dmitry_env/ATP/robotrader/robotrader/IOrderHelper.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"

namespace RT
{


template<class T>
class IArray
{
public:

        virtual size_t size() const = 0; 
        virtual T& operator[](size_t indx) = 0;
};


struct IExchange
{
        enum Feature
    {
        enIfDone,
        enTrailInTicks,
        enWorseFillInTicks,
        enAnyInstrument,
        enAccountUpdate,
        enPositionUpdate,
        enCancelOrdersEOD,
        enNeedExchIdForCancel,
        enIFMEnabled,
        enOCO,
        enQuoteRequest,

                enMaxShow,
                enMaxFloor,
                enGiveUpFirm,

        enAdditionalFields
    };

    virtual const char* name() const = 0;

    virtual bool is_available() const = 0;
        
    virtual IArray<TimeInForce>& tifs() const = 0;

        virtual IArray<OrderType>& order_types() const = 0;

        virtual IArray<const char*>& destinations() const = 0;

        virtual IArray<const char*>& subdestinations() const = 0;

        virtual IArray<Feature>& features() const = 0;
        

        virtual IArray<const char*>& ExecInstr () const = 0;

    virtual IArray<const char*>& HandlInst () const = 0;

    virtual IArray<const char*>& DisplayIndicator () const = 0;

    virtual IArray<const char*>& BatsRoutingInst () const = 0;
};
        


class IOrderConsumer
{
public:
        virtual void execution_report (const RTExecutionReport& rp) = 0;
        virtual void order_cancel_reject (const RTOrderCancelReject& rp) = 0;
        virtual void business_message_reject (const RTBusinessMessageReject& rp) = 0;
        virtual void trade_report (const RTExecutionReport& rp) = 0;
        virtual void order_state_report (const RTExecutionReport& rp) = 0;
        
        virtual void on_order_handler_connected () =  0;
        virtual void on_order_handler_disconnected () =  0;
        virtual void on_trading_venue_state_changed (const char* name) = 0;
};

enum OrderRequestTypeMask
{
        ort_Working     = 1 << 0,
        ort_Filled      = 1 << 1,
        ort_Canceled = 1 << 2,
        ort_All = ort_Working | ort_Filled      | ort_Canceled,
};

// Magic Numbers
#define SECONDS_IN_1HOUR  3600
#define SECONDS_IN_1DAY   3600*24

class IOrderHelper
{
public:
        virtual bool is_valid() = 0;

        virtual IArray<IExchange*>& exDestinations() const = 0;

        virtual int sendOrder  (RTOrder*)       =0; 
        virtual int modifyOrder(RTOrder*)       =0;  
        virtual int cancelOrder(RTOrder*)       =0;  
        virtual int cancelAllOrders(const char* account, const char* symbol, const char* request_id)=0;  

        virtual int orderMassStatusRequest(const char* account, const char* exchange = "", int for_last_secs = SECONDS_IN_1DAY, const char* symbol = "",  int ord_state_mask = ort_All ) = 0;
        virtual int tradesMassStatusRequest(const char* account, const char* exchange = "", int for_last_secs = SECONDS_IN_1DAY, const char* symbol = "" ) = 0;

        virtual int subscribe_account(const char* account) = 0;
        virtual int unsubscribe_account(const char* account) = 0;

        virtual void robotrader(IOrderConsumer* robotrader)             { robotrader_= robotrader; }
        virtual IOrderConsumer* robotrader()                                    { return robotrader_; }

private:
        IOrderConsumer* robotrader_;
};


}

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