OpenMAMA
MamdaTradeFields.h
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1 /* $Id$
2  *
3  * OpenMAMA: The open middleware agnostic messaging API
4  * Copyright (C) 2011 NYSE Technologies, Inc.
5  *
6  * This library is free software; you can redistribute it and/or
7  * modify it under the terms of the GNU Lesser General Public
8  * License as published by the Free Software Foundation; either
9  * version 2.1 of the License, or (at your option) any later version.
10  *
11  * This library is distributed in the hope that it will be useful,
12  * but WITHOUT ANY WARRANTY; without even the implied warranty of
13  * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
14  * Lesser General Public License for more details.
15  *
16  * You should have received a copy of the GNU Lesser General Public
17  * License along with this library; if not, write to the Free Software
18  * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
19  * 02110-1301 USA
20  */
21 
22 #ifndef MamdaTradeFieldsH
23 #define MamdaTradeFieldsH
24 
25 #include <mamda/MamdaConfig.h>
26 #include <mama/mamacpp.h>
27 
28 namespace Wombat
29 {
30 
31  class MamaFieldDescriptor;
32  class MamaDictionary;
33 
42  class MAMDAExpDLL MamdaTradeFields
43  {
44  public:
45  static const MamaFieldDescriptor* TRADE_PRICE;
46  static const MamaFieldDescriptor* TRADE_DATE;
47  static const MamaFieldDescriptor* TRADE_SIDE;
48  static const MamaFieldDescriptor* AGGRESSOR_SIDE;
49  static const MamaFieldDescriptor* TRADE_TIME;
50  static const MamaFieldDescriptor* LAST_PRICE;
51  static const MamaFieldDescriptor* LAST_VOLUME;
52  static const MamaFieldDescriptor* LAST_DATE_TIME;
53  static const MamaFieldDescriptor* LAST_PART_ID;
54  static const MamaFieldDescriptor* LAST_DIRECTION;
55  static const MamaFieldDescriptor* NET_CHANGE;
56  static const MamaFieldDescriptor* PCT_CHANGE;
57  static const MamaFieldDescriptor* TRADE_SIZE;
58  static const MamaFieldDescriptor* TOTAL_VOLUME;
59  static const MamaFieldDescriptor* OFF_EXCHANGE_TOTAL_VOLUME;
60  static const MamaFieldDescriptor* ON_EXCHANGE_TOTAL_VOLUME;
61  static const MamaFieldDescriptor* TRADE_UNITS;
62  static const MamaFieldDescriptor* HIGH_PRICE;
63  static const MamaFieldDescriptor* LOW_PRICE;
64  static const MamaFieldDescriptor* OPEN_PRICE;
65  static const MamaFieldDescriptor* CLOSE_PRICE;
66  static const MamaFieldDescriptor* CLOSE_DATE;
67  static const MamaFieldDescriptor* PREV_CLOSE_PRICE;
68  static const MamaFieldDescriptor* PREV_CLOSE_DATE;
69  static const MamaFieldDescriptor* ADJ_PREV_CLOSE;
70  static const MamaFieldDescriptor* PREV_VOLUME;
71  static const MamaFieldDescriptor* TRADE_SEQNUM;
72  static const MamaFieldDescriptor* TRADE_QUALIFIER;
73  static const MamaFieldDescriptor* TRADE_PART_ID;
74  static const MamaFieldDescriptor* TOTAL_VALUE;
75  static const MamaFieldDescriptor* OFF_EXCHANGE_TOTAL_VALUE;
76  static const MamaFieldDescriptor* ON_EXCHANGE_TOTAL_VALUE;
77  static const MamaFieldDescriptor* VWAP;
78  static const MamaFieldDescriptor* OFF_EXCHANGE_VWAP;
79  static const MamaFieldDescriptor* ON_EXCHANGE_VWAP;
80  static const MamaFieldDescriptor* STD_DEV;
81  static const MamaFieldDescriptor* STD_DEV_SUM;
82  static const MamaFieldDescriptor* STD_DEV_SUM_SQUARES;
83  static const MamaFieldDescriptor* SALE_CONDITION;
84  static const MamaFieldDescriptor* SELLERS_SALE_DAYS;
85  static const MamaFieldDescriptor* IS_IRREGULAR;
86  static const MamaFieldDescriptor* IRREG_PART_ID;
87  static const MamaFieldDescriptor* IRREG_PRICE;
88  static const MamaFieldDescriptor* IRREG_SIZE;
