pyEngine.h

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/******************************************************************************
*
*  pyEngine.h
*
*  REVISION HISTORY:
*     15 DEC 2019 jcs  Build 20: Created
*     12 FEB 2020 jcs  Build 21: PrcLvl._OrderID
*     24 MAR 2021 jcs  Build 21: OnStart()
*     18 OCT 2021 jcs  Build xx: Pause / Resume
*     23 JAN 2022 jcs  Cleaned up
*
*  (c) 1994-2022, Gatea Ltd.
******************************************************************************/
#ifndef __PYDMA_ENGINE_FCN
#define __PYDMA_ENGINE_FCN

typedef enum {
   bkTy_native,
   bkTy_implied,
   bkTy_combined
} BookType;

typedef enum {
   act_add     = 0,
   act_mod     = 1,
   act_del     = 2,
   act_delAll  = 3,
   act_delFrom = 4
} Action;

typedef struct {
   int  _Price;
   int  _Size;
   int  _NumOrds;
   int  _Time;
   int  _Level;
   long _OrdID;
} PriceLevel;

typedef struct {
   long _OrdID;
   int  _Size;
   int  _Time;
} Order;

typedef struct {
   int  _SecID;
   int  _NumUpd;
   int  _NumUpdBid;
   int  _NumUpdAsk;
} BookStats;


typedef struct {
   Action _Action;
   bool   _bBuy;
   bool   _bImplied;
} UpdAction;

class DMA
{
public:

string version();

PyList getStats( Context cxt );

bool ioctl( Context cxt, string cmd, int val );

string getError();

void OnEngineLoad( Context cxt );

void OnStart( Context cxt );

void OnEngineUnload( Context cxt );

void OnInitialize( Context cxt, int sid );

void OnQuote( Context cxt, int sid );

void OnTrade( Context cxt, int sid );

void log( string ty, string msg ); 

void logRaw( string msg ); 

void registerTickers( Context cxt, list tickers );

#ifndef DOXYGEN_OMIT

void registerTickerByRegEx( Context cxt, string regEx );

#endif // DOXYGEN_OMIT

double wallTime( Context cxt );

double replayTime( Context cxt );

int hour( double tm );

int minute( double tm );

int second( double tm );

int seconds_Today( double tm );

string dateTime( double tm );


PyList getUpdate( Context cxt );
PyList getTrade( Context cxt );

string getSecurityName( Context cxt );

string getSecurityID( Context cxt );

PyList getBook( Context cxt, int depth, BookType bkTy );

PyList getOrders( Context cxt, bool buy, int level, BookType bkTy );

PyList lvc_getBook( Context cxt, int sid, int depth, BookType bkTy );

PyList lvc_getBook( Context cxt, const char *tkr, int depth, BookType bkTy );

PyList lvc_getOrders( Context  cxt, 
                      int      sid, 
                      bool     buy, 
                      int      level, 
                      BookType bkTy );

PyList lvc_getOrders( Context     cxt, 
                      const char *tkr,
                      bool        buy, 
                      int         level, 
                      BookType    bkTy );

PyList pause( Context cxt );

PyList resume( Context cxt );

}; // class DMA

#endif // __PYDMA_ENGINE_FCN