libjmmcg  release_579_6_g8cffd
A C++ library containing an eclectic mix of useful, advanced components.
mit_to_fix_conversions.hpp
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1 #ifndef ISIMUD_EXCHANGES_conversions_mit_to_fix_conversions_hpp
2 #define ISIMUD_EXCHANGES_conversions_mit_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 "../../exchanges/MIT/BIT/messages.hpp"
24 #include "../../exchanges/MIT/JSE/messages.hpp"
25 #include "../../exchanges/MIT/LSE/messages.hpp"
26 #include "../../exchanges/MIT/OSLO/messages.hpp"
27 #include "../../exchanges/MIT/TRQ/messages.hpp"
28 
29 namespace isimud { namespace ISIMUD_VER_NAMESPACE { namespace exchanges { namespace FIX { namespace common {
30 
31 /**
32  Note that only ISIN symbology is supported.
33 */
34 template<class RefData> constexpr inline int
35 convert(MIT::common::SecurityID_t const &key, RefData const &ref_data, char *buff, [[maybe_unused]] std::size_t sz) {
36  assert(!ref_data.lookup_isin().empty());
37  auto const &i=ref_data.lookup_isin().find(key);
38  assert(i!=ref_data.lookup_isin().end());
39  assert(sizeof(typename RefData::lookup_isin_t::mapped_type::element_type)<=sz);
40  libjmmcg::memcpy_opt(i->second.isin_.data(), reinterpret_cast<typename RefData::lookup_isin_t::mapped_type::element_type::block_t &>(*buff));
41  return sizeof(typename RefData::lookup_isin_t::mapped_type::element_type);
42 }
43 
44 /**
45  \todo What should be done with ExecType's that cannot be mapped?.
46 */
47 inline ExecType
48 convert(MIT::common::ExecType const &a) noexcept(false) {
49  switch (a) {
50  case MIT::common::ExecType::New:
51  return ExecType::New;
52  case MIT::common::ExecType::Cancelled:
53  return ExecType::Canceled;
54  case MIT::common::ExecType::Replaced:
55  return ExecType::Replaced;
56  case MIT::common::ExecType::Rejected:
57  return ExecType::Rejected;
58  case MIT::common::ExecType::Suspended:
59  return ExecType::Suspended;
60  case MIT::common::ExecType::Expired:
61  return ExecType::Expired;
62  case MIT::common::ExecType::Restated:
63  return ExecType::Restated;
64  case MIT::common::ExecType::Trade:
65  return ExecType::Trade;
66  case MIT::common::ExecType::TradeCorrect:
67  return ExecType::Trade_Correct;
68  case MIT::common::ExecType::TradeCancel:
69  return ExecType::Trade_Cancel;
70  case MIT::common::ExecType::Triggered:
71  return ExecType::Triggered_or_Activated_by_System;
72  default: {
73  std::ostringstream os;
74  os<<"Unknown MIT ExecType: "<<a;
75  throw std::runtime_error(os.str());
76  }
77  };
78 }
79 
80 /**
81  \todo What should be done with OrderStatus's that cannot be mapped?.
82 */
83 inline OrdStatus
84 convert(MIT::common::OrderStatus const &a) noexcept(false) {
85  switch (a) {
86  case MIT::common::OrderStatus::New:
87  return OrdStatus::New;
88  case MIT::common::OrderStatus::Partiallyfilled:
89  return OrdStatus::Partially_filled;
90  case MIT::common::OrderStatus::Filled:
91  return OrdStatus::Filled;
92  case MIT::common::OrderStatus::Cancelled:
93  return OrdStatus::Canceled;
94  case MIT::common::OrderStatus::Expired:
95  return OrdStatus::Expired;
96  case MIT::common::OrderStatus::Rejected:
97  return OrdStatus::Rejected;
98  case MIT::common::OrderStatus::Suspended:
99  return OrdStatus::Suspended;
100  default: {
101  std::ostringstream os;
102  os<<"Unknown MIT OrderStatus: "<<a;
103  throw std::runtime_error(os.str());
104  }
105  };
106 }
107 
108 inline int
109 convert_MIT_price(MIT::common::Price_t const &a, char *buff, std::size_t sz) {
110  const double c=static_cast<double>(a)/MIT::common::implied_decimal_places;
111  return libjmmcg::tostring(c, buff, sz);
112 }
113 
114 /**
115  \todo What should be done with Side's that cannot be mapped?.
