#include <fastmm/core/strategy_context.hpp>

Public Types
using	Book = typename Engine::Book

Public Member Functions
	StrategyContext (Engine *e) noexcept

Timestamp	now () const noexcept

const Instrument &	instrument (InstrumentId id) const noexcept

const InstrumentTable &	instruments () const noexcept

bool	contains (InstrumentId id) const noexcept

const Book &	book (InstrumentId id) const noexcept

Qty	own_qty (InstrumentId id, Side side, Price px) const noexcept
	Our resting quantity that the venue's feed shows at (id, side, px): the book and the tickers of a live venue include our own orders.

Qty	own_qty (InstrumentId id, Side side, Price px, Timestamp at) const noexcept

Level	best_ex_self (InstrumentId id, Side side) const noexcept
	The book's best level on one side with own_qty taken out; a level that was only ours is skipped.

const Position &	position (InstrumentId id) const noexcept

Portfolio	portfolio () const noexcept
	PnL totals over every instrument (a loop over all positions; not for every event).

bool	set_quotes (InstrumentId id, const DesiredQuotes &q) noexcept
	Returns false when the quotes were ignored: quoting is disabled (control pull, kill switch, reconciliation; on_quoting reports the changes) or the instrument is not in the table.

void	pull_quotes (InstrumentId id) noexcept

void	note_quote (InstrumentId id, Side side, std::string_view reason, Notional budget={}) noexcept
	Why the strategy asks what it asks on a side, for the operator: a short reason ("inventory_cap", "model_off"; empty clears it, at most 23 bytes kept) and the budget it gave the side in the settlement currency.

void	metric (std::string_view name, double value) noexcept
	A number the strategy publishes by name, for the status file (a budget split, a model's state): the first 32 names are kept, a name at most 23 bytes.

void	pull_all_quotes () noexcept

const Order *	working_quote (InstrumentId id, Side side, std::uint32_t level=0) const noexcept
	The open order in a quote slot (level 0 is closest to the mid), or nullptr.

Result< ClientOrderId, RejectReason >	send (const NewOrderRequest &req) noexcept
	RejectReason::InvalidTag: user_tag lies in the QuoteManager's tag range.

Result< void, RejectReason >	cancel (ClientOrderId id) noexcept

Result< void, RejectReason >	replace (ClientOrderId id, Price px, Qty qty) noexcept

const Order *	order (ClientOrderId id) const noexcept
	An open order by id, or nullptr once it is terminal. Valid until the next context call.

std::optional< Qty >	queue_ahead (ClientOrderId id) const noexcept
	Estimated quantity resting ahead of an open order at its price: the l2_queue fill model's queue model on the market data the strategy sees, with [engine] queue_conservatism, from the order's ack.

const OrderTimes *	order_times (ClientOrderId id) const noexcept
	Send and ack times of an open order, or nullptr (OmsUpdate::times has them in on_order_update and, through Fill::update, in on_fill).

Qty	open_qty (InstrumentId id, Side side) const noexcept
	Unfilled quantity of our open orders (quotes included) on one side.

const Oms &	oms () const noexcept

TimerId	every (Duration period, std::uint64_t tag=0) noexcept

TimerId	once (Duration delay, std::uint64_t tag=0) noexcept

bool	cancel_timer (TimerId id) noexcept

bool	quoting_enabled () const noexcept

bool	reconciling () const noexcept
	A venue's orders and position are being reconciled, or have not been yet since the session started (a live session waits for every venue that replays executions; new orders are refused with NotReconciled until then).

bool	killed () const noexcept

bool	venue_killed (VenueId v) const noexcept
	One venue's kill switch: new orders to it are refused and set_quotes ignores its instruments.

void	request_stop () noexcept

void	request_batch_end () noexcept
	Asks for one on_batch_end call once the engine has handled every event that is waiting now (the feed is empty or the step's max_events_per_step is used up).

void	trip_kill (KillReason reason) noexcept
	Trips the global kill switch: quoting stops, quotes are pulled and every working order is cancelled.

const FeeRates &	fees (InstrumentId id) const noexcept
	Maker and taker rates of the instrument, in cbps of the notional (positive: a fee).

RiskHeadroom	risk_headroom (InstrumentId id) const noexcept
	What each [risk] limit still admits on the instrument now: the next check uses the same inputs, so an order of exactly a room passes that limit.

