QuoteExecutionReport.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 Event Group Element.
class ONIXS_EUREX_ETI_EXPORT QuoteEventGrpElem
{
public:
    /// Initialize default instance.
    QuoteEventGrpElem();

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

    /// Price of this fill.
    SInt64 quoteEventPx;

    /// Quantity executed in this fill.
    SInt64 quoteEventQty;

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

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

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

    /// Conveys the quote event type.
    QuoteEventType::Enum quoteEventType;

    /// Side of the quote.
    QuoteEventSide::Enum quoteEventSide;

    /// Indicates whether the quote added or removed liquidity.
    QuoteEventLiquidityInd::Enum quoteEventLiquidityInd;

    /// Additional information why quote side was removed.
    QuoteEventReason::Enum quoteEventReason;

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

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

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

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

    /// 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;

    /// Quote events index.
    UInt8 noQuoteEventsIndex;

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

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

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

/// Quote Execution Report Message.
class ONIXS_EUREX_ETI_EXPORT QuoteExecutionReport : public Message
{
public:
    /// Initialize default instance.
    QuoteExecutionReport();

    /// 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;

    /// Transaction timestamp.
    UInt64 execId;

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

    /// Quote Event Group.
    std::vector<QuoteEventGrpElem> quoteEventGrp;

    /// Quote Leg Exec Group.
    std::vector<QuoteLegExecGrpElem> quoteLegExecGrp;

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

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

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

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

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