116 */
117 constexpr inline char
118 convert(MIT::common::Side const &a) {
119  switch (a) {
120  case MIT::common::Side::Buy:
121  return '1';
122  case MIT::common::Side::Sell:
123  return '2';
124  default:
125  return '?';
126  };
127 }
128 
129 template<>
130 template<> inline __stdcall
131 Message<v5_0sp2::ExecutionReportSpecific>::Message(MIT::BIT::MsgTypes::ExecutionReport const &msg, MIT::BIT::MsgTypes::ref_data const &rd)
132 : Header_t() {
133  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
134  data=add_field_tag<FieldsFast::ClOrdID>(data);
135  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
136  data+=msg.clientOrderID().size()-1;
137  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
138  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
139  ++data;
140  data=add_field_tag<FieldsFast::SecurityID>(data);
141  const int i=convert(msg.instrumentID(), rd, data, this->data_.size()-(data-this->data_.begin()));
142  assert(i>0);
143  data+=i;
144  data=add_field_tag<FieldsFast::ExecType>(data);
145  *data=static_cast<char>(convert(msg.execType()));
146  ++data;
147  data=add_field_tag<FieldsFast::Price>(data);
148  const int j=convert_MIT_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
149  assert(j>0);
150  data+=j;
151  data=add_field_tag<FieldsFast::OrdStatus>(data);
152  *data=static_cast<char>(convert(msg.orderStatus()));
153  ++data;
154  data=add_field_tag<FieldsFast::OrderQty>(data);
155  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
156  assert(k>0);
157  data+=k;
158  data=add_field_tag<FieldsFast::LeavesQty>(data);
159  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
160  assert(l>0);
161  data+=l;
162  data=add_field_tag<FieldsFast::Side>(data);
163  *data=convert(msg.side());
164  ++data;
165  data=write_ExDest(MIT::BIT::MsgTypes::MIC_code, data);
166  data=write_TransactTime(data);
167 // TODO msg.orderRejectCode();
168  finalise_msg(data);
169 }
170 
171 template<>
172 template<> inline __stdcall
173 Message<v5_0sp2::ExecutionReportSpecific>::Message(MIT::JSE::MsgTypes::ExecutionReport const &msg, MIT::JSE::MsgTypes::ref_data const &rd)
174 : Header_t() {
175  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
176  data=add_field_tag<FieldsFast::ClOrdID>(data);
177  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
178  data+=msg.clientOrderID().size()-1;
179  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
180  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
181  ++data;
182  data=add_field_tag<FieldsFast::SecurityID>(data);
183  const int i=convert(msg.instrumentID(), rd, data, this->data_.size()-(data-this->data_.begin()));
184  assert(i>0);
185  data+=i;
186  data=add_field_tag<FieldsFast::ExecType>(data);
187  *data=static_cast<char>(convert(msg.execType()));
188  ++data;
189  data=add_field_tag<FieldsFast::Price>(data);
190  const int j=convert_MIT_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
191  assert(j>0);
192  data+=j;
193  data=add_field_tag<FieldsFast::OrdStatus>(data);
194  *data=static_cast<char>(convert(msg.orderStatus()));
195  ++data;
196  data=add_field_tag<FieldsFast::OrderQty>(data);
197  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
198  assert(k>0);
199  data+=k;
200  data=add_field_tag<FieldsFast::LeavesQty>(data);
201  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
202  assert(l>0);
203  data+=l;
204  data=add_field_tag<FieldsFast::Side>(data);
205  *data=convert(msg.side());
206  ++data;
207  data=write_ExDest(MIT::JSE::MsgTypes::MIC_code, data);
208  data=write_TransactTime(data);
209 // TODO msg.orderRejectCode();
210  finalise_msg(data);
211 }
212 
213 template<>
214 template<> inline __stdcall
215 Message<v5_0sp2::ExecutionReportSpecific>::Message(MIT::LSE::MsgTypes::ExecutionReport const &msg, MIT::LSE::MsgTypes::ref_data const &rd)
216 : Header_t() {
217  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
218  data=add_field_tag<FieldsFast::ClOrdID>(data);
219  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
220  data+=msg.clientOrderID().size()-1;
221  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
222  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
223  ++data;
224  data=add_field_tag<FieldsFast::SecurityID>(data);