VenueHealthView	venue_health (VenueId v) const noexcept
	Feed lag and order round trip of a venue (core/venue_health.hpp), and whether the feed-lag gate ([risk] max_feed_lag_ms) holds it now.

OrderBudget	order_budget (VenueId v) const noexcept
	What the [risk] rate limit and the venue's own limits still admit (core/order_budget.hpp): the local token bucket, and the venue's order counts and request weight by window as its connector last published them (live only; venue_known is false elsewhere).

Balance	balance (VenueId v, std::string_view asset) const noexcept
	One asset of a venue's account: the venue's last report (on_balance) less what this engine's orders hold and its fills moved since.

Margin	margin (VenueId v) const noexcept
	The venue's margin: its account-wide margin where it reports one, else the settlement asset of its first derivative.

bool	balances_live () const noexcept
	A venue has reported balances (before that, balance() is unknown everywhere).

Qty	balance_room (InstrumentId id, Side side, Price px) const noexcept
	Largest quantity of `id` on `side` at `px` the balance covers (a spot buy's quote with the taker fee, a spot sell's base, a derivative's initial margin), rounded down to the lot.

Qty	balance_room (InstrumentId id, Side side, Price px, VenueId account) const noexcept
	... on one account of the instrument's pool (its own venue when `account` is not one).

PoolMembers	pool (VenueId primary) const noexcept
	The accounts that take orders for a venue's instruments ([venues.

VenueId	pool_primary (VenueId v) const noexcept
	The venue whose instruments `v` takes orders for: its primary, or `v` itself.

bool	account_usable (VenueId v) const noexcept
	The automatic routing would send to `v` now: its order link is live and its kill switch is not engaged (its balance and window are the order's to decide).

RefPrice	mark (InstrumentId id) const noexcept
	The venue's mark and index price of a derivative (on_perp_state), with the time each arrived.

RefPrice	index (InstrumentId id) const noexcept

FundingView	funding (InstrumentId id) const noexcept
	The venue's funding of a perpetual: the rate it will apply at `next`, per `interval`, and over(d), the rate over a holding time d.

const PerpRow &	perp_state (InstrumentId id) const noexcept
	Every field as last reported, open interest included, without the staleness applied.

Xoshiro256ss &	rng () noexcept

Member Typedef Documentation

◆ Book

template<class Engine >

using fastmm::StrategyContext< Engine >::Book = typename Engine::Book

Constructor & Destructor Documentation

◆ StrategyContext()

template<class Engine >

fastmm::StrategyContext< Engine >::StrategyContext ( Engine * e )

inlineexplicitnoexcept

Member Function Documentation

◆ now()

template<class Engine >

Timestamp fastmm::StrategyContext< Engine >::now ( ) const

inlinenoexcept

◆ instrument()

template<class Engine >

const Instrument & fastmm::StrategyContext< Engine >::instrument ( InstrumentId id ) const

inlinenoexcept

◆ instruments()

template<class Engine >

const InstrumentTable & fastmm::StrategyContext< Engine >::instruments ( ) const

inlinenoexcept

◆ contains()

template<class Engine >

bool fastmm::StrategyContext< Engine >::contains ( InstrumentId id ) const

inlinenoexcept

◆ book()

template<class Engine >

const Book & fastmm::StrategyContext< Engine >::book ( InstrumentId id ) const

inlinenoexcept

◆ own_qty() [1/2]

template<class Engine >

Qty fastmm::StrategyContext< Engine >::own_qty	(	InstrumentId	id,
		Side	side,
		Price	px
	)		const

inlinenoexcept

Our resting quantity that the venue's feed shows at (id, side, px): the book and the tickers of a live venue include our own orders.

As of the book's last update, or of venue time at (a BookTicker's exch_ts). An order counts from its ack's venue time to its end's, less its fills, so a depth update stamped before our cancel still includes it. Zero in the simulator, whose feed does not contain our orders.

◆ own_qty() [2/2]

template<class Engine >

Qty fastmm::StrategyContext< Engine >::own_qty	(	InstrumentId	id,
		Side	side,
		Price	px,
		Timestamp	at
	)		const

inlinenoexcept

◆ best_ex_self()

template<class Engine >

Level fastmm::StrategyContext< Engine >::best_ex_self	(	InstrumentId	id,
		Side	side
	)		const

inlinenoexcept

The book's best level on one side with own_qty taken out; a level that was only ours is skipped.

