERMS_OF_ISSUE 156
419 #define ENUM_TRADE_CONDITION_SPECIAL_AUCTION 596
420 
421 // DataType TradingSessionID
422 #define ENUM_TRADING_SESSIONID_DAY 1
423 #define ENUM_TRADING_SESSIONID_MORNING 3
424 #define ENUM_TRADING_SESSIONID_EVENING 5
425 #define ENUM_TRADING_SESSIONID_AFTER_HOURS 6
426 #define ENUM_TRADING_SESSIONID_HOLIDAY 7
427 
428 // DataType TradingSessionSubID
429 #define ENUM_TRADING_SESSION_SUBID_PRE_TRADING 1
430 #define ENUM_TRADING_SESSION_SUBID_CONTINUOUS 3
431 #define ENUM_TRADING_SESSION_SUBID_CLOSING 4
432 #define ENUM_TRADING_SESSION_SUBID_POST_TRADING 5
433 #define ENUM_TRADING_SESSION_SUBID_QUIESCENT 7
434 
435 /*
436  * Structure defines for components and sequences
437  */
438 
439 // Structure: InstrmtLegGrp
440 typedef struct
441 {
443  char Pad4[LEN_PAD4];
449  char Pad2[LEN_PAD2];
451 
452 // Structure: MDInstrumentEntryGrp
453 typedef struct
454 {
458  char Pad1[LEN_PAD1];
460  char Pad4[LEN_PAD4];
462 
463 // Structure: MDTradeEntryGrp
464 typedef struct
465 {
469  char Pad7[LEN_PAD7];
471 
472 // Structure: MessageHeader
473 typedef struct
474 {
479 
480 // Structure: OrderDetails
481 typedef struct
482 {
487  char Pad6[LEN_PAD6];
490 
491 // Structure: SecMassStatGrp
492 typedef struct
493 {
500  char Pad3[LEN_PAD3];
502 
503 /*
504  * Structure defines for messages
505  */
506 
507 // Message: AddComplexInstrument
508 // TemplateID: 13400
509 // Alias: Add Complex Instrument
510 // FIX MsgType: SecurityDefinitionUpdateReport = "BP"
511 typedef struct
512 {
520  char Pad1[LEN_PAD1];
523 
524 // Message: AuctionBBO
525 // TemplateID: 13500
526 // Alias: Auction Best Bid/Offer
527 // FIX MsgType: MarketDataInstrument = "U23"
528 typedef struct
529 {
540  char Pad5[LEN_PAD5];
541 } AuctionBBOT;
542 
543 // Message: AuctionClearingPrice
544 // TemplateID: 13501
545 // Alias: Auction Clearing Price
546 // FIX MsgType: MarketDataInstrument = "U23"
547 typedef struct
548 {
557  char Pad6[LEN_PAD6];
559 
560 // Message: CrossRequest
561 // TemplateID: 13502
562 // Alias: Cross Request
563 // FIX MsgType: MarketDataInstrument = "U23"
564 typedef struct
565 {
573  char Pad5[LEN_PAD5];
575 } CrossRequestT;
576 
577 // Message: ExecutionSummary
578 // TemplateID: 13202
579 // Alias: Execution Summary
580 // FIX MsgType: MarketDataTrade = "U22"
581 typedef struct
582 {
590  char Pad1[LEN_PAD1];
592  char Pad4[LEN_PAD4];
597 
598 // Message: FullOrderExecution
599 // TemplateID: 13104
600 // Alias: Full Order Execution
601 // FIX MsgType: MarketDataOrder = "U21"
602 typedef struct
603 {
608  char Pad1[LEN_PAD1];
616 
617 // Message: Heartbeat
618 // TemplateID: 13001
619 // Alias: Heartbeat
620 // FIX MsgType: Heartbeat = "0"
621 typedef struct
622 {
625  char Pad4[LEN_PAD4];
626 } HeartbeatT;
627 
628 // Message: InstrumentStateChange
629 // TemplateID: 13301
630 // Alias: Instrument State Change
631 // FIX MsgType: SecurityStatus = "f"
632 typedef struct
633 {
642  char Pad2[LEN_PAD2];
645 
646 // Message: InstrumentSummary
647 // TemplateID: 13601
648 // Alias: Instrument Summary
649 // FIX MsgType: MarketDataInstrument = "U23"
650 typedef struct
651 {
664  char Pad7[LEN_PAD7];
667 
668 // Message: MassInstrumentStateChange
669 // TemplateID: 13302
670 // Alias: Mass Instrument State Change
671 // FIX MsgType: SecurityMassStatus = "CO"
672 typedef struct
673 {
682  char Pad1[LEN_PAD1];
686  char Pad6[LEN_PAD6];
689 
690 // Message: OrderAdd
691 // TemplateID: 13100
