File size: 2,939 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 | #pragma once
#include <cstdint>
#include <span>
#include <string_view>
#include <cstring>
#include <optional>
#include "itch50_protocol.hpp"
namespace quant::protocol::ouch {
using namespace itch50;
#pragma pack(push, 1)
// Inbound: Enter Order ('O', 47 bytes)
struct EnterOrderMsg {
char msg_type{'O'};
char order_token[14]{' '};
char buy_sell{'B'};
uint32_t shares{0};
char stock[8]{' '};
uint32_t price{0}; // 4 decimal fixed point
uint32_t time_in_force{0}; // 0 = IOC, 99999 = Day
char firm[4]{' '};
char display{'Y'};
char capacity{'A'};
char intermarket_sweep{'N'};
uint32_t min_quantity{0};
char cross_type{'N'};
};
// Inbound: Cancel Order ('X', 19 bytes)
struct CancelOrderMsg {
char msg_type{'X'};
char order_token[14]{' '};
uint32_t shares{0};
};
// Inbound: Replace Order ('U', 27 bytes)
struct ReplaceOrderMsg {
char msg_type{'U'};
char existing_order_token[14]{' '};
uint32_t shares{0};
uint32_t price{0};
};
// Outbound: Order Accepted ('A', 58 bytes)
struct OrderAcceptedMsg {
char msg_type{'A'};
uint64_t timestamp_ns{0};
char order_token[14]{' '};
char buy_sell{'B'};
uint32_t shares{0};
char stock[8]{' '};
uint32_t price{0};
uint32_t time_in_force{0};
char firm[4]{' '};
char display{'Y'};
uint64_t order_ref_num{0};
};
// Outbound: Order Canceled ('C', 28 bytes)
struct OrderCanceledMsg {
char msg_type{'C'};
uint64_t timestamp_ns{0};
char order_token[14]{' '};
uint32_t decrement_shares{0};
char reason{'U'}; // 'U'=User request, 'I'=IOC unexecuted, 'T'=Timeout
};
// Outbound: Order Executed ('E', 41 bytes)
struct OrderExecutedMsg {
char msg_type{'E'};
uint64_t timestamp_ns{0};
char order_token[14]{' '};
uint32_t executed_shares{0};
uint32_t execution_price{0};
char liquidity_flag{'A'}; // 'A'=Added, 'R'=Removed
uint64_t match_number{0};
};
// Outbound: Order Rejected ('J', 24 bytes)
struct OrderRejectedMsg {
char msg_type{'J'};
uint64_t timestamp_ns{0};
char order_token[14]{' '};
char reason{'C'}; // 'C'=Closed, 'P'=Invalid price, 'S'=Invalid shares, 'R'=Risk limit
};
#pragma pack(pop)
class OUCHCodec {
public:
static std::string_view token_view(const char token[14]) noexcept {
size_t len = 0;
while (len < 14 && token[len] != ' ' && token[len] != '\0') ++len;
return std::string_view(token, len);
}
static void set_token(char dest[14], std::string_view token) noexcept {
std::memset(dest, ' ', 14);
size_t n = std::min(token.size(), size_t(14));
std::memcpy(dest, token.data(), n);
}
static void set_symbol(char dest[8], std::string_view sym) noexcept {
std::memset(dest, ' ', 8);
size_t n = std::min(sym.size(), size_t(8));
std::memcpy(dest, sym.data(), n);
}
};
} // namespace quant::protocol::ouch
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