OnixS C++ Eurex T7 Market and Reference Data (EMDI, MDI, RDI, EOBI) Handlers 20.0.1
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EMDS Handler Sample

This sample demonstrates how to connect to the EMDS feeds.

Source code

1/*
2* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
3*
4* This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
5* and international copyright treaties.
6*
7* Access to and use of the software is governed by the terms of the applicable ONIXS Software
8* Services Agreement(the Agreement) and Customer end user license agreements granting
9* a non-assignable, non-transferable and non-exclusive license to use the software
10* for it's own data processing purposes under the terms defined in the Agreement.
11*
12* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
13* of this source code or associated reference material to any other location for further reproduction
14* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
15*
16* Any reproduction or redistribution for sale or hiring of the Software not in accordance with
17* the terms of the Agreement is a violation of copyright law.
18*/
19#include <iostream>
20#include <sstream>
21
22#include <OnixS/Eurex/MarketData/EmdsHandler.h>
23#include <OnixS/Eurex/MarketData/HandlerSettings.h>
24#include <OnixS/Eurex/MarketData/Exception.h>
25
26#include "MyListener.h"
27
28#include "../Common/Signal.h"
29#include "../Common/Options.h"
30#include "../Common/Settings.h"
31
32using namespace OnixS::Eurex::MarketData;
33
35int main(int argc, char* argv[])
36{
37 // `--help` to show options.
38 const Samples::AppConfiguration<
39 Samples::NetworkInterfaceConfiguration
40 , Samples::LogDirectoryConfiguration
41 > cfg{"EMDS", argc, argv};
42
43 try
44 {
45 Samples::SignalHelper::manageSignals();
46
47 MyListener myListener;
48
49 SocketFeedEngine feedEngine;
50 FeedEngineThreadPoolSettings feedEngineThreadPoolSettings;
51 FeedEngineThreadPool pool(feedEngineThreadPoolSettings, &feedEngine);
52
53 auto settings = Samples::makeSettings<EmdsHandlerSettings>(cfg);
54
55 std::clog << "Starting EMDS handler for realtime service" << std::endl;
56 settings.logFileNamePrefix = "emdsRealtime";
57 {
59 settings.settlementFeedDescriptor.serviceA.address = "224.0.50.93";
60 settings.settlementFeedDescriptor.serviceA.port = 59500;
61 settings.settlementFeedDescriptor.serviceB.address = "224.0.50.221";
62 settings.settlementFeedDescriptor.serviceB.port = 59500;
63
64 settings.openInterestFeedDescriptor.serviceA.address = "224.0.50.94";
65 settings.openInterestFeedDescriptor.serviceA.port = 59500;
66 settings.openInterestFeedDescriptor.serviceB.address = "224.0.50.222";
67 settings.openInterestFeedDescriptor.serviceB.port = 59500;
68
69 // Xetra trades(XETR) - ATP
70 settings.exchangeTradeFeedDescriptor.serviceA.address = "224.0.164.120";
71 settings.exchangeTradeFeedDescriptor.serviceA.port = 59500;
72 settings.exchangeTradeFeedDescriptor.serviceB.address = "224.0.165.120";
73 settings.exchangeTradeFeedDescriptor.serviceB.port = 59500;
74 }
75
76 EmdsHandler handlerForRealtime(settings);
77 handlerForRealtime.bindFeedEngine(feedEngine);
78
79 handlerForRealtime.registerErrorListener(&myListener);
80 handlerForRealtime.registerWarningListener(&myListener);
81 handlerForRealtime.registerOpenInterestListener(&myListener);
82 handlerForRealtime.registerSettlementListener(&myListener);
83 handlerForRealtime.start();
84
85 std::clog << "Starting EMDS handler for replay service" << std::endl;
86 settings.logFileNamePrefix = "emdsReplay";
87 {
88 // Simulation environment
89 settings.settlementFeedDescriptor.serviceA.address = "224.0.50.93";
90 settings.settlementFeedDescriptor.serviceA.port = 59501;
91 settings.settlementFeedDescriptor.serviceB.address = "224.0.50.221";
92 settings.settlementFeedDescriptor.serviceB.port = 59501;
93
94 settings.openInterestFeedDescriptor.serviceA.address = "224.0.50.94";
95 settings.openInterestFeedDescriptor.serviceA.port = 59501;
96 settings.openInterestFeedDescriptor.serviceB.address = "224.0.50.222";
97 settings.openInterestFeedDescriptor.serviceB.port = 59501;
98
99 settings.exchangeTradeFeedDescriptor.serviceA.address = "224.0.50.95";
100 settings.exchangeTradeFeedDescriptor.serviceA.port = 59501;
101 settings.exchangeTradeFeedDescriptor.serviceB.address = "224.0.50.223";
102 settings.exchangeTradeFeedDescriptor.serviceB.port = 59501;
103 }
104
105 EmdsHandler handlerForReplay(settings);
106 handlerForReplay.bindFeedEngine(feedEngine);
107
108 handlerForReplay.registerErrorListener(&myListener);
109 handlerForReplay.registerWarningListener(&myListener);
110 handlerForReplay.registerOpenInterestListener(&myListener);
111 handlerForReplay.registerSettlementListener(&myListener);
112 handlerForReplay.registerExchangeTradeListener(&myListener);
113 handlerForReplay.start();
114
115 std::clog << "Starting EMDS handler for replay service for Xetra trades" << std::endl;
