ExchangeListener.h

Go to the documentation of this file.

/**
 * \file
 * \brief Class `OnixS::ICE::iMpact::MarketData::ExchangeListener` (interface)
 */
/*
 * 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 "MessageInfo.h"
#include "MessagesFwd.h"


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

/// \brief Defines an interface through which the Handler
/// notifies subscribers about all received messages.
class ONIXS_ICEMDH_EXPORT ExchangeListener
{
public:
    virtual ~ExchangeListener() {}

    /// \name User callback's

    //@{

    /// \brief Implement this member to get notified about Add/Modify Order Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c AddModifyOrder message structure.
    /// \param msgInfo information about this particular message.
    virtual void onAddModifyOrder(const AddModifyOrder& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Add Price Level Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c AddPriceLevel message structure.
    /// \param msgInfo information about this particular message.
    virtual void onAddPriceLevel(const AddPriceLevel& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Message Bundle Marker.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c BundleMarker message structure.
    /// \param msgInfo information about this particular message.
    virtual void onBundleMarker(const BundleMarker& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Cancelled Trade Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c CancelledTrade message structure.
    /// \param msgInfo information about this particular message.
    virtual void onCancelledTrade(const CancelledTrade& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Change Price Level Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c ChangePriceLevel message structure.
    /// \param msgInfo information about this particular message.
    virtual void onChangePriceLevel(const ChangePriceLevel& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Close Price Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c ClosePrice message structure.
    /// \param msgInfo information about this particular message.
    virtual void onClosePrice(const ClosePrice& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Delete Order Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c DeleteOrder message structure.
    /// \param msgInfo information about this particular message.
    virtual void onDeleteOrder(const DeleteOrder& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Delete Price Level Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c DeletePriceLevel message structure.
    /// \param msgInfo information about this particular message.
    virtual void onDeletePriceLevel(const DeletePriceLevel& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about End of Day Market Summary Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c EndOfDayMarketSummary message structure.
    /// \param msgInfo information about this particular message.
    virtual void onEndOfDayMarketSummary(const EndOfDayMarketSummary& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Fixing Indicative Price Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c FixingIndicativePrice message structure.
    /// \param msgInfo information about this particular message.
    virtual void onFixingIndicativePrice(const FixingIndicativePrice& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Fixing Lockdown Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c FixingLockdown message structure.
    /// \param msgInfo information about this particular message.
    virtual void onFixingLockdown(const FixingLockdown& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Fixing Transition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c FixingTransition message structure.
    /// \param msgInfo information about this particular message.
    virtual void onFixingTransition(const FixingTransition& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Futures/OTC Product Definition Response Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c FuturesProductDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    virtual void onFuturesProductDefinition(const FuturesProductDefinition& msg, bool& isInterested);

    /// \brief Implement this member to get notified about Futures Strategy Definition Response Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c FuturesStrategyDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    virtual void onFuturesStrategyDefinition(const FuturesStrategyDefinition& msg, bool& isInterested);

    /// \brief Implement this member to get notified about Interval Price Limit Notification Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c IntervalPriceLimitNotification message structure.
    /// \param msgInfo information about this particular message.
    virtual void onIntervalPriceLimitNotification(const IntervalPriceLimitNotification& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Investigated Trade Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c InvestigatedTrade message structure.
    /// \param msgInfo information about this particular message.
    virtual void onInvestigatedTrade(const InvestigatedTrade& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Login Response Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c LoginResponse message structure.
    virtual void onLoginResponse(const LoginResponse& msg);

