File List

Here is a list of all files with brief descriptions:

[detail level 1234]

▼ fastmm
► backtest
array_source.hpp	ArraySource: zero-copy structure-of-arrays input, the numpy path of the Python bindings (8.5)
backtest_config.hpp	BacktestConfig: everything a run needs, assembled from the TOML sections [engine] [[instruments]] [strategy] [strategy.params] [risk] [venues
backtest_runner.hpp	BacktestRunner (8.4): wires Engine<S, SimClock, SimTransport, InlineFeed> to a SimDriver and collects a BacktestResult
csv_source.hpp	CsvSource: hand-rolled parser for the row format documented in data_source.hpp (ts_ns,type,inst,side,price,qty,seq, optional header line, '#' comments)
data_source.hpp	DataSource (8.4): a timestamp-ordered stream of normalized market-data events consumed by the simulator
fee_model.hpp	Fees are charged by the simulated venue, so the model lives in fastmm::sim; the backtest exposes it under its own namespace for configuration and reporting
journal_source.hpp	JournalSource: market-data events of an .fmj journal (BookDelta / BookSnapshot / Trade / BookTicker records, in sequence order)
live_analysis.hpp	What a live session's fills were worth, from its journal alone (fastmm-data analyze): per instrument and overall, the fills, maker share and traded notional, the spread they captured against the venue mid and their markouts and adverse selection at each horizon (markout.hpp), next to the order traffic
markout.hpp	Post-fill markouts: the metric that separates spread captured from adverse selection
metrics.hpp	Metrics (8.4) computed from the result rows: equity bars (1 s by default), fills and orders
replay.hpp	Deterministic replay (5.11): runs Engine<S, SimClock, ReplayTransport, JournalFeed> over a session journal recorded by fastmm-live, a sim or a backtest run (BacktestConfig::journal_out) and proves that the engine reproduces the recorded outbound stream bit for bit
result.hpp	BacktestResult (8.4): structure-of-arrays rows (numpy-friendly: each column is one contiguous vector) plus the summary Metrics and the raw counters of every component
sweep.hpp	Parameter sweep (8.4/8.5): cartesian grid over strategy parameters run on a std::jthread pool; every worker owns its own data cursor (source_factory) and backend, results come back in grid order (first parameter varies slowest)
synthetic_source.hpp	SyntheticSource: a MarketGenerator run against its own MatchingEngine, published through MdAggregator as a plain market-data stream (snapshot, 100 ms depth batches, trades, book tickers)
► cli
backtest.hpp	Fastmm::cli::backtest: the fastmm-backtest command line as a library function (fastmm::backtest)
live.hpp	Fastmm::cli::live: the fastmm-live command line as a library function (fastmm::live), so a strategy project's live app is a 3-line main:
replay.hpp	Fastmm::cli::replay: the fastmm-replay command line as a library function (fastmm::backtest)
► codecs
codec.hpp	Protocol codec concepts (plan 7)
► config
config.hpp	Typed configuration (8.7)
env_subst.hpp	${VAR} environment substitution for [venues
schema.hpp	Declarative config schema (8.7): every known key with its section, type and whether it is required
► core
► book
book_syncer.hpp	BookSyncer: venue-agnostic snapshot/delta synchronisation FSM (5.4), instantiated per instrument on the net thread
book_view.hpp	BookView: the read interface every book implementation (L2Book, L3Book::to_l2 view, sim book) exposes to strategies and risk
l2_book.hpp	L2Book<kMaxDepth>: price-aggregated book for crypto feeds (5.4)
► options
black76.hpp	Black-76 option pricing, greeks and implied volatility (options on a forward / futures price)
engine_config.hpp	EngineConfig: the per-session settings an Engine is constructed with
enums.hpp	All engine enumerations
fees.hpp	Fee rates per instrument, in centi-basis-points (integer) of the fill notional
fixed_point.hpp	Fixed<Tag>: int64 fixed point with a global 1e-8 scale (ADR-0001)
instrument.hpp	Instrument: the single definition of a tradable contract (5.3 / 5.15)
log.hpp	Asynchronous logging (5.10)
messages.hpp	Event bus message structs (5.5)
oms.hpp	Order management (5.8): a Pool<Order> + OpenHashMap<ClientOrderId, Handle> + a ring of recently terminal ids used to classify late venue messages
order.hpp	Order: the OMS's 128-byte record for one order across its lifetime