225  const int i=convert(msg.instrumentID(), rd, data, this->data_.size()-(data-this->data_.begin()));
226  assert(i>0);
227  data+=i;
228  data=add_field_tag<FieldsFast::ExecType>(data);
229  *data=static_cast<char>(convert(msg.execType()));
230  ++data;
231  data=add_field_tag<FieldsFast::Price>(data);
232  const int j=convert_MIT_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
233  assert(j>0);
234  data+=j;
235  data=add_field_tag<FieldsFast::OrdStatus>(data);
236  *data=static_cast<char>(convert(msg.orderStatus()));
237  ++data;
238  data=add_field_tag<FieldsFast::OrderQty>(data);
239  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
240  assert(k>0);
241  data+=k;
242  data=add_field_tag<FieldsFast::LeavesQty>(data);
243  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
244  assert(l>0);
245  data+=l;
246  data=add_field_tag<FieldsFast::Side>(data);
247  *data=convert(msg.side());
248  ++data;
249  data=write_ExDest(MIT::LSE::MsgTypes::MIC_code, data);
250  data=write_TransactTime(data);
251 // TODO msg.orderRejectCode();
252  finalise_msg(data);
253 }
254 
255 template<>
256 template<> inline __stdcall
257 Message<v5_0sp2::ExecutionReportSpecific>::Message(MIT::OSLO::MsgTypes::ExecutionReport const &msg, MIT::OSLO::MsgTypes::ref_data const &rd)
258 : Header_t() {
259  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
260  data=add_field_tag<FieldsFast::ClOrdID>(data);
261  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
262  data+=msg.clientOrderID().size()-1;
263  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
264  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
265  ++data;
266  data=add_field_tag<FieldsFast::SecurityID>(data);
267  const int i=convert(msg.instrumentID(), rd, data, this->data_.size()-(data-this->data_.begin()));
268  assert(i>0);
269  data+=i;
270  data=add_field_tag<FieldsFast::ExecType>(data);
271  *data=static_cast<char>(convert(msg.execType()));
272  ++data;
273  data=add_field_tag<FieldsFast::Price>(data);
274  const int j=convert_MIT_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
275  assert(j>0);
276  data+=j;
277  data=add_field_tag<FieldsFast::OrdStatus>(data);
278  *data=static_cast<char>(convert(msg.orderStatus()));
279  ++data;
280  data=add_field_tag<FieldsFast::OrderQty>(data);
281  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
282  assert(k>0);
283  data+=k;
284  data=add_field_tag<FieldsFast::LeavesQty>(data);
285  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
286  assert(l>0);
287  data+=l;
288  data=add_field_tag<FieldsFast::Side>(data);
289  *data=convert(msg.side());
290  ++data;
291  data=write_ExDest(MIT::OSLO::MsgTypes::MIC_code, data);
292  data=write_TransactTime(data);
293 // TODO msg.orderRejectCode();
294  finalise_msg(data);
295 }
296 
297 template<>
298 template<> inline __stdcall
299 Message<v5_0sp2::ExecutionReportSpecific>::Message(MIT::TRQ::MsgTypes::ExecutionReport const &msg, MIT::TRQ::MsgTypes::ref_data const &rd)
300 : Header_t() {
301  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::ExecutionReport>(msg);
302  data=add_field_tag<FieldsFast::ClOrdID>(data);
303  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
304  data+=msg.clientOrderID().size()-1;
305  data=add_field_tag<FieldsFast::SecurityIDSource>(data);
306  *data=static_cast<std::underlying_type<SecurityIDSource>::type>(SecurityIDSource::ISIN);
307  ++data;
308  data=add_field_tag<FieldsFast::SecurityID>(data);
309  const int i=convert(msg.instrumentID(), rd, data, this->data_.size()-(data-this->data_.begin()));
310  assert(i>0);
311  data+=i;
312  data=add_field_tag<FieldsFast::ExecType>(data);
313  *data=static_cast<char>(convert(msg.execType()));
314  ++data;
315  data=add_field_tag<FieldsFast::Price>(data);
316  const int j=convert_MIT_price(msg.executedPrice(), data, this->data_.size()-(data-this->data_.begin()));
317  assert(j>0);
318  data+=j;
319  data=add_field_tag<FieldsFast::OrdStatus>(data);
320  *data=static_cast<char>(convert(msg.orderStatus()));
321  ++data;
322  data=add_field_tag<FieldsFast::OrderQty>(data);
323  const int k=convert(msg.executedQty(), data, this->data_.size()-(data-this->data_.begin()));
324  assert(k>0);
325  data+=k;
326  data=add_field_tag<FieldsFast::LeavesQty>(data);
