InquireMMParameterResponse.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.
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 * Any reproduction or redistribution for sale or hiring of the Software not in accordance with
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 */

#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 {

/// MM Parameter Group Element.
class ONIXS_EUREX_ETI_EXPORT MMParameterGrpElem
{
public:
    /// Initialize default instance.
    MMParameterGrpElem();

    /// Participant defined time frame the risk protection parameters should be counted.
    SInt64 exposureDuration;

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

    /// Absolute number of (long calls + short puts) - (short calls + long puts).
    SInt64 delta;

    /// Absolute number of contracts purchased reduced by the number of contracts sold.
    SInt64 vega;

    /// Percentage threshold: the system counts each trade as a percentage of the original volume and sums the
    /// percentages.
    SInt32 pctCount;

    /// Owning Session ID.
    UInt32 targetPartyIdSessionId;

    /// Action for reaching risk limit.
    MMRiskLimitActionType::Enum mmRiskLimitActionType;

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

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

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

/// Inquire MM Parameter Response Message.
class ONIXS_EUREX_ETI_EXPORT InquireMMParameterResponse : public Message
{
public:
    /// Initialize default instance.
    InquireMMParameterResponse();

    /// Matching engine in timestamp.
    UInt64 trdRegTSTimeIn;

    /// Matching engine out timestamp.
    UInt64 trdRegTSTimeOut;

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

    /// Transaction timestamp.
    UInt64 mmParameterReportId;

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

    /// MM Parameter Group.
    std::vector<MMParameterGrpElem> mmParameterGrp;

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

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

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

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

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