quote_sze_define.h

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#pragma once
#include <string.h>
 
#define        SZE_EXCHANGE_ID                  (101)
#define        SZE_SYMBOL_LEN                   (9)
#define        SZE_LEV2_DEPTH                   (10)
#define        SZE_IBR_DEPTH                    (5)
 
#define        SZE_LEV2_SNAP_MSG_TYPE           (21)
#define        SZE_LEV2_IDX_MSG_TYPE            (22)
#define        SZE_LEV2_ORDER_MSG_TYPE          (23)
#define        SZE_LEV2_EXE_MSG_TYPE            (24)
#define        SZE_LEV2_AF_CLOSE_MSG_TYPE       (25)
#define        SZE_LEV2_TREE_MSG_TYPE           (29)
#define        SZE_LEV2_IBR_TREE_MSG_TYPE       (28)
#define        SZE_LEV2_TURNOVER_MSG_TYPE       (26)
#define        SZE_LEV2_BOND_SNAP_MSG_TYPE      (80)
#define        SZE_LEV2_BOND_ORDER_MSG_TYPE     (81)
#define        SZE_LEV2_BOND_EXE_MSG_TYPE       (82)
 
#define        SZE_LEV2_SNAP_HT_MSG_TYPE        (121)
#define        SZE_LEV2_IDX_HT_MSG_TYPE         (122)
#define        SZE_LEV2_TICK_HT_MSG_TYPE        (123)
#define        SZE_LEV2_AF_CLOSE_HT_MSG_TYPE    (125)
#define        SZE_LEV2_TREE_HT_MSG_TYPE        (129)
#define        SZE_LEV2_IBR_TREE_HT_MSG_TYPE    (128)
#define        SZE_LEV2_TURNOVER_HT_MSG_TYPE    (126)
#define        SZE_LEV2_BOND_SNAP_HT_MSG_TYPE   (180)
#define        SZE_LEV2_BOND_TICK_HT_MSG_TYPE   (181)
 
 
#pragma pack(push, 1)
 
typedef enum EMQSzeTickType {
    kTickTypeOrder,     
    kTickTypeExe,       
    kTickTypeBondOrder, 
    kTickTypeBondExe,   
} EMQSzeTickType;
 
struct EMQSzePriceQuantityUnit
{
 
    unsigned int                      m_price;
    unsigned long long                m_quantity;
};
 
struct EMQSzeHeartbeat
{
    unsigned int                      m_sequence;
    unsigned int                      m_reserved_1;
    unsigned char                     m_message_type;
    unsigned char                     m_reserved_2[7];
};
 
struct EMQSzeHead
{
    unsigned int                      m_sequence;
    unsigned int                      m_reserved_1;
    unsigned char                     m_message_type;
 
    unsigned char                     m_security_type;
 
    unsigned char                     m_sub_security_type;
    unsigned char                     m_symbol[SZE_SYMBOL_LEN];
    unsigned char                     m_exchange_id;
 
    unsigned long long                m_quote_update_time;
    unsigned short                    m_channel_num;
    unsigned long long                m_sequence_num;
    unsigned int                      m_md_stream_id;
};
 
struct EMQSzeSnap
{
    EMQSzeSnap()
    {
        memset(this, 0, sizeof(EMQSzeSnap));
    }
 
    EMQSzeHead                        m_head;
 
    unsigned char                     m_trading_status;
    unsigned long long                m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_last_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_today_close_price;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_ask_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
    unsigned int                      m_lpv;
    unsigned int                      m_iopv;
    unsigned int                      m_upper_limit_price;
    unsigned int                      m_low_limit_price;
    unsigned int                      m_open_interest;
    EMQSzePriceQuantityUnit      m_bid_unit[SZE_LEV2_DEPTH];
    EMQSzePriceQuantityUnit      m_ask_unit[SZE_LEV2_DEPTH];
 
};
 
struct EMQSzeIdx
{
    EMQSzeIdx()
    {
        memset(this, 0, sizeof(EMQSzeIdx));
    }
 