89  static const MamaFieldDescriptor* IRREG_TIME;
90  static const MamaFieldDescriptor* ORIG_PART_ID;
91  static const MamaFieldDescriptor* ORIG_PRICE;
92  static const MamaFieldDescriptor* ORIG_SIZE;
93  static const MamaFieldDescriptor* ORIG_SEQNUM;
94  static const MamaFieldDescriptor* ORIG_TRADE_QUALIFIER;
95  static const MamaFieldDescriptor* ORIG_SALE_CONDITION;
96  static const MamaFieldDescriptor* ORIG_SELLERS_SALE_DAYS;
97  static const MamaFieldDescriptor* ORIG_STOP_STOCK_IND;
98  static const MamaFieldDescriptor* STOP_STOCK_IND;
99  static const MamaFieldDescriptor* CORR_PART_ID;
100  static const MamaFieldDescriptor* CORR_PRICE;
101  static const MamaFieldDescriptor* CORR_SIZE;
102  static const MamaFieldDescriptor* CORR_TRADE_QUALIFIER;
103  static const MamaFieldDescriptor* CORR_SALE_CONDITION;
104  static const MamaFieldDescriptor* CORR_TRADE_ID;
105  static const MamaFieldDescriptor* CORR_SELLERS_SALE_DAYS;
106  static const MamaFieldDescriptor* CORR_STOP_STOCK_IND;
107  static const MamaFieldDescriptor* CORR_TIME;
108  static const MamaFieldDescriptor* CANCEL_TIME;
109  static const MamaFieldDescriptor* TRADE_ID;
110  static const MamaFieldDescriptor* ORIG_TRADE_ID;
111  static const MamaFieldDescriptor* PRIMARY_EXCH;
112  static const MamaFieldDescriptor* TRADE_COUNT;
113  static const MamaFieldDescriptor* BLOCK_COUNT;
114  static const MamaFieldDescriptor* BLOCK_VOLUME;
115  static const MamaFieldDescriptor* ORDER_ID;
116  static const MamaFieldDescriptor* UPDATE_AS_TRADE;
117  static const MamaFieldDescriptor* CURRENCY_CODE;
118  static const MamaFieldDescriptor* SETTLE_PRICE;
119  static const MamaFieldDescriptor* SETTLE_DATE;
120  static const MamaFieldDescriptor* HIGH_SEQNUM;
121  static const MamaFieldDescriptor* LOW_SEQNUM;
122  static const MamaFieldDescriptor* LAST_SEQNUM;
123  static const MamaFieldDescriptor* TOTAL_VOLUME_SEQNUM;
124  static const MamaFieldDescriptor* UNIQUE_ID;
125  static const MamaFieldDescriptor* TRADE_ACTION;
126  static const MamaFieldDescriptor* TRADE_EXEC_VENUE;
127  static const MamaFieldDescriptor* OFF_EXCHANGE_TRADE_PRICE;
128  static const MamaFieldDescriptor* ON_EXCHANGE_TRADE_PRICE;
129  static const MamaFieldDescriptor* TRADE_CONTRIBUTORS;
130  static const MamaFieldDescriptor* GENERIC_FLAG;
131  static const MamaFieldDescriptor* TRADE_RECAPS;
132  static const MamaFieldDescriptor* SHORT_SALE_CIRCUIT_BREAKER;
133  static const MamaFieldDescriptor* ORIG_SHORT_SALE_CIRCUIT_BREAKER;
134  static const MamaFieldDescriptor* CORR_SHORT_SALE_CIRCUIT_BREAKER;
135 
136  // calling setDictionary will also set the Common Fields
137  static void setDictionary (const MamaDictionary& dictionary);
138 
142  static void reset ();
143  static uint16_t getMaxFid ();
144  static bool isSet ();
145  };
146 
147 }
148 
149 #endif // MamdaTradeFieldsH
static const MamaFieldDescriptor * CORR_SELLERS_SALE_DAYS
Definition: MamdaTradeFields.h:105
static const MamaFieldDescriptor * TOTAL_VOLUME
Definition: MamdaTradeFields.h:58
static const MamaFieldDescriptor * ON_EXCHANGE_VWAP
Definition: MamdaTradeFields.h:79
static const MamaFieldDescriptor * IRREG_PRICE
Definition: MamdaTradeFields.h:87
static const MamaFieldDescriptor * ON_EXCHANGE_TOTAL_VOLUME
Definition: MamdaTradeFields.h:60
static const MamaFieldDescriptor * LAST_SEQNUM
Definition: MamdaTradeFields.h:122
static const MamaFieldDescriptor * LAST_DIRECTION
Definition: MamdaTradeFields.h:54
static const MamaFieldDescriptor * LOW_PRICE
Definition: MamdaTradeFields.h:63
static const MamaFieldDescriptor * TRADE_CONTRIBUTORS
Definition: MamdaTradeFields.h:129
