MDM_MarketDataInterface.h

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#ifndef _AP_MDM_ADAPTERINTERFACE_H_
#define _AP_MDM_ADAPTERINTERFACE_H_
 
/* The timestamp tags are tempararily allocated 
   These corresponding space should be allocated in the AP_TimestampSet.h
 
    AP_TIMESTAMP_UPSTREAM_MDM_ENTRY 19800
    AP_TIMESTAMP_UPSTREAM_MDM_EXIT  19850
 
    AP_TIMESTAMP_DOWNSTREAM_MDM_ENTRY 1100
    AP_TIMESTAMP_DOWNSTREAM_MDM_EXIT  1150
*/
 
//Apama includes
#include <CHashMap.h>
#include <EventCodec.h>
#include <SM_SessionInterface.h>
 
#include <string>
#include <vector>
#include <list>
#include <set>
 
#if defined(_APBUILD_WIN32_ALL__) || defined(__WIN32__) || defined(WIN32)
/*
 * DLL import/export symbols for Win32 builds.  Everything will work correctly
 * as long as the following symbols are *not* defined when this file is
 * included (These symbols are for Apama external use only):
 *  AP_MDM_BACKEND
 */
 
#ifndef _APBUILD_WIN32_ALL__
#define _APBUILD_WIN32_ALL__ 
#endif
 
#ifdef AP_MDM_BACKEND
#define AP_MDM_API __declspec(dllexport)
#define AP_MDM_CALL __stdcall   
#else
#define AP_MDM_API __declspec(dllimport)
#define AP_MDM_CALL __stdcall
#endif
 
#elif defined(_APBUILD_UNIX_ALL__) || defined(__unix__)
#define AP_MDM_API
#define AP_MDM_CALL
#else
#error "Can't determine platform: try #define _APBUILD_WIN32_ALL__ or _APBUILD_UNIX_ALL__"
#endif
 
typedef enum {
    MDM_UNKNOWN_STREAM = 0,     
    MDM_BBA_STREAM = 1,         
    MDM_TRADE_STREAM = 2,       
    MDM_MBP_STREAM = 8,         
    MDM_MBO_STREAM = 16,        
    MDM_EP_STREAM = 32,         
    MDM_QUOTEBOOK_STREAM = 64,  
    MDM_NEWS_STREAM = 128       
}
AP_MDM_StreamType;
 
#define MDM_DEFAULT_STRING      "~#"        
#define MDM_DEFAULT_FLOAT       0.000001    
#define MDM_DEFAULT_INT         -999999     
typedef enum {
    MDM_COMPOUND_DELTA = 1,     
    MDM_SNAPSHOT_ONLY           
}
AP_MDM_TransferMode;
 
typedef enum {
    MDM_FATAL,      
    MDM_ERROR,      
    MDM_WARNING,    
    MDM_INFO        
}
AP_MDM_ErrorLevel;
 
typedef struct {
 
    void(*connect)(void* transportInternals, const char* subKey, AP_MDM_StreamType streamType, HashMap* ctrlParams, AP_TimestampSet *tss);
 
    void(*disconnect)(void* transportInternals, const char* subKey, AP_MDM_StreamType streamType, HashMap* ctrlParams, AP_TimestampSet *tss);
    
    const char* (*getKey)(void* transportInternals, const char* symbol, AP_int64 sourceId, AP_MDM_StreamType streamType, HashMap* ctrlParams);
}
AP_MDM_AdapterInterface;
 
typedef struct {
    AP_MDM_AdapterInterface*    adapterInterface;           
    AP_SESSION_Interface*       sessionManagerInterface;    
    void*                       transportInternals;         
    void*                       reserved;                   
}
AP_MDM_Interface;
 
typedef std::vector<std::string> StringList;                
typedef std::set<std::string> StringSet;                    
class SchemaItemValue
{
public:
    SchemaItemValue(const std::string &paramName, const std::string &value) : paramName_(paramName), value_(value) {}
 
    bool operator==(const SchemaItemValue& rhs) const { return (paramName_ == rhs.paramName_) && (value_ == rhs.value_); }
 
    std::string paramName_; 
    std::string value_;     
};
 
class SchemaItem : public SchemaItemValue
{
public:
    SchemaItem(const std::string &paramName, const std::string &type, const std::string &value, const std::string &description)
        : SchemaItemValue(paramName, value)
        , type_(type)
        , description_(description)
    {}
 
    std::string type_;          
    std::string description_;   
};
 
typedef SchemaItem ExtraParam;                              
typedef SchemaItemValue ExtraParamValue;                    
typedef std::list<ExtraParam> ExtraParamList;               
typedef std::list<ExtraParamValue> ExtraParamValueList;     
typedef SchemaItem NewsData;                                
typedef std::list<NewsData> NewsDataList;                   
typedef SchemaItemValue StringPair;                         
typedef std::vector<StringPair> StringDictionary;           
#if defined( __cplusplus )
extern "C"{
#endif
 
