TradeBroadcast.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.
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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
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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>

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&);

}}}