Level{} when none is left.

◆ position()

template<class Engine >

const Position & fastmm::StrategyContext< Engine >::position ( InstrumentId id ) const

inlinenoexcept

◆ portfolio()

template<class Engine >

Portfolio fastmm::StrategyContext< Engine >::portfolio ( ) const

inlinenoexcept

PnL totals over every instrument (a loop over all positions; not for every event).

◆ set_quotes()

template<class Engine >

bool fastmm::StrategyContext< Engine >::set_quotes	(	InstrumentId	id,
		const DesiredQuotes &	q
	)

inlinenoexcept

Returns false when the quotes were ignored: quoting is disabled (control pull, kill switch, reconciliation; on_quoting reports the changes) or the instrument is not in the table.

◆ pull_quotes()

template<class Engine >

void fastmm::StrategyContext< Engine >::pull_quotes ( InstrumentId id )

inlinenoexcept

◆ note_quote()

template<class Engine >

void fastmm::StrategyContext< Engine >::note_quote	(	InstrumentId	id,
		Side	side,
		std::string_view	reason,
		Notional	budget = `{}`
	)

inlinenoexcept

Why the strategy asks what it asks on a side, for the operator: a short reason ("inventory_cap", "model_off"; empty clears it, at most 23 bytes kept) and the budget it gave the side in the settlement currency.

The status file shows it next to what the engine finds in the way (core/quote_diag.hpp); the store records each change. No allocation.

◆ metric()

template<class Engine >

void fastmm::StrategyContext< Engine >::metric	(	std::string_view	name,
		double	value
	)

inlinenoexcept

A number the strategy publishes by name, for the status file (a budget split, a model's state): the first 32 names are kept, a name at most 23 bytes.

No allocation.

◆ pull_all_quotes()

template<class Engine >

void fastmm::StrategyContext< Engine >::pull_all_quotes ( )

inlinenoexcept

◆ working_quote()

template<class Engine >

const Order * fastmm::StrategyContext< Engine >::working_quote	(	InstrumentId	id,
		Side	side,
		std::uint32_t	level = `0`
	)		const

inlinenoexcept

The open order in a quote slot (level 0 is closest to the mid), or nullptr.

◆ send()

template<class Engine >

Result< ClientOrderId, RejectReason > fastmm::StrategyContext< Engine >::send ( const NewOrderRequest & req )

inlinenoexcept

RejectReason::InvalidTag: user_tag lies in the QuoteManager's tag range.

◆ cancel()

template<class Engine >

Result< void, RejectReason > fastmm::StrategyContext< Engine >::cancel ( ClientOrderId id )

inlinenoexcept

◆ replace()

template<class Engine >

Result< void, RejectReason > fastmm::StrategyContext< Engine >::replace	(	ClientOrderId	id,
		Price	px,
		Qty	qty
	)

inlinenoexcept

◆ order()

template<class Engine >

const Order * fastmm::StrategyContext< Engine >::order ( ClientOrderId id ) const

inlinenoexcept

An open order by id, or nullptr once it is terminal. Valid until the next context call.

◆ queue_ahead()

template<class Engine >

std::optional< Qty > fastmm::StrategyContext< Engine >::queue_ahead ( ClientOrderId id ) const

inlinenoexcept

Estimated quantity resting ahead of an open order at its price: the l2_queue fill model's queue model on the market data the strategy sees, with [engine] queue_conservatism, from the order's ack.

nullopt while it is not acknowledged or once it is terminal. The engine tracks queues from the first call on (call it in on_start to cover every order from its ack); an order already resting at the first call starts at the back of its level as the book shows it.

◆ order_times()

template<class Engine >

const OrderTimes * fastmm::StrategyContext< Engine >::order_times ( ClientOrderId id ) const

inlinenoexcept

Send and ack times of an open order, or nullptr (OmsUpdate::times has them in on_order_update and, through Fill::update, in on_fill).

◆ open_qty()

template<class Engine >

Qty fastmm::StrategyContext< Engine >::open_qty	(	InstrumentId	id,
		Side	side
	)		const

inlinenoexcept

Unfilled quantity of our open orders (quotes included) on one side.

