CLIPExecutionNotification.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/Trading/Defines.h"
#include "OnixS/Eurex/Trading/Enumerations.h"
#include "OnixS/Eurex/Trading/Export.h"
#include "OnixS/Eurex/Trading/Message.h"
#include "OnixS/Eurex/Trading/MessageInfo.h"

#include <iosfwd>
#include <string>
#include <vector>

namespace OnixS { namespace Eurex { namespace Trading {

/// Fills Group Element.
class ONIXS_EUREX_ETI_EXPORT FillsGrpElem
{
public:
    /// Initialize default instance.
    FillsGrpElem();

    /// Price of Fill.
    SInt64 fillPx;

    /// Quantity of Fill.
    SInt64 fillQty;

    /// Unique identifier for each price level of a match event (used for public trade reporting).
    UInt32 fillMatchId;

    /// Private identifier of an order match event, which can be reconciled with the field SideTradeID (1506) in the
    /// Trade Capture Report (AE).
    SInt32 fillExecId;

    /// Indicates whether the order added or removed liquidity.
    FillLiquidityInd::Enum fillLiquidityInd;

    /// Returns string representation.
    std::string toString() const;

private:
    friend class Serializer;
    FillsGrpElem(const void* data);
};

ONIXS_EUREX_ETI_EXPORT std::ostream& operator<<(std::ostream&, const FillsGrpElem&);

/// Instrmnt Leg Exec Group Element.
class ONIXS_EUREX_ETI_EXPORT InstrmntLegExecGrpElem
{
public:
    /// Initialize default instance.
    InstrmntLegExecGrpElem();

    /// Instrument identifiier of the leg security.
    SInt64 legSecurityId;

    /// Price of this leg fill.
    SInt64 legLastPx;

    /// Quantity executed in this leg fill.
    SInt64 legLastQty;

    /// Private identifier of a leg match event, which can be reconciled with the field SideTradeID (1506) in the Trade
    /// Capture Report (AE).
    SInt32 legExecId;

    /// The side of the individual leg of a strategy.
    LegSide::Enum legSide;

    /// Reference to the corresponding FillsGrp repeating group instance.
    UInt8 fillRefId;

    /// Returns string representation.
    std::string toString() const;

private:
    friend class Serializer;
    InstrmntLegExecGrpElem(const void* data);
};

ONIXS_EUREX_ETI_EXPORT std::ostream& operator<<(std::ostream&, const InstrmntLegExecGrpElem&);

/// CLIP Execution Notification Message.
class ONIXS_EUREX_ETI_EXPORT CLIPExecutionNotification : public Message
{
public:
    /// Initialize default instance.
    CLIPExecutionNotification();

    /// Matching engine out timestamp.
    UInt64 trdRegTSTimeOut;

    /// Is required to define the scope of a Retransmission Request.
    UInt16 partitionId;

    /// Message key assigned to a order/quote event related Eurex ETI data stream.
    Data applMsgId;

    /// Identifier for subscription and retransmission of an ETI data stream.
    ApplId::Enum applId;

    /// Indicates a retransmission message.
    ApplResendFlag::Enum applResendFlag;

    /// Indicates whether this message is the last fragment (part) of a sequence of messages belonging to one dedicated
    /// transaction.
    LastFragment::Enum lastFragment;

    /// Unique participant defined order request identifier.
    UInt64 clOrdId;

    /// ClOrdID (11) of the last successfully processed task (request) referring to the specific order; used for client
    /// order ID chaining.
    UInt64 origClOrdId;

    /// Exchange Order ID generated by Eurex System; it remains constant over the lifetime of an order.
    UInt64 orderId;

    /// Transaction timestamp.
    UInt64 execId;

    /// The instrument identifier uniquely identifies an instrument in the core system.
    SInt64 securityId;

    /// Total quantity cancelled for this order.
    SInt64 cxlQty;

    /// Remaining quantity of an order.
    SInt64 leavesQty;

    /// Cumulated executed quantity of an order.
    SInt64 cumQty;

    /// The product identifier uniquely identifies a Eurex product.
    SInt32 marketSegmentId;

    /// Code to further qualify the field ExecType (150) of the Execution Report (8) message.
    ExecRestatementReason::Enum execRestatementReason;

    /// This field qualifies an instrument type on Eurex.
    ProductComplex::Enum productComplex;

    /// Side of the order.
    Side::Enum side;

    /// Conveys the current status of an order.
    OrdStatus::Enum ordStatus;

    /// The reason why this message was generated.
    ExecType::Enum execType;

    /// The point in the matching process at which this trade was matched.
    MatchType::Enum matchType;

    /// Fills Group.
    std::vector<FillsGrpElem> fillsGrp;

    /// Instrmnt Leg Exec Group.
    std::vector<InstrmntLegExecGrpElem> instrmntLegExecGrp;

    /// Returns template ID.
    TemplateId::Enum templateId() const;

    /// Returns string representation.
    std::string toString() const;

private:
    friend class Serializer;
    CLIPExecutionNotification(const void* data, size_t dataSize, MessageInfo& msgInfo);
    void nativeSerializeTo(void* nativeMessage);
};

ONIXS_EUREX_ETI_EXPORT std::ostream& operator<<(std::ostream&, const CLIPExecutionNotification&);

}}} // namespace OnixS::Eurex::Trading