/usr/include/mamda/MamdaQuoteRecap.h is in libmamda-dev 2.2.2.1-10.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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*
* OpenMAMA: The open middleware agnostic messaging API
* Copyright (C) 2011 NYSE Technologies, Inc.
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License, or (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
* 02110-1301 USA
*/
#ifndef MamdaQuoteRecapH
#define MamdaQuoteRecapH
#include <mamda/MamdaConfig.h>
#include <mamda/MamdaBasicRecap.h>
#include <mamda/MamdaFieldState.h>
#include <mama/types.h>
namespace Wombat
{
/**
* MamdaQuoteRecap is an interface that provides access to quote
* related fields.
*/
class MAMDAExpDLL MamdaQuoteRecap : public MamdaBasicRecap
{
public:
/**
* Get the quote bid price.
*
* @return Bid price. The highest price that the representative
* party/group is willing to pay to buy the security. For most
* feeds, this size is represented in round lots.
*/
virtual const MamaPrice& getBidPrice() const = 0;
/**
* Get the quote bid size.
*
* @return Total share size available for the current bid price.
* Note: many feeds provide this size in terms of round lots.
*/
virtual mama_quantity_t getBidSize() const = 0;
/**
* Get the quote bid depth.
*
* @return The total size available at the current best bid price.
* Only supported by some exchanges. The total size may differ
* from the "best" size in that the total may be aggregated from
* multiple sources.
*/
virtual mama_quantity_t getBidDepth() const = 0;
/**
* Get the quote bid participant identifier.
*
* @return The identifier of the market participant (e.g. exchange
* or market maker) contributing the bid price field.
*/
virtual const char* getBidPartId() const = 0;
/**
* Get the bid closing price.
*
* @return Today's closing bid price, after the market has closed
* and the stock has traded today. If the market is not not
* closed or the stock did not trade today, zero is returned and
* the previous close price is available using
* getBidPrevClosePrice(). This value is always zero at the start
* of a trading day.
*/
virtual const MamaPrice& getBidClosePrice() const = 0;
/**
* Get the bid closing date.
*
* @return Date of the BidClosePrice, if that value is non-zero.
* This is always the most recent day that the market was open,
* including today. This is different to BidPrevCloseDate.
*/
virtual const MamaDateTime& getBidCloseDate() const = 0;
/**
* Get the previous bid closing price.
*
* @return The previous closing price, prior to any trade today.
*/
virtual const MamaPrice& getBidPrevClosePrice() const = 0;
/**
* Get the previous bid closing date.
*
* @return Date of the previous closing price, prior to any trade
* today.
*/
virtual const MamaDateTime& getBidPrevCloseDate() const = 0;
/**
* Get the high bid price for the day.
*
* @return High bid price.
*/
virtual const MamaPrice& getBidHigh() const = 0;
/**
* Get the low bid price for the day.
*
* @return Low bid price.
*/
virtual const MamaPrice& getBidLow() const = 0;
/**
* Get the quote ask price.
*
* @return Ask price. The lowest price that the representative
* party/group is willing to take to sell the security. For most
* feeds, this size is represented in round lots.
*/
virtual const MamaPrice& getAskPrice() const = 0;
/**
* Get the quote ask size.
*
* @return Total share size available for the current ask price.
* Note: many feeds provide this size in terms of round lots.
*/
virtual mama_quantity_t getAskSize() const = 0;
/**
* Get the quote ask depth.
*
* @return The total size available at the current best ask price.
* Only supported by some exchanges. The total size may differ
* from the "best" size in that the total may be aggregated from
* multiple sources.
*/
virtual mama_quantity_t getAskDepth() const = 0;
/**
* Get the quote ask participant identifier.
*
* @return The identifier of the market participant (e.g. exchange
* or market maker) contributing the ask price field.
*/
virtual const char* getAskPartId() const = 0;
/**
* Get the ask quote closing price.
*
* @return Today's closing ask price, after the market has closed
* and the stock has traded today. If the market is not not
* closed or the stock did not trade today, zero is returned and
* the previous close price is available using
* <code>getAskPrevClosePrice()</code>. This value is always zero
* at the start of a trading day.