◆ oms()

template<class Engine >

const Oms & fastmm::StrategyContext< Engine >::oms ( ) const

inlinenoexcept

◆ every()

template<class Engine >

TimerId fastmm::StrategyContext< Engine >::every	(	Duration	period,
		std::uint64_t	tag = `0`
	)

inlinenoexcept

◆ once()

template<class Engine >

TimerId fastmm::StrategyContext< Engine >::once	(	Duration	delay,
		std::uint64_t	tag = `0`
	)

inlinenoexcept

◆ cancel_timer()

template<class Engine >

bool fastmm::StrategyContext< Engine >::cancel_timer ( TimerId id )

inlinenoexcept

◆ quoting_enabled()

template<class Engine >

bool fastmm::StrategyContext< Engine >::quoting_enabled ( ) const

inlinenoexcept

◆ reconciling()

template<class Engine >

bool fastmm::StrategyContext< Engine >::reconciling ( ) const

inlinenoexcept

A venue's orders and position are being reconciled, or have not been yet since the session started (a live session waits for every venue that replays executions; new orders are refused with NotReconciled until then).

Positions may be missing fills while this holds.

◆ killed()

template<class Engine >

bool fastmm::StrategyContext< Engine >::killed ( ) const

inlinenoexcept

◆ venue_killed()

template<class Engine >

bool fastmm::StrategyContext< Engine >::venue_killed ( VenueId v ) const

inlinenoexcept

One venue's kill switch: new orders to it are refused and set_quotes ignores its instruments.

◆ request_stop()

template<class Engine >

void fastmm::StrategyContext< Engine >::request_stop ( )

inlinenoexcept

◆ request_batch_end()

template<class Engine >

void fastmm::StrategyContext< Engine >::request_batch_end ( )

inlinenoexcept

Asks for one on_batch_end call once the engine has handled every event that is waiting now (the feed is empty or the step's max_events_per_step is used up).

Work a burst of events would each trigger (a requote after every balance report) is done once, after the burst. Repeated requests before the call make one call.

◆ trip_kill()

template<class Engine >

void fastmm::StrategyContext< Engine >::trip_kill ( KillReason reason )

inlinenoexcept

Trips the global kill switch: quoting stops, quotes are pulled and every working order is cancelled.

The adapter for Python hot hooks uses KillReason::StrategyError.

◆ fees()

template<class Engine >

const FeeRates & fastmm::StrategyContext< Engine >::fees ( InstrumentId id ) const

inlinenoexcept

Maker and taker rates of the instrument, in cbps of the notional (positive: a fee).

The configuration's ([[instruments]] maker_bps / taker_bps, else [venues.<x>.fees]), or the account's own where the connector fetched them (fetch_fees). A backtest charges these.

◆ risk_headroom()

template<class Engine >

RiskHeadroom fastmm::StrategyContext< Engine >::risk_headroom ( InstrumentId id ) const

inlinenoexcept

What each [risk] limit still admits on the instrument now: the next check uses the same inputs, so an order of exactly a room passes that limit.

RiskHeadroom::kUnlimited (or the type's max()) where the limit is off.

◆ venue_health()

template<class Engine >

VenueHealthView fastmm::StrategyContext< Engine >::venue_health ( VenueId v ) const

inlinenoexcept

Feed lag and order round trip of a venue (core/venue_health.hpp), and whether the feed-lag gate ([risk] max_feed_lag_ms) holds it now.

◆ order_budget()

template<class Engine >

OrderBudget fastmm::StrategyContext< Engine >::order_budget ( VenueId v ) const

inlinenoexcept

What the [risk] rate limit and the venue's own limits still admit (core/order_budget.hpp): the local token bucket, and the venue's order counts and request weight by window as its connector last published them (live only; venue_known is false elsewhere).

◆ balance()

template<class Engine >

Balance fastmm::StrategyContext< Engine >::balance	(	VenueId	v,
		std::string_view	asset
	)		const

inlinenoexcept

One asset of a venue's account: the venue's last report (on_balance) less what this engine's orders hold and its fills moved since.

Balance::known is false until the venue reports it, and for an asset no instrument of the venue names.

◆ margin()

template<class Engine >

Margin fastmm::StrategyContext< Engine >::margin ( VenueId v ) const

inlinenoexcept

The venue's margin: its account-wide margin where it reports one, else the settlement asset of its first derivative.

