xlt_quote_struct.h

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#pragma once
 
#include "xlt_quote_data_type.h"
#include "xlt_struct.h"
 
namespace x1{
 
#pragma pack(push, 1)
 
    typedef struct xlt_static_quote_full_info_t {
        uint32_t list_date;                                 
        ExchangeIndex  exchange_index;                      
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_name[CONST_SECURITY_NAME_LEN];        
        QuoteSecurityType  security_type;                   
        bool is_registration;                               
        bool is_vie;                                        
        bool is_noprofit;                                   
        bool is_weighted_voting_rights;                     
        bool is_have_price_limit;                           
        int64_t upper_limit_price;                          
        int64_t lower_limit_price;                          
        int64_t pre_close_price;                            
        int64_t price_tick;                                 
        int32_t bid_qty_upper_limit;                        
        int32_t bid_qty_lower_limit;                        
        int32_t bid_qty_unit;                               
        int32_t ask_qty_upper_limit;                        
        int32_t ask_qty_lower_limit;                        
        int32_t ask_qty_unit;                               
        int32_t market_bid_qty_upper_limit;                 
        int32_t market_bid_qty_lower_limit;                 
        int32_t market_bid_qty_unit;                        
        int32_t market_ask_qty_upper_limit;                 
        int32_t market_ask_qty_lower_limit;                 
        int32_t market_ask_qty_unit;                        
        char security_status[9];                            
        char underlying_code[CONST_STR_SECURITY_CODE_LEN];  
        uint8_t swap_flag;                                  
        int64_t swap_price;                                 
        uint32_t maturity_date;                             
    } xlt_static_quote_full_info_t;
 
    typedef struct xlt_sse_l1_index_t{
        uint8_t security_type;                              
        uint64_t sending_time;                              
        uint8_t trad_ses_mode;                              
        uint32_t trade_date;                                
        uint32_t last_update_time;                          
        char md_stream_id[6];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        uint64_t prev_close_px;                             
        uint64_t total_volume_traded;                       
        uint64_t num_trades;                                
        uint64_t total_value_traded;                        
        char trading_phase_code[9];                         
 
        uint64_t last_px;                                   
        uint64_t open_px;                                   
        uint64_t close_px;                                  
        uint64_t high_px;                                   
        uint64_t low_px;                                    
    } xlt_sse_l1_index_t;
 
 
    typedef struct xlt_sse_l1_snapshot_t{
        uint8_t security_type;                              
        uint64_t sending_time;                              
        uint8_t trad_ses_mode;                              
        uint32_t trade_date;                                
        uint32_t last_update_time;                          
        char md_stream_id[6];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        uint64_t prev_close_px;                             
        uint64_t total_volume_traded;                       
        uint64_t num_trades;                                
        uint64_t total_value_traded;                        
        char trading_phase_code[9];                         
 
        uint64_t last_px;                                   
        uint64_t open_px;                                   
        uint64_t close_px;                                  
        uint64_t settle_px;                                 
        uint64_t high_px;                                   
        uint64_t low_px;                                    
        uint64_t iopv;                                      
        uint64_t pre_iopv;                                  
        uint64_t option_ref_px;                             
        uint64_t option_notional_amount;                    
        uint64_t pre_settle_px;                             
        uint64_t option_open_qty;                           
        uint64_t bid_px[5];                                 
        uint64_t bid_volume[5];                             
        uint64_t offer_px[5];                               
        uint64_t offer_volume[5];                           
    } xlt_sse_l1_snapshot_t;
 
 
    typedef struct xlt_szse_l1_index_t {
        uint16_t channel_no;                                
        int64_t orig_time;                                  
        char md_stream_id[4];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_id_source[5];                         
        char trading_phase_code[9];                         
        int64_t prev_close_px;                              
        int64_t num_trades;                                 
        int64_t total_volume_trade;                         
        int64_t total_value_trade;                          
 
        int64_t last_index;                                 
        int64_t prev_close_index;                           
        int64_t open_index;                                 
        int64_t high_index;                                 
        int64_t low_index;                                  
        int64_t close_index;                                
 
    } xlt_szse_l1_index_t;
 
 
    typedef struct xlt_szse_l1_snapshot_t {
        uint16_t channel_no;                                
        int64_t orig_time;                                  
        char md_stream_id[4];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_id_source[5];                         
        char trading_phase_code[9];                         
        int64_t prev_close_px;                              
        int64_t num_trades;                                 
        int64_t total_volume_trade;                         
        int64_t total_value_trade;                          
 
        int64_t last_px;                                    
        int64_t open_px;                                    
        int64_t high_px;                                    
        int64_t low_px;                                     
        int64_t px_gain;                                    
        int64_t px_gain_2;                                  
        int64_t weighted_avg_bid_px;                        
        int64_t total_bid_qty;                              
        int64_t weighted_avg_offer_px;                      
        int64_t total_offer_qty;                            
        int64_t pe_ratio_1;                                 
        int64_t pe_ratio_2;                                 
        int64_t nav;                                        
        int64_t iopv;                                       
        int64_t warrant_premium;                            
        int64_t limit_up_px;                                
        int64_t limit_down_px;                              
        int64_t option_open_qty;                            
        int64_t option_break_px;                            
 
