TESTradeBroadcast.h

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/*
 * Copyright Onix Solutions Limited [OnixS]. All rights reserved.
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 * This software owned by Onix Solutions Limited [OnixS] and is protected by copyright law
 * and international copyright treaties.
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 * 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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#pragma once

#include "OnixS/Eurex/Trading/Export.h"
#include "OnixS/Eurex/Trading/Defines.h"
#include "OnixS/Eurex/Trading/Enumerations.h"
#include "OnixS/Eurex/Trading/Message.h"
#include "OnixS/Eurex/Trading/MessageInfo.h"

#include <iosfwd>
#include <string>

namespace OnixS {
namespace Eurex {
namespace Trading {

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

    /// 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;

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

    /// Final trade price.
    SInt64 clearingTradePrice;

    /// Final traded quantity.
    SInt64 clearingTradeQty;

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

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

    /// Client Identifier field (ESMA Field 3 (Section A)) used to identify the client of an order for agent account of the member or participant of the trading venue.
    UInt64 rootPartyIdClientId;

    /// Executing Trader data Field (ESMA Field 5 (Section A)) used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction resulting from the order.
    UInt64 executingTrader;

    /// Investment decision within firm (ESMA Field 4 (Section A)) is the code used to identify the person or the algorithm within the member or participant of the Trading Venue who is responsible for the investment decision.
    UInt64 rootPartyIdInvestmentDecisionMaker;

    /// System defined Basket ID.
    UInt64 basketTrdMatchId;

    /// Fill price for the original Eurex strategy.
    SInt64 sideLastPx;

    /// Fill quantity for the original Eurex strategy.
    SInt64 sideLastQty;

    /// User defined index price.
    SInt64 relatedClosePrice;

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

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

    /// Uniquely identifies all order leg allocations referring to the same matching event, simple instrument and price.
    UInt32 tradeId;

    /// Trade date.
    UInt32 tradeDate;

    /// Private trade identifier of an order or quote match event.
    UInt32 sideTradeId;

    /// Identification of the technical session.
    UInt32 rootPartyIdSessionId;

    /// Original trade identifier in case of trade reversals.
    UInt32 origTradeId;

    /// Owning Business Unit.
    UInt32 rootPartyIdExecutingUnit;

    /// Owning User ID.
    UInt32 rootPartyIdExecutingTrader;

    /// Clearing Business Unit ID.
    UInt32 rootPartyIdClearingUnit;

    /// Identifier that links all trades resulting from a match step of a strategy order.
    UInt32 strategyLinkId;

    /// Product identifier of the original Eurex strategy.
    SInt32 relatedSymbol;

    /// Number of leg executions of the original strategy order.
    SInt32 totNumTradeReports;

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

    /// Trade ID out of a SRQS Negotiation Event.
    UInt32 srqsRelatedTradeId;

    /// ID of the Basket profile.
    UInt32 basketProfileId;

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

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

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

    /// Instrument type of the original Eurex strategy.
    RelatedProductComplex::Enum relatedProductComplex;

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

    /// This field designates if the trader is acting in the capacity of agent, trading for its own account or acting as a market maker.
    TradingCapacity::Enum tradingCapacity;

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

    /// Identifies the role for which the trade notification is received.
    TransferReason::Enum transferReason;

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

    /// Indicates if the trade resulted from a single order or a multi leg order.
    MultiLegReportingType::Enum multiLegReportingType;

    /// Field is used for Eurex position management purposes and indicates whether the order is submitted to open or close a position.
    PositionEffect::Enum positionEffect;

    /// Price decomposition method for legs of a complex instrument.
    MultilegPriceModel::Enum multilegPriceModel;

    /// Order attribute liquidity provision.
    OrderAttributeLiquidityProvision::Enum orderAttributeLiquidityProvision;

    /// Order attribute risk reduction.
    OrderAttributeRiskReduction::Enum orderAttributeRiskReduction;

    /// Qualifier for field ExecutingTrader. It is required to distinguish between natural persons and Algos.
    ExecutingTraderQualifier::Enum executingTraderQualifier;

    /// Qualifier for field PartyIdInvestmentDecisionMaker. Members/participants will have the possibility to specify an Investment qualifier value to distinguish between natural persons and Algos.
    RootPartyIdInvestmentDecisionMakerQualifier::Enum rootPartyIdInvestmentDecisionMakerQualifier;

    /// Order origination, MiFID field - to indicate order received from a direct access or sponsored access customer.
    OrderOrigination::Enum orderOrigination;

    /// Indicator whether the reversal of the TES trade is electronically requested or not.
    ReversalIndicator::Enum reversalIndicator;

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

    /// Account to book trades and keep positions on.
    std::string account;

    /// Flex Account information.
    std::string rootPartyIdPositionAccount;

    /// Identifies the source of an order, in accordance with the FIA guidelines for a rate Identifier. The field is for participant use only. Valid characters: 0x20, 0x22-0x7B, 0x7D, 0x7E.
    CustOrderHandlingInst::Enum custOrderHandlingInst;

    /// First free-format text field for trader-specific or customer-related comments.
    std::string freeText1;

    /// Second free-format text field for trader-specific or customer-related comments.
    std::string freeText2;

    /// Third free-format text field for trader-specific or customer-related comments.
    std::string freeText3;

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

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

    /// Clearing Member Short Name.
    std::string rootPartyClearingFirm;

    /// Clearing House Short Name.
    std::string rootPartyClearingOrganization;

    /// Mandatory final KRX beneficiary account required for orders in KRX products.
    std::string rootPartyIdBeneficiary;

    /// Indicates the name of a member institution to which a give-up is designated.
    std::string rootPartyIdTakeUpTradingFirm;

    /// KRX Member ID.
    std::string rootPartyIdOrderOriginationFirm;

    /// Root party ID execution venue.
    std::string rootPartyIdExecutionVenue;

    /// TVTIC - Trading Venue Transaction Identification Code.
    std::string regulatoryTradeId;

    /// The identifier of the basket member counterparty institution.
    std::string basketPartyContraFirm;

    /// User defined Basket trade ID.
    std::string basketSideTradeReportId;

    /// This field indicates the Fee Code associated with the transaction.
    std::string feeIdntCode;

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

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

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

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

}
}
}