MarketDataIncrementalRefresh.h 16 KB

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  1. #ifndef FIX50SP1_MARKETDATAINCREMENTALREFRESH_H
  2. #define FIX50SP1_MARKETDATAINCREMENTALREFRESH_H
  3. #include "Message.h"
  4. namespace FIX50SP1
  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::ApplID);
  15. FIELD_SET(*this, FIX::ApplSeqNum);
  16. FIELD_SET(*this, FIX::ApplLastSeqNum);
  17. FIELD_SET(*this, FIX::ApplResendFlag);
  18. FIELD_SET(*this, FIX::MDBookType);
  19. FIELD_SET(*this, FIX::MDFeedType);
  20. FIELD_SET(*this, FIX::TradeDate);
  21. FIELD_SET(*this, FIX::MDReqID);
  22. FIELD_SET(*this, FIX::NoMDEntries);
  23. class NoMDEntries: public FIX::Group
  24. {
  25. public:
  26. NoMDEntries() : FIX::Group(268,279,FIX::message_order(279,285,1173,264,269,278,280,55,65,48,22,460,1227,1151,461,167,762,200,541,1079,966,1049,965,224,225,239,226,227,228,255,543,470,471,472,240,202,947,967,968,206,231,969,1146,996,1147,1191,1192,1193,1194,1195,1196,1197,1198,1199,1200,201,1244,1242,997,223,207,970,971,106,348,349,107,350,351,691,667,875,876,873,874,711,555,291,292,270,423,235,236,701,696,697,698,218,220,221,222,662,663,699,761,40,15,271,1177,1093,272,273,274,275,336,625,326,327,276,277,828,574,282,283,284,286,59,432,126,110,18,287,37,198,299,1003,288,289,346,290,546,811,451,58,354,355,1023,528,1024,332,333,1020,63,64,483,60,1070,83,1048,1026,1027,1175,453,0)) {}
  27. FIELD_SET(*this, FIX::MDUpdateAction);
  28. FIELD_SET(*this, FIX::DeleteReason);
  29. FIELD_SET(*this, FIX::MDSubBookType);
  30. FIELD_SET(*this, FIX::MarketDepth);
  31. FIELD_SET(*this, FIX::MDEntryType);
  32. FIELD_SET(*this, FIX::MDEntryID);
  33. FIELD_SET(*this, FIX::MDEntryRefID);
  34. FIELD_SET(*this, FIX::Symbol);
  35. FIELD_SET(*this, FIX::SymbolSfx);
  36. FIELD_SET(*this, FIX::SecurityID);
  37. FIELD_SET(*this, FIX::SecurityIDSource);
  38. FIELD_SET(*this, FIX::Product);
  39. FIELD_SET(*this, FIX::ProductComplex);
  40. FIELD_SET(*this, FIX::SecurityGroup);
  41. FIELD_SET(*this, FIX::CFICode);
  42. FIELD_SET(*this, FIX::SecurityType);
  43. FIELD_SET(*this, FIX::SecuritySubType);
  44. FIELD_SET(*this, FIX::MaturityMonthYear);
  45. FIELD_SET(*this, FIX::MaturityDate);
  46. FIELD_SET(*this, FIX::MaturityTime);
  47. FIELD_SET(*this, FIX::SettleOnOpenFlag);
  48. FIELD_SET(*this, FIX::InstrmtAssignmentMethod);
  49. FIELD_SET(*this, FIX::SecurityStatus);
  50. FIELD_SET(*this, FIX::CouponPaymentDate);
  51. FIELD_SET(*this, FIX::IssueDate);
  52. FIELD_SET(*this, FIX::RepoCollateralSecurityType);
  53. FIELD_SET(*this, FIX::RepurchaseTerm);
  54. FIELD_SET(*this, FIX::RepurchaseRate);
  55. FIELD_SET(*this, FIX::Factor);
