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| | engine_config.hpp |
| | EngineConfig: the per-session settings an Engine is constructed with.
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| |
| | enums.hpp |
| | All engine enumerations.
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| |
| | fees.hpp |
| | Fee rates per instrument, in centi-basis-points (integer) of the fill notional.
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| |
| | fixed_point.hpp |
| | Fixed<Tag>: int64 fixed point with a global 1e-8 scale (ADR-0001).
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| |
| | instrument.hpp |
| | Instrument: the single definition of a tradable contract (5.3 / 5.15).
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| |
| | log.hpp |
| | Asynchronous logging (5.10).
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| |
| | messages.hpp |
| | Event bus message structs (5.5).
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| |
| | oms.hpp |
| | Order management (5.8): a Pool<Order> + OpenHashMap<ClientOrderId, Handle> + a ring of recently terminal ids used to classify late venue messages.
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| |
| | order.hpp |
| | Order: the OMS's 128-byte record for one order across its lifetime.
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| |
| | position.hpp |
| | Position tracking, average-cost method (5.8).
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| |
| | quote_diag.hpp |
| | Why a side of an instrument is or is not quoting (ctx.note_quote, the status file's quote table): what the strategy last asked for on the side against the orders working there, the first thing the engine finds in the way, and the strategy's own reason and budget for the side.
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| |
| | quote_manager.hpp |
| | QuoteManager (5.6): diffs the strategy's DesiredQuotes against the orders resting at the venue and emits the minimal set of New / Cancel / Replace actions.
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| |
| | record_stream.hpp |
| | Record stream: the engine's second outbound queue, next to the journal.
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| |
| | result.hpp |
| | Minimal expected<T, E>: the hot path never throws, it returns Result.
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| |
| | risk_limits.hpp |
| | RiskLimits: the pre-trade limits a session runs with ([risk] in the configuration), and RiskHeadroom, what they still admit (RiskEngine::headroom, StrategyContext::risk_headroom).
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| |
| | rng.hpp |
| | xoshiro256** - the engine's only source of randomness; seeded from config and written to the journal header so replays are bit-exact.
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| |
| | session_state.hpp |
| | State that survives a process restart: the session epoch (client order ids) and the latched risk state (kill switch and cumulative PnL).
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| |
| | strategy_context.hpp |
| | StrategyContext: the API a strategy sees (ADR-0012, section 2).
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| |
| | strong_id.hpp |
| | Strongly typed identifiers.
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| |
| | time.hpp |
| | Time primitives.
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| |
| | transfer.hpp |
| | An internal transfer: an amount of one asset moved between two accounts of the same exchange (the accounts of a pool, core/account_pool.hpp), as a connector that can do it carries it out (venues::Venue::transfer, VenueCaps::internal_transfer) and the pool treasury asks for it (core/treasury.hpp).
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| |
| | venue_health.hpp |
| | VenueHealth: per venue, how late its market data arrives and how long our orders take to be acknowledged, from the events the engine consumes (engine thread only).
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| |
1.9.8