MarketSnapshotPriceLevel.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::MarketSnapshotPriceLevel` message structure
 */
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 * and international copyright treaties.
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 * a non-assignable, non-transferable and non-exclusive license to use the software
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#pragma once

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

#include <iosfwd>
#include <string>

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

/// This class represents the Market Snapshot Price Level Message.
struct ONIXS_ICEMDH_EXPORT MarketSnapshotPriceLevel
{
    /// Message type constant
    enum
    {
        messageType = 'm'
    };

    /// 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;

    /// Default constructor.
    MarketSnapshotPriceLevel();

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

    /// Deserialize from raw data.
    void deserialize(const char* data, std::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 MarketSnapshotPriceLevel&);

}}}} // namespace OnixS::ICE::iMpact::MarketData