116 settings.logFileNamePrefix = "emdsReplayForXetra";
117 {
118 settings.settlementFeedDescriptor.clear();
119 settings.openInterestFeedDescriptor.clear();
120
122 settings.exchangeTradeFeedDescriptor.serviceA.address = "224.0.164.120";
123 settings.exchangeTradeFeedDescriptor.serviceA.port = 59501;
124 settings.exchangeTradeFeedDescriptor.serviceB.address = "224.0.165.120";
125 settings.exchangeTradeFeedDescriptor.serviceB.port = 59501;
126 }
127
128 EmdsHandler handlerForReplayXetra(settings);
129 handlerForReplayXetra.bindFeedEngine(feedEngine);
130
131 handlerForReplayXetra.registerErrorListener(&myListener);
132 handlerForReplayXetra.registerWarningListener(&myListener);
133 handlerForReplayXetra.registerExchangeTradeListener(&myListener);
134 handlerForReplayXetra.start();
135
136 Samples::SignalHelper::waitUntilKey("to stop the handlers");
137
138 std::clog << "Stopping..." << std::endl;
139
140 handlerForRealtime.stop();
141 handlerForReplay.stop();
142 handlerForReplayXetra.stop();
143
144 std::clog << "Handlers are stopped." << std::endl;
145 }
146 catch(const std::exception& ex)
147 {
148 std::cerr << "EXCEPTION: " << ex.what() << std::endl;
149 }
150
151 return 0;
152}
OnixS::Eurex::MarketData::EmdsHandler
Eurex Extended Market Data Service Handler.
Definition EmdsHandler.h:41
OnixS::Eurex::MarketData::FeedEngineThreadPool
A pool of threads executing feed engine tasks.
Definition FeedEngine.h:350
OnixS::Eurex::MarketData::SocketFeedEngine
The given class implements feed engine concept using pool of working threads and standard socket API.
Definition FeedEngine.h:139
1/*
2* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
3*
4* This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
5* and international copyright treaties.
6*
7* Access to and use of the software is governed by the terms of the applicable ONIXS Software
8* Services Agreement(the Agreement) and Customer end user license agreements granting
9* a non-assignable, non-transferable and non-exclusive license to use the software
10* for it's own data processing purposes under the terms defined in the Agreement.
11*
12* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
13* of this source code or associated reference material to any other location for further reproduction
14* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
15*
16* Any reproduction or redistribution for sale or hiring of the Software not in accordance with
17* the terms of the Agreement is a violation of copyright law.
18*/
19#pragma once
20
21#include <OnixS/Eurex/MarketData/ErrorListener.h>
22#include <OnixS/Eurex/MarketData/WarningListener.h>
23#include <OnixS/Eurex/MarketData/OpenInterestListener.h>
24#include <OnixS/Eurex/MarketData/SettlementListener.h>
25#include <OnixS/Eurex/MarketData/ExchangeTradeListener.h>
26#include <OnixS/Eurex/MarketData/Semaphore.h>
27
28class MyListener final
29 : public OnixS::Eurex::MarketData::ErrorListener
30 , public OnixS::Eurex::MarketData::WarningListener
31 , public OnixS::Eurex::MarketData::OpenInterestListener
32 , public OnixS::Eurex::MarketData::SettlementListener
33 , public OnixS::Eurex::MarketData::ExchangeTradeListener
34{
35public:
37 MyListener();
38
40 ~MyListener() override;
41
43 void onError(OnixS::Eurex::MarketData::ErrorCode::Enum code, const std::string& description) override;
44
46 void onWarning(const std::string& description) override;
47
49 void onSettlement(const OnixS::Eurex::MarketData::Settlement& settlement, const OnixS::Eurex::MarketData::DataSource& dataSource) override;
50
52 void onSettlementReplayCycleStart(OnixS::Eurex::MarketData::UInt32, const OnixS::Eurex::MarketData::DataSource&) override {}
53
55 void onSettlementReplayCycleEnd(const OnixS::Eurex::MarketData::DataSource&) override {}
56
58 void onOpenInterest(const OnixS::Eurex::MarketData::OpenInterest& interest, const OnixS::Eurex::MarketData::DataSource& dataSource) override;
59
61 void onOpenInterestReplayCycleStart(OnixS::Eurex::MarketData::UInt32, const OnixS::Eurex::MarketData::DataSource&) override {}
62
64 void onOpenInterestReplayCycleEnd(const OnixS::Eurex::MarketData::DataSource&) override {}
65
67 void onExchangeTrade(const OnixS::Eurex::MarketData::ExchangeTrade& trade, const OnixS::Eurex::MarketData::DataSource& dataSource) override;
68
70 void onExchangeTradeReplayCycleStart(OnixS::Eurex::MarketData::UInt32, const OnixS::Eurex::MarketData::DataSource&) override {}
71
73 void onExchangeTradeReplayCycleEnd(const OnixS::Eurex::MarketData::DataSource&) override {}
74
75private:
77 OnixS::Eurex::MarketData::Semaphore referenceDataReady_;
78};
OnixS::Eurex::MarketData::ErrorListener::onError
virtual void onError(ErrorCode::Enum code, const std::string &description)=0
OnixS::Eurex::MarketData::ExchangeTradeListener::onExchangeTrade
virtual void onExchangeTrade(const ExchangeTrade &trade, const DataSource &dataSource)=0
Is called when single leg OTC trade is received.
