TradeBroadcast.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.
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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.
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 * 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 {

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

    /// 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;

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

    /// Price.
    SInt64 price;

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

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

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

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

    /// Final trade price.
    SInt64 clearingTradePrice;

    /// Final traded quantity.
    SInt64 clearingTradeQty;

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

    /// Exchange Order ID generated by Eurex System; it remains constant over the lifetime of an order.
    UInt64 orderId;

    /// Unique participant defined order request identifier.
    UInt64 clOrdId;

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

    /// Cumulated executed quantity of an order.
    SInt64 cumQty;

    /// 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;

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

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

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

    /// Mass order response identifier generated by the exchange.
    UInt32 massOrderReportId;

    /// Owning Business Unit.
    UInt32 rootPartyIdExecutingUnit;

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

    /// Owning User ID.
    UInt32 rootPartyIdExecutingTrader;

    /// Clearing Business Unit ID.
    UInt32 rootPartyIdClearingUnit;

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

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

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

    /// Business day of the match event.
    UInt32 matchDate;

    /// Unique identifier for each price level of a match event (used for public trade reporting).
    UInt32 trdMatchId;

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

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

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

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

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

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

    /// 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;

    /// The point in the matching process at which this trade was matched.
    MatchType::Enum matchType;

    /// Indicates the auction type the trade originates from.
    MatchSubType::Enum matchSubType;

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

    /// Order initiator is passive or aggressor.
    SideLiquidityInd::Enum sideLiquidityInd;

    /// 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;

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

    /// 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;

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

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

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

    /// 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;

    /// Indicates if the trade notification results from an order or quote.
    OrderCategory::Enum orderCategory;

    /// Order type.
    OrdType::Enum ordType;

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

    /// Side of the order in the original Eurex strategy.
    OrderSide::Enum orderSide;

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

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

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

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

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

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

    /// 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;
    TradeBroadcast (const void* data, size_t dataSize, MessageInfo& msgInfo);
    void nativeSerializeTo (void* nativeMessage);
};

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

}
}
}