fastmm::bt::TimeSliceSource Class Reference

The events of inner in [t0, t1) of event time (exch_ts, recv_ts when unset), for walk-forward folds. More...

#include <fastmm/backtest/data_source.hpp>

Inheritance diagram for fastmm::bt::TimeSliceSource:

Public Member Functions
	TimeSliceSource (MdSource &inner, Timestamp t0, Timestamp t1)
	~TimeSliceSource () override
	TimeSliceSource (const TimeSliceSource &)=delete
TimeSliceSource &	operator= (const TimeSliceSource &)=delete
const EventHeader *	next () override
void	reset () override
Timestamp	start_ts () const override

Detailed Description

The events of inner in [t0, t1) of event time (exch_ts, recv_ts when unset), for walk-forward folds.

The part before t0 is read but not yielded: it only rebuilds the book of every (venue, instrument) and keeps the last message of every other kind except trades, and those states come out first, stamped t0 (one BookSnapshot per book, then the rest in key order). A fold therefore starts on the book the full run would have had at t0. Ends at the first event at or after t1. inner is borrowed; reset() rewinds it.

Constructor & Destructor Documentation

TimeSliceSource() [1/2]

fastmm::bt::TimeSliceSource::TimeSliceSource	(	MdSource &	inner,
		Timestamp	t0,
		Timestamp	t1
	)

~TimeSliceSource()

fastmm::bt::TimeSliceSource::~TimeSliceSource ( )

override

TimeSliceSource() [2/2]

fastmm::bt::TimeSliceSource::TimeSliceSource ( const TimeSliceSource &  )

delete

Member Function Documentation

operator=()

TimeSliceSource & fastmm::bt::TimeSliceSource::operator= ( const TimeSliceSource &  )

delete

next()

const EventHeader * fastmm::bt::TimeSliceSource::next ( )

override

reset()

void fastmm::bt::TimeSliceSource::reset ( )

override

start_ts()

Timestamp fastmm::bt::TimeSliceSource::start_ts ( ) const

inlineoverride