MarketDataIncrementalRefresh.h 13 KB

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  1. #ifndef FIX50_MARKETDATAINCREMENTALREFRESH_H
  2. #define FIX50_MARKETDATAINCREMENTALREFRESH_H
  3. #include "Message.h"
  4. namespace FIX50
  5. {
  6. class MarketDataIncrementalRefresh : public Message
  7. {
  8. public:
  9. MarketDataIncrementalRefresh() : Message(MsgType()) {}
  10. MarketDataIncrementalRefresh(const FIX::Message& m) : Message(m) {}
  11. MarketDataIncrementalRefresh(const Message& m) : Message(m) {}
  12. MarketDataIncrementalRefresh(const MarketDataIncrementalRefresh& m) : Message(m) {}
  13. static FIX::MsgType MsgType() { return FIX::MsgType("X"); }
  14. FIELD_SET(*this, FIX::MDBookType);
  15. FIELD_SET(*this, FIX::MDFeedType);
  16. FIELD_SET(*this, FIX::TradeDate);
  17. FIELD_SET(*this, FIX::MDReqID);
  18. FIELD_SET(*this, FIX::NoMDEntries);
  19. class NoMDEntries: public FIX::Group
  20. {
  21. public:
  22. NoMDEntries() : FIX::Group(268,279,FIX::message_order(279,285,269,278,280,55,65,48,22,460,461,167,762,200,541,1079,201,966,1049,965,224,225,239,226,227,228,255,543,470,471,472,240,202,947,967,968,206,231,969,996,997,223,207,970,971,106,348,349,107,350,351,691,667,875,876,873,874,711,555,291,292,270,40,15,271,272,273,274,275,336,625,276,277,282,283,284,286,59,432,126,110,18,287,37,198,299,288,289,346,290,546,811,451,58,354,355,1023,528,1024,332,333,1020,63,64,1070,83,1048,1026,1027,453,0)) {}
  23. FIELD_SET(*this, FIX::MDUpdateAction);
  24. FIELD_SET(*this, FIX::DeleteReason);
  25. FIELD_SET(*this, FIX::MDEntryType);
  26. FIELD_SET(*this, FIX::MDEntryID);
  27. FIELD_SET(*this, FIX::MDEntryRefID);
  28. FIELD_SET(*this, FIX::Symbol);
  29. FIELD_SET(*this, FIX::SymbolSfx);
  30. FIELD_SET(*this, FIX::SecurityID);
  31. FIELD_SET(*this, FIX::SecurityIDSource);
  32. FIELD_SET(*this, FIX::Product);
  33. FIELD_SET(*this, FIX::CFICode);
  34. FIELD_SET(*this, FIX::SecurityType);
  35. FIELD_SET(*this, FIX::SecuritySubType);
  36. FIELD_SET(*this, FIX::MaturityMonthYear);
  37. FIELD_SET(*this, FIX::MaturityDate);
  38. FIELD_SET(*this, FIX::MaturityTime);
  39. FIELD_SET(*this, FIX::PutOrCall);
  40. FIELD_SET(*this, FIX::SettleOnOpenFlag);
  41. FIELD_SET(*this, FIX::InstrmtAssignmentMethod);
  42. FIELD_SET(*this, FIX::SecurityStatus);
  43. FIELD_SET(*this, FIX::CouponPaymentDate);
  44. FIELD_SET(*this, FIX::IssueDate);
  45. FIELD_SET(*this, FIX::RepoCollateralSecurityType);
  46. FIELD_SET(*this, FIX::RepurchaseTerm);
  47. FIELD_SET(*this, FIX::RepurchaseRate);
  48. FIELD_SET(*this, FIX::Factor);
  49. FIELD_SET(*this, FIX::CreditRating);