692 // Alias: Order Add
693 // FIX MsgType: MarketDataOrder = "U21"
694 typedef struct
695 {
700 } OrderAddT;
701 
702 // Message: OrderDelete
703 // TemplateID: 13102
704 // Alias: Order Delete
705 // FIX MsgType: MarketDataOrder = "U21"
706 typedef struct
707 {
713 } OrderDeleteT;
714 
715 // Message: OrderMassDelete
716 // TemplateID: 13103
717 // Alias: Order Mass Delete
718 // FIX MsgType: MarketDataOrder = "U21"
719 typedef struct
720 {
725 
726 // Message: OrderModify
727 // TemplateID: 13101
728 // Alias: Order Modify
729 // FIX MsgType: MarketDataOrder = "U21"
730 typedef struct
731 {
739 } OrderModifyT;
740 
741 // Message: OrderModifySamePrio
742 // TemplateID: 13106
743 // Alias: Order Modify Same Priority
744 // FIX MsgType: MarketDataOrder = "U21"
745 typedef struct
746 {
754 
755 // Message: PacketHeader
756 // TemplateID: 13000
757 // Alias: Packet Header
758 // FIX MsgType: MarketDataReport = "U20"
759 typedef struct
760 {
767  char Pad5[LEN_PAD5];
769 } PacketHeaderT;
770 
771 // Message: PartialOrderExecution
772 // TemplateID: 13105
773 // Alias: Partial Order Execution
774 // FIX MsgType: MarketDataOrder = "U21"
775 typedef struct
776 {
781  char Pad1[LEN_PAD1];
789 
790 // Message: ProductStateChange
791 // TemplateID: 13300
792 // Alias: Product State Change
793 // FIX MsgType: TradingSessionStatus = "h"
794 typedef struct
795 {
802  char Pad3[LEN_PAD3];
805 
806 // Message: ProductSummary
807 // TemplateID: 13600
808 // Alias: Product Summary
809 // FIX MsgType: MarketDataInstrument = "U23"
810 typedef struct
811 {
819  char Pad7[LEN_PAD7];
821 
822 // Message: QuoteRequest
823 // TemplateID: 13503
824 // Alias: Quote Request
825 // FIX MsgType: MarketDataInstrument = "U23"
826 typedef struct
827 {
832  char Pad7[LEN_PAD7];
834 } QuoteRequestT;
835 
836 // Message: SnapshotOrder
837 // TemplateID: 13602
838 // Alias: Snapshot Order
839 // FIX MsgType: MarketDataOrder = "U21"
840 typedef struct
841 {
845 
846 // Message: TopOfBook
847 // TemplateID: 13504
848 // Alias: Top of Book
849 // FIX MsgType: MarketDataInstrument = "U23"
850 typedef struct
851 {
859 } TopOfBookT;
860 
861 // Message: TradeReport
862 // TemplateID: 13201
863 // Alias: Trade Report
864 // FIX MsgType: MarketDataTrade = "U22"
865 typedef struct
866 {
876  char Pad1[LEN_PAD1];
878  char Pad6[LEN_PAD6];
879 } TradeReportT;
880 
881 // Message: TradeReversal
882 // TemplateID: 13200
883 // Alias: Trade Reversal
884 // FIX MsgType: MarketDataTrade = "U22"
885 typedef struct
886 {
895  char Pad2[LEN_PAD2];
897  char Pad7[LEN_PAD7];
900 
901 /*
902  * Begin of DEPRECATED defines
903  */
904 
905 #define BYTE_ARRAY_OF_0_16 {0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0}
906 
907 #define TID_ADDCOMPLEXINSTRUMENT 13400 // < AddComplexInstrument (Add Complex Instrument)
908 #define TID_AUCTIONBBO 13500 // < AuctionBBO (Auction Best Bid/Offer)
909 #define TID_AUCTIONCLEARINGPRICE 13501 // < AuctionClearingPrice (Auction Clearing Price)
910 #define TID_CROSSREQUEST 13502 // < CrossRequest (Cross Request)
911 #define TID_EXECUTIONSUMMARY 13202 // < ExecutionSummary (Execution Summary)
912 #define TID_FULLORDEREXECUTION 13104 // < FullOrderExecution (Full Order Execution)
913 #define TID_HEARTBEAT 13001 // < Heartbeat (Heartbeat)
914 #define TID_INSTRUMENTSTATECHANGE 13301 // < InstrumentStateChange (Instrument State Change)
915 #define TID_INSTRUMENTSUMMARY 13601 // < InstrumentSummary (Instrument Summary)