*/
virtual const MamaPrice& getAskClosePrice() const = 0;
/**
* Get the ask quote closing date.
*
* @return Date of the AskClosePrice, if that value is non-zero.
* This is always the most recent day that the market was open,
* including today. This is different to AskPrevCloseDate.
*/
virtual const MamaDateTime& getAskCloseDate() const = 0;
/**
* Get the previous ask closing price.
*
* @return The previous closing price, prior to any trade today.
*/
virtual const MamaPrice& getAskPrevClosePrice() const = 0;
/**
* Get the previous ask closing date.
*
* @return Date of previous closing price, prior to any trade
* today.
*/
virtual const MamaDateTime& getAskPrevCloseDate() const = 0;
/**
* Get the high ask price for the day.
*
* @return High ask price.
*/
virtual const MamaPrice& getAskHigh() const = 0;
/**
* Get the low ask price for the day.
*
* @return Low ask price.
*/
virtual const MamaPrice& getAskLow() const = 0;
/**
* Get the quote mid price.
*
* @return The mid price of the current quote. Usually, this is
* the average of the bid and ask prices, but some exchanges
* provide this field explicitly (e.g. LSE).
*/
virtual const MamaPrice& getQuoteMidPrice() const = 0;
/**
* Get the quote count.
*
* @return The number of quotes generated for this security during
* the current trading session.
*/
virtual mama_u32_t getQuoteCount() const = 0;
/**
* Get quote qualifier as a string.
*
* @return A normalized set of qualifiers for the last quote for
* the security. This field may contain multiple string values,
* separated by the colon(:) character.
*
* <table width="100%" border="1">
* <tr><td><b>Value</b></td><td><b>Meaning</b></td></tr>
* <tr>
* <td>Normal</td>
* <td>Regular quote; no special condition</td>
* </tr>
* <tr>
* <td>DepthAsk</td>
* <td>Depth on ask side</td>
* </tr>
* <tr>
* <td>DepthBid</td>
* <td>Depth on bid side</td>
* </tr>
* <tr>
* <td>SlowQuoteOnAskSide</td>
* <td>This indicates that a market participants Ask is in a slow
* (CTA) mode. While in this mode, automated
* execution is not eligible on the Ask side and can be
* traded through pursuant to Regulation NMS requirements.</td>
* </tr>
* <tr>
* <td>SlowQuoteOnBidSide</td>
* <td>This indicates that a market participants Bid is in a slow
* (CTA) mode. While in this mode, automated
* execution is not eligible on the Bid side and can be
* traded through pursuant to Regulation NMS
* requirements.</td>
* </tr>
* <tr>
* <td>Fast</td>
* <td>Fast trading</td>
* </tr>
* <tr>
* <td>NonFirm</td>
* <td>Non-firm quote</td>
* </tr>
* <tr>
* <td>Rotation</td>
* <td>OPRA only. Quote relates to a trading rotation (Where a
* participant rotates through various clients that they are trading
* for)</td>
* </tr>
* <tr>
* <td>Auto</td>
* <td>Automatic trade</td>
* </tr>
* <tr>
* <td>Inactive</td>
* <td> </td>
* </tr>
* <tr>
* <td>SpecBid</td>
* <td>Specialist bid</td>
* </tr>
* <tr>
* <td>SpecAsk</td>
* <td>Specialist ask</td>
* </tr>
* <tr>
* <td>OneSided</td>
* <td>One sided. No orders, or only market orders, exist on one side
* of the book.</td>
* </tr>
* <tr>
* <td>PassiveMarketMaker</td>
* <td>Market Maker is both underwriter and buyer of security.</td>
* </tr>
* <tr>
* <td>LockedMarket</td>
* <td>Locked market - Bid is equal to Ask for OTCBB issues
* </td>
* </tr>
* <tr>
* <td>Crossed</td>
* <td>Crossed market - Bid is greater than Ask for OTCBB
* </td>
* </tr>
* <tr>