  50. FIELD_SET(*this, FIX::InstrRegistry);
  51. FIELD_SET(*this, FIX::CountryOfIssue);
  52. FIELD_SET(*this, FIX::StateOrProvinceOfIssue);
  53. FIELD_SET(*this, FIX::LocaleOfIssue);
  54. FIELD_SET(*this, FIX::RedemptionDate);
  55. FIELD_SET(*this, FIX::StrikePrice);
  56. FIELD_SET(*this, FIX::StrikeCurrency);
  57. FIELD_SET(*this, FIX::StrikeMultiplier);
  58. FIELD_SET(*this, FIX::StrikeValue);
  59. FIELD_SET(*this, FIX::OptAttribute);
  60. FIELD_SET(*this, FIX::ContractMultiplier);
  61. FIELD_SET(*this, FIX::MinPriceIncrement);
  62. FIELD_SET(*this, FIX::UnitOfMeasure);
  63. FIELD_SET(*this, FIX::TimeUnit);
  64. FIELD_SET(*this, FIX::CouponRate);
  65. FIELD_SET(*this, FIX::SecurityExchange);
  66. FIELD_SET(*this, FIX::PositionLimit);
  67. FIELD_SET(*this, FIX::NTPositionLimit);
  68. FIELD_SET(*this, FIX::Issuer);
  69. FIELD_SET(*this, FIX::EncodedIssuerLen);
  70. FIELD_SET(*this, FIX::EncodedIssuer);
  71. FIELD_SET(*this, FIX::SecurityDesc);
  72. FIELD_SET(*this, FIX::EncodedSecurityDescLen);
  73. FIELD_SET(*this, FIX::EncodedSecurityDesc);
  74. FIELD_SET(*this, FIX::Pool);
  75. FIELD_SET(*this, FIX::ContractSettlMonth);
  76. FIELD_SET(*this, FIX::CPProgram);
  77. FIELD_SET(*this, FIX::CPRegType);
  78. FIELD_SET(*this, FIX::DatedDate);
  79. FIELD_SET(*this, FIX::InterestAccrualDate);
  80. FIELD_SET(*this, FIX::NoUnderlyings);
  81. class NoUnderlyings: public FIX::Group
  82. {
  83. public:
  84. NoUnderlyings() : FIX::Group(711,311,FIX::message_order(311,312,309,305,462,463,310,763,313,542,315,241,242,243,244,245,246,256,595,592,593,594,247,316,941,317,436,998,1000,435,308,306,362,363,307,364,365,877,878,972,318,879,975,973,974,810,882,883,884,885,886,1044,1045,1046,1038,1039,0)) {}
  85. FIELD_SET(*this, FIX::UnderlyingSymbol);
  86. FIELD_SET(*this, FIX::UnderlyingSymbolSfx);
  87. FIELD_SET(*this, FIX::UnderlyingSecurityID);
  88. FIELD_SET(*this, FIX::UnderlyingSecurityIDSource);
  89. FIELD_SET(*this, FIX::UnderlyingProduct);
  90. FIELD_SET(*this, FIX::UnderlyingCFICode);
  91. FIELD_SET(*this, FIX::UnderlyingSecurityType);
  92. FIELD_SET(*this, FIX::UnderlyingSecuritySubType);
  93. FIELD_SET(*this, FIX::UnderlyingMaturityMonthYear);
  94. FIELD_SET(*this, FIX::UnderlyingMaturityDate);
  95. FIELD_SET(*this, FIX::UnderlyingPutOrCall);
  96. FIELD_SET(*this, FIX::UnderlyingCouponPaymentDate);
  97. FIELD_SET(*this, FIX::UnderlyingIssueDate);
  98. FIELD_SET(*this, FIX::UnderlyingRepoCollateralSecurityType);
  99. FIELD_SET(*this, FIX::UnderlyingRepurchaseTerm);
  100. FIELD_SET(*this, FIX::UnderlyingRepurchaseRate);
