OnixS ICE iMpact Multicast Price Feed Handler C++ library  8.11.0
API documentation
NewOptionsMarketDefinition.h
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1 /**
2  * \file
3  * \brief Declare `OnixS::ICE::iMpact::MarketData::NewOptionsMarketDefinition` message structure
4  */
5 /*
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23 
24 #pragma once
25 
26 #include "../Export.h"
27 #include "../Types.h"
28 #include "../Enumerations.h"
29 
30 #include <iosfwd>
31 #include <string>
32 
33 namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {
34 
35 /// This class represents the New Options Market Definition Message.
36 struct ONIXS_ICEMDH_EXPORT NewOptionsMarketDefinition
37 {
38  /// Message type constant
39  enum { messageType = 'l' };
40 
41  /// Unique identifier of the option market.
43 
44  /// Underlying Futures/OTC market id. This market id links to the product
45  /// definition of the futures market.
47 
48  /// See Naming Convention on Appendix D.
49  std::string contractSymbol;
50 
51  /// See Appendix A on trading status codes.
53 
54  /// Denominator for the order price fields in this market.
56 
57  /// Minimum increment quantity for this market.
59 
60  /// The lot size is minimum size of contracts in lots. It is multiplier to
61  /// determine the total lots,
62  int lotSize;
63 
64  /// Description of the market.
65  std::string marketDesc;
66 
67  /// Option type.
69 
70  /// Strike Price of the option. Used in conjunction with the
71  /// `NumDecimalsStrikePrice`. This is often different from the premium
72  /// price decimals.
74 
75  /// Denominator for the deal price fields in the market. For most markets,
76  /// this is the same as `OrderPriceDenominator`.
78 
79  /// Minimum quantity for this market.
80  int minQty;
81 
82  /// The currency that the market is traded on.
83  std::string currency;
84 
85  /// Denominator for the strike price field.
87 
88  /// Minimum premium price for the option.
90 
91  /// Maximum premium price for the option.
93 
94  /// Price increment for the option market.
96 
97  /// 4 digit year.
99 
100  /// Month range 1-12.
102 
103  /// Day of the month.
105 
106  /// Options style.
108 
109  /// Options expiration type.
111 
112  /// The underlying futures market ID for a serial option. The serial
113  /// option market may or may not be a valid futures month and option will
114  /// expire/exercise into a position held in this underlying market. It
115  /// will be set to `-1` when not applicable.
117 
118  /// Denominator for the settlement price fields in the market. For most
119  /// markets, this is the same as `DealPriceDenominator`.
121 
122  /// Denominator for UnitQuantity. This field will be `'0'` for most of the
123  /// markets.
125 
126  /// A market's tick value is the cash value of one tick (one minimum price
127  /// movement). OrderPriceDenominator should be applied to get the real
128  /// value.
129  long long tickValue;
130 
131  /// Indicates if flexible strikes can be created for the option market.
133 
134  /// Settlement type.
136 
137  /// Indicates if Market is only tradable via ICE Block Trade. This also
138  /// means the screen trading is not allowed for the market.
140 
141  /// Indicates if GTC is allowed in the market.
142  bool gtAllowed;
143 
144  /// Indicates if Cross order is supported in the market.
146 
147  /// Indicates if Guarantee Cross is supported in the market.
149 
150  /// Unit Of Measure.
151  std::string unitOfMeasure;
152 
153  /// Indicates MIFID-II market.
155 
156  /// Screen last trade year, 4 digits.
158 
159  /// Screen last trade month, range 1-12.
161 
162  /// Screen last trade day of the month.
164 
165  /// Indicates if the contract is tradable.
167 
168  /// Number of cycle (days, hours, MWh, etc.) for a contract.
169  short numOfCycles;
170 
171  /// See Appendix C for the list of market types and IDs.
173 
174  /// Default constructor.
176 
177  /// Initialize from raw message data.
178  NewOptionsMarketDefinition(const char* data, size_t dataSize);
179 
180  /// Deserialize from raw data.
181  void deserialize(const char* data, size_t dataSize);
182 
183  /// Reset all fields to default values.
184  void reset();
185 
186  /// Returns string representation.
187  std::string toString() const;
188 };
189 
190 /// Make it printable using C++ I/O streams.
191 ONIXS_ICEMDH_EXPORT std::ostream& operator<<(std::ostream&, const NewOptionsMarketDefinition&);
192 
193 }}}} // namespace MarketData, iMpact, ICE, OnixS
bool flexAllowed
Indicates if flexible strikes can be created for the option market.
TradingStatus::Enum tradingStatus
See Appendix A on trading status codes.
Price minOptionsPrice
Minimum premium price for the option.
bool gtAllowed
Indicates if GTC is allowed in the market.
long long Price
Alias for order identifiers type.
Definition: Types.h:54
std::string currency
The currency that the market is traded on.
bool guaranteedCrossSupported
Indicates if Guarantee Cross is supported in the market.
int MarketId
Alias for market identifiers type.
Definition: Types.h:39
std::ostream & operator<<(std::ostream &, const Error &)
Make it printable to formatted C++ I/O streams.
char numDecimalsStrikePrice
Denominator for the strike price field.
MarketId marketId
Unique identifier of the option market.
bool crossOrderSupported
Indicates if Cross order is supported in the market.
OptionsExpirationType::Enum optionsExpirationType
Options expiration type.
char orderPriceDenominator
Denominator for the order price fields in this market.
short numOfCycles
Number of cycle (days, hours, MWh, etc.) for a contract.
This class represents the New Options Market Definition Message.
short marketTypeId
See Appendix C for the list of market types and IDs.
Price maxOptionsPrice
Maximum premium price for the option.
std::string contractSymbol
See Naming Convention on Appendix D.
short screenLastTradeMonth
Screen last trade month, range 1-12.
int incrementPremiumPrice
Price increment for the option market.
int incrementQty
Minimum increment quantity for this market.
Enum
Option settlement type constants.
Definition: Enumerations.h:189