SRQSOpenNegotiationNotification.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
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 * 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 {

/// Quot Req Legs Group Element.
class ONIXS_EUREX_ETI_EXPORT QuotReqLegsGrpElem
{
public:
    /// Initialize default instance.
    QuotReqLegsGrpElem();

    /// Instrument identifiier of the leg security.
    SInt64 legSecurityId;

    /// The ratio of quantity for this individual leg relative to the entire multileg security.
    UInt32 legRatioQty;

    /// Product identifiier of the leg security.
    SInt32 legSymbol;

    /// Indicates type of leg.
    LegSecurityType::Enum legSecurityType;

    /// The side of the individual leg of a strategy.
    LegSide::Enum legSide;

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

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

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

/// SRQS Open Negotiation Notification Message.
class ONIXS_EUREX_ETI_EXPORT SRQSOpenNegotiationNotification : public Message
{
public:
    /// Initialize default instance.
    SRQSOpenNegotiationNotification();

    /// Message sequence number assigned to a non-order related Eurex ETI data stream.
    UInt64 applSeqNum;

    /// Unique ID assigned by the Eurex system during broadcast subscription in order to link broadcasts to the related
    /// subscription.
    UInt32 applSubId;

    /// Indicates a retransmission message.
    ApplResendFlag::Enum applResendFlag;

    /// Identifier for subscription and retransmission of an ETI data stream.
    ApplId::Enum applId;

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

    /// Timestamp of the match event (trade).
    UInt64 transactTime;

    /// Start time of SRQS negotiation.
    UInt64 negotiationStartTime;

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

    /// Bid price/rate.
    SInt64 bidPx;

    /// Offer price/rate.
    SInt64 offerPx;

    /// Remaining quantity of an order.
    SInt64 leavesQty;

    /// Quantity executed in this leg fill.
    SInt64 lastQty;

    /// Price of this leg fill.
    SInt64 lastPx;

    /// Underlying reference price for an option (for option strategies).
    SInt64 quoteRefPrice;

    /// The underlying delta of a Vola-Strategy.
    SInt64 underlyingDeltaPercentage;

    /// Time a message expires.
    UInt64 expireTime;

    /// Ratio indicating amount of Trades to RFQ requested.
    SInt64 tradeToRequestRatio;

    /// Ratio of Trades to Quotes.
    SInt64 tradeToQuoteRatio;

    /// ID of a SRQS negotiation.
    UInt32 negotiationId;

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

    /// This field indicates the type of a Eurex futures spread, Eurex option combination or Eurex Strategy.
    SInt32 securitySubType;

    /// Total number of Respondents in a SRQS event.
    UInt32 numberOfRespondents;

    /// Ranking position of Ratio of Trades to Quotes.
    UInt16 tradeToQuoteRatioPosition;

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

    /// Sub-type or qualifier of QuoteType.
    QuoteSubType::Enum quoteSubType;

    /// Side of the order.
    Side::Enum side;

    /// This field qualifies an instrument type on Eurex.
    ProductComplex::Enum productComplex;

    /// Specifies the type of respondents requested.
    RespondentType::Enum respondentType;

    /// Trade Aggregation Identifier.
    TradeAggregationTransType::Enum tradeAggregationTransType;

    /// Status of the quote.
    QuoteCondition::Enum quoteCondition;

    /// Owning business unit name.
    std::string partyExecutingFirm;

    /// Owning user name.
    std::string partyExecutingTrader;

    /// The entering user.
    std::string partyEnteringTrader;

    /// Name of the target business unit.
    std::string targetPartyExecutingFirm;

    /// Name of the target trader name.
    std::string targetPartyExecutingTrader;

    /// User defined ID of a SRQS negotiation.
    std::string firmNegotiationId;

    /// Text field.
    std::string freeText5;

    /// Buy-side user information.
    std::string partyOrderOriginationTrader;

    /// Charge ID of Third Party Platform.
    std::string chargeId;

    /// Quot Req Legs Group.
    std::vector<QuotReqLegsGrpElem> quotReqLegsGrp;

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

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

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

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

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