327  const int l=convert(msg.leavesQty(), data, this->data_.size()-(data-this->data_.begin()));
328  assert(l>0);
329  data+=l;
330  data=add_field_tag<FieldsFast::Side>(data);
331  *data=convert(msg.side());
332  ++data;
333  data=write_ExDest(MIT::TRQ::MsgTypes::MIC_code, data);
334  data=write_TransactTime(data);
335 // TODO msg.orderRejectCode();
336  finalise_msg(data);
337 }
338 
339 template<>
340 template<> inline __stdcall
341 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::BIT::MsgTypes::ExecutionReport const &msg)
342 : Header_t() {
343  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
344  data=add_field_tag<FieldsFast::RefSeqNum>(data);
345  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
346  assert(i>0);
347  data+=i;
348  data=write_ExDest(MIT::BIT::MsgTypes::MIC_code, data);
349  data=write_TransactTime(data);
350  finalise_msg(data);
351 }
352 
353 template<>
354 template<> inline __stdcall
355 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::JSE::MsgTypes::ExecutionReport const &msg)
356 : Header_t() {
357  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
358  data=add_field_tag<FieldsFast::RefSeqNum>(data);
359  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
360  assert(i>0);
361  data+=i;
362  data=write_ExDest(MIT::JSE::MsgTypes::MIC_code, data);
363  data=write_TransactTime(data);
364  finalise_msg(data);
365 }
366 
367 template<>
368 template<> inline __stdcall
369 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::LSE::MsgTypes::ExecutionReport const &msg)
370 : Header_t() {
371  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
372  data=add_field_tag<FieldsFast::RefSeqNum>(data);
373  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
374  assert(i>0);
375  data+=i;
376  data=write_ExDest(MIT::LSE::MsgTypes::MIC_code, data);
377  data=write_TransactTime(data);
378  finalise_msg(data);
379 }
380 
381 template<>
382 template<> inline __stdcall
383 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::OSLO::MsgTypes::ExecutionReport const &msg)
384 : Header_t() {
385  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
386  data=add_field_tag<FieldsFast::RefSeqNum>(data);
387  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
388  assert(i>0);
389  data+=i;
390  data=write_ExDest(MIT::OSLO::MsgTypes::MIC_code, data);
391  data=write_TransactTime(data);
392  finalise_msg(data);
393 }
394 
395 template<>
396 template<> inline __stdcall
397 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::TRQ::MsgTypes::ExecutionReport const &msg)
398 : Header_t() {
399  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::Reject>(msg);
400  data=add_field_tag<FieldsFast::RefSeqNum>(data);
401  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
402  assert(i>0);
403  data+=i;
404  data=write_ExDest(MIT::TRQ::MsgTypes::MIC_code, data);
405  data=write_TransactTime(data);
406  finalise_msg(data);
407 }
408 
409 template<>
410 template<> inline __stdcall
411 Message<v5_0sp2::CancelRejectedSpecific>::Message(MIT::BIT::MsgTypes::OrderCancelReject const &msg)
412 : Header_t() {
413  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
414  data=add_field_tag<FieldsFast::ClOrdID>(data);
415  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
416  data+=msg.clientOrderID().size()-1;
417  data=add_field_tag<FieldsFast::OrderID>(data);
418  libjmmcg::memcpy_opt(msg.orderID, reinterpret_cast<MIT::common::OrderID_t &>(*data));
419  data+=msg.orderID.size()-1;
420  data=write_ExDest(MIT::BIT::MsgTypes::MIC_code, data);
421  data=write_TransactTime(data);
422 // TODO cancelRejectReason_;
423  finalise_msg(data);
424 }
425 
426 template<>
427 template<> inline __stdcall
428 Message<v5_0sp2::CancelRejectedSpecific>::Message(MIT::JSE::MsgTypes::OrderCancelReject const &msg)
429 : Header_t() {
430  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
431  data=add_field_tag<FieldsFast::ClOrdID>(data);
432  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
433  data+=msg.clientOrderID().size()-1;
434  data=add_field_tag<FieldsFast::OrderID>(data);
435  libjmmcg::memcpy_opt(msg.orderID, reinterpret_cast<MIT::common::OrderID_t &>(*data));
436  data+=msg.orderID.size()-1;
437  data=write_ExDest(MIT::JSE::MsgTypes::MIC_code, data);
