RTAPI: dmitry_env/ATP/robotrader/robotrader/IRiskInfoHelper.h Source File

00001 /***************************************************************************
00002 *
00003 *                       Copyright (c) 2006 - 2010  Argo SE, Inc. All rights reserved.
00004 *
00005 * The following source code, and the ideas, expressions and concepts
00006 * incorporated therein, as well as the ideas, expressions and concepts of
00007 * any other material (whether tangible or intangible) disclosed in
00008 * conjunction with this source code, are the exclusive and proprietary
00009 * property, and constitutes confidential information, of Argo SE, Inc.
00010 * Accordingly, the user of this source code
00011 * agrees that it shall continue to be bound by the terms and conditions of
00012 * any and all confidentiality agreements executed with Argo SE, Inc.
00013 * concerning the disclosure of the source code and any other materials in
00014 * conjunction therewith.
00015 *
00016 */
00017 
00018 #pragma once
00019 
00026 namespace RT
00027 {
00028         
00034 class IAccount
00035 {
00036 public:
00037 
00038                 // account_status_enum
00039         enum AccountStatus
00040         {
00041                 ac_st_non_active                = 0,
00042                 ac_st_active                    = 1 << 0,
00043                 ac_st_liquidation_only  = 1 << 1,
00044         };
00045 
00046         virtual ~IAccount(void){}
00047 
00049         virtual const char* name() const                                = 0;
00051     virtual const char* currency() const                        = 0;
00053     virtual AccountStatus status() const                        = 0;
00055     virtual  double realized_pnl() const            = 0;
00057     virtual double unrealized_pnl() const           = 0;
00059     virtual double balance() const                  = 0;
00061     virtual double net_asset_value() const          = 0;
00063     virtual double unused_margin() const            = 0;
00065     virtual double used_margin() const              = 0;
00067     virtual double total_value() const              = 0;
00069         virtual const char* risk_profile_id()const      = 0;
00071         virtual double settl_realized_profit_loss() const       = 0;
00073         virtual double settl_unrealized_profit_loss() const     = 0;
00075         virtual const char* exchange_acct() const                       = 0;
00077         virtual const char* display_name() const                = 0;
00078 };
00079 
00080 
00086 class IPosition
00087 {
00088 public:
00089         virtual ~IPosition(void){}
00090 
00092         virtual const char*             acct() const = 0;
00094         virtual const char*             sec_id() const = 0;
00096         virtual const char*             symbol() const = 0;
00098         virtual const char*             exchange() const = 0;
00100         virtual double          trade_price() const = 0;
00102         virtual double          average_price() const = 0;
00104     virtual double          value() const = 0;
00106     virtual double          realized_pnl() const = 0;
00108     virtual double          unrealized_pnl() const = 0;
00110     virtual int             qty() const = 0;
00112         virtual double          settl_unrealized_pnl() const = 0;
00114         virtual double          settl_realized_pnl() const = 0;
00116         virtual int                             maintenance_qty() const = 0;
00118         virtual int                             initial_qty() const = 0;
00120         virtual double          initial_margin() const = 0;
00122         virtual double          maintenance_margin() const = 0;
00124         virtual const char*             parent_sec_id() const = 0;
00126         virtual int                             wrk_buys() const = 0;
00128         virtual int                             wrk_sells() const = 0;
00129 };
00130 
00136 class IAlert
00137 {
00138 public:
00140         enum AlertType
00141         {
00142                 at_account,             
00143                 at_position,    
00144                 at_risk_alarm   
00145         };
00146 
00148         virtual const char* alert_id() const = 0;
00150         virtual const char* alert_name() const = 0;
00152         virtual AlertType       alert_type() const = 0;
00154         virtual const char* account() const = 0;
00156         virtual const char* symbol() const = 0;
00158         virtual const char* exchange_id() const = 0;
00160         virtual const char* xml_formula() const = 0;
00162         virtual time_t          timestamp() const = 0;
00163         
00165         virtual const char* alarm_description() const = 0;
00166 };
00167 
00175 class IRiskInfoConsumer
00176 {
00177 public:
00179         virtual void process_account(IAccount&) = 0;
00181         virtual void process_position(IPosition&) = 0;
00183         virtual void process_alert(IAlert&) = 0;
00184 
00186         virtual void on_connect () =  0;
00188         virtual void on_disconnect () =  0;
00189 };
00190         
00196 class IRiskInfoHelper
00197 {
00198 public:
00199         virtual bool is_valid() = 0;
00200 
00202         virtual void subscribe_account(IRiskInfoConsumer*, const std::string& account) = 0;
00204         virtual void subscribe_positions(IRiskInfoConsumer*, const std::string& account, const std::string& symbol = "", const std::string& parent_sec_id = "") = 0;
00205 
00207         virtual IAccount* get_account(const std::string& account) = 0;
00209         virtual void get_positions(const std::string& account, std::list<IPosition*>&) = 0;
00210 };
00211 
00212 }