916 #define TID_MASSINSTRUMENTSTATECHANGE 13302 // < MassInstrumentStateChange (Mass Instrument State Change)
917 #define TID_ORDERADD 13100 // < OrderAdd (Order Add)
918 #define TID_ORDERDELETE 13102 // < OrderDelete (Order Delete)
919 #define TID_ORDERMASSDELETE 13103 // < OrderMassDelete (Order Mass Delete)
920 #define TID_ORDERMODIFY 13101 // < OrderModify (Order Modify)
921 #define TID_ORDERMODIFYSAMEPRIO 13106 // < OrderModifySamePrio (Order Modify Same Priority)
922 #define TID_PACKETHEADER 13000 // < PacketHeader (Packet Header)
923 #define TID_PARTIALORDEREXECUTION 13105 // < PartialOrderExecution (Partial Order Execution)
924 #define TID_PRODUCTSTATECHANGE 13300 // < ProductStateChange (Product State Change)
925 #define TID_PRODUCTSUMMARY 13600 // < ProductSummary (Product Summary)
926 #define TID_QUOTEREQUEST 13503 // < QuoteRequest (Quote Request)
927 #define TID_SNAPSHOTORDER 13602 // < SnapshotOrder (Snapshot Order)
928 #define TID_TOPOFBOOK 13504 // < TopOfBook (Top of Book)
929 #define TID_TRADEREPORT 13201 // < TradeReport (Trade Report)
930 #define TID_TRADEREVERSAL 13200 // < TradeReversal (Trade Reversal)
931 
932 #define MAX_ADDCOMPLEXINSTRUMENT_INSTRMTLEGGRP 20
933 #define MAX_INSTRUMENTSUMMARY_MDINSTRUMENTENTRYGRP 15
934 #define MAX_MASSINSTRUMENTSTATECHANGE_SECMASSSTATGRP 24
935 #define MAX_TRADEREVERSAL_MDTRADEENTRYGRP 15
936 
937 #define ENUM_AGGRESSORSIDE_BUY 1
938 #define ENUM_AGGRESSORSIDE_SELL 2
939 #define ENUM_ALGORITHMICTRADEINDICATOR_ALGORITHMICTRADE 1
940 #define ENUM_APPLSEQRESETINDICATOR_NORESET 0
941 #define ENUM_APPLSEQRESETINDICATOR_RESET 1
942 #define ENUM_BIDORDTYPE_MARKET 1
943 #define ENUM_COMPLETIONINDICATOR_INCOMPLETE 0
944 #define ENUM_COMPLETIONINDICATOR_COMPLETE 1
945 #define ENUM_CROSSREQUESTTYPE_CROSSANNOUNCEMENT 1
946 #define ENUM_CROSSREQUESTTYPE_LIQUIDITYIMPROVEMENTCROSS 2
947 #define ENUM_FASTMARKETINDICATOR_NO 0
948 #define ENUM_FASTMARKETINDICATOR_YES 1
949 #define LEN_FUNCCATEGORY 100
950 #define ENUM_FUNCCATEGORY_GENERAL "General "
951 #define ENUM_FUNCCATEGORY_ORDERDATA "Order Data "
952 #define ENUM_FUNCCATEGORY_TRADEDATA "Trade Data "
953 #define ENUM_FUNCCATEGORY_STATECHANGE "State Change "
954 #define ENUM_FUNCCATEGORY_REFERENCEDATA "Reference Data "
955 #define ENUM_FUNCCATEGORY_SNAPSHOT "Snapshot "
956 #define ENUM_IMPLIEDMARKETINDICATOR_NOTIMPLIED 0
957 #define ENUM_IMPLIEDMARKETINDICATOR_IMPLIEDINOUT 3
958 #define ENUM_INPUTSOURCE_CLIPCLIENTBROKER 1
959 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_SIMPLEINSTRUMENT 1
960 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_STANDARDOPTIONSTRATEGY 2
961 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_NONSTANDARDOPTIONSTRATEGY 3
962 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_VOLATILITYSTRATEGY 4
963 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_FUTURESSPREAD 5
964 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_INTERPRODUCTSPREAD 6
965 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_STANDARDFUTURESSTRATEGY 7
966 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_PACKANDBUNDLE 8
967 #define ENUM_INSTRUMENTSCOPEPRODUCTCOMPLEX_STRIP 9
968 #define ENUM_LASTFRAGMENT_N 0
969 #define ENUM_LASTFRAGMENT_Y 1
970 #define LEN_LEGSECURITYIDSOURCE 1
971 #define ENUM_LEGSECURITYIDSOURCE_MARKETPLACE "M"
972 #define ENUM_LEGSECURITYTYPE_LEGSECURITYMULTILEG 1
973 #define ENUM_LEGSECURITYTYPE_LEGSECURITYUNDERLYINGLEG 2
