SRQSQuoteSnapshotNotification.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 {

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

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

    /// Time a message expires.
    UInt64 expireTime;

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

    /// Identifier of the replaced quote.
    UInt64 secondaryQuoteId;

    /// Bid price/rate.
    SInt64 bidPx;

    /// Quantity of bid.
    SInt64 bidSize;

    /// Offer price/rate.
    SInt64 offerPx;

    /// Quantity of offer.
    SInt64 offerSize;

    /// Underlying price associate with a derivative instrument.
    SInt64 underlyingPx;

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

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

    /// Owning User ID.
    UInt32 partyIdExecutingTrader;

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

    /// Quoting status for the executing party.
    QuotingStatus::Enum quotingStatus;

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

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

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

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

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

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

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

/// SRQS Quote Snapshot Notification Message.
class ONIXS_EUREX_ETI_EXPORT SRQSQuoteSnapshotNotification : public Message
{
public:
    /// Initialize default instance.
    SRQSQuoteSnapshotNotification();

    /// 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;

    /// Receiver of a message.
    MessageEventSource::Enum messageEventSource;

    /// SRQS Quote Entry Group.
    std::vector<SRQSQuoteEntryGrpElem> sRQSQuoteEntryGrp;

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

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

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

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

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