InstrumentDirectory.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/FenicsUST/MarketData/Bimp/ABI.h>
#include <OnixS/FenicsUST/MarketData/Bimp/Defines.h>
#include <OnixS/FenicsUST/MarketData/Bimp/Enumerations.h>
#include <OnixS/FenicsUST/MarketData/Bimp/BinaryMessage.h>


namespace OnixS {
namespace FenicsUST {
namespace MarketData {
namespace Bimp {

    /// Instrument Directory
    struct InstrumentDirectoryMsg : public BinaryMessage
    {
        /// Instrument locate code assigned to the security for the day.
        Integer4 instrumentLocate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer4>(1);
        }

        /// Timestamp for this message. Expressed as the number of nanoseconds since Unix Epoch (00:00:00 UTC on
        /// 1 January 1970).
        Integer8 timestamp() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(5);
        }

        /// The unique numeric instrument identification number, used as the primary identifier for order
        /// management via the BOP protocol.
        Integer8 instrumentId() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(13);
        }

        /// Legacy Instrument Symbol. Deprecated but provided for backward compatibility.
        StrRef legacySymbol() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<20>(21);
        }

        /// Instrument Symbol Suffix
        StrRef symbolSuffix() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<10>(41);
        }

        /// Instrument description
        StrRef description() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<30>(51);
        }

        /// Instrument CUSIP / ISIN if applicable.
        StrRef industryIdentifier() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<12>(81);
        }

        /// Type of the content of the Industry Identifier
        IndustryIdentifierType::Enum industryIdentifierType() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<IndustryIdentifierType>(93);
        }

        /// Instrument Type
        InstrumentType::Enum instrumentType() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<InstrumentType>(94);
        }

        /// Instrument Sub Type
        StrRef instrumentSubType() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<2>(95);
        }

        /// ISO currency code.
        StrRef currency() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<3>(97);
        }

        /// The minimum quantity than can be used on an order. For Block Book instruments, this is applicable to
        /// aggressive orders.
        Integer8 minimumOrderSize() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(100);
        }

        /// The maximum quantity that can be used on an order. Applicable to Block Book instruments only.
        Integer8 maximumOrderSize() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(108);
        }

        /// Incremental order size.
        Integer8 roundLotSize() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(116);
        }

        /// Price Type
        PriceType::Enum priceType() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<PriceType>(124);
        }

        /// The minimum decimal price increment scaled as per a price field.
        Integer8 decimalPriceTick() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(126);
        }

        /// The minimum fractional price increment, expressed as a decimal and scaled as per a price field.
        Integer8 fractionalPriceTick() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(134);
        }

        /// Match Algorithm
        MatchAlgorithm::Enum matchAlgorithm() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<MatchAlgorithm>(142);
        }

        /// The instrument locate code for the first leg of a multi-leg instrument.
        Integer4 legOneInstrumentLocate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer4>(143);
        }

        /// Leg One Side
        Side::Enum legOneSide() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<Side>(147);
        }

        /// The instrument locate code for the first leg of a multi-leg instrument.
        Integer4 legTwoInstrumentLocate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer4>(148);
        }

        /// Leg Two Side
        Side::Enum legTwoSide() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<Side>(152);
        }

        /// The instrument locate code for the third leg of a multi-leg instrument.
        Integer4 legThreeInstrumentLocate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer4>(153);
        }

        /// Leg Three Side
        Side::Enum legThreeSide() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<Side>(157);
        }

        /// Authenticity
        Authenticity::Enum authenticity() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<Authenticity>(158);
        }

        /// Instrument Symbol (supersedes the Legacy Symbol above)
        StrRef enhancedSymbol() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<30>(159);
        }

        /// Issue Date (YYYYMMDD)
        StrRef issueDate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<8>(189);
        }

        /// Maturity Date (YYYYMMDD)
        StrRef maturityDate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<8>(197);
        }

        /// Settlement Date (YYYYMMDD)
        StrRef settlementDate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<8>(205);
        }

        /// Accrual Date (YYYYMMDD)
        StrRef interestAccrualDate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<8>(213);
        }

        /// Block tier identifier in increasing order sizes.
        BlockTierId::Enum blockTierId() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<BlockTierId>(221);
        }

        /// The coupon rate scaled as per a price field.
        Integer8 couponRate() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(222);
        }

        /// Market Identifier Code (MIC) (ISO 10383).
        StrRef mIC() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<4>(230);
        }

        /// CFI code
        StrRef cFIcode() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return fixedStr<6>(234);
        }

        /// Illiquid Instrument
        YesOrNo::Enum illiquidInstrument() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return enumeration<YesOrNo>(240);
        }

        /// MIFID II Large-in-Scale (LIS) threshold for pre-trade transparency
        Integer8 thresholdLIS() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(241);
        }

        /// Future use.
        Integer8 sizeThresholdSSTI() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(249);
        }

        /// The amount that price related fields are scaled to allow them to be expressed as integers.
        Integer8 priceMultiplier() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(257);
        }

        /// The ratio of quantity for the leg two instrument relative to the entire multileg security.
        Integer8 legTwoRatioQty() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(265);
        }

        /// The ratio of quantity for the leg one instrument relative to the entire multileg security.
        Integer8 legOneRatioQty() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(273);
        }

        /// Clients who are permitted to submit directed orders are limited in the quantity they can direct.
        Integer8 maximumDirectedStreamingMultiplier() const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(281);
        }

        /// The minimum quantity that can be used on an Iceberg order.
        bool minimumIcebergOrderSize(Integer8& value) const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            if (binarySize() < 289 + sizeof(Integer8))
                return false;

            value = ordinary<Integer8>(289);
            return true;
        }

        /// Trade Date (YYYYMMDD)
        bool tradeDate(Integer4& value) const
        ONIXS_FENICSUST_BIMP_NOTHROW
        {
            if (binarySize() < 297 + sizeof(Integer4))
                return false;

            value = ordinary<Integer4>(297);
            return true;
        }

        /// Total message size.
        static ONIXS_FENICSUST_BIMP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 301;

        /// Min message size.
        static ONIXS_FENICSUST_BIMP_CONST_OR_CONSTEXPR MessageSize minMessageSize_ = 289;

        /// Check the given size.
        static void validateSize(MessageSize size)
        {
            if (ONIXS_FENICSUST_BIMP_CHECK_EXPECT((size < minMessageSize_), false))
                throwIncorrectSize("InstrumentDirectory", size, minMessageSize_);
        }

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

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

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

}
}
}
}