TESBroadcast.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.
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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 "OnixS/Eurex/Trading/Messages/EnterTESTradeRequest.h"

#include <iosfwd>
#include <string>
#include <vector>

namespace OnixS { namespace Eurex { namespace Trading {

/// Side Alloc Group BC Element.
class ONIXS_EUREX_ETI_EXPORT SideAllocGrpBCElem
{
public:
    /// Initialize default instance.
    SideAllocGrpBCElem();

    /// Quantity of the particular trade side in the TES trade.
    SInt64 allocQty;

    /// Reversal approval time.
    UInt64 reversalApprovalTime;

    /// Unique identifier for a TES trade side.
    UInt32 individualAllocId;

    /// Enrichment Rule ID for TES trades (to be used only in case of Auto Approval).
    UInt32 tesEnrichmentRuleId;

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

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

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

    /// Status of an allocation in a Trade Entry Service trade.
    TradeAllocStatus::Enum tradeAllocStatus;

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

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

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

/// Trd Clearing Price Leg Group Element.
class ONIXS_EUREX_ETI_EXPORT TrdClearingPriceLegGrpElem
{
public:
    /// Initialize default instance.
    TrdClearingPriceLegGrpElem();

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

    /// Price in clearing notation which can be preliminary or final depending on TradeReportType (856).
    SInt64 legClearingTradePrice;

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

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

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

/// TES Broadcast Message.
class ONIXS_EUREX_ETI_EXPORT TESBroadcast : public Message
{
public:
    /// Initialize default instance.
    TESBroadcast();

    /// 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;

    /// Is required to define the scope of a Retransmission Request.
    UInt16 partitionId;

    /// 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;

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

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

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

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

    /// Trade Closure Time, the time when an Off-Book trade was concluded outside the Eurex System.
    UInt64 transBkdTime;

    /// User defined index price.
    SInt64 relatedClosePrice;

    /// Quantity of the related trade.
    SInt64 relatedTradeQuantity;

    /// Instrument identifier of the originating Eurex strategy.
    SInt64 relatedSecurityId;

    /// Price of the related instrument.
    SInt64 relatedPx;

    /// Nominal value.
    SInt64 underlyingQty;

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

    /// Identifier for a Trade Entry Service trade, i.e TES trade ID.
    UInt32 packageId;

    /// System transaction identifier for a Trade Entry Service transaction.
    UInt32 tesExecId;

    /// Date the underlying instrument will settle.
    UInt32 underlyingSettlementDate;

    /// Underlying security's maturity date.
    UInt32 underlyingMaturityDate;

    /// Identifier of a related trade.
    UInt32 relatedTradeId;

    /// Identifies a related product.
    SInt32 relatedMarketSegmentId;

    /// Auto Approval rule id - only in case of erroneous Auto Approval processing.
    UInt32 autoApprovalRuleId;

    /// Indicates if a trade should be reported via the market reporting service.
    TrdType::Enum trdType;

    /// Identifies the type of trade notification.
    TradeReportType::Enum tradeReportType;

    /// SRQS deal status.
    TrdRptStatus::Enum trdRptStatus;

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

    /// Indicates if a trade should be reported via the market reporting service.
    TradePublishIndicator::Enum tradePublishIndicator;

    /// Settlement institution.
    PartyIdSettlementLocation::Enum partyIdSettlementLocation;

    /// Hedging method.
    HedgeType::Enum hedgeType;

    /// Swap clearer for EFS Trades only.
    SwapClearer::Enum swapClearer;

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

    /// User defined text field.
    std::string tradeReportText;

    /// User defined transaction ID. Part of the TES response and TES broadcast.
    std::string tradeReportId;

    /// Participant Short Name.
    std::string rootPartyExecutingFirm;

    /// Owning User Short Name.
    std::string rootPartyExecutingTrader;

    /// Underlying security's ID.
    std::string underlyingSecurityId;

    /// Description of the Underlying security.
    std::string underlyingSecurityDesc;

    /// Underlying security's currency.
    std::string underlyingCurrency;

    /// The issuer or name of the underlying security.
    std::string underlyingIssuer;

    /// Text.
    std::string varText;

    /// Side Alloc Group BC.
    std::vector<SideAllocGrpBCElem> sideAllocGrpBC;

    /// Trd Instrmnt Leg Group.
    std::vector<TrdInstrmntLegGrpElem> trdInstrmntLegGrp;

    /// Instrument Event Group.
    std::vector<InstrumentEventGrpElem> instrumentEventGrp;

    /// Trd Clearing Price Leg Group.
    std::vector<TrdClearingPriceLegGrpElem> trdClearingPriceLegGrp;

    /// Instrument Attribute Group.
    std::vector<InstrumentAttributeGrpElem> instrumentAttributeGrp;

    /// Underlying Stip Group.
    std::vector<UnderlyingStipGrpElem> underlyingStipGrp;

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

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

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

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

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