InstrumentLeg.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
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* 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
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* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
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*/

#pragma once

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

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {

            /// Exposes list of available leg security types.
            struct ONIXS_EUREX_EMDI_API LegSecurityType
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    ///
                    PartOfMultilegInstrument = 0,

                    ///
                    UnderlyingLeg = 1,
                };
            };

            /// Instrument leg entry.
            class ONIXS_EUREX_EMDI_API InstrumentLeg : GroupInstance
            {
                public:

                    /// Product identifier of the leg security.
                    UInt32 legSymbol () const
                    {
                        return getUInt32(Tags::LegSymbol);
                    }

                    /// Instrument ID from Eurex Exchange’s new trading architecture
                    SecurityId legSecurityId() const
                    {
                        return getInt64 (Tags::LegSecurityID);
                    }

                    /// Buy or Sell code
                    LegSide::Enum legSide() const
                    {
                        return getNonZeroIntEnumFieldValue<LegSide> (*this, Tags::LegSide);
                    }

                    /// Type of leg security.
                    LegSecurityType::Enum legSecurityType() const
                    {
                        return getIntEnumFieldValue<LegSecurityType> (*this, Tags::LegSecurityType);
                    }

                    /// The ratio of quantity for this individual leg relative to the entire multileg security.
                    UInt32 legRatioQty() const
                    {
                        return getUInt32(Tags::LegRatioQty);
                    }

                    /// Underlying price for the instrument leg (for VOLA strategies)
                    bool legPrice (Decimal& price) const
                    {
                        return get (Tags::LegPrice).toNumber (price);
                    }

                private:
                    friend class TypedGroup<InstrumentLeg>;

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