sgMktData.h

#ifndef SG_COMMON_MKDATAH
#define SG_COMMON_MKDATAH
#include <cmdDefines.h>
#include <apiStructs.h>
//#include <volumeProfile/defines.h>
#include <sharedCommands.h>
#include <boost/date_time/gregorian/gregorian.hpp>
#include <boost/date_time/posix_time/posix_time.hpp>
#include <queue>

namespace TBTDATA {
  struct SymbolData ;
}


namespace API2 { namespace COMMON {

    class OhlcQuoteImpl;

    class OhlcQuote{

      OhlcQuoteImpl *_impl;

    public:

      OhlcQuote(UNSIGNED_LONG symbolId);

      DATA_TYPES::PRICE getOpenPrice();

      DATA_TYPES::PRICE getHighPrice();

      DATA_TYPES::PRICE getLowPrice();

      DATA_TYPES::PRICE getClosePrice();

      DATA_TYPES::PRICE getAverageOhlcPrice();

      time_t getLastProcessTimestamp();

      bool checkForModification(time_t lastProcessTimeStamp);


    };

    struct TradeTick{

      CREATE_FIELD(DATA_TYPES::PRICE, Price);
      CREATE_FIELD(DATA_TYPES::QTY, Qty);
      CREATE_FIELD(UNSIGNED_LONG, Timestamp);

    public:

      TradeTick(
          const DATA_TYPES::PRICE &price,
          const DATA_TYPES::QTY &qty,
          const UNSIGNED_LONG &timestamp
          )
        :
          _Price(price),
          _Qty(qty),
          _Timestamp(timestamp)
      {}

    };


    class MktData
    {

      DATA_TYPES::SYMBOL_ID _symbolId;

      CREATE_FIELD( COMMON::MarketDataWrapper, Quote);


      CREATE_FIELD( bool, IsSnapShot);

      CREATE_FIELD( int, multiplier);

      TBTDATA::SymbolData *_tbtData;

      CREATE_FIELD(std::queue<TradeTick>, TradeTicks);

      volatile unsigned long _LatestIndexCounter;

      int _LatestTickIndex;

    private:
      DATA_TYPES::PRICE  getPrice(const COMMON::MarketDepthWrapper &wrapper,
                                  const DATA_TYPES::OrderMode & mode);

      DATA_TYPES::QTY  getQty(const COMMON::MarketDepthWrapper &wrapper,
                              const DATA_TYPES::OrderMode & mode);
      bool updateTbt();


      bool updateMcl();
    public:
      DATA_TYPES::PRICE getOpenPrice();

      DATA_TYPES::PRICE getHighPrice();

      DATA_TYPES::PRICE getLowPrice();

      DATA_TYPES::PRICE getClosePrice();

      DATA_TYPES::VOLUME getVolume();

      DATA_TYPES::QTY getLastTradeQty();

      DATA_TYPES::PRICE getLastTradePrice();

      DATA_TYPES::PRICE getPrice(size_t position, const DATA_TYPES::OrderMode & mode);

      DATA_TYPES::QTY getQty(size_t position, const DATA_TYPES::OrderMode & mode);

      DATA_TYPES::PRICE getBidPrice(size_t pos);

      DATA_TYPES::QTY getBidQty(size_t pos);

      DATA_TYPES::PRICE getAskPrice(size_t pos);

      DATA_TYPES::QTY getAskQty(size_t pos);

      bool subscribe(DATA_TYPES::SYMBOL_ID symbol,bool isSnapshot);

      void unsubscribe();

      MktData(DATA_TYPES::SYMBOL_ID symbolId,bool isSnapshot = true);

      //MktData();
      ~MktData();

      bool update();

      bool updateTbtTradeTicks();


#if 0

      bool checkUpdateStatus(time_t lastProcessTime);

      bool checkUpdateStatus(boost::posix_time::ptime lastProcessTime);
#endif

      void operator ()();

      void dump();

    };
  }
               }
#endif