mdata_proto.h

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#pragma once
#include <common/xroad_common_types.h>
#include <common/xroad_string.h>
#include <common/xroad_time.h>
#include <common/xroad_date.h>
#include <cache/xroad_objects_types.h>
 
#pragma pack(push, 4)
 
#define MDATA_INDICATOR_TYPE_SIZE 8
 
typedef enum
{
   mdata_proto_type_heartbeat     = 0,
   mdata_proto_type_resolve       = 1,
   mdata_proto_type_subscribe     = 2,
   mdata_proto_type_symbol        = 3,
   mdata_proto_type_book          = 4,
   mdata_proto_type_trade         = 5,
   mdata_proto_type_subscribe_res = 6,
   mdata_proto_type_feed_state    = 7,
   mdata_proto_type_quote         = 8,
   mdata_proto_type_common_info   = 9,
   mdata_proto_type_order         = 10,
   mdata_proto_type_bar           = 11,
   mdata_proto_type_indicator     = 12,
   mdata_proto_type_bestprice     = 13,
   mdata_proto_type_speedway      = 14
} mdata_proto_type_t;
 
#define MAX_PROTO_TYPE 12
 
typedef enum
{
   mdata_feed_offline            = 0,
   mdata_feed_online             = 1,
   mdata_feed_unknown            = 2
} mdata_feed_state_type_t;
 
typedef enum
{
   mdata_ask_t =  1,
   mdata_bid_t =  2
} mdata_side_t;
 
typedef enum
{
   mdata_canceled_t  =  0,
   mdata_new_t       =  1,
   mdata_filled_t    =  2,
   mdata_replaced_t  =  3,
   mdata_clear_book_t  =  4
} mdata_status_t;
 
typedef enum
{
   mdata_subscription_book       = 1,
   mdata_subscription_trade      = 2,
   mdata_subscription_quote      = 4,
   mdata_subscription_common     = 8,
   mdata_subscription_orders     = 16,
   mdata_subscription_snapshot   = 32,
   mdata_subscription_updates    = 64,
   mdata_subscription_bar        = 128,
   mdata_subscription_indicator  = 256,
   mdata_subscription_bestprice  = 512,
   mdata_subscription_speedway   = 1024
} mdata_subscription_type_t;
 
typedef struct mdata_heartbeat_s
{
   mdata_feed_state_type_t state;
   xroad_object_id_t       source_id;
} mdata_heartbeat_t;
 
typedef struct mdata_book_level_s
{
   xroad_price_t price;
   xroad_qty_t   qty;
} mdata_book_level_t;
 
typedef uint32_t mdata_subscription_mask_t;
 
typedef struct mdata_subscribe_s
{
   char alias[XROAD_ALIAS_SIZE + 1];
   char req_id[XROAD_UUID_SIZE + 1];
   mdata_subscription_mask_t  mask;
} mdata_subscribe_t;
 
typedef struct mdata_subscribe_result_s
{
   xroad_object_id_t          instr_id;
   char req_id[XROAD_UUID_SIZE + 1];
   xroad_errno_t              error_num;
   mdata_subscription_mask_t  mask;
} mdata_subscribe_result_t;
 
#define MDATA_BOOK_20_SIZE 20U
 
typedef struct mdata_book_20_s
{
   xroad_object_id_t    instr_id;
   mdata_book_level_t   asks[MDATA_BOOK_20_SIZE];
   mdata_book_level_t   bids[MDATA_BOOK_20_SIZE];
   xroad_timestamp_t    exch_ts;
   xroad_timestamp_t    ts;
   xroad_object_id_t    source_id;
   //xroad_timestamp_t    rcv_ts;
} mdata_book_20_t;
 
typedef struct mdata_quote_s
{
   xroad_object_id_t    instr_id;
   mdata_book_level_t   ask;
   mdata_book_level_t   bid;
   xroad_timestamp_t    exch_ts;
   xroad_timestamp_t    ts;
   uint32_t             flag;
   xroad_object_id_t    source_id;
   //xroad_timestamp_t    rcv_ts;
} mdata_quote_t;
 