  56. FIELD_SET(*this, FIX::CreditRating);
  57. FIELD_SET(*this, FIX::InstrRegistry);
  58. FIELD_SET(*this, FIX::CountryOfIssue);
  59. FIELD_SET(*this, FIX::StateOrProvinceOfIssue);
  60. FIELD_SET(*this, FIX::LocaleOfIssue);
  61. FIELD_SET(*this, FIX::RedemptionDate);
  62. FIELD_SET(*this, FIX::StrikePrice);
  63. FIELD_SET(*this, FIX::StrikeCurrency);
  64. FIELD_SET(*this, FIX::StrikeMultiplier);
  65. FIELD_SET(*this, FIX::StrikeValue);
  66. FIELD_SET(*this, FIX::OptAttribute);
  67. FIELD_SET(*this, FIX::ContractMultiplier);
  68. FIELD_SET(*this, FIX::MinPriceIncrement);
  69. FIELD_SET(*this, FIX::MinPriceIncrementAmount);
  70. FIELD_SET(*this, FIX::UnitOfMeasure);
  71. FIELD_SET(*this, FIX::UnitOfMeasureQty);
  72. FIELD_SET(*this, FIX::PriceUnitOfMeasure);
  73. FIELD_SET(*this, FIX::PriceUnitOfMeasureQty);
  74. FIELD_SET(*this, FIX::SettlMethod);
  75. FIELD_SET(*this, FIX::ExerciseStyle);
  76. FIELD_SET(*this, FIX::OptPayAmount);
  77. FIELD_SET(*this, FIX::PriceQuoteMethod);
  78. FIELD_SET(*this, FIX::FuturesValuationMethod);
  79. FIELD_SET(*this, FIX::ListMethod);
  80. FIELD_SET(*this, FIX::CapPrice);
  81. FIELD_SET(*this, FIX::FloorPrice);
  82. FIELD_SET(*this, FIX::PutOrCall);
  83. FIELD_SET(*this, FIX::FlexibleIndicator);
  84. FIELD_SET(*this, FIX::FlexProductEligibilityIndicator);
  85. FIELD_SET(*this, FIX::TimeUnit);
  86. FIELD_SET(*this, FIX::CouponRate);
  87. FIELD_SET(*this, FIX::SecurityExchange);
  88. FIELD_SET(*this, FIX::PositionLimit);
  89. FIELD_SET(*this, FIX::NTPositionLimit);
  90. FIELD_SET(*this, FIX::Issuer);
  91. FIELD_SET(*this, FIX::EncodedIssuerLen);
  92. FIELD_SET(*this, FIX::EncodedIssuer);
  93. FIELD_SET(*this, FIX::SecurityDesc);
  94. FIELD_SET(*this, FIX::EncodedSecurityDescLen);
  95. FIELD_SET(*this, FIX::EncodedSecurityDesc);
  96. FIELD_SET(*this, FIX::Pool);
  97. FIELD_SET(*this, FIX::ContractSettlMonth);
  98. FIELD_SET(*this, FIX::CPProgram);
  99. FIELD_SET(*this, FIX::CPRegType);
  100. FIELD_SET(*this, FIX::DatedDate);
  101. FIELD_SET(*this, FIX::InterestAccrualDate);
  102. FIELD_SET(*this, FIX::NoUnderlyings);
  103. class NoUnderlyings: public FIX::Group
  104. {
  105. public:
  106. NoUnderlyings() : FIX::Group(711,311,FIX::message_order(311,312,309,305,462,463,310,763,313,542,1213,241,242,243,244,245,246,256,595,592,593,594,247,316,941,317,436,998,1423,1424,1425,1000,1419,435,308,306,362,363,307,364,365,877,878,972,318,879,975,973,974,810,882,883,884,885,886,1044,1045,1046,1038,1039,315,0)) {}
  107. FIELD_SET(*this, FIX::UnderlyingSymbol);
  108. FIELD_SET(*this, FIX::UnderlyingSymbolSfx);
  109. FIELD_SET(*this, FIX::UnderlyingSecurityID);
