Price precision extension

Price precision extension changes. More...

Price precision extension changes.

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Price precision extension from CME introduces new prices with up to 9 decimals.
Changes in MDP3 schema impacts only on low level messaging API.
The change is not backward compatible, new messages with 9-decimals prices has been introduced in addition to old 7-decimals.
The new price format will be sent for the entire channel, till Nov 18 2018 there will exist both channels with old prices and channels with new prices. After that all channels will be switched to new prices format.

To reflect those changes in code new message structs have been introduced:

• XXXMsg7 - messages with old 7-decimal price, e.g. MBPIncBookMsg7
• XXXMsg9 - messages with new 9-decimal price, e.g. MBPIncBookMsg9
• XXXMsg - either 7 or 9 depending on USE_MDP_PRICE_PRECISION_7 macro, which is not defined by default

See some examples below:

B2BITS header:

//
// old version - single callback for MBPIncBookMsg
struct InstrumentListener 
{
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg&) = 0;
}

// new version - 2 callback for MBPIncBookMsg
struct InstrumentListener
{
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg7&) = 0;
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg9&) = 0;
}

Client application:

// existing code - single callback overriden for MBPIncBookMsg
struct MsgListener : public Cme::Mdp::InstrumentListener
{
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg&) override;
}

Without modifications existing listener would work as listener for new prices channel.
If compiled with defined USE_MDP_PRICE_PRECISION_7 - as listener for old preices channel
If application requires to handle both types of channels listener should override both callbacks :

//
struct MsgListener : public Cme::Mdp::InstrumentListener
{
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg7&) override;
    virtual InstrumentControlCode onMessage(const MBPIncBookMsg9&) override;
}

See also Tag-Value interface which allows to use single onIncrementMessage callback for all incremental messages