libjmmcg  release_579_6_g8cffd
A C++ library containing an eclectic mix of useful, advanced components.
messages.hpp
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1 #ifndef ISIMUD_EXCHANGES_BATSBOE_EU_v2_MESSAGES_HPP
2 #define ISIMUD_EXCHANGES_BATSBOE_EU_v2_MESSAGES_HPP
3 
4 /******************************************************************************
5 ** Copyright © 2015 by J.M.McGuiness, isimud@hussar.me.uk
6 **
7 ** This library is free software; you can redistribute it and/or
8 ** modify it under the terms of the GNU Lesser General Public
9 ** License as published by the Free Software Foundation; either
10 ** version 2.1 of the License, or (at your option) any later version.
11 **
12 ** This library is distributed in the hope that it will be useful,
13 ** but WITHOUT ANY WARRANTY; without even the implied warranty of
14 ** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
15 ** Lesser General Public License for more details.
16 **
17 ** You should have received a copy of the GNU Lesser General Public
18 ** License along with this library; if not, write to the Free Software
19 ** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
20 */
21 
22 #include "config.h"
23 #include "../messages.hpp"
24 
25 #include "core/max_min.hpp"
26 
27 #include <boost/mpl/max_element.hpp>
28 #include <boost/mpl/min_element.hpp>
29 #include <boost/mpl/vector.hpp>
30 #include <boost/variant/variant.hpp>
31 
32 #include <iostream>
33 
34 namespace isimud { namespace ISIMUD_VER_NAMESPACE { namespace exchanges { namespace BATSBOE { namespace EU {
35 
36 /**
37  From <a href="https://cdn.cboe.com/resources/participant_resources/BATS_Europe_BOE2_Specification.pdf">"Cboe Europe Binary Order Entry Specification" Version 2.0.46 31 May 2019</a>.
38 */
39 namespace v2 {
40 
41 struct MsgTypes {
42 
43  static inline constexpr const exchanges::common::mic_codes::ISO_10383_MIC_Codes MIC_code=exchanges::common::mic_codes::ISO_10383_MIC_Codes::ISO_10383_UNITED_KINGDOM_BATE;
44 
45  struct ref_data {};
46 
47  using MsgTypes_t=common::MsgType_t;
48  using MsgType_t=EU::MsgType;
49  using UserName_t=common::UserName_t;
50  using Password_t=common::Password_t;
51  using SecurityID_t=common::SecurityID_t;
52  using SeqNum_t=common::SeqNum_t;
53  using Price_t=common::Price_t;
54  using Quantity_t=common::Quantity_t;
55  using ClientOrderID_t=common::ClientOrderID_t;
56  using OrderType=common::OrdType;
57  using Side=common::Side;
58  using TIF=common::TIF;
59  using OrderRejectReason=common::OrderRejectReason;
60  using LoginResponseStatus=common::LoginResponseStatus;
61  using logon_args_t=common::logon_args_t;
62 
63  using LogonRequest=common::LogonRequest<MsgType, MsgType::LogonRequest>;
64  using Header_t=LogonRequest::Header_t;
65  using LogoutRequest=common::LogoutRequest;
66  using ClientHeartbeat=common::ClientHeartbeat;
67  using LogonReply=common::LogonReply<MsgType, MsgType::LogonReply>;
68  using Logout=common::Logout;
69  using ServerHeartbeat=common::ServerHeartbeat;
70  using ReplayComplete=common::ReplayComplete;
71  using NewOrder_t=common::NewOrder;
72  using CancelOrder=common::CancelOrder;
73  using ModifyOrder=common::ModifyOrder;
74  using TradeCaptureReport=EU::TradeCaptureReport;
75  using OrderAcknowledgement=common::OrderAcknowledgement;
76  using OrderRejected=common::OrderRejected;
77  using OrderModified=common::OrderModified;
78  using OrderRestated=common::OrderRestated;
79  using UserModifyRejected=common::UserModifyRejected;
80  using OrderCancelled=common::OrderCancelled;
81  using CancelRejected=common::CancelRejected;
82  using OrderExecution=common::OrderExecution;
83  using TradeCancelOrCorrect=common::TradeCancelOrCorrect;
84  using TradeCaptureReportAck=EU::TradeCaptureReportAck;
85  using TradeCaptureReportReject=EU::TradeCaptureReportReject;
86  using TradeCaptureConfirm=EU::TradeCaptureConfirm;
87  using TradeCaptureDecline=EU::TradeCaptureDecline;
88 
89  using ExecutionReport=OrderExecution;
90  using Heartbeat=ClientHeartbeat;
91  using OrderCancelRequest=CancelOrder;
92  using OrderCancelReject=CancelRejected;
93  using OrderCancelReplaceRequest=ModifyOrder;
94 
95  static inline constexpr MsgTypes_t MatchAll=static_cast<MsgTypes_t>(MsgType_t::MatchAll); ///< For the meta-state machine to allow a catch-all rule to reject anything unhandled.