  110. FIELD_SET(*this, FIX::UnderlyingSecurityIDSource);
  111. FIELD_SET(*this, FIX::UnderlyingProduct);
  112. FIELD_SET(*this, FIX::UnderlyingCFICode);
  113. FIELD_SET(*this, FIX::UnderlyingSecurityType);
  114. FIELD_SET(*this, FIX::UnderlyingSecuritySubType);
  115. FIELD_SET(*this, FIX::UnderlyingMaturityMonthYear);
  116. FIELD_SET(*this, FIX::UnderlyingMaturityDate);
  117. FIELD_SET(*this, FIX::UnderlyingMaturityTime);
  118. FIELD_SET(*this, FIX::UnderlyingCouponPaymentDate);
  119. FIELD_SET(*this, FIX::UnderlyingIssueDate);
  120. FIELD_SET(*this, FIX::UnderlyingRepoCollateralSecurityType);
  121. FIELD_SET(*this, FIX::UnderlyingRepurchaseTerm);
  122. FIELD_SET(*this, FIX::UnderlyingRepurchaseRate);
  123. FIELD_SET(*this, FIX::UnderlyingFactor);
  124. FIELD_SET(*this, FIX::UnderlyingCreditRating);
  125. FIELD_SET(*this, FIX::UnderlyingInstrRegistry);
  126. FIELD_SET(*this, FIX::UnderlyingCountryOfIssue);
  127. FIELD_SET(*this, FIX::UnderlyingStateOrProvinceOfIssue);
  128. FIELD_SET(*this, FIX::UnderlyingLocaleOfIssue);
  129. FIELD_SET(*this, FIX::UnderlyingRedemptionDate);
  130. FIELD_SET(*this, FIX::UnderlyingStrikePrice);
  131. FIELD_SET(*this, FIX::UnderlyingStrikeCurrency);
  132. FIELD_SET(*this, FIX::UnderlyingOptAttribute);
  133. FIELD_SET(*this, FIX::UnderlyingContractMultiplier);
  134. FIELD_SET(*this, FIX::UnderlyingUnitOfMeasure);
  135. FIELD_SET(*this, FIX::UnderlyingUnitOfMeasureQty);
  136. FIELD_SET(*this, FIX::UnderlyingPriceUnitOfMeasure);
  137. FIELD_SET(*this, FIX::UnderlyingPriceUnitOfMeasureQty);
  138. FIELD_SET(*this, FIX::UnderlyingTimeUnit);
  139. FIELD_SET(*this, FIX::UnderlyingExerciseStyle);
  140. FIELD_SET(*this, FIX::UnderlyingCouponRate);
  141. FIELD_SET(*this, FIX::UnderlyingSecurityExchange);
  142. FIELD_SET(*this, FIX::UnderlyingIssuer);
  143. FIELD_SET(*this, FIX::EncodedUnderlyingIssuerLen);
  144. FIELD_SET(*this, FIX::EncodedUnderlyingIssuer);
  145. FIELD_SET(*this, FIX::UnderlyingSecurityDesc);
  146. FIELD_SET(*this, FIX::EncodedUnderlyingSecurityDescLen);
  147. FIELD_SET(*this, FIX::EncodedUnderlyingSecurityDesc);
  148. FIELD_SET(*this, FIX::UnderlyingCPProgram);
  149. FIELD_SET(*this, FIX::UnderlyingCPRegType);
  150. FIELD_SET(*this, FIX::UnderlyingAllocationPercent);
  151. FIELD_SET(*this, FIX::UnderlyingCurrency);
  152. FIELD_SET(*this, FIX::UnderlyingQty);
  153. FIELD_SET(*this, FIX::UnderlyingSettlementType);
  154. FIELD_SET(*this, FIX::UnderlyingCashAmount);
  155. FIELD_SET(*this, FIX::UnderlyingCashType);
  156. FIELD_SET(*this, FIX::UnderlyingPx);
  157. FIELD_SET(*this, FIX::UnderlyingDirtyPrice);
  158. FIELD_SET(*this, FIX::UnderlyingEndPrice);
