MarketSnapshot.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::MarketSnapshot` message structure
 */
/*
 * Copyright (c) Onix Solutions Limited. All rights reserved.
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 * 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 "../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 Message.
struct ONIXS_ICEMDH_EXPORT MarketSnapshot
{
    /// Message type constant
    enum
    {
        messageType = 'C'
    };

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

    /// See Appendix C for the list of market types and IDs.
    MarketType marketType;

    /// See Appendix A on the trading status codes.
    TradingStatus::Enum tradingStatus;

    /// Electronic trade volume only, excluding block and other volumes.
    int volume;

    /// Block volume.
    int blockVolume;

    /// EFS volume.
    int efsVolume;

    /// EFP volume.
    int efpVolume;

    /// 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;

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

    /// Settlement price. `DealPriceDenominator` for the market should be
    /// applied to get this price. This field is kept here for backward
    /// compatibility. Client should use the new SettlementPrice field (added
    /// in 1.1.14) for better precision. `DealPriceDenominator` and
    /// `SettlePriceDenominator` might be different for some markets.
    Price settlementPriceWithDealPricePrecision;

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

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

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

    /// Number of book entries in the market. It is the number of order
    /// messages followed for full order depth snapshot channel. In case of
    /// price level snapshot, it is the number of price level messages that
    /// followed for the market.
    int numOfBookEntries;

    /// Last trade price. `DealPriceDenominator` for the market should be
    /// applied to get the real price.
    Price lastTradePrice;

    /// Last trade quantity.
    int lastTradeQuantity;

    /// Last trade date/time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT.
    DateTime lastTradeDateTime;

    /// Settlement price date/time. Milliseconds since Jan 1st, 1970, 00:00:00
    /// GMT. If there is no settlement price for endex silo, default value is
    /// `0`. For other silos, the default value is `-1`.
    DateTime settlePriceDateTime;

    /// This should be used for synchronization with live update messages.
    /// Please see the main technical specification for details on how it can
    /// be done.
    int lastMessageSequenceId;

    /// The date Open Interest is effective for, in the format of YYYY-MM-DD.
    std::string openInterestDate;

    /// Indicate if the SettlementPrice is official.
    bool isSettlePriceOfficial;

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

    /// Indicate if the `PreviousSettlementDayPrice` populated. This field
    /// will always be set to N for options.
    bool hasPreviousDaySettlementPrice;

    /// `SettlePriceDenominator` for the market should be applied to get the
    /// real previous day settlement price. This field should be ignored if
    /// `HasPreviousDaySettlementPrice` is set to `N`.
    /// `PreviousDaySettlementPrice` will be sent for futures markets(not
    /// options). From the start of the day until the settlement price is
    /// published, the value of PDSP and settlement price would be the same.
    /// Once the settlement price is published, PDSP would stay the same and
    /// the settlement price would be updated to the current day settlement
    /// price. If there is a holiday, the exchange will distribute the
    /// PreviousDaySettlementPrice for the date that is specified on
    /// `SettlePriceDateTime` (day before holiday) and
    /// `HasPreviousDaySettlementPrice` will be set to `Y`.
    Price previousDaySettlementPrice;

    /// Default constructor.
    MarketSnapshot();

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

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