OpenInterest.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::OpenInterest` 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
 * for it's own data processing purposes under the terms defined in the Agreement.
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#pragma once

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

#include <iosfwd>
#include <string>

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

/// This class represents the Open Interest Message.
struct ONIXS_ICEMDH_EXPORT OpenInterest
{
    /// Message type constant
    enum
    {
        messageType = 'M'
    };

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

    /// 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;

    /// The change in the number of contracts that are remaining open and
    /// still working in the market. This is the change compared to the
    /// previous trading day open interest.
    int openInterestChange;

    /// Date time the message was sent. Milliseconds since Jan 1st, 1970,
    /// 00:00:00 GMT
    DateTime dateTime;

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

    /// Default constructor.
    OpenInterest();

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

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