typedef struct mdata_trade_s
{
   xroad_object_id_t instr_id;
   xroad_price_t     price;
   xroad_qty_t       qty;
   xroad_side_t      side;
   xroad_timestamp_t exch_ts;
   xroad_timestamp_t ts;
   xroad_object_id_t source_id;
   //xroad_timestamp_t rcv_ts;
} mdata_trade_t;
 
typedef struct mdata_order_s
{
   xroad_object_id_t instr_id;
   int64_t           record_id;
   xroad_price_t     price;
   xroad_qty_t       qty;
   xroad_side_t      side;
   xroad_timestamp_t exch_ts;
   xroad_timestamp_t ts;
   int64_t           order_id;
   mdata_status_t    status;
   int64_t           trade_id;
   xroad_price_t     trade_price;
   xroad_object_id_t source_id;
} mdata_order_t;
 
typedef struct mdata_best_prices_s
{
   xroad_object_id_t instr_id;
   xroad_object_id_t source_id;
   xroad_price_t bid;
   xroad_price_t ask;
   xroad_timestamp_t exch_ts;
   xroad_timestamp_t ts;
} mdata_best_prices_t;
 
typedef struct mdata_feed_state_s
{
   xroad_object_id_t         instr_id;
   mdata_feed_state_type_t   state;
   xroad_object_id_t         source_id;
} mdata_feed_state_t;
 
typedef enum
{
   mdata_oi_t          = 1,
   mdata_min_t         = 2,
   mdata_max_t         = 4,
   mdata_open_t        = 8,
   mdata_high_t        = 16,
   mdata_low_t         = 32,
   mdata_last_t        = 64,
   mdata_volume_t      = 128,
   mdata_open_period_t = 256,
   mdata_vwap_t        = 512,
   mdata_close_t       = 1024,
   mdata_oa_price_t    = 2048,
   mdata_ca_price_t    = 4096,
   mdata_trading_status_t = 8192,
   mdata_lower_limit_t    = 16384,
   mdata_upper_limit_t    = 32768,
   mdata_wa_price_t       = 0x10000,
   mdata_settle_date_t    = 0x20000,
} mdata_stat_flag_t;
 
typedef struct mdata_common_info_s
{
   xroad_object_id_t instr_id;
   int32_t           flag;
   xroad_price_t     oi;
   xroad_price_t     min;
   xroad_price_t     max;
   xroad_price_t     open;
   xroad_price_t     close;
   xroad_price_t     high;
   xroad_price_t     low;
   xroad_price_t     last;
   xroad_price_t     volume;
   xroad_price_t     open_period;
   xroad_price_t     vwap;
   xroad_price_t     oa_price;
   xroad_price_t     ca_price;
   xroad_price_t     lower_limit;
   xroad_price_t     upper_limit;
   xroad_trading_status_t trading_status;
   xroad_timestamp_t ts;
   xroad_timestamp_t exch_ts;
   xroad_object_id_t source_id;
   xroad_price_t     wa_price;
   xroad_date_t      settle_date;
} mdata_common_info_t;
 
typedef struct mdata_bar_s
{
   xroad_object_id_t    instr_id;
   xroad_object_id_t    source_id;
   xroad_timestamp_t    open_ts;
   xroad_timestamp_t    ts;   // ts of update
   int32_t              size; // length of bar in minutes
   xroad_price_t        open;
   xroad_price_t        close;
   xroad_price_t        high;
   xroad_price_t        low;
   xroad_price_t        pvol;
   xroad_qty_t          qvol;
} mdata_bar_t;
 
typedef struct mdata_indicator_s
{
   xroad_object_id_t    instr_id;
   xroad_object_id_t    source_id;
   xroad_timestamp_t    ts;   // ts of update
   char                 type[MDATA_INDICATOR_TYPE_SIZE + 1];
   xroad_price_t        value;
} mdata_indicator_t;
 
typedef struct
{
   xroad_str_t          key;
   xroad_field_type_t   type;
   xroad_binary_t       value;
   xroad_timestamp_t    ts;   // ts of update
} mdata_speedway_t;
 
#pragma pack(pop)