  101. FIELD_SET(*this, FIX::UnderlyingFactor);
  102. FIELD_SET(*this, FIX::UnderlyingCreditRating);
  103. FIELD_SET(*this, FIX::UnderlyingInstrRegistry);
  104. FIELD_SET(*this, FIX::UnderlyingCountryOfIssue);
  105. FIELD_SET(*this, FIX::UnderlyingStateOrProvinceOfIssue);
  106. FIELD_SET(*this, FIX::UnderlyingLocaleOfIssue);
  107. FIELD_SET(*this, FIX::UnderlyingRedemptionDate);
  108. FIELD_SET(*this, FIX::UnderlyingStrikePrice);
  109. FIELD_SET(*this, FIX::UnderlyingStrikeCurrency);
  110. FIELD_SET(*this, FIX::UnderlyingOptAttribute);
  111. FIELD_SET(*this, FIX::UnderlyingContractMultiplier);
  112. FIELD_SET(*this, FIX::UnderlyingUnitOfMeasure);
  113. FIELD_SET(*this, FIX::UnderlyingTimeUnit);
  114. FIELD_SET(*this, FIX::UnderlyingCouponRate);
  115. FIELD_SET(*this, FIX::UnderlyingSecurityExchange);
  116. FIELD_SET(*this, FIX::UnderlyingIssuer);
  117. FIELD_SET(*this, FIX::EncodedUnderlyingIssuerLen);
  118. FIELD_SET(*this, FIX::EncodedUnderlyingIssuer);
  119. FIELD_SET(*this, FIX::UnderlyingSecurityDesc);
  120. FIELD_SET(*this, FIX::EncodedUnderlyingSecurityDescLen);
  121. FIELD_SET(*this, FIX::EncodedUnderlyingSecurityDesc);
  122. FIELD_SET(*this, FIX::UnderlyingCPProgram);
  123. FIELD_SET(*this, FIX::UnderlyingCPRegType);
  124. FIELD_SET(*this, FIX::UnderlyingAllocationPercent);
  125. FIELD_SET(*this, FIX::UnderlyingCurrency);
  126. FIELD_SET(*this, FIX::UnderlyingQty);
  127. FIELD_SET(*this, FIX::UnderlyingSettlementType);
  128. FIELD_SET(*this, FIX::UnderlyingCashAmount);
  129. FIELD_SET(*this, FIX::UnderlyingCashType);
  130. FIELD_SET(*this, FIX::UnderlyingPx);
  131. FIELD_SET(*this, FIX::UnderlyingDirtyPrice);
  132. FIELD_SET(*this, FIX::UnderlyingEndPrice);
  133. FIELD_SET(*this, FIX::UnderlyingStartValue);
  134. FIELD_SET(*this, FIX::UnderlyingCurrentValue);
  135. FIELD_SET(*this, FIX::UnderlyingEndValue);
  136. FIELD_SET(*this, FIX::UnderlyingAdjustedQuantity);
  137. FIELD_SET(*this, FIX::UnderlyingFXRate);
  138. FIELD_SET(*this, FIX::UnderlyingFXRateCalc);
  139. FIELD_SET(*this, FIX::UnderlyingCapValue);
  140. FIELD_SET(*this, FIX::UnderlyingSettlMethod);
  141. };
  142. FIELD_SET(*this, FIX::NoLegs);
  143. class NoLegs: public FIX::Group
  144. {
  145. public:
  146. NoLegs() : FIX::Group(555,600,FIX::message_order(600,601,602,603,607,608,609,764,610,611,248,249,250,251,252,253,257,599,596,597,598,254,612,942,613,614,999,1001,615,616,617,618,619,620,621,622,623,624,556,740,739,955,956,1017,0)) {}
  147. FIELD_SET(*this, FIX::LegSymbol);
  148. FIELD_SET(*this, FIX::LegSymbolSfx);
