StatisticsSnapshot.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 <vector>

#include <OnixS/EuroTLX/MarketData/GTP/ABI.h>
#include <OnixS/EuroTLX/MarketData/GTP/Defines.h>
#include <OnixS/EuroTLX/MarketData/GTP/Enumerations.h>
#include <OnixS/EuroTLX/MarketData/GTP/BinaryMessage.h>


namespace OnixS {
namespace EuroTLX {
namespace MarketData {
namespace GTP {

    /// 
    struct StatisticsSnapshotMsg : public BinaryMessage
    {
        /// Time the message was generated.
        UDT timestamp() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<UDT>(3);
        }

        /// GTP Instrument identifier.
        UInt64 instrument() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<UInt64>(11);
        }

        /// Source venue.
        SourceVenue::Enum sourceVenue() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return enumeration<SourceVenue>(19);
        }

        /// Cumulative volume of all trades for the trading day.
        Size4 volume() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size4(ordinary<UInt64>(21));
        }

        /// Cumulative volume for the trading day excluding off-book trades.
        Size4 volumeOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size4(ordinary<UInt64>(29));
        }

        /// Volume weighted average price for the day for all trades.
        Price4 vwap() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price4(ordinary<UInt64>(37));
        }

        /// Volume weighted average price for the day excluding off-book trades.
        Price4 vwapOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price4(ordinary<UInt64>(45));
        }

        /// Count of all trades for the day.
        UInt32 numberOfTrades() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<UInt32>(53);
        }

        /// Count of trades for the day excluding off-book trades.
        UInt32 numberOfTradesOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<UInt32>(57);
        }

        /// Turnover of all trades for the day.
        Price4 turnover() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price4(ordinary<UInt64>(61));
        }

        /// Turnover for the day excluding off-book trades.
        Price4 turnoverOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price4(ordinary<UInt64>(69));
        }

        /// Official Opening Price for the instrument.
        Price officialOpeningPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(77));
        }

        /// Official Closing Price for the instrument.
        Price officialClosingPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(85));
        }

        /// Current trading day high price excluding off-book trades.
        Price tradeHighOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(93));
        }

        /// Current trading day low price excluding off-book trades.
        Price tradeLowOnBookOnly() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(101));
        }

        /// Current trading day high price of all trades.
        Price tradeHigh() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(109));
        }

        /// Current trading day low price of all trades.
        Price tradeLow() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(117));
        }

        /// 52-week high price of all trades.
        Price tradeHigh52week() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(125));
        }

        /// 52-week low price of all trades.
        Price tradeLow52week() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(133));
        }

        /// 
        Byte openingPriceIndicator() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinaryRef<Byte>(141);
        }

        /// 
        Byte closingPriceIndicator() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinaryRef<Byte>(142);
        }

        /// Contains the last reported Indicative Auction Crossing Price/Yield.
        Price iAUPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(143));
        }

        /// Quantity to be matched at the last reported indicative price.
        Size iAUPairedSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(151));
        }

        /// Quantity that was eligible to be matched at the indicative price but was not to be matched at the
        /// last indicative price.
        Size imbalanceQuantity() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(159));
        }

        /// Imbalance Direction.
        ImbalanceDirection::Enum imbalanceDirection() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return enumeration<ImbalanceDirection>(167);
        }

        /// The best bid price at the time the instrument moves into closing auction session.
        Price bestClosingBidPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(168));
        }

        /// The best offer price at the time the instrument moves into closing auction session.
        Price bestClosingAskPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(176));
        }

        /// The best bid size at the time the instrument moves into closing auction session.
        Size bestClosingBidSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(184));
        }

        /// The best offer size at the time the instrument moves into closing auction session.
        Size bestClosingAskSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(192));
        }

        /// Current trading day high price of off-book trades.
        Price tradeHighOffBook() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(200));
        }

        /// Current trading day low price of off-book trades.
        Price tradeLowOffBook() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(208));
        }

        /// Total of unsettled derivatives contracts.
        Size openInterest() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(216));
        }

        /// Derivatives volatility.
        Price volatility() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(224));
        }

        /// Auction Type
        AuctionType::Enum auctionType() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return enumeration<AuctionType>(232);
        }

        /// Executed price at which the instrument was last traded. If no relevant trades have taken place the
        /// value 0 will be populated.
        Price lastTradePrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(233));
        }

        /// Executed quantity of the trade which set the Last Trade Price. If no relevant trades have taken
        /// place the value 0 will be populated.
        Size lastTradeQuantity() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(241));
        }

        /// Transaction time of the trade which set the Last Trade Price. If no relevant trades have taken place
        /// the value 0 will be populated.
        UDT lastTradeTime() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<UDT>(249);
        }

        /// Reference Price as reported by the source venue. (Specific to BIT/TLX)
        Price staticReferencePrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(257));
        }

        /// Reference Price as reported by the source venue. (Specific to BIT/TLX)
        Price dynamicReferencePrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(265));
        }

        /// Total message size.
        static ONIXS_EUROTLX_GTP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 273;

        /// Check the given size.
        static void validateSize(MessageSize size)
        {
            if(size < messageSize_)
                throwIncorrectSize("StatisticsSnapshot", size, messageSize_);
        }

        /// Initializes instance over given memory block.
        StatisticsSnapshotMsg(const void* data, MessageSize size)
        ONIXS_EUROTLX_GTP_NOTHROW
            : BinaryMessage(data, size)
        {
        }
    };

    /// Serializes object into string.
    ONIXS_EUROTLX_GTP_API void toStr(std::string&, const StatisticsSnapshotMsg&);

    /// Serializes object into string.
    inline std::string toStr(const StatisticsSnapshotMsg& msg)
    {
        std::string str;
        toStr(str, msg);
        return str;
    }

}
}
}
}