96  static inline constexpr MsgTypes_t Exit=static_cast<MsgTypes_t>(MsgType_t::Exit); ///< For the meta-state machine: the exit state to exit the msm.
97 
98  using client_to_exchange_messages_t=boost::mpl::vector<
99  LogonRequest,
100  LogoutRequest,
101  ClientHeartbeat,
102  NewOrder_t,
103  CancelOrder,
104  ModifyOrder,
105  TradeCaptureReport
106  >;
107 
108  using exchange_to_client_messages_t=boost::mpl::vector<
109  LogonReply,
110  Logout,
111  ServerHeartbeat,
112  ReplayComplete,
113  OrderAcknowledgement,
114  OrderRejected,
115  OrderModified,
116  OrderRestated,
117  UserModifyRejected,
118  OrderCancelled,
119  CancelRejected,
120  OrderExecution,
121  TradeCancelOrCorrect,
122  TradeCaptureReportAck,
123  TradeCaptureReportReject,
124  TradeCaptureConfirm,
125  TradeCaptureDecline
126  >;
127 
128  enum : std::size_t {
129  min_size_client_to_exchange_msg=sizeof(
130  boost::mpl::deref<
131  boost::mpl::min_element<
132  boost::mpl::transform_view<client_to_exchange_messages_t, boost::mpl::sizeof_<boost::mpl::_1> >
133  >::type::base
134  >::type
135  ),
136  max_size_client_to_exchange_msg=sizeof(
137  boost::mpl::deref<
138  boost::mpl::max_element<
139  boost::mpl::transform_view<client_to_exchange_messages_t, boost::mpl::sizeof_<boost::mpl::_1> >
140  >::type::base
141  >::type
142  ),
143  min_size_exchange_to_client_msg=sizeof(
144  boost::mpl::deref<
145  boost::mpl::min_element<
146  boost::mpl::transform_view<exchange_to_client_messages_t, boost::mpl::sizeof_<boost::mpl::_1> >
147  >::type::base
148  >::type
149  ),
150  max_size_exchange_to_client_msg=sizeof(
151  boost::mpl::deref<
152  boost::mpl::max_element<
153  boost::mpl::transform_view<exchange_to_client_messages_t, boost::mpl::sizeof_<boost::mpl::_1> >
154  >::type::base
155  >::type
156  ),
157  min_msg_size=libjmmcg::min<std::size_t, min_size_client_to_exchange_msg, min_size_exchange_to_client_msg>::value,
158  max_msg_size=libjmmcg::max<std::size_t, max_size_client_to_exchange_msg, max_size_exchange_to_client_msg>::value,
159  header_t_size=sizeof(typename LogonRequest::Header_t)
160  };
161  BOOST_MPL_ASSERT_RELATION(max_msg_size, >=, header_t_size);
162 
163  using msg_buffer_t=std::array<std::uint8_t, max_msg_size>;
164  using client_to_exchange_messages_container=boost::make_variant_over<client_to_exchange_messages_t>::type;
165  using exchange_to_client_messages_container=boost::make_variant_over<exchange_to_client_messages_t>::type;
166 
167  static inline constexpr Price_t implied_decimal_places=common::implied_decimal_places;
168 
169  static std::ostream &to_stream(std::ostream &) noexcept(false);
170 };
171 
172 /**
173  \test BATSBOE EU v2 size tests.
174 */
175 namespace tests {
176 
177 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogoutRequest), <=, MsgTypes::max_size_client_to_exchange_msg);
178 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogoutRequest), <=, MsgTypes::max_size_exchange_to_client_msg);
179 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogoutRequest), <=, MsgTypes::max_msg_size);
180 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogonRequest), ==, 261);
181 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogoutRequest), ==, 10);
182 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::ClientHeartbeat), ==, 10);
183 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::LogonReply), ==, 11);
184 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::Logout), ==, 76);
185 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::ServerHeartbeat), ==, 10);
186 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::ReplayComplete), ==, 10);
187 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::NewOrder_t), ==, 157);
188 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::CancelOrder), ==, 36);
189 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::ModifyOrder), ==, 73);
190 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCaptureReport), ==, 133);
191 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderAcknowledgement), ==, 245);
192 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderRejected), ==, 213);
193 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderModified), ==, 205);
194 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderRestated), ==, 216);
195 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::UserModifyRejected), ==, 108);
196 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderCancelled), ==, 191);
197 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::CancelRejected), ==, 100);
198 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::OrderExecution), ==, 215);
199 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCancelOrCorrect), ==, 170);
200 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCaptureReportAck), ==, 185);
201 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCaptureReportReject), ==, 246);
202 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCaptureConfirm), ==, 290);
203 BOOST_MPL_ASSERT_RELATION(sizeof(MsgTypes::TradeCaptureDecline), ==, 290);
204 
205 }
206 
207 } } } } } }
208 
209 #include "messages_impl.hpp"
210 
211 #endif