974 #define ENUM_LEGSIDE_BUY 1
975 #define ENUM_LEGSIDE_SELL 2
976 #define ENUM_MDENTRYTYPE_TRADE 2
977 #define ENUM_MDENTRYTYPE_OPENINGPRICE 4
978 #define ENUM_MDENTRYTYPE_CLOSINGPRICE 5
979 #define ENUM_MDENTRYTYPE_HIGHPRICE 7
980 #define ENUM_MDENTRYTYPE_LOWPRICE 8
981 #define ENUM_MDENTRYTYPE_TRADEVOLUME 66
982 #define ENUM_MDENTRYTYPE_PREVIOUSCLOSINGPRICE 101
983 #define ENUM_MDENTRYTYPE_OPENINGAUCTION 200
984 #define ENUM_MDENTRYTYPE_INTRADAYAUCTION 201
985 #define ENUM_MDENTRYTYPE_CIRCUITBREAKERAUCTION 202
986 #define ENUM_MDENTRYTYPE_CLOSINGAUCTION 203
987 #define ENUM_MDENTRYTYPE_IPOAUCTION 204
988 #define ENUM_MDREPORTEVENT_SCOPEDEFINITION 0
989 #define ENUM_MDUPDATEACTION_NEW 0
990 #define ENUM_MDUPDATEACTION_CHANGE 1
991 #define ENUM_MDUPDATEACTION_DELETE 2
992 #define ENUM_MDUPDATEACTION_OVERLAY 5
993 #define ENUM_MARKETCONDITION_NORMAL 0
994 #define ENUM_MARKETCONDITION_STRESSED 1
995 #define ENUM_MARKETDATATYPE_ORDERBOOKMAINTENANCE 1
996 #define ENUM_MARKETDATATYPE_ORDERBOOKEXECUTION 2
997 #define ENUM_MARKETDATATYPE_TRADEREVERSAL 3
998 #define ENUM_MARKETDATATYPE_TRADEREPORT 4
999 #define ENUM_MARKETDATATYPE_AUCTIONBBO 5
1000 #define ENUM_MARKETDATATYPE_AUCTIONCLEARINGPRICE 6
1001 #define ENUM_MARKETDATATYPE_CROSSTRADEANNOUNCEMENT 7
1002 #define ENUM_MARKETDATATYPE_QUOTEREQUEST 8
1003 #define ENUM_MARKETDATATYPE_MARKETSEGMENTSNAPSHOT 9
1004 #define ENUM_MARKETDATATYPE_SINGLEINSTRUMENTSNAPSHOT 10
1005 #define ENUM_MARKETDATATYPE_ORDERBOOKSNAPSHOT 11
1006 #define ENUM_MARKETDATATYPE_MATCHEVENT 12
1007 #define ENUM_MARKETDATATYPE_TOPOFBOOK 13
1008 #define ENUM_MASSMARKETCONDITION_NORMAL 0
1009 #define ENUM_MASSMARKETCONDITION_STRESSED 1
1010 #define ENUM_MASSSOLDOUTINDICATOR_SOLDOUT 1
1011 #define ENUM_MATCHSUBTYPE_OPENINGAUCTION 1
1012 #define ENUM_MATCHSUBTYPE_CLOSINGAUCTION 2
1013 #define ENUM_MATCHSUBTYPE_INTRADAYAUCTION 3
1014 #define ENUM_MATCHSUBTYPE_CIRCUITBREAKERAUCTION 4
1015 #define ENUM_MATCHSUBTYPE_IPOAUCTION 5
1016 #define ENUM_MATCHTYPE_CONFIRMEDTRADEREPORT 3
1017 #define ENUM_MATCHTYPE_CROSSAUCTION 5
1018 #define ENUM_MATCHTYPE_CALLAUCTION 7
1019 #define ENUM_MATCHTYPE_LIQUIDITYIMPROVEMENTCROSS 13
1020 #define ENUM_MATCHTYPE_CONTINUOUSAUCTION 14
1021 #define LEN_MSGTYPE 3
1022 #define ENUM_MSGTYPE_MARKETDATAREPORT "U20"
1023 #define ENUM_MSGTYPE_HEARTBEAT "0 "
1024 #define ENUM_MSGTYPE_MARKETDATAORDER "U21"
1025 #define ENUM_MSGTYPE_MARKETDATATRADE "U22"
1026 #define ENUM_MSGTYPE_TRADINGSESSIONSTATUS "h "
1027 #define ENUM_MSGTYPE_SECURITYSTATUS "f "
1028 #define ENUM_MSGTYPE_SECURITYMASSSTATUS "CO "
1029 #define ENUM_MSGTYPE_SECURITYDEFINITIONUPDATEREPORT "BP "
1030 #define ENUM_MSGTYPE_MARKETDATAINSTRUMENT "U23"
1031 #define ENUM_NOMARKETSEGMENTS_ONE 1
1032 #define ENUM_OFFERORDTYPE_MARKET 1
1033 #define ENUM_ORDTYPE_MARKET 1
1034 #define LEN_PAD1 1
1035 #define LEN_PAD2 2
1036 #define LEN_PAD3 3
1037 #define LEN_PAD4 4
1038 #define LEN_PAD5 5
1039 #define LEN_PAD6 6
1040 #define LEN_PAD7 7
1041 #define ENUM_POTENTIALSECURITYTRADINGEVENT_NONE 0
1042 #define ENUM_POTENTIALSECURITYTRADINGEVENT_PRICEVOLATILITYAUCTIONISEXTENDED 10
1043 #define ENUM_PRODUCTCOMPLEX_STANDARDOPTIONSTRATEGY 2
1044 #define ENUM_PRODUCTCOMPLEX_NONSTANDARDOPTIONSTRATEGY 3
1045 #define ENUM_PRODUCTCOMPLEX_VOLATILITYSTRATEGY 4
1046 #define ENUM_PRODUCTCOMPLEX_FUTURESSPREAD 5
1047 #define ENUM_PRODUCTCOMPLEX_INTERPRODUCTSPREAD 6
1048 #define ENUM_PRODUCTCOMPLEX_STANDARDFUTURESSTRATEGY 7
