dmitry_env/ATP/robotrader/robotrader/IMarketDataHelper.h

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/***************************************************************************
*    
*                       Copyright (c) 2007-2010  Argo SE, Inc. All rights reserved. 
*
* The following source code, and the ideas, expressions and concepts
* incorporated therein, as well as the ideas, expressions and concepts of
* any other material (whether tangible or intangible) disclosed in
* conjunction with this source code, are the exclusive and proprietary
* property, and constitutes confidential information, of Argo SE, Inc.
* Accordingly, the user of this source code
* agrees that it shall continue to be bound by the terms and conditions of
* any and all confidentiality agreements executed with Argo SE, Inc.
* concerning the disclosure of the source code and any other materials in 
* conjunction therewith. 
*
*/

#pragma once

#include "RobotHelperInterfaces.h"

#include <corelib/md_carrier.h>

namespace RT
{

        
enum TAHistDataType
{
        dt_open = 0,
        dt_high,
        dt_low,
        dt_close,
        dt_median,      
        dt_typical,     
        dt_weighted,
        dt_volume,
        dt_time,
        dt_last_trade,
        dt_max
};
struct OHLC
{
public:
        double open_;
        double high_;
        double low_;
        double close_;
        __int64 volume_;
        int       timestamp_;
};



class IMarketDataConsumer 
{
public:
        virtual void onMarketData (RTInstrument&) = 0;
        virtual void onMarketData (const inside_market_notification_t&,                 const std::string &)= 0;
        virtual void onMarketData (const market_depth_notification_t&,                  const std::string &)= 0;
        virtual void onMarketData (const implied_market_depth_notification_t&,  const std::string &)= 0;
        virtual void onMarketData (const outright_market_depth_notification_t&,         const std::string &)= 0;
        virtual void onMarketData (const market_state_notification_t&,                  const std::string &)= 0;
        virtual void onMarketData (const last_trade_carrier_t&,                                 const std::string &)= 0;
        virtual void onMarketData (const rfq_notification_t&,                                   const std::string &)= 0;
        virtual void onMarketData (const ohlc_carrier_t&,                                               const std::string &)= 0;

        virtual void on_md_handler_connected () =  0;
        virtual void on_md_handler_disconnected () =  0;
        virtual void on_md_source_state_changed (const char* src_name) =  0;
};

struct IMDSourceState;
typedef std::map<std::string, IMDSourceState*> MDSourceStateMap;
typedef std::multimap<std::string,RTInstrument> InstrumentList;
class IMarketDataHelper
{
public:

        virtual int request_instr_description   ( const std::string &class_name, const std::string& exch = "")=0;

        virtual int subscribe_inside_market             ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_last_trade                ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_market_depth              ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_implied_market_depth       ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_outright_market_depth      ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_market_state              ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_exchange_state    ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_rfq                               ( const std::string & symbol, const std::string& exch = "")=0;
        virtual int subscribe_real_time_ohlc    ( const std::string & symbol, ohlc_interv_t interv_type, const std::string& exch = "")=0;

        virtual void unsubscribe_inside_market  (const int subscr_id,   const std::string &instr_name)=0;
        virtual void unsubscribe_last_trade             (const int subscr_id,   const std::string &instr_name)=0;
        virtual void unsubscribe_market_depth   (const int subscr_id,   const std::string &instr_name)=0;
        virtual void unsubscribe_implied_market_depth(const int subscr_id,      const std::string &instr_name)=0;
        virtual void unsubscribe_outright_market_depth(const int subscr_id,     const std::string &instr_name)=0;
        virtual void unsubscribe_market_state   (const int subscr_id,   const std::string &instr_name)=0;
        virtual void unsubscribe_exchange_state (const int subscr_id,   const std::string &exchange_name)=0;
        virtual void unsubscribe_rfq                    (const int subscr_id,   const std::string &instr_name)=0;
        virtual void unsubscribe_real_time_ohlc (const int subscr_id,   const std::string &class_name)=0;

        virtual InstrumentList& instruments () = 0;
        //virtual void unrequest_instr_description(const UUID &uuid,                    const std::string& ch_name, const std::string &class_name)=0;

        virtual bool is_valid()=0;

        // these methods are called synchroniously
        virtual int getHistData(DataSource&     out_data, const std::string& symbol,            
                const TAHistDataType data_type, int& out_bar_count,     
                int      period, int offset, int interval = 1, hmd_interval_t interval_type = it_daily, 
                bool need_subscribe = false     ) = 0;

        virtual int getHistData(DataSource&     outHigh, DataSource&    outLow, DataSource&     outClose, DataSource& outVolume,
                const std::string& symbol, int& out_bar_count,  
                int      period, int offset, int interval = 1, hmd_interval_t interval_type = it_daily, 
                bool need_subscribe = false     ) = 0;

        virtual int getHistData(DataSource&     outHigh, DataSource& outLow, DataSource& outClose,
                const std::string& symbol, int& out_bar_count,  
                int      period, int offset, int interval = 1, hmd_interval_t interval_type = it_daily, 
                bool need_subscribe = false     ) = 0;

        virtual int getHistData(DataSource&     outHigh, DataSource& outLow,
                const std::string& symbol, int& out_bar_count,  
                int      period, int offset, int interval = 1, hmd_interval_t interval_type = it_daily, 
                bool need_subscribe = false     ) = 0;

        virtual int getHistData(OHLC out_data[],
                const std::string& symbol, int& out_bar_count,  
                int      period, int offset, int interval = 1, hmd_interval_t interval_type = it_daily, 
                bool need_subscribe = false     ) = 0;

        virtual MDSourceStateMap* md_source_stats_map()  = 0;

        void robotrader(IMarketDataConsumer* robotrader)
        {robotrader_= robotrader;}
        IMarketDataConsumer* robotrader()
        {return robotrader_;}

private:
        IMarketDataConsumer* robotrader_;
};


struct IMDSourceState
{
        virtual const char* name()    = 0;
        virtual const char* display_name() = 0;

        virtual bool is_available() = 0;
        
        virtual double round_trip_latency() = 0;
        virtual double min_latency() = 0;
        virtual double max_latency() = 0;
        virtual double mean_latency() = 0;
        virtual double rolling_mean_latency() = 0;

        virtual int total_bytes_received() = 0;
};

}

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