OnixS Eurex ETI Handler C++ library  9.11.0
API documentation
QuoteExecutionReport.h
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19 
20 #pragma once
21 
22 #include "OnixS/Eurex/Trading/Export.h"
27 
28 #include <iosfwd>
29 #include <string>
30 #include <vector>
31 
32 namespace OnixS {
33 namespace Eurex {
34 namespace Trading {
35 
36 /// Quote Event Group Element.
37 class ONIXS_EUREX_ETI_EXPORT QuoteEventGrpElem
38 {
39 public:
40  /// Initialize default instance.
42 
43  /// The instrument identifier uniquely identifies an instrument in the core system.
45 
46  /// Price of this fill.
48 
49  /// Quantity executed in this fill.
51 
52  /// Customer defined mass quote identifier.
54 
55  /// Unique identifier for each price level of a match event (used for public trade reporting).
57 
58  /// Private identifier of a quote match event, which can be reconciled with the field SideTradeID (1506) in the Trade Capture Report (AE).
60 
61  /// Conveys the quote event type.
63 
64  /// Side of the quote.
66 
67  /// Indicates whether the quote added or removed liquidity.
69 
70  /// Additional information why quote side was removed.
72 
73  /// Returns string representation.
74  std::string toString () const;
75 
76 private:
77  friend class Serializer;
78  QuoteEventGrpElem (const void* data);
79 };
80 
81 ONIXS_EUREX_ETI_EXPORT std::ostream& operator << (std::ostream&, const QuoteEventGrpElem&);
82 
83 /// Quote Leg Exec Group Element.
84 class ONIXS_EUREX_ETI_EXPORT QuoteLegExecGrpElem
85 {
86 public:
87  /// Initialize default instance.
89 
90  /// Instrument identifiier of the leg security.
92 
93  /// Price of this leg fill.
95 
96  /// Quantity executed in this leg fill.
98 
99  /// Private identifier of a leg match event, which can be reconciled with the field SideTradeID (1506) in the Trade Capture Report (AE).
101 
102  /// The side of the individual leg of a strategy.
104 
105  /// Quote events index.
107 
108  /// Returns string representation.
109  std::string toString () const;
110 
111 private:
112  friend class Serializer;
113  QuoteLegExecGrpElem (const void* data);
114 };
115 
116 ONIXS_EUREX_ETI_EXPORT std::ostream& operator << (std::ostream&, const QuoteLegExecGrpElem&);
117 
118 /// Quote Execution Report Message.
119 class ONIXS_EUREX_ETI_EXPORT QuoteExecutionReport : public Message
120 {
121 public:
122  /// Initialize default instance.
124 
125  /// Matching engine out timestamp.
127 
128  /// Is required to define the scope of a Retransmission Request.
130 
131  /// Message key assigned to a order/quote event related Eurex ETI data stream.
133 
134  /// Identifier for subscription and retransmission of an ETI data stream.
136 
137  /// Indicates a retransmission message.
139 
140  /// Indicates whether this message is the last fragment (part) of a sequence of messages belonging to one dedicated transaction.
142 
143  /// Transaction timestamp.
145 
146  /// The product identifier uniquely identifies a Eurex product.
148 
149  /// Quote Event Group.
150  std::vector<QuoteEventGrpElem> quoteEventGrp;
151 
152  /// Quote Leg Exec Group.
153  std::vector<QuoteLegExecGrpElem> quoteLegExecGrp;
154 
155  /// Returns template ID.
156  TemplateId::Enum templateId () const;
157 
158  /// Returns string representation.
159  std::string toString () const;
160 
161 private:
162  friend class Serializer;
163  QuoteExecutionReport (const void* data, size_t dataSize, MessageInfo& msgInfo);
164  void nativeSerializeTo (void* nativeMessage);
165 };
166 
167 ONIXS_EUREX_ETI_EXPORT std::ostream& operator<<(std::ostream&, const QuoteExecutionReport&);
168 
169 }
170 }
171 }
SInt64 quoteEventQty
Quantity executed in this fill.
UInt16 partitionId
Is required to define the scope of a Retransmission Request.
Data applMsgId
Message key assigned to a order/quote event related Eurex ETI data stream.
std::ostream & operator<<(std::ostream &, const ConnectionRetries &)
Enum
Indicates whether this message is the last fragment (part) of a sequence of messages belonging to one...
Definition: Enumerations.h:617
Enum
Indicates a retransmission message.
Definition: Enumerations.h:71
std::vector< QuoteLegExecGrpElem > quoteLegExecGrp
Quote Leg Exec Group.
SInt64 legLastPx
Price of this leg fill.
unsigned char UInt8
Definition: Defines.h:44
unsigned long long UInt64
Definition: Defines.h:47
ApplId::Enum applId
Identifier for subscription and retransmission of an ETI data stream.
SInt64 legSecurityId
Instrument identifiier of the leg security.
Enum
The side of the individual leg of a strategy.
Definition: Enumerations.h:738
SInt64 legLastQty
Quantity executed in this leg fill.
signed int SInt32
Definition: Defines.h:42
QuoteEventLiquidityInd::Enum quoteEventLiquidityInd
Indicates whether the quote added or removed liquidity.
LegSide::Enum legSide
The side of the individual leg of a strategy.
std::vector< QuoteEventGrpElem > quoteEventGrp
Quote Event Group.
QuoteEventReason::Enum quoteEventReason
Additional information why quote side was removed.
LastFragment::Enum lastFragment
Indicates whether this message is the last fragment (part) of a sequence of messages belonging to one...
SInt64 securityId
The instrument identifier uniquely identifies an instrument in the core system.
Message base class.
Definition: Message.h:33
UInt64 quoteMsgId
Customer defined mass quote identifier.
std::vector< UInt8 > Data
Definition: Defines.h:60
Enum
Indicates whether the quote added or removed liquidity.
unsigned int UInt32
Definition: Defines.h:46
signed long long SInt64
Definition: Defines.h:43
SInt32 marketSegmentId
The product identifier uniquely identifies a Eurex product.
QuoteEventType::Enum quoteEventType
Conveys the quote event type.
QuoteEventSide::Enum quoteEventSide
Side of the quote.
UInt32 quoteEventMatchId
Unique identifier for each price level of a match event (used for public trade reporting).
UInt64 trdRegTSTimeOut
Matching engine out timestamp.
Enum
Identifier for subscription and retransmission of an ETI data stream.
Definition: Enumerations.h:34
Enum
Additional information why quote side was removed.
ApplResendFlag::Enum applResendFlag
Indicates a retransmission message.
SInt32 quoteEventExecId
Private identifier of a quote match event, which can be reconciled with the field SideTradeID (1506) ...
unsigned short UInt16
Definition: Defines.h:45
SInt32 legExecId
Private identifier of a leg match event, which can be reconciled with the field SideTradeID (1506) in...
Enum
Conveys the quote event type.