MassQuoteRequest.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 {

/// Quote Entry Group Element.
class ONIXS_EUREX_ETI_EXPORT QuoteEntryGrpElem
{
public:
    /// Initialize default instance.
    QuoteEntryGrpElem();

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

    /// Bid price/rate.
    SInt64 bidPx;

    /// Quantity of bid.
    SInt64 bidSize;

    /// Offer price/rate.
    SInt64 offerPx;

    /// Quantity of offer.
    SInt64 offerSize;

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

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

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

/// Mass Quote Request Message.
class ONIXS_EUREX_ETI_EXPORT MassQuoteRequest : public Message
{
public:
    /// Initialize default instance.
    MassQuoteRequest();

    /// User ID.
    UInt32 senderSubId;

    /// Customer defined mass quote identifier.
    UInt64 quoteId;

    /// Investment decision within firm (ESMA Field 4 (Section A)) is the code used to identify the person or the
    /// algorithm within the member or participant of the Trading Venue who is responsible for the investment decision.
    UInt64 partyIdInvestmentDecisionMaker;

    /// Executing Trader data Field (ESMA Field 5 (Section A)) used to identify the person or algorithm within the
    /// member or participant of the trading venue who is responsible for the execution of the transaction resulting
    /// from the order.
    UInt64 executingTrader;

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

    /// Self Match Prevention ID.
    UInt32 matchInstCrossId;

    /// Identifies an enrichment rule.
    UInt16 enrichmentRuleId;

    /// Indicate the instruction for SMP. If MatchInstCrossID (28744) is set then the default value for
    /// SelfMatchPreventionInstruction is 100 (Reject cross on business unit level).
    SelfMatchPreventionInstruction::Enum selfMatchPreventionInstruction;

    /// Indicate the instruction for SMP. Applicable only when MatchInstCrossID (28744) is set. When
    /// CrossMatchInstruction is not set the default value is defined by the exchange.
    CrossMatchInstruction::Enum crossMatchInstruction;

    /// Indicator how price validity check should be performed by the exchange.
    PriceValidityCheckType::Enum priceValidityCheckType;

    /// Indicator for checking the maximum order/quote value by the exchange.
    ValueCheckTypeValue::Enum valueCheckTypeValue;

    /// Identifies the quoting model.
    QuoteSizeType::Enum quoteSizeType;

    /// Quote type.
    QuoteType::Enum quoteType;

    /// Order attribute liquidity provision.
    OrderAttributeLiquidityProvision::Enum orderAttributeLiquidityProvision;

    /// Party ID investment decision maker qualifier.
    PartyIdInvestmentDecisionMakerQualifier::Enum partyIdInvestmentDecisionMakerQualifier;

    /// Qualifier for field ExecutingTrader. It is required to distinguish between natural persons and Algos.
    ExecutingTraderQualifier::Enum executingTraderQualifier;

    /// Quote Entry Group.
    std::vector<QuoteEntryGrpElem> quoteEntryGrp;

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

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

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

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

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