EmdiHandler.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/Eurex/MarketData/ABI.h>
#include <OnixS/Eurex/MarketData/HandlerStateListener.h>
#include <OnixS/Eurex/MarketData/InterfaceDescriptorProvider.h>
#include <OnixS/Eurex/MarketData/Replay.h>

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            ONIXS_EUREX_EMDI_API_DECL(class, FeedEngine);

            struct ReplayOptions;
            struct EmdiHandlerSettings;

            class CrossRequestListener;
            class FlexibleInstrumentUpdateListener;
            class HandlerStateListener;
            class InstrumentStateChangeListener;
            class InterfaceDescriptorProvider;
            class MassInstrumentStateChangeListener;
            class OrderBookListener;
            class TopOfBookImpliedListener;
            class ProductStateChangeListener;
            class QuoteRequestListener;
            class TradeListener;
            class WarningListener;
            class DepthListener;
            class ComplexInstrumentUpdateListener;
            class ErrorListener;
            class CachedDepthIncrementalListener;
            class BeaconListener;
            class FeedActivityListener;
            class ScaledSimpleInstrumentUpdateListener;

            /// Eurex Enhanced Market Data Interface Handler.
            class ONIXS_EUREX_EMDI_API EmdiHandler
            {
                public:
                    /// Performs instance initialization.
                    /// @param settings defines values for various options
                    /// which affect handler behavior like enabling logging
                    /// during execution of the handler.
                    explicit EmdiHandler (const EmdiHandlerSettings& settings,
                        const std::string& = ONIXS_EUREX_EMDI_COMPILER_INFO);

                    /// Finalizes the Handler.
                    virtual ~EmdiHandler();

                    /// Assigns listener for errors occurred while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected
                    EmdiHandler& registerErrorListener (ErrorListener* listener);

                    /// Assigns listener for warnings occurred while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected
                    EmdiHandler& registerWarningListener (WarningListener* listener);

                    /// Assigns listener for state change events occurred while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerHandlerStateListener (HandlerStateListener* listener);

                    /// Assigns listener for depth messages received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerDepthListener (DepthListener* listener);

                    /// Assigns listener for depth incremental messages received during recovery process.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerCachedDepthIncrementalListener (CachedDepthIncrementalListener* listener);

                    /// Assigns listener for Top Of Book Implied message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerTopOfBookImpliedListener (TopOfBookImpliedListener* listener);

                    /// Assigns listener for Product State Change message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerProductStateChangeListener (ProductStateChangeListener* listener);

                    /// Assigns listener for Mass Instrument State Change message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerMassInstrumentStateChangeListener (MassInstrumentStateChangeListener* listener);

                    /// Assigns listener for Instrument State Change message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerInstrumentStateChangeListener (InstrumentStateChangeListener* listener);

                    /// Assigns listener for Quote Request message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerQuoteRequestListener (QuoteRequestListener* listener);

                    /// Assigns listener for Cross Request message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerCrossRequestListener (CrossRequestListener* listener);

                    /// Assigns listener for Complex Instrument Update message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerComplexInstrumentUpdateListener (ComplexInstrumentUpdateListener* listener);

                    /// Assigns listener for Flexible Instrument Update message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerFlexibleInstrumentUpdateListener (FlexibleInstrumentUpdateListener* listener);

                    /// Assigns listener for Scaled Simple Instrument Update message received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerScaledSimpleInstrumentUpdateListener (ScaledSimpleInstrumentUpdateListener* listener);

                    /// Assigns listener for Order Book updates received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerOrderBookListener (OrderBookListener* listener);

                    /// Assigns listener for trades received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerTradeListener (TradeListener* listener);

                    /// Assigns listener for beacon messages received while executing handler.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerBeaconListener (BeaconListener* listener);

                    /// Assigns listener for feed activity events.
                    /// It's permissible to change the listener multiple times during
                    /// handler's life-time, but only when handler is in disconnected state.
                    /// @throw OperationException if handler not disconnected.
                    EmdiHandler& registerFeedActivityListener (FeedActivityListener* listener);

                    /// Set market segment to maximum number of price levels for the product map
                    ///
                    /// @note Should be provided if EmdiHandlerSettings::buildInternalOrderBooks is true.
                    EmdiHandler& setMarketSegmentId2Depth(const MarketSegmentId2Depth& map);

                    /// Set the Partition Id filtering values.
                    ///
                    /// @note The filter is inclusive.
                    EmdiHandler& setPartitionIdFilters (const PartitionIdFilters& filters);

                    /// Remove all filters.
                    EmdiHandler& removeAllPartitionIdFilters();

                    /// Set the Market Segment Id filtering values.
                    ///
                    /// @note The filter is inclusive.
                    EmdiHandler& setMarketSegmentIdFilters (const MarketSegmentIdFilters& filters);

                    /// Remove all filters.
                    EmdiHandler& removeAllMarketSegmentIdFilters();

                    /// Set the Security Id filtering values.
                    ///
                    /// @note The filter is inclusive.
                    EmdiHandler& setSecurityIdFilters (const SecurityIdFilters& filters);

                    /// Remove all filters.
                    EmdiHandler& removeAllSecurityIdFilters();

                    /// Binds Feed Engine to the Handler.
                    ///
                    /// Handler must be in stopped state.
                    ///
                    /// @throw OperationException in case when handler is not in configurable state.
                    EmdiHandler& bindFeedEngine(FeedEngine& feedEngine);

                    /// Start handler.
                    ///
                    /// @note This action is asynchronous.
                    /// @throw std::exception in case of unable to start.
                    void start ();

                    /// Starts replaying previously logged data.
                    void start (const ReplayOptions& options);

                    /// Stop handler.
                    void stop ();

                    /// Replay pcap files.
                    void replayPcap (const ReplayOptions& options);

                    /// Returns handler state.
                    HandlerState::Enum state () const;

                    /// Logs the given user-level message to the handler log.
                    EmdiHandler& log (LogLevel::Enum logLevel, const char* logMessage, size_t length);

                    /// Logs the given user-level message to the handler log
                    EmdiHandler& log (LogLevel::Enum logLevel, const char* logMessage);

                    /// Logs the given user-level message to the handler log.
                    EmdiHandler& log (LogLevel::Enum logLevel, const std::string& str);

                    /// Returns the license expiration date.
                    const char* licenseExpirationDate () const;

                    /// Returns Handler's version.
                    static const char* version ();

                private:
                    EmdiHandler (const EmdiHandler&); //no implementation
                    EmdiHandler& operator = (const EmdiHandler&); //no implementation

                private:
                    friend struct Implementation::PcapPeplayHelper;
                    struct Impl;
                    Impl* impl_;
            };

            /// Replay pcap files.
            ONIXS_EUREX_EMDI_API
            void replayPcap (const std::vector<EmdiHandler*>& handlers, const ReplayOptions& options);
        }
    }
}