messages.hpp

Go to the documentation of this file.

#pragma once
 
 
#include <cstdint>
#include <iostream>
#include <string>
#include <variant>
#include <vector>
 
namespace itch {
 
// DISABLE PADDING
#pragma pack(push, 1)
 
struct SystemEventMessage {
    char     message_type = 'S';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    char     event_code;          
};
 
struct StockDirectoryMessage {
    char     message_type = 'R';          
    uint16_t stock_locate;                
    uint16_t tracking_number;             
    uint64_t timestamp;                   
    char     stock[8];                    
    char     market_category;             
    char     financial_status_indicator;  
    uint32_t round_lot_size;              
    char     round_lots_only;             
    char issue_classification;  
    char issue_sub_type[2];     
    char authenticity;          
    char short_sale_threshold_indicator;  
    char ipo_flag;                        
    char luld_ref;                        
    char etp_flag;                        
    uint32_t etp_leverage_factor;         
    char     inverse_indicator;           
};
 
struct StockTradingActionMessage {
    char     message_type = 'H';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    char     stock[8];            
    char     trading_state;       
    char     reserved;            
    char reason[4];  
};
 
struct RegSHOMessage {
    char     message_type = 'Y';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    char     stock[8];            
    char     reg_sho_action;      
};
 
struct MarketParticipantPositionMessage {
    char     message_type = 'L';        
    uint16_t stock_locate;              
    uint16_t tracking_number;           
    uint64_t timestamp;                 
    char     mpid[4];                   
    char     stock[8];                  
    char     primary_market_maker;      
    char     market_maker_mode;         
    char     market_participant_state;  
};
 
struct MWCBDeclineLevelMessage {
    char     message_type = 'V';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    uint64_t level1;              
    uint64_t level2;              
    uint64_t level3;              
};
 
struct MWCBStatusMessage {
    char     message_type = 'W';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    char     breached_level;      
};
 
struct IPOQuotingPeriodUpdateMessage {
    char     message_type = 'K';          
    uint16_t stock_locate;                
    uint16_t tracking_number;             
    uint64_t timestamp;                   
    char     stock[8];                    
    uint32_t ipo_quotation_release_time;  
    char     ipo_quotation_release_qualifier;  
    uint32_t ipo_price;                        
};
 
struct LULDAuctionCollarMessage {
    char     message_type = 'J';              
    uint16_t stock_locate;                    
    uint16_t tracking_number;                 
    uint64_t timestamp;                       
    char     stock[8];                        
    uint32_t auction_collar_reference_price;  
    uint32_t upper_auction_collar_price;      
    uint32_t lower_auction_collar_price;      
    uint32_t auction_collar_extension;        
};
 
struct OperationalHaltMessage {
    char     message_type = 'h';       
    uint16_t stock_locate;             
    uint16_t tracking_number;          
    uint64_t timestamp;                
    char     stock[8];                 
    char     market_code;              
    char     operational_halt_action;  
};
 
struct AddOrderMessage {
    char     message_type = 'A';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    char     buy_sell_indicator;      
    uint32_t shares;                  
    char     stock[8];                
    uint32_t price;                   
};
 
struct AddOrderMPIDAttributionMessage {
    char     message_type = 'F';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    char     buy_sell_indicator;      
    uint32_t shares;                  
    char     stock[8];                
    uint32_t price;                   
    char     attribution[4];          
};
 
struct OrderExecutedMessage {
    char     message_type = 'E';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    uint32_t executed_shares;         
    uint64_t match_number;            
};
 
struct OrderExecutedWithPriceMessage {
    char     message_type = 'C';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    uint32_t executed_shares;         
    uint64_t match_number;            
    char     printable;               
    uint32_t execution_price;         
};
 
struct OrderCancelMessage {
    char     message_type = 'X';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    uint32_t cancelled_shares;        
};
 
struct OrderDeleteMessage {
    char     message_type = 'D';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
};
 
struct OrderReplaceMessage {
    char     message_type = 'U';               
    uint16_t stock_locate;                     
    uint16_t tracking_number;                  
    uint64_t timestamp;                        
    uint64_t original_order_reference_number;  
    uint64_t new_order_reference_number;       
    uint32_t shares;                           
    uint32_t price;                            
};
 
struct NonCrossTradeMessage {
    char     message_type = 'P';      
    uint16_t stock_locate;            
    uint16_t tracking_number;         
    uint64_t timestamp;               
    uint64_t order_reference_number;  
    char     buy_sell_indicator;      
    uint32_t shares;                  
    char     stock[8];                
    uint32_t price;                   
    uint64_t match_number;            
};
 
struct CrossTradeMessage {
    char     message_type = 'Q';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    uint64_t shares;              
    char     stock[8];            
    uint32_t cross_price;         
    uint64_t match_number;        
    char     cross_type;          
};
 
struct BrokenTradeMessage {
    char     message_type = 'B';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    uint64_t match_number;        
};
 