438  data=write_TransactTime(data);
439 // TODO cancelRejectReason_;
440  finalise_msg(data);
441 }
442 
443 template<>
444 template<> inline __stdcall
445 Message<v5_0sp2::CancelRejectedSpecific>::Message(MIT::LSE::MsgTypes::OrderCancelReject const &msg)
446 : Header_t() {
447  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
448  data=add_field_tag<FieldsFast::ClOrdID>(data);
449  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
450  data+=msg.clientOrderID().size()-1;
451  data=add_field_tag<FieldsFast::OrderID>(data);
452  libjmmcg::memcpy_opt(msg.orderID, reinterpret_cast<MIT::common::OrderID_t &>(*data));
453  data+=msg.orderID.size()-1;
454  data=write_ExDest(MIT::LSE::MsgTypes::MIC_code, data);
455  data=write_TransactTime(data);
456 // TODO cancelRejectReason_;
457  finalise_msg(data);
458 }
459 
460 template<>
461 template<> inline __stdcall
462 Message<v5_0sp2::CancelRejectedSpecific>::Message(MIT::OSLO::MsgTypes::OrderCancelReject const &msg)
463 : Header_t() {
464  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
465  data=add_field_tag<FieldsFast::ClOrdID>(data);
466  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
467  data+=msg.clientOrderID().size()-1;
468  data=add_field_tag<FieldsFast::OrderID>(data);
469  libjmmcg::memcpy_opt(msg.orderID, reinterpret_cast<MIT::common::OrderID_t &>(*data));
470  data+=msg.orderID.size()-1;
471  data=write_ExDest(MIT::OSLO::MsgTypes::MIC_code, data);
472  data=write_TransactTime(data);
473 // TODO cancelRejectReason_;
474  finalise_msg(data);
475 }
476 
477 template<>
478 template<> inline __stdcall
479 Message<v5_0sp2::CancelRejectedSpecific>::Message(MIT::TRQ::MsgTypes::OrderCancelReject const &msg)
480 : Header_t() {
481  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::OrderCancelReject>(msg);
482  data=add_field_tag<FieldsFast::ClOrdID>(data);
483  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
484  data+=msg.clientOrderID().size()-1;
485  data=add_field_tag<FieldsFast::OrderID>(data);
486  libjmmcg::memcpy_opt(msg.orderID, reinterpret_cast<MIT::common::OrderID_t &>(*data));
487  data+=msg.orderID.size()-1;
488  data=write_ExDest(MIT::TRQ::MsgTypes::MIC_code, data);
489  data=write_TransactTime(data);
490 // TODO cancelRejectReason_;
491  finalise_msg(data);
492 }
493 
494 template<>
495 template<> inline __stdcall
496 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::BIT::MsgTypes::Reject const &msg)
497 : Header_t() {
498  underlying_fix_data_buffer::iterator data=set_header<MsgTypes::Reject>();
499  data=add_field_tag<FieldsFast::ClOrdID>(data);
500  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
501  data+=msg.clientOrderID().size()-1;
502  data=write_ExDest(MIT::BIT::MsgTypes::MIC_code, data);
503  data=write_TransactTime(data);
504 // TODO
505  finalise_msg(data);
506 }
507 
508 template<>
509 template<> inline __stdcall
510 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::JSE::MsgTypes::Reject const &msg)
511 : Header_t() {
512  underlying_fix_data_buffer::iterator data=set_header<MsgTypes::Reject>();
513  data=add_field_tag<FieldsFast::ClOrdID>(data);
514  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
515  data+=msg.clientOrderID().size()-1;
516  data=write_ExDest(MIT::JSE::MsgTypes::MIC_code, data);
517  data=write_TransactTime(data);
518 // TODO
519  finalise_msg(data);
520 }
521 
522 template<>
523 template<> inline __stdcall
524 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::LSE::MsgTypes::Reject const &msg)
525 : Header_t() {
526  underlying_fix_data_buffer::iterator data=set_header<MsgTypes::Reject>();
527  data=add_field_tag<FieldsFast::ClOrdID>(data);
528  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
529  data+=msg.clientOrderID().size()-1;
530  data=write_ExDest(MIT::LSE::MsgTypes::MIC_code, data);
531  data=write_TransactTime(data);
532 // TODO
533  finalise_msg(data);
534 }
535 
536 template<>
537 template<> inline __stdcall
538 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::OSLO::MsgTypes::Reject const &msg)
539 : Header_t() {
540  underlying_fix_data_buffer::iterator data=set_header<MsgTypes::Reject>();
541  data=add_field_tag<FieldsFast::ClOrdID>(data);
542  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
