instrument.hpp

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#pragma once

#include <tt_core_sdk/enums.hpp>
#include <cstdint>
#include <vector>
#include <memory>

namespace tt_core_sdk {

struct opaque_data;

class Instrument
{
public:
    static constexpr size_t MAX_TICK_TABLE_ROW_COUNT = 128; 

    bool IsValid (void) const noexcept;

    double OffsetPrice (double price, int32_t offset, rounding round) const noexcept;

    double TickPriceUp (double price, uint32_t offset) const noexcept;

    double TickPriceDown (double price, uint32_t offset) const noexcept;

    double RoundPriceToTick (double price, rounding round) const noexcept;

    double GetMinTickSize (void) const noexcept;

    bool IsPriceOnTick (double price) const noexcept;

    int32_t PriceToTicks (double price) const noexcept;

    uint64_t             instr_id;            
    uint64_t             instr_version;       
    uint64_t             synthetic_instr_id;  
    uint64_t             underlying_instr_id; 
    uint64_t             algo_compliance_id;  

    std::string          name;                
    std::string          alias;               
    std::string          security_id;         
    std::string          series_key;          

    enum market          market_id;           
    std::string          symbol;              
    uint64_t             product_id;          
    uint64_t             product_version;     
    enum product_type_id product_type_id;     
    enum currency_code   product_currency;    

    double               tick_value;          
    double               tick_size;           
    uint32_t             tick_num;            
    uint32_t             tick_denom;          
    double               point_value;         
    double               display_factor;      
    double               min_price_increment; 

    std::string          price_topic;         
    std::string          price_formula;       
    std::string          implied_rules;       

    uint32_t             starting_date;       
    uint32_t             last_trading_date;   
    uint32_t             first_delivery_date; 
    uint32_t             maturity_date;       

    double               strike_price;        
    uint16_t             option_code_id;      
    uint16_t             option_scheme_id;    
    uint16_t             series_term_id;      
    uint16_t             combo_type_id;       

    bool                 supports_implieds;   
    bool                 is_not_tradable;     

    struct tick_table_data
    {
        uint64_t tick_table_id;
        size_t count;

        struct row
        {
            double price;
            double tick_size;
        } rows[MAX_TICK_TABLE_ROW_COUNT];
    } tick_table;

    struct instrument_leg
    {
        std::shared_ptr<Instrument> instr;
        uint64_t                    containing_instr_id;
        double                      strike;
        int32_t                     ratio;
        std::string                 name;
        std::string                 alias;
    };

    std::vector<instrument_leg> legs;

    enum instr_state             state;
    uint32_t                     update_source;
    uint32_t                     security_exchange_id;
    std::unique_ptr<opaque_data> opaque;

    bool IsAlgoVersion (const std::string& version) const noexcept;
    bool IsAlgoADL (void) const noexcept;
    bool IsAlgoSO (void) const noexcept;
    uint64_t KeyId (void) const noexcept;
};

std::shared_ptr<Instrument> DownloadInstrument (uint64_t instr_id);

std::shared_ptr<Instrument> DownloadInstrument (const std::string& query, enum market market_id);

} // namespace tt_core_sdk