1049 #define ENUM_PRODUCTCOMPLEX_PACKANDBUNDLE 8
1050 #define ENUM_PRODUCTCOMPLEX_STRIP 9
1051 #define LEN_SECURITYIDSOURCE 1
1052 #define ENUM_SECURITYIDSOURCE_MARKETPLACE "M"
1053 #define ENUM_SECURITYMASSSTATUS_ACTIVE 1
1054 #define ENUM_SECURITYMASSSTATUS_INACTIVE 2
1055 #define ENUM_SECURITYMASSSTATUS_EXPIRED 4
1056 #define ENUM_SECURITYMASSSTATUS_KNOCKEDOUT 6
1057 #define ENUM_SECURITYMASSSTATUS_KNOCKOUTREVOKED 7
1058 #define ENUM_SECURITYMASSSTATUS_SUSPENDED 9
1059 #define ENUM_SECURITYMASSSTATUS_PENDINGDELETION 11
1060 #define ENUM_SECURITYMASSSTATUS_KNOCKEDOUTANDSUSPENDED 12
1061 #define ENUM_SECURITYMASSTRADINGEVENT_PRICEVOLATILITYAUCTIONISEXTENDED 10
1062 #define ENUM_SECURITYMASSTRADINGEVENT_PRICEVOLATILITYAUCTIONISEXTENDEDAGAIN 11
1063 #define ENUM_SECURITYMASSTRADINGSTATUS_TRADINGHALT 2
1064 #define ENUM_SECURITYMASSTRADINGSTATUS_MARKETIMBALANCEBUY 7
1065 #define ENUM_SECURITYMASSTRADINGSTATUS_MARKETIMBALANCESELL 8
1066 #define ENUM_SECURITYMASSTRADINGSTATUS_CLOSED 200
1067 #define ENUM_SECURITYMASSTRADINGSTATUS_RESTRICTED 201
1068 #define ENUM_SECURITYMASSTRADINGSTATUS_BOOK 202
1069 #define ENUM_SECURITYMASSTRADINGSTATUS_CONTINUOUS 203
1070 #define ENUM_SECURITYMASSTRADINGSTATUS_OPENINGAUCTION 204
1071 #define ENUM_SECURITYMASSTRADINGSTATUS_OPENINGAUCTIONFREEZE 205
1072 #define ENUM_SECURITYMASSTRADINGSTATUS_INTRADAYAUCTION 206
1073 #define ENUM_SECURITYMASSTRADINGSTATUS_INTRADAYAUCTIONFREEZE 207
1074 #define ENUM_SECURITYMASSTRADINGSTATUS_CIRCUITBREAKERAUCTION 208
1075 #define ENUM_SECURITYMASSTRADINGSTATUS_CIRCUITBREAKERAUCTIONFREEZE 209
1076 #define ENUM_SECURITYMASSTRADINGSTATUS_CLOSINGAUCTION 210
1077 #define ENUM_SECURITYMASSTRADINGSTATUS_CLOSINGAUCTIONFREEZE 211
1078 #define ENUM_SECURITYMASSTRADINGSTATUS_IPOAUCTION 212
1079 #define ENUM_SECURITYMASSTRADINGSTATUS_IPOAUCTIONFREEZE 213
1080 #define ENUM_SECURITYMASSTRADINGSTATUS_PRECALL 214
1081 #define ENUM_SECURITYMASSTRADINGSTATUS_CALL 215
1082 #define ENUM_SECURITYMASSTRADINGSTATUS_FREEZE 216
1083 #define ENUM_SECURITYSTATUS_ACTIVE 1
1084 #define ENUM_SECURITYSTATUS_INACTIVE 2
1085 #define ENUM_SECURITYSTATUS_EXPIRED 4
1086 #define ENUM_SECURITYSTATUS_KNOCKEDOUT 6
1087 #define ENUM_SECURITYSTATUS_KNOCKOUTREVOKED 7
1088 #define ENUM_SECURITYSTATUS_SUSPENDED 9
1089 #define ENUM_SECURITYSTATUS_PENDINGDELETION 11
1090 #define ENUM_SECURITYSTATUS_KNOCKEDOUTANDSUSPENDED 12
1091 #define ENUM_SECURITYTRADINGEVENT_PRICEVOLATILITYAUCTIONISEXTENDED 10
1092 #define ENUM_SECURITYTRADINGEVENT_PRICEVOLATILITYAUCTIONISEXTENDEDAGAIN 11
1093 #define ENUM_SECURITYTRADINGSTATUS_TRADINGHALT 2
1094 #define ENUM_SECURITYTRADINGSTATUS_MARKETIMBALANCEBUY 7
1095 #define ENUM_SECURITYTRADINGSTATUS_MARKETIMBALANCESELL 8
1096 #define ENUM_SECURITYTRADINGSTATUS_CLOSED 200
1097 #define ENUM_SECURITYTRADINGSTATUS_RESTRICTED 201
1098 #define ENUM_SECURITYTRADINGSTATUS_BOOK 202
1099 #define ENUM_SECURITYTRADINGSTATUS_CONTINUOUS 203
1100 #define ENUM_SECURITYTRADINGSTATUS_OPENINGAUCTION 204
1101 #define ENUM_SECURITYTRADINGSTATUS_OPENINGAUCTIONFREEZE 205
1102 #define ENUM_SECURITYTRADINGSTATUS_INTRADAYAUCTION 206
1103 #define ENUM_SECURITYTRADINGSTATUS_INTRADAYAUCTIONFREEZE 207
1104 #define ENUM_SECURITYTRADINGSTATUS_CIRCUITBREAKERAUCTION 208
1105 #define ENUM_SECURITYTRADINGSTATUS_CIRCUITBREAKERAUCTIONFREEZE 209
1106 #define ENUM_SECURITYTRADINGSTATUS_CLOSINGAUCTION 210
1107 #define ENUM_SECURITYTRADINGSTATUS_CLOSINGAUCTIONFREEZE 211