* <td>Synd</td>
* <td>Syndicate bid</td>
* </tr>
* <tr>
* <td>PreSynd</td>
* <td>Pre-syndicate bid</td>
* </tr>
* <tr>
* <td>Penalty</td>
* <td>Penalty bid</td>
* </tr>
* <tr>
* <td>UnsolBid</td>
* <td>Unsolicited bid</td>
* </tr>
* <tr>
* <td>UnsolAsk</td>
* <td>Unsolicited ask</td>
* </tr>
* <tr>
* <td>UnsolQuote</td>
* <td>Unsolicited quote</td>
* </tr>
* <tr>
* <td>Empty</td>
* <td>Empty quote (no quote)</td>
* </tr>
* <tr>
* <td>XpressBid</td>
* <td>NYSE LiquidityQuote Xpress bid indicator</td>
* </tr>
* <tr>
* <td>XpressAsk</td>
* <td>NYSE LiquidityQuote Xpress ask indicator</td>
* </tr>
* <tr>
* <td>BestOrder</td>
* <td> </td>
* </tr>
* <tr>
* <td>WillSell</td>
* <td> </td>
* </tr>
* <tr>
* <td>WillBuy</td>
* <td> </td>
* </tr>
* <tr>
* <td>AnyOrder</td>
* <td> </td>
* </tr>
* <tr>
* <td>MktOnly</td>
* <td>Market orders only.</td>
* </tr>
* <tr>
* <td>ManualAsk</td>
* <td>This indicates that a market participants Ask is in a manual
* (NASDAQ) mode. While in this mode, automated
* execution is not eligible on the Ask side and can be traded through
* pursuant to Regulation NMS requirements.</td>
* </tr>
* <tr>
* <td>ManualBid</td>
* <td>This indicates that a market participants Bid is in a manual
* (NASDAQ) mode. While in this mode, automated
* execution is not eligible on the Bid side and can be
* traded through pursuant to Regulation NMS requirements.</td>
* </tr>
* <tr>
* <td>AutomaticAsk</td>
* <td>This indicates that the market participant's Ask is in
* automatic mode - we generally send a combination of the last four
* (e.g. ManualAsk:AutomaticBid or ManualAsk;ManualBid)</td>
* </tr>
* <tr>
* <td>AutomaticBid</td>
* <td>This indicates that the market participant's Ask is in
* automatic mode - we generally send a combination of the last four
* (e.g. ManualAsk:AutomaticBid or ManualAsk;ManualBid)</td>
* </tr>
* <tr>
* <td>Closing</td>
* <td>Closing quote.</td>
* </tr>
* <tr>
* <td>Unknown</td>
* <td>Quote condition unknown.</td>
* </tr>
* </table>
*/
virtual const char* getQuoteQualStr() const = 0;
/**
* Get the native feed quote qualifier.
* @return Native quote qualifier (a.k.a. "quote condition").
* Feed-specific quote qualifier code(s). This field is provided
* primarily for completeness and/or troubleshooting.
* @see getQuoteQual.
*/
virtual const char* getQuoteQualNative() const = 0;
/**
* NASDAQ Bid Tick Indicator for Short Sale Rule Compliance.
* National Bid Tick Indicator based on changes to the bid price of the
* National Best Bid or Offer (National BBO).
*
* <table width="100%" border="1">
* <tr><td><b>Value</b></td><td><b>Meaning</b></td></tr>
* <tr>
* <td>U</td>
* <td>Up Tick. The current Best Bid Price price is higher than the
* previous Best Bid Price for the given NNM security.</td>
* </tr>
* <tr>
* <td>D</td>
* <td>Down Tick. The current Best Bid Price price is lower than the
* previous Best Bid Price for the given NNM security.</td>
* </tr>
* <tr>
* <td>N</td>
* <td>No Tick. The NASD Short Sale Rule does not apply to issue (i.e.
* NASDAQ SmallCap listed security).</td>
* </tr>
* <tr>
* <td>Z</td>
* <td>Unset - default value within the API</td>
* </tr>
* </table>
*
* @return The tick bid indicator.
*/
virtual char getShortSaleBidTick() const = 0;
/**
* Get the quote ask time.
*
* @return The quote ask time.
*/
virtual const MamaDateTime& getAskTime() const = 0;
/**
* Get the quote bid time.
