fastmm::sim::StrategyHarness< S > Class Template Reference

#include <fastmm/testing/strategy_harness.hpp>

Public Types
using	EngineType = Engine< S, SimClock, SimTransport, InlineFeed >

Public Member Functions
	StrategyHarness (const ParamMap &params={}, const HarnessOptions &options={})
	Configures the strategy with params (std::invalid_argument on a bad value), then warms up and starts the engine (on_start runs here).
void	book (Price bid, Price ask, Qty size=Qty::from_int(1), InstrumentId id=InstrumentId{0})
	A one-level snapshot each side.
void	book (std::string_view bid, std::string_view ask, InstrumentId id=InstrumentId{0})
void	trade (Price px, Qty qty, Side aggressor, InstrumentId id=InstrumentId{0})
bool	fill (Side side, Qty qty=Qty{}, InstrumentId id=InstrumentId{0})
	Fills our best working order on side (quantity 0: its whole remainder) with a taker order at the venue, then advances by the ack latency so the fill reaches the strategy.
std::vector< Order >	working_orders (InstrumentId id=InstrumentId{0}) const
	Our working orders (Live or PartiallyFilled): bids best first, then asks best first.
void	disconnect (std::uint8_t channel=0, VenueId v=VenueId{0})
	Channel 0 is market data (the engine clears the venue's books), 1 is order entry.
void	reconnect (std::uint8_t channel=0, VenueId v=VenueId{0})
void	pull_quotes ()
void	resume_quotes ()
void	publish (const std::vector< ParamPublisher::ParamValue > &values)
	A ParamUpdate of values (names and values as in [strategy.params]) for all instruments, at the current time: the strategy's parameters change and on_params runs.
void	push (EventHeader &h)
	Any other message, delivered to the engine at the current time.
void	advance (Duration d)
	Moves virtual time forward by d, delivering orders to the venue, acks and fills to the engine and firing timers in time order.
Timestamp	now () const noexcept
EngineType &	engine () noexcept
S &	strategy () noexcept
SimTransport &	venue_transport () noexcept

Static Public Member Functions
static InstrumentId	instrument () noexcept
static Price	price (std::string_view s)
static Qty	quantity (std::string_view s)

Member Typedef Documentation

EngineType

template<class S >

using fastmm::sim::StrategyHarness< S >::EngineType = Engine<S, SimClock, SimTransport, InlineFeed>

Constructor & Destructor Documentation

StrategyHarness()

template<class S >

fastmm::sim::StrategyHarness< S >::StrategyHarness ( const ParamMap &  params = {}, const HarnessOptions &  options = {}  )

inlineexplicit

Configures the strategy with params (std::invalid_argument on a bad value), then warms up and starts the engine (on_start runs here).

Member Function Documentation

book() [1/2]

template<class S >

void fastmm::sim::StrategyHarness< S >::book ( Price  bid, Price  ask, Qty  size = Qty::from_int(1), InstrumentId  id = InstrumentId{0}  )

inline

A one-level snapshot each side.

book() [2/2]

template<class S >

void fastmm::sim::StrategyHarness< S >::book ( std::string_view  bid, std::string_view  ask, InstrumentId  id = InstrumentId{0}  )

inline

trade()

template<class S >

void fastmm::sim::StrategyHarness< S >::trade ( Price  px, Qty  qty, Side  aggressor, InstrumentId  id = InstrumentId{0}  )

inline

fill()

template<class S >

bool fastmm::sim::StrategyHarness< S >::fill ( Side  side, Qty  qty = Qty{}, InstrumentId  id = InstrumentId{0}  )

inline

Fills our best working order on side (quantity 0: its whole remainder) with a taker order at the venue, then advances by the ack latency so the fill reaches the strategy.

False when there is no working order on that side.

working_orders()

template<class S >

std::vector< Order > fastmm::sim::StrategyHarness< S >::working_orders ( InstrumentId  id = InstrumentId{0} ) const

inline

Our working orders (Live or PartiallyFilled): bids best first, then asks best first.

disconnect()

template<class S >

void fastmm::sim::StrategyHarness< S >::disconnect ( std::uint8_t  channel = 0, VenueId  v = VenueId{0}  )

inline

Channel 0 is market data (the engine clears the venue's books), 1 is order entry.

reconnect()

template<class S >

void fastmm::sim::StrategyHarness< S >::reconnect ( std::uint8_t  channel = 0, VenueId  v = VenueId{0}  )

inline

pull_quotes()

template<class S >

void fastmm::sim::StrategyHarness< S >::pull_quotes ( )

inline

resume_quotes()

template<class S >

void fastmm::sim::StrategyHarness< S >::resume_quotes ( )

inline

publish()

template<class S >

void fastmm::sim::StrategyHarness< S >::publish ( const std::vector< ParamPublisher::ParamValue > &  values )

inline

A ParamUpdate of values (names and values as in [strategy.params]) for all instruments, at the current time: the strategy's parameters change and on_params runs.

Validated against the strategy's current parameters; std::invalid_argument when a publisher would reject it.

push()

template<class S >

void fastmm::sim::StrategyHarness< S >::push ( EventHeader &  h )

inline

Any other message, delivered to the engine at the current time.

advance()

template<class S >

void fastmm::sim::StrategyHarness< S >::advance ( Duration  d )

inline

Moves virtual time forward by d, delivering orders to the venue, acks and fills to the engine and firing timers in time order.

< the wheel fires on its next tick

now()

template<class S >

Timestamp fastmm::sim::StrategyHarness< S >::now ( ) const

inlinenoexcept

engine()

template<class S >

EngineType & fastmm::sim::StrategyHarness< S >::engine ( )

inlinenoexcept

strategy()

template<class S >

S & fastmm::sim::StrategyHarness< S >::strategy ( )

inlinenoexcept

venue_transport()

template<class S >

SimTransport & fastmm::sim::StrategyHarness< S >::venue_transport ( )

inlinenoexcept

instrument()

template<class S >

static InstrumentId fastmm::sim::StrategyHarness< S >::instrument ( )

inlinestaticnoexcept

price()

template<class S >

static Price fastmm::sim::StrategyHarness< S >::price ( std::string_view  s )

inlinestatic

quantity()

template<class S >

static Qty fastmm::sim::StrategyHarness< S >::quantity ( std::string_view  s )

inlinestatic