    AP_MDM_API void AP_MDM_Init(AP_MDM_AdapterInterface* adapterInterface, void* transportInternals, AP_SESSION_Interface* sessionManagerInterface, AP_MDM_Interface** md);
 
    AP_MDM_API void AP_MDM_DeInit(AP_MDM_Interface* md); // end of market_data_init_api
 
    AP_MDM_API void AP_MDM_ConnectSuccess(AP_MDM_Interface* md, const char* subKey, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_ConnectFailed(AP_MDM_Interface* md, const char* subKey, const char* description, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_DisconnectSuccess(AP_MDM_Interface* md, const char* subKey, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_DisconnectFailed(AP_MDM_Interface* md, const char* subKey, const char* description, AP_TimestampSet* tss); // end of market_data_callbacks_api
 
    AP_MDM_API int AP_MDM_ProcessEvent(AP_MDM_Interface* md, AP_TransportEvent event, AP_TimestampSet* tss);
    
    AP_MDM_API void AP_MDM_SetBBAData(AP_MDM_Interface* md,  const char* subKey, AP_float64 bidPrice, AP_int64 bidQty, AP_float64 askPrice, AP_int64 askQty); // end of bba_group
    
    AP_MDM_API void AP_MDM_SetTradeData(AP_MDM_Interface* md, const char* subKey, AP_float64 price, AP_int64 quantity, const char* taker, const char* receiver, const char* currency); // end of trade_group
 
    AP_MDM_API void AP_MDM_SetBidDepthData(AP_MDM_Interface*    md, const char* subKey, const char* depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_SetAskDepthData(AP_MDM_Interface*    md, const char* subKey, const char* depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertBidDepthData(AP_MDM_Interface* md, const char* subKey, const char* depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertAskDepthData(AP_MDM_Interface* md, const char* subKey, const char* depthId, AP_float64 price, AP_int64 quantity, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_DeleteBidDepthData(AP_MDM_Interface* md, const char* subKey, const char* depthId);
 
    AP_MDM_API void AP_MDM_DeleteAskDepthData(AP_MDM_Interface* md, const char* subKey, const char* depthId);
 
    AP_MDM_API const char* AP_MDM_GetBidDepthIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 
    AP_MDM_API const char* AP_MDM_GetAskDepthIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 // end of depth_group
 
    AP_MDM_API void AP_MDM_SetBidOrderBookData(AP_MDM_Interface*    md, const char* subKey, const char* orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_SetAskOrderBookData(AP_MDM_Interface*    md, const char* subKey, const char* orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertBidOrderBookData(AP_MDM_Interface* md, const char* subKey, const char* orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertAskOrderBookData(AP_MDM_Interface* md, const char* subKey, const char* orderId, AP_float64 price, AP_int64 quantity, const char *party, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_DeleteBidOrderBookData(AP_MDM_Interface* md, const char* subKey, const char* orderId);
 
    AP_MDM_API void AP_MDM_DeleteAskOrderBookData(AP_MDM_Interface* md, const char* subKey, const char* orderId);
 
    AP_MDM_API const char* AP_MDM_GetBidOrderIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 
    AP_MDM_API const char* AP_MDM_GetAskOrderIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 // end of orderbook_group
 
    AP_MDM_API void AP_MDM_SetBidQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity, AP_float64 price, const char *party, 
        const char* requestId, const bool tradable, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_SetAskQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity, AP_float64 price, const char *party, 
        const char* requestId, const bool tradable, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertBidQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity, AP_float64 price, const char *party, 
        const char* requestId, const bool tradable, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_InsertAskQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity, AP_float64 price, const char *party, 
        const char* requestId, const bool tradable, const StringDictionary &epValues);
 
    AP_MDM_API void AP_MDM_DeleteBidQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity);
 
    AP_MDM_API void AP_MDM_DeleteAskQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId, AP_int64 quantity);
 
    AP_MDM_API void AP_MDM_DeleteMultipleBidQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId);
 
    AP_MDM_API void AP_MDM_DeleteMultipleAskQuotebookData(AP_MDM_Interface* md, const char* subKey, const char* quoteId);
 
    AP_MDM_API const char* AP_MDM_GetBidQuotebookIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 
    AP_MDM_API const char* AP_MDM_GetAskQuotebookIdAtLevel(AP_MDM_Interface* md, const char* subKey, AP_int64 level);
 // end of quotebook_group
 
