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

namespace OnixS
{
    namespace Eurex
    {
        namespace MarketData
        {
            /// Market data snapshot entry.
            class ONIXS_EUREX_EMDI_API TopOfBookImpliedEntry : GroupInstance
            {
                public:
                    /// Update action.
                    MDUpdateAction::Enum mdUpdateAction() const
                    {
                        return getIntEnumFieldValue<MDUpdateAction> (*this, Tags::MDUpdateAction);
                    }

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

                    /// Always Top of Book.
                    BookType::Enum mdBookType() const
                    {
                        return getIntEnumFieldValue<BookType> (*this, Tags::MDBookType);
                    }

                    /// Price / Quantity pairs.
                    SubBookType::Enum mdSubBookType() const
                    {
                        return getIntEnumFieldValue<SubBookType> (*this, Tags::MDSubBookType);
                    }

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

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

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

                    /// For bids and offers the official time of book entry, for trades official time of execution (all in nanoseconds).
                    bool mdEntryTime (UInt64& time) const
                    {
                        return get (Tags::MDEntryTime).toNumber (time);
                    }

                    /// Quote Condition.
                    bool quoteCondition (UInt32& value) const
                    {
                        return get (Tags::QuoteCondition).toNumber (value);
                    }

                private:
                    friend class TypedGroup<TopOfBookImpliedEntry>;

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

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

                    friend class TopOfBookImplied;
            };

            /// Depth incremental
            class ONIXS_EUREX_EMDI_API TopOfBookImplied : public Message
            {
                public:

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

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

                private:
                    friend class TopOfBookImpliedWrapper;

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