NewOptionsStrategyDefinition.h

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/*
 * 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 "../Enumerations.h"
#include "../Export.h"
#include "../Optional.h"
#include "../Types.h"
 
#include <iosfwd>
#include <string>
#include <vector>
 
namespace OnixS { namespace ICE { namespace iMpact { namespace MarketData {

struct ONIXS_ICEMDH_EXPORT NewOptionsStrategyDefinition
{
    enum
    {
        messageType = 'U'
    };

    MarketId marketId;

    MarketId underlyingMarketId;

    std::string contractSymbol;

    TradingStatus::Enum tradingStatus;

    char orderPriceDenominator;

    int incrementPrice;

    int incrementQty;

    int minQty;

    SecuritySubType::Enum securitySubType;

    bool isBlockOnly;

    std::string strategySymbol;

    bool gtAllowed;

    bool miFIDRegulatedMarket;

    char dealPriceDenominator;

    char settlePriceDenominator;

    char unitQtyDenominator;

    bool testMarketIndicator;

    std::string contractSymbolExtra;

    bool legDealSuppressed;

    bool isTradable;

    short optionsExpirationYear;

    short optionsExpirationMonth;

    short optionsExpirationDay;

    short marketTypeId;

    bool overrideBlockMin;

    int numOfCycles;

    Price minPrice;

    Price maxPrice;

    struct ONIXS_ICEMDH_EXPORT Leg
    {
        MarketId marketId;

        MarketId underlyingMarketId;

        short ratio;

        Side::Enum side;

        Optional<short> strategyCode;

        Optional<int> ratioQtyNumerator;

        Optional<int> ratioQtyDenominator;

        Optional<int> ratioPriceNumerator;

        Optional<int> ratioPriceDenominator;

        Leg();

        std::string toString() const;
    };

    typedef std::vector<Leg> Legs;

    Legs legs;

    struct ONIXS_ICEMDH_EXPORT Hedge
    {
        MarketId marketId;

        SecurityType::Enum securityType;

        Side::Enum side;

        Price price;

        char priceDenominator;

        short strategyCode;

        int delta;

        Hedge();

        std::string toString() const;
    };

    typedef std::vector<Hedge> Hedges;

    Hedges hedges;

    NewOptionsStrategyDefinition();

    NewOptionsStrategyDefinition(const char* data, std::size_t dataSize);

    void deserialize(const char* data, std::size_t dataSize);

    void reset();

    std::string toString() const;
};

ONIXS_ICEMDH_EXPORT std::ostream& operator<<(std::ostream&, const NewOptionsStrategyDefinition&);
 
}}}} // namespace OnixS::ICE::iMpact::MarketData