        int64_t etf_buy_amount;                             
        int64_t etf_buy_number;                             
        int64_t etf_sell_amount;                            
        int64_t etf_sell_number;                            
 
        int64_t bid_px[5];                                  
        int64_t bid_volume[5];                              
        int64_t offer_px[5];                                
        int64_t offer_volume[5];                            
    } xlt_szse_l1_snapshot_t;
 
    typedef struct xlt_szse_l1_snapshot_bond_t {
        uint16_t channel_no;                                
        int64_t orig_time;                                  
        char md_stream_id[4];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_id_source[5];                         
        char trading_phase_code[9];                         
        int64_t prev_close_px;                              
        int64_t num_trades;                                 
        int64_t total_volume_trade;                         
        int64_t total_value_trade;                          
 
        int64_t last_px;                                    
        int64_t open_px;                                    
        int64_t close_px;                                   
        int64_t high_px;                                    
        int64_t low_px;                                     
 
        int64_t last_px_type;                               
        int64_t weighted_avg_px;                            
        int64_t px_gain;                                    
        int64_t px_gain_2;                                  
        int64_t weighted_avg_bid_px;                        
        int64_t total_bid_qty;                              
        int64_t weighted_avg_offer_px;                      
        int64_t total_offer_qty;                            
        int64_t weighted_avg_ir_gain;                       
        int64_t weighted_avg_prev_ir;                       
        int64_t match_last_px;                              
        int64_t auction_volume_trade;                       
        int64_t auction_value_trade;                        
        char sub_trading_phase_code[6][9];                  
 
        int64_t bid_px[5];                                  
        int64_t bid_volume[5];                              
        int64_t offer_px[5];                                
        int64_t offer_volume[5];                            
    } xlt_szse_l1_snapshot_bond_t;
 
    typedef union xlt_l1_quote_union_t {
        xlt_sse_l1_index_t sse_l1_index;                        
        xlt_sse_l1_snapshot_t sse_l1_snapshot;                  
        xlt_szse_l1_index_t szse_l1_index;                      
        xlt_szse_l1_snapshot_t szse_l1_snapshot;                
        xlt_szse_l1_snapshot_bond_t szse_l1_snapshot_bond;      
    } xlt_l1_quote_union_t;
 
    typedef struct xlt_level1_quote_t {
        QuoteMsgType quoteMsgType;                          
        xlt_l1_quote_union_t l1_quote;                      
    }xlt_level1_quote_t;
 
    typedef struct xlt_sse_l2_tick_t {
        int64_t biz_index;                                  
        int32_t channel;                                    
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        int32_t tick_time;                                  
        char tick_type;                                     
        int64_t buy_order_no;                               
        int64_t sell_order_no;                              
        int32_t price;                                      
        int64_t qty;                                        
        int64_t trade_money;                                
        char tick_bs_flag[8];                               
 
    } xlt_sse_l2_tick_t;
 
    typedef struct xlt_sse_l2_bond_tick_t {
        int64_t tick_index;                                 
        int32_t channel;                                    
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        int32_t tick_time;                                  
        char tick_type;                                     
        int64_t buy_order_no;                               
        int64_t sell_order_no;                              
        int32_t price;                                      
        int64_t qty;                                        
        int64_t trade_money;                                
        char tick_bs_flag[8];                               
    } xlt_sse_l2_bond_tick_t;
 
    typedef struct xlt_szse_l2_order_t {
        int16_t channel_no;                                 
        int64_t appl_seq_num;                               
        char md_stream_id[4];                               
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_source[5];                            
        int64_t price;                                      
        int64_t qty;                                        
        char side;                                          
        int64_t transact_time;                              
        char ord_type;                                      
    } xlt_szse_l2_order_t;
 
    typedef struct xlt_szse_l2_trade_t {
        int16_t channel_no;                                 
        int64_t appl_seq_num;                               
        char md_stream_id[4];                               
        int64_t bid_appl_seq_num;                           
        int64_t offer_appl_seq_num;                         
        char security_code[CONST_STR_SECURITY_CODE_LEN];    
        char security_source[5];                            
        int64_t price;                                      
        int64_t qty;                                        
        char exec_type;                                     
        int64_t transact_time;                              
    }xlt_szse_l2_trade_t;
 
 
    typedef struct xlt_rebuild_tick_quote_req_t {
        ExchangeIndex exchange_index;                       
        int16_t channel_no;                                 
        int64_t begin_sequence;                             
        int64_t end_sequence;                               
    }xlt_rebuild_tick_quote_req_t;
 
    typedef union  xlt_tick_quote_union_t {
        xlt_sse_l2_tick_t sse_l2_tick;                      
        xlt_sse_l2_bond_tick_t sse_l2_bond_tick;            
        xlt_szse_l2_order_t szse_l2_order;                  
        xlt_szse_l2_trade_t szse_l2_trade;                  
    }xlt_tick_quote_union_t;
#pragma pack(pop)
}