    AP_MDM_API void AP_MDM_SetNewsData(AP_MDM_Interface* md, const char* subKey, const char* newsId, const StringSet &symbolSet,
        AP_int64 updateType, const char* headline, const char* story, const AP_float64 sourceTimestamp, const NewsDataList &newsDataList, const AP_float64 value = MDM_DEFAULT_FLOAT);
 
    AP_MDM_API void AP_MDM_DeleteNewsData(AP_MDM_Interface *md, const char* subKey, const char* newsId, const StringSet &symbolSet,
        const AP_float64 sourceTimestamp, const NewsDataList &newsDataList);
 
    AP_MDM_API void AP_MDM_DefineNewsSchema(AP_MDM_Interface *md, const char* subKey, const NewsDataList &newsDataList);
     // end of news_group
 
    AP_MDM_API void AP_MDM_SetExtraParam(AP_MDM_Interface* md, const char* subKey, const char* paramName, const char *type, const char *value, const char* description);
 
    AP_MDM_API void AP_MDM_SetExtraParams(AP_MDM_Interface* md, const std::string &subKey, const ExtraParamList &extraParamList);
 
    AP_MDM_API void AP_MDM_SetExtraParamValue(AP_MDM_Interface* md, const char* subKey, const char* paramName, const char *value);
 
    AP_MDM_API void AP_MDM_SetExtraParamsValue(AP_MDM_Interface* md, const std::string &subKey, const ExtraParamValueList &extraParamValueList);
 
    AP_MDM_API void AP_MDM_RemoveExtraParam(AP_MDM_Interface* md, const char* subKey, const char* paramName, AP_bool permanent = false);
 
    AP_MDM_API void AP_MDM_RemoveExtraParams(AP_MDM_Interface* md, const std::string &subKey, const StringList &paramNames, AP_bool permanent = false);
 // end of extra_params_group
 
    AP_MDM_API void AP_MDM_SequenceToString(const StringSet &stringSet, std::string &result);
 
    AP_MDM_API void AP_MDM_DictionaryToString(const StringDictionary &stringDictionary, std::string &result);
 
    AP_MDM_API void AP_MDM_EscapeString(const std::string &input, std::string &result);
 // end of misc_group
 
    /* Interface to clear data 
     * This will clear the current data NOT the libraries LAST data.  You need to call a Commit() to send
     * the clear on to the correlator and clear the LAST data.  Or use it when recieving a snapshot.
     */
 
    AP_MDM_API void AP_MDM_ClearSubscriptionData(AP_MDM_Interface* md, const char* subKey);
 
    AP_MDM_API void AP_MDM_ClearSourceData(AP_MDM_Interface* md, AP_int64 sourceId);
 
    AP_MDM_API void AP_MDM_ClearData(AP_MDM_Interface* md); // end of market_data_clear_api
 
    AP_MDM_API void AP_MDM_SubscriptionCommit(AP_MDM_Interface* md, const char* subKey, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_SourceCommit(AP_MDM_Interface* md, AP_int64 sourceId, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_Commit(AP_MDM_Interface *md, AP_TimestampSet *tss); // end of market_data_commit_api
 
    /* interface to remove the subscriptions in case of errors */
    
    AP_MDM_API void AP_MDM_RemoveSubscription(AP_MDM_Interface* md, const char* subKey);
 
    AP_MDM_API void AP_MDM_RemoveSourceSubscriptions(AP_MDM_Interface* md, AP_int64 sourceId);
 
    AP_MDM_API void AP_MDM_RemoveSubscriptions(AP_MDM_Interface* md); // end of market_data_remove_sub_api
 
    AP_MDM_API void AP_MDM_Stop(AP_MDM_Interface* md);
 
    AP_MDM_API void AP_MDM_Start(AP_MDM_Interface* md);
 
    AP_MDM_API void AP_MDM_ReportError(AP_MDM_Interface* md, const char* subKey, const char* errMsg, AP_MDM_ErrorLevel severity, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_ReportSourceError(AP_MDM_Interface* md, AP_int64 sourceId, const char* errMsg, AP_MDM_ErrorLevel severity, AP_TimestampSet* tss);
 
    AP_MDM_API void AP_MDM_SetDecoder(AP_MDM_Interface* md, AP_EventDecoder* decoder);
    
    AP_MDM_API  void AP_MDM_CreateDBEntry(AP_MDM_Interface* md, const char* subKey, AP_MDM_StreamType type);
 
    AP_MDM_API  void AP_MDM_DeleteDBEntry(AP_MDM_Interface* md, const char* subKey);
 
    AP_MDM_API void AP_MDM_LogLatency(AP_MDM_Interface* md, IAF_TimestampConfig* config);
 
#if defined( __cplusplus )
} // extern "C"
#endif
#endif /*_MDM_ADPATERINTERFACE_H*/