Trade.h

Go to the documentation of this file.

/*
* 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/FmxUST/MarketData/Bimp/ABI.h>
#include <OnixS/FmxUST/MarketData/Bimp/Defines.h>
#include <OnixS/FmxUST/MarketData/Bimp/Enumerations.h>
#include <OnixS/FmxUST/MarketData/Bimp/BinaryMessage.h>


namespace OnixS {
namespace FmxUST {
namespace MarketData {
namespace Bimp {

    /// The trade message is designed to provide execution details for match events involving non-displayable order types.
    struct TradeMsg : public BinaryMessage
    {
        /// Instrument locate code identifying the instrument.
        Integer4 instrumentLocate() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer4>(1);
        }

        /// Fenics USTreasuries internal tracking/sequence number.
        Integer8 trackingNumber() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(5);
        }

        /// 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_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(13);
        }

        /// The Fenics USTreasuries generated identifier for this order.
        Integer8 orderReferenceNumber() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(21);
        }

        /// Total quantity of the order that matched within this execution.
        Integer8 executedQuantity() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(29);
        }

        /// Assigned by Fenics USTreasuries to each execution that occurs.
        Integer8 tradeIdentifier() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<Integer8>(37);
        }

        /// Price at which this execution occurred.
        SignedInteger8 executionPrice() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return ordinary<SignedInteger8>(45);
        }

        /// Side
        Side::Enum side() const
        ONIXS_FMXUST_BIMP_NOTHROW
        {
            return enumeration<Side>(53);
        }

        /// Total message size.
        static ONIXS_FMXUST_BIMP_CONST_OR_CONSTEXPR MessageSize messageSize_ = 54;

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

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

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

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

}
}
}
}