1108 #define ENUM_SECURITYTRADINGSTATUS_IPOAUCTION 212
1109 #define ENUM_SECURITYTRADINGSTATUS_IPOAUCTIONFREEZE 213
1110 #define ENUM_SECURITYTRADINGSTATUS_PRECALL 214
1111 #define ENUM_SECURITYTRADINGSTATUS_CALL 215
1112 #define ENUM_SECURITYTRADINGSTATUS_FREEZE 216
1113 #define LEN_SECURITYTYPE 4
1114 #define ENUM_SECURITYTYPE_OPTION "OPT "
1115 #define ENUM_SECURITYTYPE_FUTURE "FUT "
1116 #define ENUM_SECURITYTYPE_MULTILEG "MLEG"
1117 #define LEN_SECURITYUPDATEACTION 1
1118 #define ENUM_SECURITYUPDATEACTION_ADD "A"
1119 #define ENUM_SIDE_BUY 1
1120 #define ENUM_SIDE_SELL 2
1121 #define ENUM_SOLDOUTINDICATOR_SOLDOUT 1
1122 #define ENUM_TRADSESEVENT_TBD 0
1123 #define ENUM_TRADSESEVENT_STATUSCHANGE 3
1124 #define ENUM_TRADSESSTATUS_HALTED 1
1125 #define ENUM_TRADSESSTATUS_OPEN 2
1126 #define ENUM_TRADSESSTATUS_CLOSED 3
1127 #define ENUM_TRADECONDITION_IMPLIEDTRADE 1
1128 #define ENUM_TRADECONDITION_OUTOFSEQUENCE 107
1129 #define ENUM_TRADECONDITION_SYSTEMATICINTERNALIZER 153
1130 #define ENUM_TRADECONDITION_MIDPOINTPRICE 155
1131 #define ENUM_TRADECONDITION_TRADINGONTERMSOFISSUE 156
1132 #define ENUM_TRADECONDITION_SPECIALAUCTION 596
1133 #define ENUM_TRADINGSESSIONID_DAY 1
1134 #define ENUM_TRADINGSESSIONID_MORNING 3
1135 #define ENUM_TRADINGSESSIONID_EVENING 5
1136 #define ENUM_TRADINGSESSIONID_AFTERHOURS 6
1137 #define ENUM_TRADINGSESSIONID_HOLIDAY 7
1138 #define ENUM_TRADINGSESSIONSUBID_PRETRADING 1
1139 #define ENUM_TRADINGSESSIONSUBID_CONTINUOUS 3
1140 #define ENUM_TRADINGSESSIONSUBID_CLOSING 4
1141 #define ENUM_TRADINGSESSIONSUBID_POSTTRADING 5
1142 #define ENUM_TRADINGSESSIONSUBID_QUIESCENT 7
1143 
1144 /*
1145  * End of DEPRECATED defines
1146  */
1147 
1148 #if defined(__cplusplus) || defined(c_plusplus)
1149 } /* close scope of 'extern "C"' declaration. */
1150 #endif
1151 
1152 #endif
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:604
uint8_t OfferOrdType
Definition: EOBILayouts.h:539
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:796
unsigned char UInt8
Definition: Numeric.h:35
uint16_t TradeCondition
Definition: EOBILayouts.h:591
#define MAX_INSTRUMENT_SUMMARY_MD_INSTRUMENT_ENTRY_GRP
Definition: EOBILayouts.h:112
uint64_t TransactTime
Definition: EOBILayouts.h:833
int64_t OfferSize
Definition: EOBILayouts.h:536
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:623
OnixS::Eurex::MarketData::UInt16 uint16_t
Definition: EOBILayouts.h:49
#define MAX_ADD_COMPLEX_INSTRUMENT_INSTRMT_LEG_GRP
Definition: EOBILayouts.h:111
uint8_t SoldOutIndicator
Definition: EOBILayouts.h:662
int64_t PrevDisplayQty
Definition: EOBILayouts.h:736
int64_t SecurityID
Definition: EOBILayouts.h:532
OnixS::Eurex::MarketData::Int8 int8_t
Definition: EOBILayouts.h:44
uint64_t TrdRegTSTimePriority
Definition: EOBILayouts.h:611
int64_t SecurityID
Definition: EOBILayouts.h:567
uint8_t SoldOutIndicator
Definition: EOBILayouts.h:499
uint8_t AlgorithmicTradeIndicator
Definition: EOBILayouts.h:875
uint8_t NoMDEntries
Definition: EOBILayouts.h:896
int64_t SecurityID
Definition: EOBILayouts.h:888
int64_t OfferPx
Definition: EOBILayouts.h:534
uint8_t MatchSubType
Definition: EOBILayouts.h:874
uint8_t MatchType
Definition: EOBILayouts.h:873
uint64_t TransactTime
Definition: EOBILayouts.h:710
OnixS::Eurex::MarketData::Int64 int64_t
Definition: EOBILayouts.h:47
uint64_t LastUpdateTime
Definition: EOBILayouts.h:654
uint64_t TransactTime
Definition: EOBILayouts.h:768
OrderDetailsCompT OrderDetails
Definition: EOBILayouts.h:843