position.hpp	Position tracking, average-cost method (5.8)
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
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
record_stream.hpp	Record stream: the engine's second outbound queue, next to the journal
result.hpp	Minimal expected<T, E>: the hot path never throws, it returns Result
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)
rng.hpp	Xoshiro256** - the engine's only source of randomness; seeded from config and written to the journal header so replays are bit-exact
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)
strategy_context.hpp	StrategyContext: the API a strategy sees (ADR-0012, section 2)
strong_id.hpp	Strongly typed identifiers
time.hpp	Time primitives
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)
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)
► live
live_backend.hpp	LiveBackend: what RunnerDeps::backend points at for TransportKind::Live
session.hpp	Run_live(): wires venues, rings, the engine and the journal into the plan 5.1 thread model and runs a session (fastmm::live, src/live/session.cpp)
► net
backoff.hpp	Exponential backoff with jitter for reconnects: delay_n = cap_n * (1 - jitter) + U(0, cap_n * jitter) where cap_n = min(max_ms, base_ms * 2^n)
connection.hpp	Resilient WebSocket connection: DNS -> TCP -> TLS -> WS upgrade -> auth -> subscribe -> Live, with stale/dead detection, exponential backoff reconnects, and make-before-break rollover ahead of the venue's connection lifetime limit (Binance: 24 h)
crypto.hpp	Cryptographic primitives needed by the venue connectors: HMAC-SHA256 (REST/WS signing), HMAC-SHA384 (Gemini), SHA-1 (WebSocket accept key), SHA-256, base64 and base64url (own implementation), CSPRNG bytes, Ed25519 (Binance session logon / Ed25519 API keys) and ECDSA P-256 (ES256 JWTs of Coinbase CDP keys)
datagram_source.hpp	Datagram receive interface for multicast market data (ADR-0015, section 1)
dpdk_datagram_source.hpp	DPDK datagram source (rx_backend = "dpdk"): one ethdev port, one RX and one TX queue polled from the venue's network thread
http_client.hpp	Keep-alive HTTP/1.1 client over any ByteStream: one request in flight per connection plus a small FIFO, response bodies framed by Content-Length / chunked / connection-close, and a per-request reactor timer
kernel_datagram_source.hpp	kernel DatagramSource (ADR-0015, section 2): one UDP socket per subscription, bound to the group and port, SO_REUSEADDR, IP_MULTICAST_ALL off, joined any-source or source-specific (a unicast "group" is a local address: bound, not joined); recvmmsg in fixed batches; SO_TIMESTAMPING for kernel and NIC receive times
reactor.hpp	Single-threaded event loop with a timer min-heap and a thread-safe mailbox (post/wake via eventfd), over one of two backends chosen at construction:
udp_socket.hpp	Non-blocking IPv4 UDP socket with RAII fd ownership: multicast membership, batch receive (recvmmsg) and send (sendmmsg), SO_TIMESTAMPING and busy-poll options
url.hpp	Minimal URL parsing / query building for venue endpoints
ws_client.hpp	RFC 6455 WebSocket client over any ByteStream, driven by a Reactor
xdp_datagram_source.hpp	AF_XDP datagram source (ADR-0015, section 3): one XDP socket per (interface, RX queue), each with its own UMEM, fill and RX rings (the completion ring exists because bind requires it)
► research
extractor.hpp	Extract_features(): drives an MdSource into the engine's own L2Book and emits a FeatureTable
feature_table.hpp	FeatureTable: book features and forward mid moves, one row per qualifying market-data event, so a predictor can be judged before anyone writes a strategy around it
signal_eval.hpp	Evaluate_signal(): what a candidate predictor is worth, per horizon, before anyone writes a strategy around it
► sim
param_schedule.hpp	ParamSchedule: parameter updates of a backtest, delivered to the engine at simulated times (ADR-0013)
► store
backend.hpp	Storage backend interface: what a session's fills, orders, positions, PnL and kill events are handed to, so they can be queried without replaying the journal
reader.hpp	Query side of a storage backend: what fastmm-pnl and a restarting session read back
registry.hpp	Storage backend registry: name -> factories
sqlite_store.hpp	The SQLite storage backend ([storage] backend = "sqlite"), the one FastMM ships
store_thread.hpp	StoreThread: drains the engine's record ring into a Backend, on its own thread