  159. FIELD_SET(*this, FIX::UnderlyingStartValue);
  160. FIELD_SET(*this, FIX::UnderlyingCurrentValue);
  161. FIELD_SET(*this, FIX::UnderlyingEndValue);
  162. FIELD_SET(*this, FIX::UnderlyingAdjustedQuantity);
  163. FIELD_SET(*this, FIX::UnderlyingFXRate);
  164. FIELD_SET(*this, FIX::UnderlyingFXRateCalc);
  165. FIELD_SET(*this, FIX::UnderlyingCapValue);
  166. FIELD_SET(*this, FIX::UnderlyingSettlMethod);
  167. FIELD_SET(*this, FIX::UnderlyingPutOrCall);
  168. };
  169. FIELD_SET(*this, FIX::NoLegs);
  170. class NoLegs: public FIX::Group
  171. {
  172. public:
  173. NoLegs() : FIX::Group(555,600,FIX::message_order(600,601,602,603,607,608,609,764,610,611,1212,248,249,250,251,252,253,257,599,596,597,598,254,612,942,613,614,999,1224,1421,1422,1001,1420,615,616,617,618,619,620,621,622,623,624,556,740,739,955,956,1358,1017,0)) {}
  174. FIELD_SET(*this, FIX::LegSymbol);
  175. FIELD_SET(*this, FIX::LegSymbolSfx);
  176. FIELD_SET(*this, FIX::LegSecurityID);
  177. FIELD_SET(*this, FIX::LegSecurityIDSource);
  178. FIELD_SET(*this, FIX::LegProduct);
  179. FIELD_SET(*this, FIX::LegCFICode);
  180. FIELD_SET(*this, FIX::LegSecurityType);
  181. FIELD_SET(*this, FIX::LegSecuritySubType);
  182. FIELD_SET(*this, FIX::LegMaturityMonthYear);
  183. FIELD_SET(*this, FIX::LegMaturityDate);
  184. FIELD_SET(*this, FIX::LegMaturityTime);
  185. FIELD_SET(*this, FIX::LegCouponPaymentDate);
  186. FIELD_SET(*this, FIX::LegIssueDate);
  187. FIELD_SET(*this, FIX::LegRepoCollateralSecurityType);
  188. FIELD_SET(*this, FIX::LegRepurchaseTerm);
  189. FIELD_SET(*this, FIX::LegRepurchaseRate);
  190. FIELD_SET(*this, FIX::LegFactor);
  191. FIELD_SET(*this, FIX::LegCreditRating);
  192. FIELD_SET(*this, FIX::LegInstrRegistry);
  193. FIELD_SET(*this, FIX::LegCountryOfIssue);
  194. FIELD_SET(*this, FIX::LegStateOrProvinceOfIssue);
  195. FIELD_SET(*this, FIX::LegLocaleOfIssue);
  196. FIELD_SET(*this, FIX::LegRedemptionDate);
  197. FIELD_SET(*this, FIX::LegStrikePrice);
  198. FIELD_SET(*this, FIX::LegStrikeCurrency);
  199. FIELD_SET(*this, FIX::LegOptAttribute);
  200. FIELD_SET(*this, FIX::LegContractMultiplier);
  201. FIELD_SET(*this, FIX::LegUnitOfMeasure);
  202. FIELD_SET(*this, FIX::LegUnitOfMeasureQty);
  203. FIELD_SET(*this, FIX::LegPriceUnitOfMeasure);
  204. FIELD_SET(*this, FIX::LegPriceUnitOfMeasureQty);
  205. FIELD_SET(*this, FIX::LegTimeUnit);
  206. FIELD_SET(*this, FIX::LegExerciseStyle);
  207. FIELD_SET(*this, FIX::LegCouponRate);
  208. FIELD_SET(*this, FIX::LegSecurityExchange);
  209. FIELD_SET(*this, FIX::LegIssuer);
  210. FIELD_SET(*this, FIX::EncodedLegIssuerLen);
  211. FIELD_SET(*this, FIX::EncodedLegIssuer);
