extractor.hpp File Reference

extract_features(): drives an MdSource into the engine's own L2Book and emits a FeatureTable. More...

#include "fastmm/core/time.hpp"
#include "fastmm/research/feature_table.hpp"
#include "fastmm/sim/md_source.hpp"
#include <cstddef>
#include <cstdint>
#include <vector>

Go to the source code of this file.

Classes
struct	fastmm::research::FeatureConfig

Namespaces
namespace	fastmm
namespace	fastmm::research

Functions
std::vector< Duration >	fastmm::research::default_horizons ()
	kDefaultHorizonsNs as Durations.
FeatureTable	fastmm::research::extract_features (MdSource &source, const FeatureConfig &cfg={})
	Reads source from its current position to the end.

Detailed Description

extract_features(): drives an MdSource into the engine's own L2Book and emits a FeatureTable.

The book is the one the simulated venue keeps under FillModel::L2Queue (sim/sim_transport.cpp, queue_on_delta): BookDelta and BookSnapshot are applied, trades are not. So the mid of a row and its forward mids are the same numbers SimTransport::venue_mid() reports at those times, and a fill of a backtest over the same data can be joined to this table by timestamp.

One pass, no look-ahead. Forward mids are resolved by a rule that reads the book only at times the data has already reached:

on an event at time t, before applying it, resolve every pending row whose ts + h < t; at the end of the data, resolve every pending row whose ts + h <= the last event time.

So a row's value at horizon h is the book after every event at or before ts + h and no other - the same state run_until(ts + h) leaves the venue in. A row whose ts + h is past the last event stays unset and is counted in HorizonCoverage::excluded_past_end.