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

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            /// Exchange Trade
            class ONIXS_EUREX_EMDI_API ExchangeTrade : public Message
            {
                public:

                    /// MsgSeqNum
                    UInt32 msgSeqNum() const
                    {
                        return getUInt32 (Tags::MsgSeqNum);
                    }

                    /// Unique ID of a sender
                    UInt32 senderCompID() const
                    {
                        return getUInt32 (Tags::SenderCompID);
                    }

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

                    /// Origin type.
                    MDOriginType::Enum mdOriginType() const
                    {
                        return getIntEnumFieldValue<MDOriginType> (getGroup (Tags::NoMDEntries).at (0), Tags::MDOriginType);
                    }

                    /// Update action.
                    MDUpdateAction::Enum mdUpdateAction() const
                    {
                        return getIntEnumFieldValue<MDUpdateAction> (getGroup (Tags::NoMDEntries).at (0), Tags::MDUpdateAction);
                    }

                    /// Update action.
                    MDEntryType::Enum mdEntryType() const
                    {
                        return getIntEnumFieldValue<MDEntryType> (getGroup (Tags::NoMDEntries).at (0), Tags::MDEntryType);
                    }

                    /// Instrument ID from Eurex Exchange�s new trading architecture
                    SecurityId securityId() const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).getInt64 (Tags::SecurityID);
                    }

                    /// Trade Price
                    bool mdEntryPx (Decimal& price) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::MDEntryPx).toNumber (price);
                    }

                    /// Trade Quantity
                    bool mdEntrySize(Decimal& size) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::MDEntrySize).toNumber (size);
                    }

                    /// Time of entry (nanoseconds)
                    bool mdEntryTime(Int64& val) const
                    {
                        return getGroup (Tags::NoMDEntries).at(0).get(Tags::MDEntryTime).toNumber(val);
                    }

                    /// Trade Type
                    TrdType::Enum trdType() const
                    {
                        return getIntEnumFieldValue<TrdType> (getGroup (Tags::NoMDEntries).at (0), Tags::TrdType);
                    }

                    /// Defines the type of price for MDEntryPx.
                    TradeConditionSet tradeCondition() const
                    {
                        UInt64 value;
                        return (getGroup (Tags::NoMDEntries).at (0).get (Tags::TradeCondition).toNumber (value) ?
                                TradeConditionSet (value) :
                                TradeConditionSet (0) );
                    }

                    /// Entry time of the incoming order that triggered the trade.
                    bool aggressorTime (UInt64& time) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::AggressorTime).toNumber (time);
                    }

                    /// Side of the incoming order, which created the trade. Only present for MDEntryType=Trade.
                    Side::Enum aggressorSide() const
                    {
                        return getNonZeroIntEnumFieldValue<Side> (getGroup (Tags::NoMDEntries).at (0), Tags::AggressorSide);
                    }

                    /// Number of buy orders involved in this trade.
                    bool numberOfBuyOrders (UInt32& number) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::NumberOfBuyOrders).toNumber (number);
                    }

                    /// Number of sell orders involved in this trade.
                    bool numberOfSellOrders (UInt32& number) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::NumberOfSellOrders).toNumber (number);
                    }

                    /// Number of buy sides involved in an off exchange trade. Only present for MDOriginType 1 = Off-Book.
                    bool mumberOfBuySides(UInt32& number) const
                    {
                        return getGroup(Tags::NoMDEntries).at(0).get(Tags::NumberOfBuySides).toNumber(number);
                    }

                    /// Number of sell sides involved in an off exchange trade. Only present for MDOriginType 1 = Off-Book.
                    bool numberOfSellSides(UInt32& val) const
                    {
                        return getGroup(Tags::NoMDEntries).at(0).get(Tags::NumberOfSellSides).toNumber(val);
                    }

                    /// Total Number Of Trades
                    bool totalNumOfTrades(UInt32& val) const
                    {
                        return getGroup (Tags::NoMDEntries).at(0).get(Tags::TotalNumOfTrades).toNumber(val);
                    }

                    /// Quantity of orders that are deleted due to a SMP event.
                    bool restingCxlQty (Decimal& quantity) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).get (Tags::RestingCxlQty).toNumber (quantity);
                    }

                    /// Represents the match step (unique together with SenderCompID).
                    bool mdEntryId (UInt32 id) const
                    {
                        return getGroup (Tags::NoMDEntries).at (0).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 getGroup (Tags::NoMDEntries).at (0).get (Tags::NonDisclosedTradeVolume).toNumber (id);
                    }

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

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

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

                    /// PartyID
                    bool partyID(StringRef& val) const
                    {
                        Group parties = getGroup(Tags::NoMDEntries).at(0).getOptionalGroup(Tags::NoPartyIDs);
                        return (parties) ? parties.at(0).get (Tags::PartyID).toStringRef(val) : false;
                    }

                    /// PartyIDSource
                    bool partyIDSource(StringRef& val) const
                    {
                        Group parties = getGroup(Tags::NoMDEntries).at(0).getOptionalGroup(Tags::NoPartyIDs);
                        return (parties) ? val = StringRef("G"), true : false;
                    }

                    /// PartyRole
                    bool partyRole(UInt32& val) const
                    {
                        Group parties = getGroup(Tags::NoMDEntries).at(0).getOptionalGroup(Tags::NoPartyIDs);
                        return (parties) ? val = 73, true : false;
                    }

            private:
                    friend class ExchangeTradeWrapper;

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