  212. FIELD_SET(*this, FIX::LegSecurityDesc);
  213. FIELD_SET(*this, FIX::EncodedLegSecurityDescLen);
  214. FIELD_SET(*this, FIX::EncodedLegSecurityDesc);
  215. FIELD_SET(*this, FIX::LegRatioQty);
  216. FIELD_SET(*this, FIX::LegSide);
  217. FIELD_SET(*this, FIX::LegCurrency);
  218. FIELD_SET(*this, FIX::LegPool);
  219. FIELD_SET(*this, FIX::LegDatedDate);
  220. FIELD_SET(*this, FIX::LegContractSettlMonth);
  221. FIELD_SET(*this, FIX::LegInterestAccrualDate);
  222. FIELD_SET(*this, FIX::LegPutOrCall);
  223. FIELD_SET(*this, FIX::LegOptionRatio);
  224. };
  225. FIELD_SET(*this, FIX::FinancialStatus);
  226. FIELD_SET(*this, FIX::CorporateAction);
  227. FIELD_SET(*this, FIX::MDEntryPx);
  228. FIELD_SET(*this, FIX::PriceType);
  229. FIELD_SET(*this, FIX::YieldType);
  230. FIELD_SET(*this, FIX::Yield);
  231. FIELD_SET(*this, FIX::YieldCalcDate);
  232. FIELD_SET(*this, FIX::YieldRedemptionDate);
  233. FIELD_SET(*this, FIX::YieldRedemptionPrice);
  234. FIELD_SET(*this, FIX::YieldRedemptionPriceType);
  235. FIELD_SET(*this, FIX::Spread);
  236. FIELD_SET(*this, FIX::BenchmarkCurveCurrency);
  237. FIELD_SET(*this, FIX::BenchmarkCurveName);
  238. FIELD_SET(*this, FIX::BenchmarkCurvePoint);
  239. FIELD_SET(*this, FIX::BenchmarkPrice);
  240. FIELD_SET(*this, FIX::BenchmarkPriceType);
  241. FIELD_SET(*this, FIX::BenchmarkSecurityID);
  242. FIELD_SET(*this, FIX::BenchmarkSecurityIDSource);
  243. FIELD_SET(*this, FIX::OrdType);
  244. FIELD_SET(*this, FIX::Currency);
  245. FIELD_SET(*this, FIX::MDEntrySize);
  246. FIELD_SET(*this, FIX::NoOfSecSizes);
  247. class NoOfSecSizes: public FIX::Group
  248. {
  249. public:
  250. NoOfSecSizes() : FIX::Group(1177,1178,FIX::message_order(1178,1179,0)) {}
  251. FIELD_SET(*this, FIX::MDSecSizeType);
  252. FIELD_SET(*this, FIX::MDSecSize);
  253. };
  254. FIELD_SET(*this, FIX::LotType);
  255. FIELD_SET(*this, FIX::MDEntryDate);
  256. FIELD_SET(*this, FIX::MDEntryTime);
  257. FIELD_SET(*this, FIX::TickDirection);
  258. FIELD_SET(*this, FIX::MDMkt);
  259. FIELD_SET(*this, FIX::TradingSessionID);
  260. FIELD_SET(*this, FIX::TradingSessionSubID);
  261. FIELD_SET(*this, FIX::SecurityTradingStatus);
  262. FIELD_SET(*this, FIX::HaltReasonChar);
  263. FIELD_SET(*this, FIX::QuoteCondition);
  264. FIELD_SET(*this, FIX::TradeCondition);
  265. FIELD_SET(*this, FIX::TrdType);
  266. FIELD_SET(*this, FIX::MatchType);
  267. FIELD_SET(*this, FIX::MDEntryOriginator);
  268. FIELD_SET(*this, FIX::LocationID);
  269. FIELD_SET(*this, FIX::DeskID);
  270. FIELD_SET(*this, FIX::OpenCloseSettlFlag);
  271. FIELD_SET(*this, FIX::TimeInForce);
  272. FIELD_SET(*this, FIX::ExpireDate);
  273. FIELD_SET(*this, FIX::ExpireTime);
