EndOfDayMarketSummary.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::EndOfDayMarketSummary` 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.
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 * the terms of the Agreement is a violation of copyright law.
 */

#pragma once

#include "../Export.h"
#include "../Types.h"

#include <iosfwd>
#include <string>

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

/// This class represents the End of Day Market Summary Message.
struct ONIXS_ICEMDH_EXPORT EndOfDayMarketSummary
{
    /// Message type constant
    enum  { messageType = 'u' };

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

    /// Total volume.
    int volume;

    /// Block volume.
    int blockVolume;

    /// EFS volume.
    int efsVolume;

    /// EFP volume.
    int efpVolume;

    /// Opening price. `DealPriceDenominator` for the market should be applied
    /// to get the real price.
    Price openingPrice;

    /// High price. `DealPriceDenominator` for the market should be applied to
    /// get the real price.
    Price high;

    /// Low price. `DealPriceDenominator` for the market should be applied to
    /// get the real price.
    Price low;

    /// VWAP price. `DealPriceDenominator` for the market should be applied to
    /// get the real price.
    Price vwap;

    /// Settlement price. `DealPriceDenominator` for the market should be
    /// applied to get the real price. This field is kept here for backward
    /// compatibility. Client should use the new SettlementPrice field (added
    /// in 1.1.23) for better precision. `DealPriceDenominator` and
    /// `SettlePriceDenominator` might be different for some markets.
    Price settlementPriceWithDealPricePrecision;

    /// The number of open contracts of derivatives like futures and options
    /// that have a time limit after which they expire. Open interest in a
    /// derivative is the sum of all contracts that have not expired, been
    /// exercised or physically delivered. Moreover, the open interest is the
    /// number of long positions or, equivalently, the number of short
    /// positions.
    int openInterest;

    /// Date time this message was sent. Milliseconds since Jan 1st, 1970,
    /// 00:00:00 GMT.
    DateTime dateTime;

    /// Settlement price. `SettlePriceDenominator` for the market should be
    /// applied to get the real settlement price.
    Price settlementPrice;

    /// Default constructor.
    EndOfDayMarketSummary();

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

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