SpecialField.h

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/**
 * \file
 * \brief Declare `OnixS::ICE::iMpact::MarketData::SpecialField` message structure
 */
/*
 * 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.
 *
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 * the terms of the Agreement is a violation of copyright law.
 */

#pragma once

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

#include <iosfwd>
#include <string>

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

/// This class represents the Special Field Message.
struct ONIXS_ICEMDH_EXPORT SpecialField
{
    /// Message type constant
    enum  { messageType = 'b' };

    /// This field is equivalent to Eris Futures Price. AltPriceDenominator
    /// for the market should be applied to get the real alt price.
    Optional<Price> altPrice;

    /// This field is equivalent to High Eris Futures Price.
    /// AltPriceDenominator for the market should be applied to get the real
    /// alt price.
    Optional<Price> altHighPrice;

    /// This field is equivalent to Low Eris Futures Price.
    /// AltPriceDenominator for the market should be applied to get the real
    /// alt price.
    Optional<Price> altLowPrice;

    /// This field is equivalent to Volume-weighted Average Eris Futures
    /// Price. AltPriceDenominator for the market should be applied to get the
    /// real alt price.
    Optional<Price> altVWAP;

    /// This field is equivalent to Last Trade Eris Futures Price.
    /// AltPriceDenominator for the market should be applied to get the real
    /// alt price.
    Optional<Price> altLastTradePrice;

    /// This field indicated if Order is AON order. This is only sent on AON
    /// enabled market.
    Optional<bool> aon;

    /// The sum of all daily distributions. Daily Distribution on a given day
    /// is equal to the latest UKXCD value (published the business day prior)
    /// subtracted from the prior value of UKXCD. Daily Distributions (t) =
    /// Distribution Index (t) - Distribution Index (t-1) NumDecimals will be
    /// 2.
    Optional<long long> accruedDistribution;

    /// The sum of all daily funding values. Daily Funding is calculated on a
    /// given day using the following formula: Daily Funding(t) = Index Close
    /// (t-1) * FundingRate (t-1) * (Funding Days (t) / Annualization Factor)
    /// NumDecimals will be 6.
    Optional<long long> accruedFunding;

    /// The number of periods used to annualize a return.
    Optional<int> annualizationFactor;

    /// This is a weighting factor determined for each expiry calculated daily
    /// using the following formula: TRF Days to Maturity(t) = [expiry date +
    /// 2 Settlement days] - [ t + 2 Settlement days]
    Optional<int> trfDaysToMaturity;

    /// Default constructor.
    SpecialField();

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

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