► strategies
factories.hpp	Every factory definition (Sim, Replay, Live)
factory_live.hpp	Definition of fastmm::live_factory<S> (declared in strategies/module.hpp): builds Engine<S, TscClock, LiveTransport, RingFeed> on the live::LiveBackend that RunnerDeps::backend points at
factory_replay.hpp	Definition of fastmm::replay_factory<S> (declared in strategies/module.hpp): builds Engine<S, SimClock, ReplayTransport, JournalFeed> on the sim::ReplayBackend that RunnerDeps::backend points at
factory_sim.hpp	Definition of fastmm::sim_factory<S> (declared in strategies/module.hpp): builds Engine<S, SimClock, SimTransport, InlineFeed> on the sim::SimBackend that RunnerDeps::backend points at
hedge_executor.hpp	HedgeExecutor: keeps a strategy's exposure hedged with taker orders (docs/how-to/strategies/ hedge-executor.md)
hooks.hpp	Strategy hooks (ADR-0012): the hook table, the compile-time checker and the Fill view
module.hpp	Strategy modules (ADR-0012, section 5): one registration function per strategy library
param_publisher.hpp	ParamPublisher: builds ParamUpdate messages for a running engine, off the engine thread (ADR-0013)
params.hpp	Strategy parameter schema (8.6, ADR-0012)
quoting.hpp	Quoting helpers for strategies (ADR-0012): integer-only, noexcept, no allocation
registry.hpp	Strategy registry (8.6, ADR-0012): name -> parameter schema + one factory per transport kind, each producing an IEngineRunner
strategy.hpp	Strategy concept and the StrategyBase helper (8.6)
► testing
strategy_harness.hpp	StrategyHarness<S>: test a strategy's hooks against the real engine (ADR-0012, section 8)
► venues
blocking_http.hpp	BlockingHttp: one synchronous HTTPS request on a private Reactor + HttpClient
connection_slot.hpp	ConnectionSlot<Handler>: owns either a plain-TCP or a TLS net::Connection depending on the URL scheme (ws:// for the local simulator, wss:// for the testnets) and forwards the control operations
dead_mans_switch.hpp	Venue-side dead man's switch: the venue cancels the account's resting orders when the connector stops talking to it, whatever the reason
decimal.hpp	Exact decimal helpers for venue payloads (6.2)
error_action.hpp	Venue error classification shared by every connector's error map: the engine-facing RejectReason plus what the connector itself must do (cool down, resync the clock, reconcile, stop)
event_sink.hpp	EventSink (5.15): the net -> engine seam
feed.hpp	Hot-path connector concepts (6.2)
json_writer.hpp	JsonWriter: append-only JSON builder over a caller-provided fixed buffer (no heap)
order_commands.hpp	OrderCommand: a uniform, non-owning view over the three outbound engine messages (OutNewOrderMsg / OutCancelMsg / OutReplaceMsg) so encoders switch on one enum instead of three message types
order_events.hpp	Helpers that build the normalised order/connection events a connector emits from its control logic (WebSocket API responses, REST replies, local rejects)
padded_json.hpp	PaddedJson: owns a copy of a JSON text with kJsonPadding zero bytes behind it so the decoders (which assume RecvBuffer-style padding) can be driven from fixtures, tests and benchmarks
rate_limiter.hpp	RateLimiter (6.4/6.5): client-side accounting of venue rate limits so we refuse to send before the venue does
raw_recorder.hpp	RawRecorder: appends every raw WebSocket frame to <dir>/<venue>-<channel>.jsonl (one frame per line, prefixed with the receive timestamp; binary frames as hex) so fixtures can be captured from a live session (fastmm-live --record-raw DIR, plan 8.8)
registry.hpp	Venue registry: [venues
request_id.hpp	Request ids shared by the JSON order-entry encoders: "\<kind\>\<cl_ord_id\>" with kind n/c/r/a (1 + 14 chars), so a WebSocket API response maps back to the command with no lookup table
rest_channel.hpp	RestChannel: reactor-driven keep-alive HTTP(S) client with lazy (re)connection, for the venue control requests that run on the net thread (depth snapshots, openOrders, listenKey keepalive, order-entry REST fallback)
symbology.hpp	SymbolTable (6.2): venue symbol <-> InstrumentId
venue.hpp	Venue: the control-path interface every exchange connector implements (6.2)
wire_latency.hpp	Network-thread order latency: what happens to an outbound order after the engine pushed it into the venue's outbound ring
strategy.hpp	Everything a strategy header needs (ADR-0012):