libjmmcg  release_579_6_g8cffd
A C++ library containing an eclectic mix of useful, advanced components.
batsboe_common_to_fix_conversions.hpp
Go to the documentation of this file.
1 #ifndef ISIMUD_EXCHANGES_conversions_batsboe_common_to_fix_conversions_hpp
2 #define ISIMUD_EXCHANGES_conversions_batsboe_common_to_fix_conversions_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 "../../exchanges/FIX/v5.0sp2/messages.hpp"
23 #include "../BATSBOE/common/messages.hpp"
24 
25 namespace isimud { namespace ISIMUD_VER_NAMESPACE { namespace exchanges { namespace FIX { namespace common {
26 
27 constexpr inline Side
28 convert(BATSBOE::common::Side a) {
29  switch (a) {
30  case BATSBOE::common::Side::Buy:
31  return Side::Buy;
32  case BATSBOE::common::Side::Sell:
33  return Side::Sell;
34  case BATSBOE::common::Side::Sell_short:
35  return Side::Sell_short;
36  case BATSBOE::common::Side::Sell_short_exempt:
37  default:
38  return Side::Sell_short_exempt;
39  };
40 }
41 
42 inline int
43 convert_price(BATSBOE::common::Price_t const &a, char *buff, std::size_t sz) {
44  const double c=static_cast<double>(a)/BATSBOE::common::implied_decimal_places;
45  return libjmmcg::tostring(c, buff, sz);
46 }
47 
48 template<>
49 template<> inline
50 Message<v5_0sp2::ExecutionReportSpecific>::Message(exchanges::BATSBOE::common::OrderExecution const &msg)
51 : Header_t() {
52  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
53  data=add_field_tag<FieldsFast::ClOrdID>(data);
54  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<BATSBOE::common::ClientOrderID_t &>(*data));
55  data+=msg.clientOrderID().size()-1;
56  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
57  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
58  ++data;
59  data=add_field_tag<FieldsFast::SecurityID>(data);
60  libjmmcg::memcpy_opt(msg.instrumentID(), reinterpret_cast<BATSBOE::common::SecurityID_t &>(*data));
61  data+=msg.instrumentID().size()-1;
62  data=add_field_tag<FieldsFast::Price>(data);
63  const int j=convert_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
64  assert(j>0);
65  data+=j;
66  data=add_field_tag<FieldsFast::OrderQty>(data);
67  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
68  assert(k>0);
69  data+=k;
70  data=add_field_tag<FieldsFast::LeavesQty>(data);
71  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
72  assert(l>0);
73  data+=l;
74  data=add_field_tag<FieldsFast::Side>(data);
75  *data=static_cast<std::underlying_type<Side>::type>(convert(msg.side()));
76  ++data;
77 // TODO msg.orderRejectCode();
78  finalise_msg(data);
79 }
80 
81 template<>
82 template<> inline
83 Message<v5_0sp2::OrderRejectedSpecific>::Message(exchanges::BATSBOE::common::OrderRejected const &msg)
84 : Header_t() {
85  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
86  data=add_field_tag<FieldsFast::ClOrdID>(data);
87  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<BATSBOE::common::ClientOrderID_t &>(*data));
88  data+=msg.clientOrderID().size()-1;
89  data=add_field_tag<FieldsFast::RefSeqNum>(data);
90  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
91  assert(i>0);
92  data+=i;
93  finalise_msg(data);
94 }
95 
96 template<>
97 template<> inline
98 Message<v5_0sp2::CancelRejectedSpecific>::Message(exchanges::BATSBOE::common::CancelRejected const &msg)
99 : Header_t() {
100  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
101  data=add_field_tag<FieldsFast::ClOrdID>(data);
102  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<BATSBOE::common::ClientOrderID_t &>(*data));
103  data+=msg.clientOrderID().size()-1;
104 // TODO cancelRejectReason_;
105 // TODO transactTime;
106  finalise_msg(data);
107 }
108 
109 template<>
110 template<> inline
111 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(exchanges::BATSBOE::common::UserModifyRejected const &msg)
112 : Header_t() {
113  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
114  data=add_field_tag<FieldsFast::ClOrdID>(data);
115  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<BATSBOE::common::ClientOrderID_t &>(*data));
116  data+=msg.clientOrderID().size()-1;
117  data=add_field_tag<FieldsFast::RefSeqNum>(data);
118  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
119  assert(i>0);
120  data+=i;
121 // TODO
122  finalise_msg(data);
123 }
124 
125 template<>
126 template<> inline
127 Message<v5_0sp2::ExecutionReportSpecific>::Message(exchanges::BATSBOE::common::OrderCancelled const &msg)
128 : Header_t() {
129  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
130  data=add_field_tag<FieldsFast::ClOrdID>(data);
131  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<BATSBOE::common::ClientOrderID_t &>(*data));
132  data+=msg.clientOrderID().size()-1;
133  data=add_field_tag<FieldsFast::Price>(data);
134  const int j=convert_price(msg.lastPrice(), data, this->data_.size()-(data-this->data_.begin()));
135  assert(j>0);
136  data+=j;
137  data=add_field_tag<FieldsFast::OrderQty>(data);
138  const int k=convert(msg.orderQty(), data, this->data_.size()-(data-this->data_.begin()));
139  assert(k>0);
140  data+=k;
141  data=add_field_tag<FieldsFast::LeavesQty>(data);
142  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
143  assert(l>0);
144  data+=l;
145  data=add_field_tag<FieldsFast::Side>(data);
146  *data=static_cast<std::underlying_type<Side>::type>(convert(msg.side()));
147  ++data;
148 // TODO msg.orderRejectCode();
149  finalise_msg(data);
150 }
151 
152 } } } } }
153 
154 #endif