instrument.h

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/***************************************************************************
 *
 *                  Unpublished Work Copyright (c) 2018-2020
 *                  Trading Technologies International, Inc.
 *                       All Rights Reserved Worldwide
 *
 *          * * *   S T R I C T L Y   P R O P R I E T A R Y   * * *
 *
 * WARNING:  This program (or document) is unpublished, proprietary property
 * of Trading Technologies International, Inc. and is to be maintained in
 * strict confidence. Unauthorized reproduction, distribution or disclosure
 * of this program (or document), or any program (or document) derived from
 * it is prohibited by State and Federal law, and by local law outside of
 * the U.S.
 *
 ***************************************************************************/
#pragma once
 
#include <stddef.h>
#include "shared_ptr.h"
#include "enums/MarketId.h"
#include "enums/CurrencyCode.h"
#include "enums/ProductType.h"
#include "enums/PriceDisplayType.h"
 
/*
#ifdef _AFXDLL
 
#pragma warning(disable: 4275)  // deriving exported class from non-exported
 
#pragma warning(disable: 4251)  // using non-exported as public in exported
 
#endif
 
*/
namespace ttsdk {
 
    class InstrumentLeg : public shared_base
    {
    public:
        virtual uint64_t GetInstrumentId() const noexcept = 0;
        virtual const char* GetName() const noexcept = 0;
        virtual MarketId GetMarket() const noexcept = 0;
        virtual int32_t GetRatio() const noexcept = 0;
        virtual float GetStrike() const noexcept = 0;
        InstrumentLeg() {};
    private:
        InstrumentLeg(InstrumentLeg&&) = delete;
        InstrumentLeg& operator= (InstrumentLeg&&) = delete;
    };
    using InstrumentLegPtr = shared_ptr<const InstrumentLeg>;
    template class shared_ptr<const InstrumentLeg>; 
 
 
    class Instrument : public shared_base
    {
    public:
        enum class ResponseCode
        {
            SUCCESS = 0,
            FAILED = 1,
            INVALID_REQUEST = 2,
            NOT_ALLOWED = 3,
            THROTTLE_EXCEEDED = 4,
            NOT_FOUND = 5,
        };
        enum State
        {
            DELETED = 1,
            INACTIVE = 2,
            ACTIVE = 4
        };
        enum Rounding
        {
            NONE,   
            UP,     
            DOWN,   
            NEAREST 
        };
        // Ticking methods
        virtual double OffsetPrice (double price, int32_t offset, Rounding round) const noexcept = 0;

        virtual double TickPriceUp (double price, int32_t offset) const noexcept = 0;

        virtual double TickPriceDown (double price, int32_t offset) const noexcept = 0;

        virtual double RoundPriceToTick (double price, Rounding round) const noexcept = 0;

        virtual double GetMinTickSize () const noexcept = 0;

        virtual bool IsPriceOnTick (const double price) const noexcept = 0;

        virtual int32_t PriceToTicks (const double price) const noexcept = 0;
 
        // Data members
        virtual State GetState() const noexcept = 0;
        virtual uint64_t GetInstrumentId() const noexcept = 0;
        virtual const char* GetName() const noexcept = 0;
        virtual const char* GetAlias() const noexcept = 0;
        virtual const char* GetSecurityId() const noexcept = 0;
        virtual uint32_t GetSecurityExchangeId() const noexcept = 0;
        virtual ProductType GetProductType() const noexcept = 0;
        virtual MarketId GetMarket() const noexcept = 0;
        virtual CurrencyCode GetCurrencyCode() const noexcept = 0;
        virtual const char* GetProductName() const noexcept = 0;
        virtual const char* GetProductSymbol() const noexcept = 0;
 
        virtual double  GetTickValue() const noexcept = 0;
        virtual double  GetTickSize() const noexcept = 0;
        virtual double GetTickSize(const double price) const noexcept = 0;
        virtual int64_t GetTickNum() const noexcept = 0;
        virtual int64_t GetTickDenom() const noexcept = 0;
        virtual double GetPointValue() const noexcept = 0;
        virtual double GetDisplayFactor() const noexcept = 0;
 
        virtual uint64_t GetStartingDate() const noexcept = 0;
        virtual uint64_t GetLastTradingDate() const noexcept = 0;
        virtual uint64_t GetFirstDeliveryDate() const noexcept = 0;
        virtual uint64_t GetMaturityDate() const noexcept = 0;
        virtual PriceDisplayType GetPriceDisplayType() const noexcept = 0;
        
        virtual size_t GetNumberLegs() const noexcept = 0;
        virtual InstrumentLegPtr GetLeg(const uint32_t index) const noexcept = 0;
 
        Instrument() {};
    private:
        Instrument(Instrument&&) = delete;
        Instrument& operator= (Instrument&&) = delete;
    };
 
    using InstrumentPtr = shared_ptr<const Instrument>;
 
}