OldStyleOptionsTradeAndMarketStats.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::OldStyleOptionsTradeAndMarketStats` message structure
 */
/*
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 *
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 * 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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 */

#pragma once

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

#include <iosfwd>
#include <string>

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

/// This class represents the Old Style Options Trade and Market Stats Message.
struct ONIXS_ICEMDH_EXPORT OldStyleOptionsTradeAndMarketStats
{
    /// Message type constant
    enum  { messageType = 'W' };

    /// The underlying market ID of this options market.
    MarketId underlyingMarketId;

    /// Unique identifier of the trade.
    TradeId tradeId;

    /// Trade price. `NumDecimalsOptionsPrice` from the underlying market
    /// should be applied to get the real price.
    Price price;

    /// Quantity.
    int quantity;

    /// Only for off market trade. The value is `' '` when it is a regular
    /// trade. See Appendix B for the codes and descriptions
    OffMarketTradeType::Enum offMarketTradeType;

    /// Deal date time. Milliseconds since Jan 1st, 1970, 00:00:00 GMT
    DateTime transactDateTime;

    /// Option type.
    OptionType::Enum optionType;

    /// Strike price. `NumDecimalsStrikePrice` from the underlying market
    /// should be applied to get the real strike price.
    Price strikePrice;

    /// Event code.
    EventCode::Enum eventCode;

    /// Total volume. N/A if set to -1
    int totalVolume;

    /// Block volume. N/A if set to -1
    int blockVolume;

    /// EFS volume. N/A if set to -1
    int efsVolume;

    /// EFP volume. N/A if set to -1
    int efpVolume;

    /// High price. `NumDecimalsOptionsPrice` from the underlying market
    /// should be applied to get the real price.
    Price high;

    /// Low price. `NumDecimalsOptionsPrice` from the underlying market should
    /// be applied to get the real price.
    Price low;

    /// Weighted Average Price. `NumDecimalsOptionsPrice` from the underlying
    /// market should be applied to get the real price.
    Price vwap;

    /// Default constructor.
    OldStyleOptionsTradeAndMarketStats();

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

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

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