    /// \brief Implement this member to get notified about Marker/Index Prices Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarkerIndexPrices message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarkerIndexPrices(const MarkerIndexPrices& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market Event Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketEvent message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketEvent(const MarketEvent& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market Snapshot Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketSnapshot message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketSnapshot(const MarketSnapshot& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market Snapshot Order Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketSnapshotOrder message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketSnapshotOrder(const MarketSnapshotOrder& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market Snapshot Price Level Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketSnapshotPriceLevel message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketSnapshotPriceLevel(const MarketSnapshotPriceLevel& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market State Change Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketStateChange message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketStateChange(const MarketStateChange& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Market Statistics Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c MarketStatistics message structure.
    /// \param msgInfo information about this particular message.
    virtual void onMarketStatistics(const MarketStatistics& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about New Expiry Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c NewExpiry message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    /// \param msgInfo information about this particular message.
    virtual void onNewExpiry(const NewExpiry& msg, bool& isInterested, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about New Futures Strategy Definition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c NewFuturesStrategyDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    /// \param msgInfo information about this particular message.
    virtual void onNewFuturesStrategyDefinition(const NewFuturesStrategyDefinition& msg, bool& isInterested, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about New Options Market Definition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c NewOptionsMarketDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    /// \param msgInfo information about this particular message.
    virtual void onNewOptionsMarketDefinition(const NewOptionsMarketDefinition& msg, bool& isInterested, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about New Options Strategy Definition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c NewOptionsStrategyDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    /// \param msgInfo information about this particular message.
    virtual void onNewOptionsStrategyDefinition(const NewOptionsStrategyDefinition& msg, bool& isInterested, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Old Style Options Trade and Market Stats Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OldStyleOptionsTradeAndMarketStats message structure.
    /// \param msgInfo information about this particular message.
    virtual void onOldStyleOptionsTradeAndMarketStats(const OldStyleOptionsTradeAndMarketStats& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Open Interest Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OpenInterest message structure.
    /// \param msgInfo information about this particular message.
    virtual void onOpenInterest(const OpenInterest& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Open Price Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OpenPrice message structure.
    /// \param msgInfo information about this particular message.
    virtual void onOpenPrice(const OpenPrice& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Option Open Interest Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OptionOpenInterest message structure.
    /// \param msgInfo information about this particular message.
    virtual void onOptionOpenInterest(const OptionOpenInterest& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Option Settlement Price Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OptionSettlementPrice message structure.
    /// \param msgInfo information about this particular message.
    virtual void onOptionSettlementPrice(const OptionSettlementPrice& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Options Product Definition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OptionsProductDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    virtual void onOptionsProductDefinition(const OptionsProductDefinition& msg, bool& isInterested);

    /// \brief Implement this member to get notified about Options Strategy Definition Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c OptionsStrategyDefinition message structure.
    /// \param isInterested is a flag allows the caller to specify that the product is interested to user.
    /// \note By default all products marked as \e interested to user.
    virtual void onOptionsStrategyDefinition(const OptionsStrategyDefinition& msg, bool& isInterested);

    /// \brief Implement this member to get notified about Pre-Open Price Indicator Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c PreOpenPriceIndicator message structure.
    /// \param msgInfo information about this particular message.
    virtual void onPreOpenPriceIndicator(const PreOpenPriceIndicator& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about RFQ Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c Rfq message structure.
    /// \param msgInfo information about this particular message.
    virtual void onRfq(const Rfq& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Settlement Price Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c SettlementPrice message structure.
    /// \param msgInfo information about this particular message.
    virtual void onSettlementPrice(const SettlementPrice& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Special Field Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c SpecialField message structure.
    /// \param msgInfo information about this particular message.
    virtual void onSpecialField(const SpecialField& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Spot Market Trade Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c SpotMarketTrade message structure.
    /// \param msgInfo information about this particular message.
    virtual void onSpotMarketTrade(const SpotMarketTrade& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Strip Info Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c StripInfo message structure.
    virtual void onStripInfo(const StripInfo& msg);

    /// \brief Implement this member to get notified about System Text Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c SystemText message structure.
    /// \param msgInfo information about this particular message.
    virtual void onSystemText(const SystemText& msg, const MessageInfo& msgInfo);

    /// \brief Implement this member to get notified about Trade Message.
    ///
    /// Default implementation do nothing.
    ///
    /// \param msg is a \c Trade message structure.
    /// \param msgInfo information about this particular message.
    virtual void onTrade(const Trade& msg, const MessageInfo& msgInfo);

    //@}
};

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