543  data+=msg.clientOrderID().size()-1;
544  data=write_ExDest(MIT::OSLO::MsgTypes::MIC_code, data);
545  data=write_TransactTime(data);
546 // TODO
547  finalise_msg(data);
548 }
549 
550 template<>
551 template<> inline __stdcall
552 Message<v5_0sp2::OrderRejectedSpecific>::Message(MIT::TRQ::MsgTypes::Reject const &msg)
553 : Header_t() {
554  underlying_fix_data_buffer::iterator data=set_header<MsgTypes::Reject>();
555  data=add_field_tag<FieldsFast::ClOrdID>(data);
556  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
557  data+=msg.clientOrderID().size()-1;
558  data=write_ExDest(MIT::TRQ::MsgTypes::MIC_code, data);
559  data=write_TransactTime(data);
560 // TODO
561  finalise_msg(data);
562 }
563 
564 template<>
565 template<> inline __stdcall
566 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(MIT::BIT::MsgTypes::BusinessReject const &msg)
567 : Header_t() {
568  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
569  data=add_field_tag<FieldsFast::ClOrdID>(data);
570  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
571  data+=msg.clientOrderID().size()-1;
572  data=add_field_tag<FieldsFast::RefSeqNum>(data);
573  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
574  assert(i>0);
575  data+=i;
576  data=write_ExDest(MIT::BIT::MsgTypes::MIC_code, data);
577  data=write_TransactTime(data);
578 // TODO
579  finalise_msg(data);
580 }
581 
582 template<>
583 template<> inline __stdcall
584 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(MIT::JSE::MsgTypes::BusinessReject const &msg)
585 : Header_t() {
586  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
587  data=add_field_tag<FieldsFast::ClOrdID>(data);
588  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
589  data+=msg.clientOrderID().size()-1;
590  data=add_field_tag<FieldsFast::RefSeqNum>(data);
591  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
592  assert(i>0);
593  data+=i;
594  data=write_ExDest(MIT::JSE::MsgTypes::MIC_code, data);
595  data=write_TransactTime(data);
596 // TODO
597  finalise_msg(data);
598 }
599 
600 template<>
601 template<> inline __stdcall
602 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(MIT::LSE::MsgTypes::BusinessReject const &msg)
603 : Header_t() {
604  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
605  data=add_field_tag<FieldsFast::ClOrdID>(data);
606  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
607  data+=msg.clientOrderID().size()-1;
608  data=add_field_tag<FieldsFast::RefSeqNum>(data);
609  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
610  assert(i>0);
611  data+=i;
612  data=write_ExDest(MIT::LSE::MsgTypes::MIC_code, data);
613  data=write_TransactTime(data);
614 // TODO
615  finalise_msg(data);
616 }
617 
618 template<>
619 template<> inline __stdcall
620 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(MIT::OSLO::MsgTypes::BusinessReject const &msg)
621 : Header_t() {
622  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
623  data=add_field_tag<FieldsFast::ClOrdID>(data);
624  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
625  data+=msg.clientOrderID().size()-1;
626  data=add_field_tag<FieldsFast::RefSeqNum>(data);
627  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
628  assert(i>0);
629  data+=i;
630  data=write_ExDest(MIT::OSLO::MsgTypes::MIC_code, data);
631  data=write_TransactTime(data);
632 // TODO
633  finalise_msg(data);
634 }
635 template<>
636 template<> inline __stdcall
637 Message<v5_0sp2::BusinessMessageRejectSpecific>::Message(MIT::TRQ::MsgTypes::BusinessReject const &msg)
638 : Header_t() {
639  underlying_fix_data_buffer::iterator data=set_sequence_num<MsgTypes::BusinessMessageReject>(msg);
640  data=add_field_tag<FieldsFast::ClOrdID>(data);
641  libjmmcg::memcpy_opt(msg.clientOrderID(), reinterpret_cast<MIT::common::ClientOrderID_t &>(*data));
642  data+=msg.clientOrderID().size()-1;
643  data=add_field_tag<FieldsFast::RefSeqNum>(data);
644  const int i=convert(msg.sequenceNumber, data, this->data_.size()-(data-this->data_.begin()));
645  assert(i>0);
646  data+=i;
647  data=write_ExDest(MIT::TRQ::MsgTypes::MIC_code, data);
648  data=write_TransactTime(data);
649 // TODO
650  finalise_msg(data);
651 }
652 
653 
654 } } } } }
655 
656 #endif