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/Export.h"
#include "OnixS/Eurex/Trading/Defines.h"
#include "OnixS/Eurex/Trading/Enumerations.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;

    /// 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&);

}
}
}