TopOfBook.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 TopOfBookMsg : 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);
        }

        /// Venue from which market data is received for the instrument.
        SourceVenue::Enum sourceVenue() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return enumeration<SourceVenue>(19);
        }

        /// Aggregated size of all bid market orders. Value will be 0 if there are no market orders.
        Size bidMarketSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(21));
        }

        /// Price of the best buy limit order. The Implied Bid Price for an instrument only traded on yield.
        Price bidLimitPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(29));
        }

        /// Yield of the best buy Limit order.
        Price bidYield() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(37));
        }

        /// Aggregated size of all orders at the best buy limit price.
        Size bidLimitSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(45));
        }

        /// Aggregated size of all offer market orders. Value will be 0 if there are no market orders.
        Size offerMarketSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(53));
        }

        /// Price of the best sell limit order. Implied Offer Price for an instrument only traded on yield.
        Price offerLimitPrice() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(61));
        }

        /// Yield of the best offer Limit order.
        Price offerYield() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Price(ordinary<UInt64>(69));
        }

        /// Aggregated size of all orders at the best sell limit price.
        Size offerLimitSize() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return Size(ordinary<UInt64>(77));
        }

        /// 
        OrderBookType::Enum orderBookType() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return enumeration<OrderBookType>(85);
        }

        /// 
        BitField flags() const
        ONIXS_EUROTLX_GTP_NOTHROW
        {
            return ordinary<BitField>(86);
        }

        /// Total message size.
        static ONIXS_EUROTLX_GTP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 87;

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

        /// Initializes instance over given memory block.
        TopOfBookMsg(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 TopOfBookMsg&);

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

}
}
}
}