OnixS::Eurex::MarketData::ExchangeTradeListener::onExchangeTradeReplayCycleEnd
virtual void onExchangeTradeReplayCycleEnd(const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::ExchangeTradeListener::onExchangeTradeReplayCycleStart
virtual void onExchangeTradeReplayCycleStart(UInt32 mdCount, const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::OpenInterestListener::onOpenInterestReplayCycleEnd
virtual void onOpenInterestReplayCycleEnd(const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::OpenInterestListener::onOpenInterestReplayCycleStart
virtual void onOpenInterestReplayCycleStart(UInt32 mdCount, const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::OpenInterestListener::onOpenInterest
virtual void onOpenInterest(const OpenInterest &interest, const DataSource &dataSource)=0
Is called when open interest is received.
OnixS::Eurex::MarketData::SettlementListener::onSettlement
virtual void onSettlement(const Settlement &settlement, const DataSource &dataSource)=0
Is called when settlement is received.
OnixS::Eurex::MarketData::SettlementListener::onSettlementReplayCycleStart
virtual void onSettlementReplayCycleStart(UInt32 mdCount, const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::SettlementListener::onSettlementReplayCycleEnd
virtual void onSettlementReplayCycleEnd(const DataSource &dataSource)=0
Is called when the corresponding MDReport message is received for the Replay Service.
OnixS::Eurex::MarketData::WarningListener::onWarning
virtual void onWarning(const std::string &reason)=0
Is called when the Warning condition is detected.
OnixS::Eurex::MarketData::UInt32
unsigned int UInt32
Definition Numeric.h:41
OnixS::Eurex::MarketData::ErrorCode::Enum
Enum
Known (selected) error codes.
Definition ErrorListener.h:37
1/*
2* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
3*
4* This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
5* and international copyright treaties.
6*
7* Access to and use of the software is governed by the terms of the applicable ONIXS Software
8* Services Agreement(the Agreement) and Customer end user license agreements granting
9* a non-assignable, non-transferable and non-exclusive license to use the software
10* for it's own data processing purposes under the terms defined in the Agreement.
11*
12* Except as otherwise granted within the terms of the Agreement, copying or reproduction of any part
13* of this source code or associated reference material to any other location for further reproduction
14* or redistribution, and any amendments to this copyright notice, are expressly prohibited.
15*
16* Any reproduction or redistribution for sale or hiring of the Software not in accordance with
17* the terms of the Agreement is a violation of copyright law.
18*/
19#include <iostream>
20#include <sstream>
21
22#include "MyListener.h"
23
24using namespace OnixS::Eurex::MarketData;
25
26/*
27 MyListener
28*/
29
30MyListener::MyListener()
31 : referenceDataReady_(0)
32{
33}
34
35MyListener::~MyListener() = default;
36
37void MyListener::onError(ErrorCode::Enum code, const std::string& description)
38{
39 std::clog << "Error occurred, errorCode = " << enumToString(code) << ". Description: '" << description << "'" << std::endl;
40}
41
42void MyListener::onWarning(const std::string& description)
43{
44 std::clog << "Warning occurred. Description: '" << description << "'" << std::endl;
45}
46
47void MyListener::onSettlement(const Settlement&, const DataSource&)
48{
49}
50
51void MyListener::onOpenInterest(const OpenInterest&, const DataSource&)
52{
53}
54
55void MyListener::onExchangeTrade(const ExchangeTrade&, const DataSource&)
56{
57}
OnixS::Eurex::MarketData::enumToString
std::string enumToString(HandlerState::Enum)
Returns string representation of HandlerState value.