fastmm::QuoteManager Class Reference

#include <fastmm/core/quote_manager.hpp>

Public Member Functions
	QuoteManager (const QuoteParams &p={}) noexcept
const QuoteParams &	params () const noexcept
void	set_params (const QuoteParams &p) noexcept
const QuoteStats &	stats () const noexcept
void	set_replace (InstrumentId id, bool on) noexcept
	Whether the instrument's venue amends in place (default true; supports_replace still applies).
bool	replaces (InstrumentId id) const noexcept
template<class Placer >
std::uint32_t	reconcile (const Instrument &inst, const DesiredQuotes &desired, const Oms &oms, Timestamp now, Placer &&place) noexcept
	Reconciles desired vs resting for one instrument. Returns the number of actions placed.
template<class Placer >
std::uint32_t	pull_quotes (const Instrument &inst, const Oms &oms, Placer &&place, bool keep_desired=false) noexcept
	Cancels every working quote on the instrument and suppresses re-quoting until the next reconcile().
template<class Placer >
std::uint32_t	resume (const Instrument &inst, const Oms &oms, Timestamp now, Placer &&place) noexcept
	Re-applies the desired quotes kept by pull_quotes(keep_desired). Returns the actions placed.
bool	resumable (InstrumentId id) const noexcept
bool	starved () const noexcept
	Instruments whose quotes were held back for want of an order token, oldest first.
std::size_t	starved_count () const noexcept
InstrumentId	pop_starved () noexcept
	Takes the oldest starved instrument off the queue (the caller checks starved() first).
template<class Placer >
std::uint32_t	retry (const Instrument &inst, const Oms &oms, Timestamp now, Placer &&place) noexcept
	Re-applies the last desired quotes of an instrument popped from the starved queue; one that was pulled meanwhile stays pulled.
template<class Placer >
void	on_order_update (const OmsUpdate &u, const Instrument &inst, const Oms &oms, Timestamp now, Placer &&place) noexcept
	Feed every OmsUpdate here.
Handle< Order >	slot_handle (InstrumentId id, Side s, std::uint32_t level) const noexcept
bool	pulled (InstrumentId id) const noexcept
const DesiredQuotes &	desired (InstrumentId id) const noexcept
	The last ladder reconcile() applied to the instrument (empty after a pull).
bool	starved (InstrumentId id) const noexcept
	The instrument waits for an order token (a New or Replace was rate-limited).
bool	backing_off (InstrumentId id, Side s, Timestamp now) const noexcept
	The side is in its venue-reject backoff at now.

Static Public Member Functions
static constexpr std::uint32_t	make_tag (Side s, std::uint32_t level) noexcept
	user_tag encoding so a terminal OmsUpdate can be mapped back to its slot.
static constexpr bool	is_quote_tag (std::uint32_t tag) noexcept

Constructor & Destructor Documentation

QuoteManager()

fastmm::QuoteManager::QuoteManager ( const QuoteParams &  p = {} )

inlineexplicitnoexcept

Member Function Documentation

params()

const QuoteParams & fastmm::QuoteManager::params ( ) const

inlinenoexcept

set_params()

void fastmm::QuoteManager::set_params ( const QuoteParams &  p )

inlinenoexcept

stats()

const QuoteStats & fastmm::QuoteManager::stats ( ) const

inlinenoexcept

set_replace()

void fastmm::QuoteManager::set_replace ( InstrumentId  id, bool  on  )

inlinenoexcept

Whether the instrument's venue amends in place (default true; supports_replace still applies).

replaces()

bool fastmm::QuoteManager::replaces ( InstrumentId  id ) const

inlinenoexcept

make_tag()

static constexpr std::uint32_t fastmm::QuoteManager::make_tag ( Side  s, std::uint32_t  level  )

inlinestaticconstexprnoexcept

user_tag encoding so a terminal OmsUpdate can be mapped back to its slot.

is_quote_tag()

static constexpr bool fastmm::QuoteManager::is_quote_tag ( std::uint32_t  tag )

inlinestaticconstexprnoexcept

reconcile()

template<class Placer >

std::uint32_t fastmm::QuoteManager::reconcile ( const Instrument &  inst, const DesiredQuotes &  desired, const Oms &  oms, Timestamp  now, Placer &&  place  )

inlinenoexcept

Reconciles desired vs resting for one instrument. Returns the number of actions placed.

pull_quotes()

template<class Placer >

std::uint32_t fastmm::QuoteManager::pull_quotes ( const Instrument &  inst, const Oms &  oms, Placer &&  place, bool  keep_desired = false  )

inlinenoexcept

Cancels every working quote on the instrument and suppresses re-quoting until the next reconcile().

With keep_desired (a pause, not a decision to stop quoting) the last desired quotes are kept for resume(), unless the instrument was already pulled.

< pending: cannot touch; a later pull will catch it

resume()

template<class Placer >

std::uint32_t fastmm::QuoteManager::resume ( const Instrument &  inst, const Oms &  oms, Timestamp  now, Placer &&  place  )

inlinenoexcept

Re-applies the desired quotes kept by pull_quotes(keep_desired). Returns the actions placed.

resumable()

bool fastmm::QuoteManager::resumable ( InstrumentId  id ) const

inlinenoexcept

starved() [1/2]

bool fastmm::QuoteManager::starved ( ) const

inlinenoexcept

Instruments whose quotes were held back for want of an order token, oldest first.

starved_count()

std::size_t fastmm::QuoteManager::starved_count ( ) const

inlinenoexcept

pop_starved()

InstrumentId fastmm::QuoteManager::pop_starved ( )

inlinenoexcept

Takes the oldest starved instrument off the queue (the caller checks starved() first).

retry()

template<class Placer >

std::uint32_t fastmm::QuoteManager::retry ( const Instrument &  inst, const Oms &  oms, Timestamp  now, Placer &&  place  )

inlinenoexcept

Re-applies the last desired quotes of an instrument popped from the starved queue; one that was pulled meanwhile stays pulled.

An action held back again queues it at the back.

on_order_update()

template<class Placer >

void fastmm::QuoteManager::on_order_update ( const OmsUpdate &  u, const Instrument &  inst, const Oms &  oms, Timestamp  now, Placer &&  place  )

inlinenoexcept

Feed every OmsUpdate here.

A terminal update frees the slot it belonged to and, if a target was recorded for it (cancel-then-new, or a requote that met the order pending), places the New now. The ack of an order that was pending at a requote applies the recorded target. While the instrument is pulled, an order that has just become working is cancelled instead.

< the venue takes this side

The terminal order was this slot's unless the slot already holds a newer live order. Ids are not compared: a replace changes the order's id, and a stale id used to drop the update and leave the slot waiting for a terminal state forever.

slot_handle()

Handle< Order > fastmm::QuoteManager::slot_handle ( InstrumentId  id, Side  s, std::uint32_t  level  ) const

inlinenoexcept

pulled()

bool fastmm::QuoteManager::pulled ( InstrumentId  id ) const

inlinenoexcept

desired()

const DesiredQuotes & fastmm::QuoteManager::desired ( InstrumentId  id ) const

inlinenoexcept

The last ladder reconcile() applied to the instrument (empty after a pull).

starved() [2/2]

bool fastmm::QuoteManager::starved ( InstrumentId  id ) const

inlinenoexcept

The instrument waits for an order token (a New or Replace was rate-limited).

backing_off()

bool fastmm::QuoteManager::backing_off ( InstrumentId  id, Side  s, Timestamp  now  ) const

inlinenoexcept

The side is in its venue-reject backoff at now.