AddPriceLevel.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::AddPriceLevel` 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 Price Level Message.
struct ONIXS_ICEMDH_EXPORT AddPriceLevel
{
    /// Message type constant
    enum  { messageType = 't' };

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

    /// Indicate whether it's bid or offer.
    Side::Enum side;

    /// Position of the price level.
    char priceLevelPosition;

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

    /// Total quantity at the price level.
    int quantity;

    /// Number of all orders at the price level.
    short orderCount;

    /// Quantity that were implied.
    int impliedQuantity;

    /// Number of implied orders at the price level.
    short impliedOrderCount;

    /// Timestamp of last update used to derive the price level message. The
    /// format is nanoseconds since Jan 1st, 1970, 00:00:00 GMT. The
    /// nanosecond part is currently 000 and might be supported later.
    DateTime timestamp;

    /// Default constructor.
    AddPriceLevel();

    /// Initialize from raw message data.
    AddPriceLevel(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 AddPriceLevel&);

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