static const MamaFieldDescriptor * PREV_CLOSE_DATE
Definition: MamdaTradeFields.h:68
static const MamaFieldDescriptor * TRADE_EXEC_VENUE
Definition: MamdaTradeFields.h:126
static const MamaFieldDescriptor * CORR_SIZE
Definition: MamdaTradeFields.h:101
static const MamaFieldDescriptor * IRREG_SIZE
Definition: MamdaTradeFields.h:88
static const MamaFieldDescriptor * IRREG_TIME
Definition: MamdaTradeFields.h:89
static const MamaFieldDescriptor * LAST_DATE_TIME
Definition: MamdaTradeFields.h:52
static const MamaFieldDescriptor * OFF_EXCHANGE_TOTAL_VALUE
Definition: MamdaTradeFields.h:75
static const MamaFieldDescriptor * UPDATE_AS_TRADE
Definition: MamdaTradeFields.h:116
static const MamaFieldDescriptor * IRREG_PART_ID
Definition: MamdaTradeFields.h:86
static const MamaFieldDescriptor * SETTLE_PRICE
Definition: MamdaTradeFields.h:118
static const MamaFieldDescriptor * TRADE_SEQNUM
Definition: MamdaTradeFields.h:71
static const MamaFieldDescriptor * ORIG_TRADE_ID
Definition: MamdaTradeFields.h:110
static const MamaFieldDescriptor * ON_EXCHANGE_TRADE_PRICE
Definition: MamdaTradeFields.h:128
static const MamaFieldDescriptor * TRADE_DATE
Definition: MamdaTradeFields.h:46
static const MamaFieldDescriptor * UNIQUE_ID
Definition: MamdaTradeFields.h:124
static const MamaFieldDescriptor * TRADE_RECAPS
Definition: MamdaTradeFields.h:131
static const MamaFieldDescriptor * GENERIC_FLAG
Definition: MamdaTradeFields.h:130
static const MamaFieldDescriptor * LAST_PART_ID
Definition: MamdaTradeFields.h:53
static const MamaFieldDescriptor * ORIG_TRADE_QUALIFIER
Definition: MamdaTradeFields.h:94
static const MamaFieldDescriptor * ORIG_PRICE
Definition: MamdaTradeFields.h:91
static const MamaFieldDescriptor * OFF_EXCHANGE_TOTAL_VOLUME
Definition: MamdaTradeFields.h:59
static const MamaFieldDescriptor * ADJ_PREV_CLOSE
Definition: MamdaTradeFields.h:69
static const MamaFieldDescriptor * LAST_PRICE
Definition: MamdaTradeFields.h:50
static const MamaFieldDescriptor * LAST_VOLUME
Definition: MamdaTradeFields.h:51
static const MamaFieldDescriptor * PRIMARY_EXCH
Definition: MamdaTradeFields.h:111
static const MamaFieldDescriptor * OFF_EXCHANGE_VWAP
Definition: MamdaTradeFields.h:78
static const MamaFieldDescriptor * PCT_CHANGE
Definition: MamdaTradeFields.h:56
static const MamaFieldDescriptor * CORR_SHORT_SALE_CIRCUIT_BREAKER
Definition: MamdaTradeFields.h:134
static const MamaFieldDescriptor * ON_EXCHANGE_TOTAL_VALUE
Definition: MamdaTradeFields.h:76
static const MamaFieldDescriptor * AGGRESSOR_SIDE
Definition: MamdaTradeFields.h:48
static const MamaFieldDescriptor * CLOSE_DATE
Definition: MamdaTradeFields.h:66
static const MamaFieldDescriptor * BLOCK_COUNT
Definition: MamdaTradeFields.h:113
static const MamaFieldDescriptor * TOTAL_VALUE
Definition: MamdaTradeFields.h:74
static const MamaFieldDescriptor * NET_CHANGE
Definition: MamdaTradeFields.h:55
MamdaOrderImbalanceUpdate is an interface that provides access to order imbalance related fields...
Definition: MamdaAuctionFields.h:29
static const MamaFieldDescriptor * CORR_SALE_CONDITION
Definition: MamdaTradeFields.h:103
static const MamaFieldDescriptor * CORR_TRADE_QUALIFIER
Definition: MamdaTradeFields.h:102
static const MamaFieldDescriptor * ORIG_PART_ID
Definition: MamdaTradeFields.h:90
static const MamaFieldDescriptor * ORIG_SIZE
Definition: MamdaTradeFields.h:92
static const MamaFieldDescriptor * CORR_PRICE
Definition: MamdaTradeFields.h:100
static const MamaFieldDescriptor * TRADE_SIDE
Definition: MamdaTradeFields.h:47
Utility cache of MamaFieldDescriptors which are used internally by the API when accessing trade relat...