  274. FIELD_SET(*this, FIX::MinQty);
  275. FIELD_SET(*this, FIX::ExecInst);
  276. FIELD_SET(*this, FIX::SellerDays);
  277. FIELD_SET(*this, FIX::OrderID);
  278. FIELD_SET(*this, FIX::SecondaryOrderID);
  279. FIELD_SET(*this, FIX::QuoteEntryID);
  280. FIELD_SET(*this, FIX::TradeID);
  281. FIELD_SET(*this, FIX::MDEntryBuyer);
  282. FIELD_SET(*this, FIX::MDEntrySeller);
  283. FIELD_SET(*this, FIX::NumberOfOrders);
  284. FIELD_SET(*this, FIX::MDEntryPositionNo);
  285. FIELD_SET(*this, FIX::Scope);
  286. FIELD_SET(*this, FIX::PriceDelta);
  287. FIELD_SET(*this, FIX::NetChgPrevDay);
  288. FIELD_SET(*this, FIX::Text);
  289. FIELD_SET(*this, FIX::EncodedTextLen);
  290. FIELD_SET(*this, FIX::EncodedText);
  291. FIELD_SET(*this, FIX::MDPriceLevel);
  292. FIELD_SET(*this, FIX::OrderCapacity);
  293. FIELD_SET(*this, FIX::MDOriginType);
  294. FIELD_SET(*this, FIX::HighPx);
  295. FIELD_SET(*this, FIX::LowPx);
  296. FIELD_SET(*this, FIX::TradeVolume);
  297. FIELD_SET(*this, FIX::SettlType);
  298. FIELD_SET(*this, FIX::SettlDate);
  299. FIELD_SET(*this, FIX::TransBkdTime);
  300. FIELD_SET(*this, FIX::TransactTime);
  301. FIELD_SET(*this, FIX::MDQuoteType);
  302. FIELD_SET(*this, FIX::RptSeq);
  303. FIELD_SET(*this, FIX::DealingCapacity);
  304. FIELD_SET(*this, FIX::MDEntrySpotRate);
  305. FIELD_SET(*this, FIX::MDEntryForwardPoints);
  306. FIELD_SET(*this, FIX::NoStatsIndicators);
  307. class NoStatsIndicators: public FIX::Group
  308. {
  309. public:
  310. NoStatsIndicators() : FIX::Group(1175,1176,FIX::message_order(1176,0)) {}
  311. FIELD_SET(*this, FIX::StatsType);
  312. };
  313. FIELD_SET(*this, FIX::NoPartyIDs);
  314. class NoPartyIDs: public FIX::Group
  315. {
  316. public:
  317. NoPartyIDs() : FIX::Group(453,448,FIX::message_order(448,447,452,802,0)) {}
  318. FIELD_SET(*this, FIX::PartyID);
  319. FIELD_SET(*this, FIX::PartyIDSource);
  320. FIELD_SET(*this, FIX::PartyRole);
  321. FIELD_SET(*this, FIX::NoPartySubIDs);
  322. class NoPartySubIDs: public FIX::Group
  323. {
  324. public:
  325. NoPartySubIDs() : FIX::Group(802,523,FIX::message_order(523,803,0)) {}
  326. FIELD_SET(*this, FIX::PartySubID);
  327. FIELD_SET(*this, FIX::PartySubIDType);
  328. };
  329. };
  330. };
  331. FIELD_SET(*this, FIX::ApplQueueDepth);
  332. FIELD_SET(*this, FIX::ApplQueueResolution);
  333. FIELD_SET(*this, FIX::NoRoutingIDs);
  334. class NoRoutingIDs: public FIX::Group
  335. {
  336. public:
  337. NoRoutingIDs() : FIX::Group(215,216,FIX::message_order(216,217,0)) {}
  338. FIELD_SET(*this, FIX::RoutingType);
  339. FIELD_SET(*this, FIX::RoutingID);
  340. };
  341. };
  342. }
  343. #endif