*
* @return The quote bid time.
*/
virtual const MamaDateTime& getBidTime() const = 0;
/**
* Get the quote date.
*
* @return The quote date.
*/
virtual const MamaDateTime& getQuoteDate() const = 0;
/**
* Get the quote ask indicator.
*
* @return The quote ask indicator.
*/
virtual const char* getAskIndicator() const = 0;
/**
* Get the quote bid indicator.
*
* @return The quote bid indicator.
*/
virtual const char* getBidIndicator() const = 0;
/**
* Get the quote ask update count.
*
* @return The quote ask update count.
*/
virtual mama_u32_t getAskUpdateCount() const = 0;
/**
* Get the quote bid update count.
*
* @return The quote bid update count.
*/
virtual mama_u32_t getBidUpdateCount() const = 0;
/**
* Get the quote ask yield.
*
* @return The quote ask yield.
*/
virtual double getAskYield() const = 0;
/**
* Get the quote bid yield.
*
* @return The quote bid yield.
*/
virtual double getBidYield() const = 0;
/**
* Get the ask sizes list.
*
* @return The ask sizes list.
*/
virtual const char* getAskSizesList() const = 0;
/**
* Get the bid sizes list.
*
* @return The bid sizes list.
*/
virtual const char* getBidSizesList() const = 0;
/**
* get the ShortSaleCircuitBreaker
* @return ShortSaleCircuitBreaker
* <ul>
* <li>return values:</li>
* <li>Blank: Short Sale Restriction Not in Effect.</li>
* <li>A: Short Sale Restriction Activiated.</li>
* <li>C: Short Sale Restriction Continued.</li>
* <li>D: Sale Restriction Deactivated.</li>
* <li>E: Sale Restriction in Effect.</li>
* </ul>
*/
virtual char getShortSaleCircuitBreaker() const = 0;
/* FieldState Accessors ******/
/**
* Get the quote bid price fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidPriceFieldState() const = 0;
/**
* Get the quote bid size fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidSizeFieldState() const = 0;
/**
* Get the quote bid depth fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidDepthFieldState() const = 0;
/**
* Get the quote participant identifier fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidPartIdFieldState() const = 0;
/**
* Get the quote ask price fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskPriceFieldState() const = 0;
/**
* Get the quote ask size fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskSizeFieldState() const = 0;
/**
* Get the quote ask depth fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskDepthFieldState() const = 0;
/**
* Get the quote ask participant identifier fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskPartIdFieldState() const = 0;
/**
* Get the quote mid price fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getQuoteMidPriceFieldState() const = 0;
/**
* Get the quote qualifier fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getQuoteQualStrFieldState() const = 0;
/**
* Get the native feed quote qualifier fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getQuoteQualNativeFieldState() const = 0;
/**
* Get the short sale bid tick fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getShortSaleBidTickFieldState() const = 0;
/**
* Get the quote ask time fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskTimeFieldState() const = 0;
/**
* Get the quote bid time fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidTimeFieldState() const = 0;
/**
* Get the quote date fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getQuoteDateFieldState() const = 0;
/**
* Get the quote ask indicator fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskIndicatorFieldState() const = 0;
/**
* Get the quote bid indicator fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidIndicatorFieldState() const = 0;
/**
* Get the quote ask update count fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskUpdateCountFieldState() const = 0;
/**
* Get the quote bid update count fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidUpdateCountFieldState() const = 0;
/**
* Get the quote ask yield fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskYieldFieldState() const = 0;
/**
* Get the quote bid yield fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidYieldFieldState() const = 0;
/**
* Get the ask sizes list fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getAskSizesListFieldState() const = 0;
/**
* Get the bid sizes list fieldState
*
* @return MamdaFieldState. An enumeration representing field state.
*/
virtual MamdaFieldState getBidSizesListFieldState() const = 0;
/**
* @return The ShortSaleCircuitBreaker Field State.
* An enumeration representing field state.
*/
virtual MamdaFieldState getShortSaleCircuitBreakerFieldState() const = 0;
virtual ~MamdaQuoteRecap() {};
};
} // namespace
#endif // MamdaQuoteRecapH
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