AddModifyOrder.h

Go to the documentation of this file.

/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::AddModifyOrder` message structure
 */
/*
 * Copyright (c) Onix Solutions Limited. All rights reserved.
 *
 * This software owned by Onix Solutions Limited 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 "../Export.h"
#include "../Types.h"
#include "../Enumerations.h"

#include <iosfwd>
#include <string>

namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {

/// This class represents the Add/Modify Order Message.
struct ONIXS_ICEMDH_EXPORT AddModifyOrder
{
    /// Message type constant
    enum  { messageType = 'E' };

    /// Unique identifier of the market.
    MarketId marketId;

    /// Unique identifier of the order.
    OrderId orderId;

    /// Sequence ID of the order. When an order is modified, this will be
    /// incremented while OrderID remains the same. It is for legacy reason
    /// and can be ignored.
    short orderSequenceId;

    /// Tells whether order represents bid or offer.
    Side::Enum side;

    /// Price of the bid/offer. OrderPriceDenominator for the market should be
    /// applied to get the real price.
    Price price;

    /// Quantity.
    int quantity;

    /// Indicate if this is an implied order or not.
    bool isImplied;

    /// Indicate whether it is just an RFQ or not. Client should filter the
    /// order if it doesn't care about RFQ.
    bool isRFQ;

    /// Order entry date time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT.
    DateTime orderEntryDateTime;

    /// Least Significant Bit (Bit 0): IsModifyOrder - indicate this is to
    /// Modify existing order if set to 1. Bit 1 through 7: Reserved for
    /// future use. For backward compatibility, client should always look at
    /// each individual bit for the corresponding flag. Otherwise problems
    /// might occur when bits 1 through 7 start to be utilized.
    AddModifyOrderExtraFlags::Enum extraFlags;

    /// Can be used in conjunction with `OrderEntryDateTime` field for
    /// priority of orders within same milliseconds time.
    int sequenceWithinMillis;

    /// This field can be used to get the order modification time. The format
    /// is nanoseconds since Jan 1st, 1970, 00:00:00 GMT. The nanosecond part
    /// is currently 000 and might be supported later.
    DateTime modificationTimestamp;

    /// This field can be used to get the time the trading engine received the
    /// request that triggers this message. The format is nanoseconds since
    /// Jan 1st, 1970, 00:00:00 GMT. The nanosecond part is currently 000 and
    /// might be supported later. Note: This field could be set to different
    /// values or `0` for some scenarios. Please refer to the FAQs for more
    /// details.
    DateTime requestTradingEngineReceivedTimestamp;

    /// Default constructor.
    AddModifyOrder();

    /// Initialize from raw message data.
    AddModifyOrder(const char* data, size_t dataSize);

    /// Deserialize from raw data.
    void deserialize(const char* data, size_t dataSize);

    /// Reset all fields to default values.
    void reset();

    /// Returns string representation.
    std::string toString() const;
};

/// Make it printable using C++ I/O streams.
ONIXS_ICEMDH_EXPORT std::ostream& operator<<(std::ostream&, const AddModifyOrder&);

}}}}                                                        // namespace MarketData, iMpact, ICE, OnixS