const int EOBI_EOBI_TID_MIN
Definition: EOBILayouts.h:105
int64_t SecurityID
Definition: EOBILayouts.h:829
uint8_t SecurityTradingStatus
Definition: EOBILayouts.h:658
int64_t SecurityID
Definition: EOBILayouts.h:698
uint64_t TrdRegTSTimePriority
Definition: EOBILayouts.h:483
uint64_t TrdRegTSTimePriority
Definition: EOBILayouts.h:784
const int EOBI_EOBI_TID_MAX
Definition: EOBILayouts.h:106
uint64_t RequestTime
Definition: EOBILayouts.h:586
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:887
uint8_t AggressorSide
Definition: EOBILayouts.h:589
int64_t LastQty
Definition: EOBILayouts.h:890
int64_t SecurityID
Definition: EOBILayouts.h:722
uint8_t CrossRequestType
Definition: EOBILayouts.h:571
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:867
uint64_t TrdRegTSTimeIn
Definition: EOBILayouts.h:709
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:747
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:513
#define MAX_MASS_INSTRUMENT_STATE_CHANGE_SEC_MASS_STAT_GRP
Definition: EOBILayouts.h:113
uint8_t ApplSeqResetIndicator
Definition: EOBILayouts.h:766
uint64_t AggressorTime
Definition: EOBILayouts.h:585
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:828
uint8_t CompletionIndicator
Definition: EOBILayouts.h:765
uint64_t TrdRegTSPrevTimePriority
Definition: EOBILayouts.h:734
OnixS::Eurex::MarketData::Int16 int16_t
Definition: EOBILayouts.h:45
uint8_t SecurityStatus
Definition: EOBILayouts.h:495
uint8_t TradingSessionID
Definition: EOBILayouts.h:797
uint8_t ImpliedMarketIndicator
Definition: EOBILayouts.h:518
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:566
int64_t SecurityID
Definition: EOBILayouts.h:854
uint8_t PotentialSecurityTradingEvent
Definition: EOBILayouts.h:537
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:708
uint64_t TransactTime
Definition: EOBILayouts.h:723
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:761
uint8_t SecurityTradingStatus
Definition: EOBILayouts.h:555
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:732
uint32_t TrdMatchID
Definition: EOBILayouts.h:893
uint64_t TransactTime
Definition: EOBILayouts.h:853
uint64_t TrdRegTSExecutionTime
Definition: EOBILayouts.h:892
int64_t SecurityID
Definition: EOBILayouts.h:868
uint8_t LegSecurityType
Definition: EOBILayouts.h:447
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:777
unsigned int UInt32
Definition: Numeric.h:41
uint8_t FastMarketIndicator
Definition: EOBILayouts.h:801
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:634
int64_t PrevPrice
Definition: EOBILayouts.h:735
uint32_t LastMsgSeqNumProcessed
Definition: EOBILayouts.h:624
uint64_t TransactTime
Definition: EOBILayouts.h:889
uint64_t TrdRegTSTimeIn
Definition: EOBILayouts.h:697
OnixS::Eurex::MarketData::UInt8 uint8_t
Definition: EOBILayouts.h:48
int64_t SecurityID
Definition: EOBILayouts.h:737
int64_t BidSize
Definition: EOBILayouts.h:857
uint8_t AlgorithmicTradeIndicator
Definition: EOBILayouts.h:607
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:812
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:652
uint8_t TradingSessionSubID
Definition: EOBILayouts.h:798
uint8_t MarketCondition
Definition: EOBILayouts.h:817
uint16_t TotNoOrders
Definition: EOBILayouts.h:656
int32_t MarketSegmentID
Definition: EOBILayouts.h:763
uint32_t TrdMatchID
Definition: EOBILayouts.h:872
OrderDetailsCompT OrderDetails
Definition: EOBILayouts.h:738
int64_t LastPx
Definition: EOBILayouts.h:871
uint32_t ApplSeqNum
