EquilibriumPriceUpdateMsg.h

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/*
* Copyright Onix Solutions Limited [OnixS]. All rights reserved.
*
* This software owned by Onix Solutions Limited [OnixS] 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 <OnixS/SgxTitan/MarketData/Itch/BinaryMessage.h>
#include <OnixS/SgxTitan/MarketData/Itch/IncomingMessage.h>
#include <OnixS/SgxTitan/MarketData/Itch/Price.h>

ONIXS_SGXTITAN_ITCH_NAMESPACE_BEGIN

    /// This message is used if/when auctions occur. The
    /// message provides the changes in equilibrium price.
    struct ONIXS_SGXTITAN_ITCH_API EquilibriumPriceUpdateMsg : public IncomingMessage
    {
        /// Nanoseconds portion of the timestamp
        UInt32 nanoseconds() const
        {
            return ordinary<UInt32>(1);
        }

        /// The Order Book ID
        OrderBookId orderBookId() const
        {
            return ordinary<UInt32>(5);
        }

        /// Quantity at equilibrium price on the bid side
        Quantity bidQuantity() const
        {
            return ordinary<UInt64>(9);
        }

        /// Quantity at equilibrium price on the ask side
        Quantity askQuantity() const
        {
            return ordinary<UInt64>(17);
        }

        /// Equilibrium Price
        Price equilibriumPrice() const
        {
            return Price(ordinary<Int32>(25));
        }

        /// Best Bid Price
        Price bestBidPrice() const
        {
            return Price(ordinary<Int32>(29));
        }

        /// Best Ask Price
        Price bestAskPrice() const
        {
            return Price(ordinary<Int32>(33));
        }

        /// Best Bid Quantity
        Quantity bestBidQuantity() const
        {
            return ordinary<UInt64>(37);
        }

        /// Best Ask Quantity
        Quantity bestAskQuantity() const
        {
            return ordinary<UInt64>(45);
        }

        /// Total message size.
        static ONIXS_SGXTITAN_ITCH_CONST_OR_CONSTEXPR MessageSize messageSize_ = 53;

        /// Check the given size.
        static void validateSize(MessageSize size)
        {
            if(size < messageSize_)
                throwIncorrectSize("EquilibriumPriceUpdateMsg", size, messageSize_);
        }

        /// Initializes instance over given memory block.
        EquilibriumPriceUpdateMsg(const void* data, MessageSize size)
        ONIXS_SGXTITAN_ITCH_NOTHROW
            : IncomingMessage(data, size)
        {
        }
    };

    /// Serializes object into string.
    ONIXS_SGXTITAN_ITCH_API void toStr(std::string&, const EquilibriumPriceUpdateMsg&);

    /// Serializes object into string.
    inline std::string toStr(const EquilibriumPriceUpdateMsg& msg)
    {
        std::string str;
        toStr(str, msg);
        return str;
    }

    ///
    inline std::ostream& operator<<(std::ostream& stream, const EquilibriumPriceUpdateMsg& msg)
    {
        stream << toStr(msg);
        return stream;
    }

ONIXS_SGXTITAN_ITCH_NAMESPACE_END