◆ balances_live()

template<class Engine >

bool fastmm::StrategyContext< Engine >::balances_live ( ) const

inlinenoexcept

A venue has reported balances (before that, balance() is unknown everywhere).

◆ balance_room() [1/2]

template<class Engine >

Qty fastmm::StrategyContext< Engine >::balance_room	(	InstrumentId	id,
		Side	side,
		Price	px
	)		const

inlinenoexcept

Largest quantity of id on side at px the balance covers (a spot buy's quote with the taker fee, a spot sell's base, a derivative's initial margin), rounded down to the lot.

Qty::max() while the venue has not reported the balance that side draws on.

◆ balance_room() [2/2]

template<class Engine >

Qty fastmm::StrategyContext< Engine >::balance_room	(	InstrumentId	id,
		Side	side,
		Price	px,
		VenueId	account
	)		const

inlinenoexcept

... on one account of the instrument's pool (its own venue when account is not one).

◆ pool()

template<class Engine >

PoolMembers fastmm::StrategyContext< Engine >::pool ( VenueId primary ) const

inlinenoexcept

The accounts that take orders for a venue's instruments ([venues.

<x>] pool_of), the primary first; just the venue itself without a pool. Each has its own balance(), margin() and order_budget(); an order goes to the one NewOrderRequest::account names, else to the usable member whose balance covers it with the most order window left, and Order::venue keeps it.

◆ pool_primary()

template<class Engine >

VenueId fastmm::StrategyContext< Engine >::pool_primary ( VenueId v ) const

inlinenoexcept

The venue whose instruments v takes orders for: its primary, or v itself.

◆ account_usable()

template<class Engine >

bool fastmm::StrategyContext< Engine >::account_usable ( VenueId v ) const

inlinenoexcept

The automatic routing would send to v now: its order link is live and its kill switch is not engaged (its balance and window are the order's to decide).

◆ mark()

template<class Engine >

RefPrice fastmm::StrategyContext< Engine >::mark ( InstrumentId id ) const

inlinenoexcept

The venue's mark and index price of a derivative (on_perp_state), with the time each arrived.

stale: older than [accounting] stale_mark_ms, or never reported; usable() is neither.

◆ index()

template<class Engine >

RefPrice fastmm::StrategyContext< Engine >::index ( InstrumentId id ) const

inlinenoexcept

◆ funding()

template<class Engine >

FundingView fastmm::StrategyContext< Engine >::funding ( InstrumentId id ) const

inlinenoexcept

The venue's funding of a perpetual: the rate it will apply at next, per interval, and over(d), the rate over a holding time d.

stale against [accounting] stale_funding_ms.

◆ perp_state()

template<class Engine >

const PerpRow & fastmm::StrategyContext< Engine >::perp_state ( InstrumentId id ) const

inlinenoexcept

Every field as last reported, open interest included, without the staleness applied.

◆ rng()

template<class Engine >

Xoshiro256ss & fastmm::StrategyContext< Engine >::rng ( )

inlinenoexcept

Public Types

Public Member Functions

Member Typedef Documentation

◆ Book

Constructor & Destructor Documentation

◆ StrategyContext()

Member Function Documentation

◆ now()

◆ instrument()

◆ instruments()

◆ contains()

◆ book()

◆ own_qty() [1/2]

◆ own_qty() [2/2]

◆ best_ex_self()

◆ position()

◆ portfolio()

◆ set_quotes()

◆ pull_quotes()

◆ note_quote()

◆ metric()

◆ pull_all_quotes()

◆ working_quote()

◆ send()

◆ cancel()

◆ replace()

◆ order()

◆ queue_ahead()

◆ order_times()

◆ open_qty()

◆ oms()

◆ every()

◆ once()

◆ cancel_timer()

◆ quoting_enabled()

◆ reconciling()

◆ killed()

◆ venue_killed()

◆ request_stop()

◆ request_batch_end()

◆ trip_kill()

◆ fees()

◆ risk_headroom()

◆ venue_health()

◆ order_budget()

◆ balance()

◆ margin()

◆ balances_live()

◆ balance_room() [1/2]

◆ balance_room() [2/2]

◆ pool()

◆ pool_primary()

◆ account_usable()

◆ mark()

◆ index()

◆ funding()

◆ perp_state()

◆ rng()