struct NOIIMessage {
    char     message_type = 'I';   
    uint16_t stock_locate;         
    uint16_t tracking_number;      
    uint64_t timestamp;            
    uint64_t paired_shares;        
    uint64_t imbalance_shares;     
    char     imbalance_direction;  
    char     stock[8];             
    uint32_t far_price;            
    uint32_t near_price;           
    uint32_t current_reference_price;  
    char     cross_type;               
    char
        price_variation_indicator;  
};
 
struct RetailPriceImprovementIndicatorMessage {
    char     message_type = 'N';  
    uint16_t stock_locate;        
    uint16_t tracking_number;     
    uint64_t timestamp;           
    char     stock[8];            
    char     interest_flag;       
};
 
struct DLCRMessage {
    char     message_type = 'O';        
    uint16_t stock_locate;              
    uint16_t tracking_number;           
    uint64_t timestamp;                 
    char     stock[8];                  
    char     open_eligibility_status;   
    uint32_t minimum_allowable_price;   
    uint32_t maximum_allowable_price;   
    uint32_t near_execution_price;      
    uint64_t near_execution_time;       
    uint32_t lower_price_range_collar;  
    uint32_t upper_price_range_collar;  
};
 
// RESTORE DEFAULT PADDING
#pragma pack(pop)
 
using Message = std::variant<
    SystemEventMessage,
    StockDirectoryMessage,
    StockTradingActionMessage,
    RegSHOMessage,
    MarketParticipantPositionMessage,
    MWCBDeclineLevelMessage,
    MWCBStatusMessage,
    IPOQuotingPeriodUpdateMessage,
    LULDAuctionCollarMessage,
    OperationalHaltMessage,
    AddOrderMessage,
    AddOrderMPIDAttributionMessage,
    OrderExecutedMessage,
    OrderExecutedWithPriceMessage,
    OrderCancelMessage,
    OrderDeleteMessage,
    OrderReplaceMessage,
    NonCrossTradeMessage,
    CrossTradeMessage,
    BrokenTradeMessage,
    NOIIMessage,
    RetailPriceImprovementIndicatorMessage,
    DLCRMessage>;
 
constexpr int    STOCK_LEN          = 8;
constexpr double PRICE_DIVISOR      = 10000.0;
constexpr double MWCB_PRICE_DIVISOR = 1.0E8;
 
inline auto to_string(const char* source, size_t size) -> std::string {
    size_t len = size;
    while (len > 0 && (source[len - 1] == ' ' || source[len - 1] == '\0')) {
        len--;
    }
    return std::string {source, len};
}
 
auto print_impl(std::ostream& out, const SystemEventMessage& msg) -> void;
auto print_impl(std::ostream& out, const StockDirectoryMessage& msg) -> void;
auto print_impl(std::ostream& out, const StockTradingActionMessage& msg) -> void;
auto print_impl(std::ostream& out, const RegSHOMessage& msg) -> void;
auto print_impl(std::ostream& out, const MarketParticipantPositionMessage& msg) -> void;
auto print_impl(std::ostream& out, const MWCBDeclineLevelMessage& msg) -> void;
auto print_impl(std::ostream& out, const MWCBStatusMessage& msg) -> void;
auto print_impl(std::ostream& out, const IPOQuotingPeriodUpdateMessage& msg) -> void;
auto print_impl(std::ostream& out, const LULDAuctionCollarMessage& msg) -> void;
auto print_impl(std::ostream& out, const OperationalHaltMessage& msg) -> void;
auto print_impl(std::ostream& out, const AddOrderMessage& msg) -> void;
auto print_impl(std::ostream& out, const AddOrderMPIDAttributionMessage& msg) -> void;
auto print_impl(std::ostream& out, const OrderExecutedMessage& msg) -> void;
auto print_impl(std::ostream& out, const OrderExecutedWithPriceMessage& msg) -> void;
auto print_impl(std::ostream& out, const OrderCancelMessage& msg) -> void;
auto print_impl(std::ostream& out, const OrderDeleteMessage& msg) -> void;
auto print_impl(std::ostream& out, const OrderReplaceMessage& msg) -> void;
auto print_impl(std::ostream& out, const NonCrossTradeMessage& msg) -> void;
auto print_impl(std::ostream& out, const CrossTradeMessage& msg) -> void;
auto print_impl(std::ostream& out, const BrokenTradeMessage& msg) -> void;
auto print_impl(std::ostream& out, const NOIIMessage& msg) -> void;
auto print_impl(std::ostream& out, const RetailPriceImprovementIndicatorMessage& msg) -> void;
auto print_impl(std::ostream& out, const DLCRMessage& msg) -> void;
 
auto print_message(std::ostream& out, const Message& msg) -> void;
 
auto operator<<(std::ostream& out, const Message& msg) -> std::ostream&;
 
}  // namespace itch