VarianceFuturesStatus.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
        {
            /// Exposes list of available feed types.
            struct ONIXS_EUREX_EMDI_API BusinessDayType
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    /// Preceding Day
                    PrecedingDay = 0,

                    /// Current Day
                    CurrentDay = 1,
                };
            };

            /// Exposes list of available calculation method types.
            struct ONIXS_EUREX_EMDI_API CalculationMethodType
            {
                enum Enum
                {
                    /// Used to identify absence of value.
                    Undefined = -1,

                    /// Automatic
                    Automatic = 0,

                    /// Manual
                    Manual = 1,
                };
            };

            /// Clearing price parameter
            class ONIXS_EUREX_EMDI_API ClearingPriceParameter : GroupInstance
            {
                public:

                    /// Business date type
                    BusinessDayType::Enum businessDayType() const
                    {
                        return getIntEnumFieldValue<BusinessDayType> (*this, Tags::BusinessDayType);
                    }

                    /// Price constant defined on the instrument level and used for the clearing price conversion.
                    bool clearingPriceOffset (Decimal& value) const
                    {
                        return get (Tags::ClearingPriceOffset).toNumber (value);
                    }

                    /// Constant multiplier of the Notional Vega defined on the product level and used for the clearing quantity conversion.
                    bool vegaMultiplier (UInt64& value) const
                    {
                        return get (Tags::VegaMultiplier).toNumber (value);
                    }

                    /// Approximate number of trading days during one year defined as a constant on the product level and used for the calculation of RealisedVariance (28853).
                    bool annualTradingBusinessDays (UInt32& value) const
                    {
                        return get (Tags::AnnualTradingBusinessDays).toNumber (value);
                    }

                    /// Total number of trading days of the instrument, including the first and the last trading day, which is one day before the expiration.
                    bool totalTradingBusinessDays (UInt32& value) const
                    {
                        return get (Tags::TotalTradingBusinessDays).toNumber (value);
                    }

                    /// Total number of trading days already passed since the introduction of the instrument.
                    bool tradingBusinessDays (UInt32& value) const
                    {
                        return get (Tags::TradingBusinessDays).toNumber (value);
                    }

                    /// Used as a variance reference for the trading price conversion and the settlement price calculation.
                    bool standardVariance (Decimal& value) const
                    {
                        return get (Tags::StandardVariance).toNumber (value);
                    }

                    /// Closing price of the underlying on the product level and used to calculate the realised variance. Also provided for previous day.
                    bool relatedClosePrice (Decimal& value) const
                    {
                        return get (Tags::RelatedClosePrice).toNumber (value);
                    }

                    /// Calculated from all underlying closing prices since the introduction of the instrument adjusted by AnnualTradingBusinessDays. Also provided for previous day.
                    bool realisedVariance (Decimal& value) const
                    {
                        return get (Tags::RealisedVariance).toNumber (value);
                    }

                    /// Accumulated return on modified variation margin represents the economic cost of the variation margin from one trading day to the next. Also provided for previous day.
                    bool volatility (Decimal& value) const
                    {
                        return get (Tags::Volatility).toNumber (value);
                    }

                    /// Settlement price in clearing notation. Only provided for previous day.
                    bool settlPrice (Decimal& value) const
                    {
                        return get (Tags::ClearingSettlPrice).toNumber (value);
                    }

                    /// Indicates whether the automatic calculation of the parameters has been disabled and parameters have been manually defined. Intraday update is possible at any time.
                    CalculationMethodType::Enum calculationMethod() const
                    {
                        return getIntEnumFieldValue<CalculationMethodType> (*this, Tags::CalculationMethod);
                    }

                private:
                    friend class TypedGroup<ClearingPriceParameter>;

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

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

                    friend class VarianceFuturesStatus;
            };

            /// Variance futures status message
            class ONIXS_EUREX_EMDI_API VarianceFuturesStatus : public Message
            {
                public:

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

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

                    /// Clearing price parameters
                    ClearingPriceParameters clearingPriceParameters() const
                    {
                        return ClearingPriceParameters ( getGroup (Tags::NoClearingPriceParameters) );
                    }

                private:
                    friend class VarianceFuturesStatusWrapper;

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