Definition: MamdaTradeFields.h:42
static const MamaFieldDescriptor * ORIG_SHORT_SALE_CIRCUIT_BREAKER
Definition: MamdaTradeFields.h:133
static const MamaFieldDescriptor * PREV_VOLUME
Definition: MamdaTradeFields.h:70
static const MamaFieldDescriptor * SHORT_SALE_CIRCUIT_BREAKER
Definition: MamdaTradeFields.h:132
static const MamaFieldDescriptor * TRADE_PRICE
Definition: MamdaTradeFields.h:45
static const MamaFieldDescriptor * TRADE_PART_ID
Definition: MamdaTradeFields.h:73
static const MamaFieldDescriptor * CORR_STOP_STOCK_IND
Definition: MamdaTradeFields.h:106
static const MamaFieldDescriptor * CANCEL_TIME
Definition: MamdaTradeFields.h:108
static const MamaFieldDescriptor * IS_IRREGULAR
Definition: MamdaTradeFields.h:85
static const MamaFieldDescriptor * CLOSE_PRICE
Definition: MamdaTradeFields.h:65
static const MamaFieldDescriptor * STD_DEV
Definition: MamdaTradeFields.h:80
static const MamaFieldDescriptor * OPEN_PRICE
Definition: MamdaTradeFields.h:64
static const MamaFieldDescriptor * PREV_CLOSE_PRICE
Definition: MamdaTradeFields.h:67
static const MamaFieldDescriptor * VWAP
Definition: MamdaTradeFields.h:77
static const MamaFieldDescriptor * CORR_PART_ID
Definition: MamdaTradeFields.h:99
static const MamaFieldDescriptor * TRADE_TIME
Definition: MamdaTradeFields.h:49
static const MamaFieldDescriptor * HIGH_SEQNUM
Definition: MamdaTradeFields.h:120
static const MamaFieldDescriptor * TRADE_UNITS
Definition: MamdaTradeFields.h:61
static const MamaFieldDescriptor * ORIG_SELLERS_SALE_DAYS
Definition: MamdaTradeFields.h:96
static const MamaFieldDescriptor * HIGH_PRICE
Definition: MamdaTradeFields.h:62
static const MamaFieldDescriptor * STD_DEV_SUM_SQUARES
Definition: MamdaTradeFields.h:82
static const MamaFieldDescriptor * OFF_EXCHANGE_TRADE_PRICE
Definition: MamdaTradeFields.h:127
static const MamaFieldDescriptor * ORIG_SALE_CONDITION
Definition: MamdaTradeFields.h:95
static const MamaFieldDescriptor * ORIG_STOP_STOCK_IND
Definition: MamdaTradeFields.h:97
static const MamaFieldDescriptor * SALE_CONDITION
Definition: MamdaTradeFields.h:83
static const MamaFieldDescriptor * ORDER_ID
Definition: MamdaTradeFields.h:115
static const MamaFieldDescriptor * TOTAL_VOLUME_SEQNUM
Definition: MamdaTradeFields.h:123
static const MamaFieldDescriptor * CORR_TIME
Definition: MamdaTradeFields.h:107
static const MamaFieldDescriptor * BLOCK_VOLUME
Definition: MamdaTradeFields.h:114
static const MamaFieldDescriptor * TRADE_ACTION
Definition: MamdaTradeFields.h:125
static const MamaFieldDescriptor * STD_DEV_SUM
Definition: MamdaTradeFields.h:81
static const MamaFieldDescriptor * SELLERS_SALE_DAYS
Definition: MamdaTradeFields.h:84
static const MamaFieldDescriptor * CORR_TRADE_ID
Definition: MamdaTradeFields.h:104
static const MamaFieldDescriptor * TRADE_SIZE
Definition: MamdaTradeFields.h:57
static const MamaFieldDescriptor * LOW_SEQNUM
Definition: MamdaTradeFields.h:121
static const MamaFieldDescriptor * ORIG_SEQNUM
Definition: MamdaTradeFields.h:93
static const MamaFieldDescriptor * SETTLE_DATE
Definition: MamdaTradeFields.h:119
static const MamaFieldDescriptor * CURRENCY_CODE
Definition: MamdaTradeFields.h:117
static const MamaFieldDescriptor * TRADE_QUALIFIER
Definition: MamdaTradeFields.h:72
static const MamaFieldDescriptor * TRADE_ID
Definition: MamdaTradeFields.h:109
static const MamaFieldDescriptor * TRADE_COUNT
Definition: MamdaTradeFields.h:112
static const MamaFieldDescriptor * STOP_STOCK_IND
Definition: MamdaTradeFields.h:98


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