  149. FIELD_SET(*this, FIX::LegSecurityID);
  150. FIELD_SET(*this, FIX::LegSecurityIDSource);
  151. FIELD_SET(*this, FIX::LegProduct);
  152. FIELD_SET(*this, FIX::LegCFICode);
  153. FIELD_SET(*this, FIX::LegSecurityType);
  154. FIELD_SET(*this, FIX::LegSecuritySubType);
  155. FIELD_SET(*this, FIX::LegMaturityMonthYear);
  156. FIELD_SET(*this, FIX::LegMaturityDate);
  157. FIELD_SET(*this, FIX::LegCouponPaymentDate);
  158. FIELD_SET(*this, FIX::LegIssueDate);
  159. FIELD_SET(*this, FIX::LegRepoCollateralSecurityType);
  160. FIELD_SET(*this, FIX::LegRepurchaseTerm);
  161. FIELD_SET(*this, FIX::LegRepurchaseRate);
  162. FIELD_SET(*this, FIX::LegFactor);
  163. FIELD_SET(*this, FIX::LegCreditRating);
  164. FIELD_SET(*this, FIX::LegInstrRegistry);
  165. FIELD_SET(*this, FIX::LegCountryOfIssue);
  166. FIELD_SET(*this, FIX::LegStateOrProvinceOfIssue);
  167. FIELD_SET(*this, FIX::LegLocaleOfIssue);
  168. FIELD_SET(*this, FIX::LegRedemptionDate);
  169. FIELD_SET(*this, FIX::LegStrikePrice);
  170. FIELD_SET(*this, FIX::LegStrikeCurrency);
  171. FIELD_SET(*this, FIX::LegOptAttribute);
  172. FIELD_SET(*this, FIX::LegContractMultiplier);
  173. FIELD_SET(*this, FIX::LegUnitOfMeasure);
  174. FIELD_SET(*this, FIX::LegTimeUnit);
  175. FIELD_SET(*this, FIX::LegCouponRate);
  176. FIELD_SET(*this, FIX::LegSecurityExchange);
  177. FIELD_SET(*this, FIX::LegIssuer);
  178. FIELD_SET(*this, FIX::EncodedLegIssuerLen);
  179. FIELD_SET(*this, FIX::EncodedLegIssuer);
  180. FIELD_SET(*this, FIX::LegSecurityDesc);
  181. FIELD_SET(*this, FIX::EncodedLegSecurityDescLen);
  182. FIELD_SET(*this, FIX::EncodedLegSecurityDesc);
  183. FIELD_SET(*this, FIX::LegRatioQty);
  184. FIELD_SET(*this, FIX::LegSide);
  185. FIELD_SET(*this, FIX::LegCurrency);
  186. FIELD_SET(*this, FIX::LegPool);
  187. FIELD_SET(*this, FIX::LegDatedDate);
  188. FIELD_SET(*this, FIX::LegContractSettlMonth);
  189. FIELD_SET(*this, FIX::LegInterestAccrualDate);
  190. FIELD_SET(*this, FIX::LegOptionRatio);
  191. };
  192. FIELD_SET(*this, FIX::FinancialStatus);
  193. FIELD_SET(*this, FIX::CorporateAction);
  194. FIELD_SET(*this, FIX::MDEntryPx);
  195. FIELD_SET(*this, FIX::OrdType);
  196. FIELD_SET(*this, FIX::Currency);
  197. FIELD_SET(*this, FIX::MDEntrySize);
  198. FIELD_SET(*this, FIX::MDEntryDate);
  199. FIELD_SET(*this, FIX::MDEntryTime);
  200. FIELD_SET(*this, FIX::TickDirection);
  201. FIELD_SET(*this, FIX::MDMkt);
  202. FIELD_SET(*this, FIX::TradingSessionID);
  203. FIELD_SET(*this, FIX::TradingSessionSubID);
  204. FIELD_SET(*this, FIX::QuoteCondition);
  205. FIELD_SET(*this, FIX::TradeCondition);