Definition: EOBILayouts.h:762
int64_t LastQty
Definition: EOBILayouts.h:569
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:842
OnixS::Eurex::MarketData::Int32 int32_t
Definition: EOBILayouts.h:46
uint8_t SecurityTradingEvent
Definition: EOBILayouts.h:661
uint64_t TrdRegTSExecutionTime
Definition: EOBILayouts.h:655
uint16_t TradeCondition
Definition: EOBILayouts.h:894
uint8_t SecurityTradingStatus
Definition: EOBILayouts.h:496
uint8_t Side
Definition: EOBILayouts.h:570
int64_t RestingHiddenQty
Definition: EOBILayouts.h:594
unsigned short UInt16
Definition: Numeric.h:38
OrderDetailsCompT OrderDetails
Definition: EOBILayouts.h:752
int64_t LastPx
Definition: EOBILayouts.h:568
int64_t BidPx
Definition: EOBILayouts.h:533
int64_t LegSecurityID
Definition: EOBILayouts.h:444
int64_t BidSize
Definition: EOBILayouts.h:535
uint64_t TrdRegTSTimeIn
Definition: EOBILayouts.h:733
int64_t LastQty
Definition: EOBILayouts.h:830
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:852
int64_t BidPx
Definition: EOBILayouts.h:855
OnixS::Eurex::MarketData::UInt32 uint32_t
Definition: EOBILayouts.h:50
uint16_t TradeCondition
Definition: EOBILayouts.h:877
#define LEN_PAD5
Definition: EOBILayouts.h:1038
uint8_t TradingSessionID
Definition: EOBILayouts.h:814
#define LEN_PAD4
Definition: EOBILayouts.h:1037
int64_t LastPx
Definition: EOBILayouts.h:891
#define LEN_PAD3
Definition: EOBILayouts.h:1036
uint8_t BidOrdType
Definition: EOBILayouts.h:538
OrderDetailsCompT OrderDetails
Definition: EOBILayouts.h:712
uint8_t SecurityStatus
Definition: EOBILayouts.h:657
int64_t SecurityID
Definition: EOBILayouts.h:711
uint8_t TradSesStatus
Definition: EOBILayouts.h:816
#define LEN_PAD6
Definition: EOBILayouts.h:1039
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:530
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:583
uint8_t Side
Definition: EOBILayouts.h:831
uint8_t MarketCondition
Definition: EOBILayouts.h:497
uint8_t MarketCondition
Definition: EOBILayouts.h:659
int64_t OfferPx
Definition: EOBILayouts.h:856
uint8_t PotentialSecurityTradingEvent
Definition: EOBILayouts.h:556
uint64_t TransactTime
Definition: EOBILayouts.h:869
#define LEN_PAD2
Definition: EOBILayouts.h:1035
OnixS::Eurex::MarketData::UInt64 uint64_t
Definition: EOBILayouts.h:51
uint8_t AlgorithmicTradeIndicator
Definition: EOBILayouts.h:780
uint8_t TradingSessionSubID
Definition: EOBILayouts.h:815
#define LEN_PAD1
Definition: EOBILayouts.h:1034
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:674
OrderDetailsCompT OrderDetails
Definition: EOBILayouts.h:699
int64_t RestingCxlQty
Definition: EOBILayouts.h:595
uint8_t FastMarketIndicator
Definition: EOBILayouts.h:660
int64_t LastQty
Definition: EOBILayouts.h:870
#define MAX_TRADE_REVERSAL_MD_TRADE_ENTRY_GRP
Definition: EOBILayouts.h:114
uint8_t SecurityTradingEvent
Definition: EOBILayouts.h:498
uint64_t TransactTime
Definition: EOBILayouts.h:574
uint64_t TransactTime
Definition: EOBILayouts.h:531
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:696
uint8_t InputSource
Definition: EOBILayouts.h:572
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:549
#define LEN_PAD7
Definition: EOBILayouts.h:1040
uint8_t FastMarketIndicator
Definition: EOBILayouts.h:818
uint32_t LastMsgSeqNumProcessed
Definition: EOBILayouts.h:813
int64_t OfferSize
Definition: EOBILayouts.h:858
MessageHeaderCompT MessageHeader
Definition: EOBILayouts.h:721
uint8_t PartitionID
Definition: EOBILayouts.h:764