    EMQSzeHead                        m_head;
    unsigned long long                m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned int                      m_last_price;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_today_close_price;
    char                              m_reserved[5];
};
 
struct EMQSzeTickOrder
{
    EMQSzeTickOrder()
    {
        memset(this, 0, sizeof(EMQSzeTickOrder));
    }
    EMQSzeHead                        m_head;
 
    unsigned int                      m_order_price;
    unsigned long long                m_order_quantity;
    char                              m_side_flag;
    char                              m_order_type;
    char                              m_reserved[15];
};
 
struct EMQSzeTickExe
{
    EMQSzeTickExe()
    {
        memset(this, 0, sizeof(EMQSzeTickExe));
    }
 
    EMQSzeHead                        m_head;
    long long                         m_trade_buy_num;
    long long                         m_trade_sell_num;
    unsigned int                      m_trade_price;
    long long                         m_trade_quantity;
    char                              m_trade_type;
};
 
struct EMQSzeTick
{
    EMQSzeTickType m_tick_type;
    union {
        EMQSzeTickOrder *m_tick_order;
        EMQSzeTickExe *m_tick_exe;
    };
};
 
struct EMQSzeTree
{
    EMQSzeTree()
    {
        memset(this, 0, sizeof(EMQSzeTree));
    }
 
    EMQSzeHead                        m_head;
    long long                         m_total_trade_num;
    unsigned long long                m_total_quantity;
    long long                         m_total_value;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_last_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_today_close_price;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_ask_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
    unsigned int                      m_upper_limit_price;
    unsigned int                      m_low_limit_price;
    unsigned long long                m_market_open_total_bid;
    unsigned long long                m_market_open_total_ask;
    unsigned int                      m_bid_depth;
    unsigned int                      m_ask_depth;
    EMQSzePriceQuantityUnit           m_bid_unit[SZE_LEV2_DEPTH];
    EMQSzePriceQuantityUnit           m_ask_unit[SZE_LEV2_DEPTH];
    char                              m_ch_gap_flag;
    char                              m_reserved[4];
};
 
struct EMQSzeBondSnap
{
    EMQSzeBondSnap()
    {
        memset( this , 0 , sizeof( EMQSzeBondSnap ) );
    }
    EMQSzeHead                   m_head;
 
 
    unsigned char                     m_trading_status;
    unsigned long long                m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_last_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_today_close_price;
    unsigned int                      m_total_trade_weighted_avg_price;
    int                               m_fluctuation_1;
    int                               m_fluctuation_2;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_ask_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
 
    int                               m_weighted_avg_price_BP;
    unsigned int                      m_weighted_avg_pre_close_price;
    unsigned int                      m_auction_trade_last_price;
    unsigned char                     m_reserved[4];
    unsigned long long                m_auction_volume_trade;
    unsigned long long                m_auction_value_trade;
 
    EMQSzePriceQuantityUnit           m_bid_unit[SZE_LEV2_DEPTH];
    EMQSzePriceQuantityUnit           m_ask_unit[SZE_LEV2_DEPTH];
};
 
struct EMQSzeBondOrder
{
    EMQSzeBondOrder()
    {
        memset( this , 0 , sizeof( EMQSzeBondOrder ) );
    }
    EMQSzeHead                        m_head;
 
    unsigned int                      m_price;
    unsigned long long                m_quantity;
    char                              m_side;
    char                              m_order_type;
    char                              m_reserved[15];
};
 
struct EMQSzeBondExe
{
    EMQSzeBondExe()
    {
        memset( this , 0 , sizeof( EMQSzeBondExe ) );
    }
    EMQSzeHead                        m_head;
    long long                         m_buy_num;
    long long                         m_sell_num;
    unsigned int                      m_price;
    long long                         m_quantity;
    char                              m_type;
};
 
struct EMQSzeBondTick
{
    EMQSzeTickType m_tick_type;
    union {
        EMQSzeBondOrder *m_bond_order;
        EMQSzeBondExe *m_bond_exe;
    };
};
 
#pragma pack(pop)