  206. FIELD_SET(*this, FIX::MDEntryOriginator);
  207. FIELD_SET(*this, FIX::LocationID);
  208. FIELD_SET(*this, FIX::DeskID);
  209. FIELD_SET(*this, FIX::OpenCloseSettlFlag);
  210. FIELD_SET(*this, FIX::TimeInForce);
  211. FIELD_SET(*this, FIX::ExpireDate);
  212. FIELD_SET(*this, FIX::ExpireTime);
  213. FIELD_SET(*this, FIX::MinQty);
  214. FIELD_SET(*this, FIX::ExecInst);
  215. FIELD_SET(*this, FIX::SellerDays);
  216. FIELD_SET(*this, FIX::OrderID);
  217. FIELD_SET(*this, FIX::SecondaryOrderID);
  218. FIELD_SET(*this, FIX::QuoteEntryID);
  219. FIELD_SET(*this, FIX::MDEntryBuyer);
  220. FIELD_SET(*this, FIX::MDEntrySeller);
  221. FIELD_SET(*this, FIX::NumberOfOrders);
  222. FIELD_SET(*this, FIX::MDEntryPositionNo);
  223. FIELD_SET(*this, FIX::Scope);
  224. FIELD_SET(*this, FIX::PriceDelta);
  225. FIELD_SET(*this, FIX::NetChgPrevDay);
  226. FIELD_SET(*this, FIX::Text);
  227. FIELD_SET(*this, FIX::EncodedTextLen);
  228. FIELD_SET(*this, FIX::EncodedText);
  229. FIELD_SET(*this, FIX::MDPriceLevel);
  230. FIELD_SET(*this, FIX::OrderCapacity);
  231. FIELD_SET(*this, FIX::MDOriginType);
  232. FIELD_SET(*this, FIX::HighPx);
  233. FIELD_SET(*this, FIX::LowPx);
  234. FIELD_SET(*this, FIX::TradeVolume);
  235. FIELD_SET(*this, FIX::SettlType);
  236. FIELD_SET(*this, FIX::SettlDate);
  237. FIELD_SET(*this, FIX::MDQuoteType);
  238. FIELD_SET(*this, FIX::RptSeq);
  239. FIELD_SET(*this, FIX::DealingCapacity);
  240. FIELD_SET(*this, FIX::MDEntrySpotRate);
  241. FIELD_SET(*this, FIX::MDEntryForwardPoints);
  242. FIELD_SET(*this, FIX::NoPartyIDs);
  243. class NoPartyIDs: public FIX::Group
  244. {
  245. public:
  246. NoPartyIDs() : FIX::Group(453,448,FIX::message_order(448,447,452,802,0)) {}
  247. FIELD_SET(*this, FIX::PartyID);
  248. FIELD_SET(*this, FIX::PartyIDSource);
  249. FIELD_SET(*this, FIX::PartyRole);
  250. FIELD_SET(*this, FIX::NoPartySubIDs);
  251. class NoPartySubIDs: public FIX::Group
  252. {
  253. public:
  254. NoPartySubIDs() : FIX::Group(802,523,FIX::message_order(523,803,0)) {}
  255. FIELD_SET(*this, FIX::PartySubID);
  256. FIELD_SET(*this, FIX::PartySubIDType);
  257. };
  258. };
  259. };
  260. FIELD_SET(*this, FIX::ApplQueueDepth);
  261. FIELD_SET(*this, FIX::ApplQueueResolution);
  262. FIELD_SET(*this, FIX::NoRoutingIDs);
  263. class NoRoutingIDs: public FIX::Group
  264. {
  265. public:
  266. NoRoutingIDs() : FIX::Group(215,216,FIX::message_order(216,217,0)) {}
  267. FIELD_SET(*this, FIX::RoutingType);
  268. FIELD_SET(*this, FIX::RoutingID);
  269. };
  270. };
  271. }
  272. #endif