fixed_point.hpp File Reference

Fixed<Tag>: int64 fixed point with a global 1e-8 scale (ADR-0001). More...

#include "fastmm/core/config_macros.hpp"
#include "fastmm/core/enums.hpp"
#include <compare>
#include <cstddef>
#include <cstdint>
#include <limits>
#include <optional>
#include <string_view>
#include <type_traits>

Go to the source code of this file.

Classes
struct	fastmm::Fixed< Tag >

Namespaces
namespace	fastmm
namespace	fastmm::literals
	Exact literals, parsed at compile time: 100.25_px, 0.01_qty (up to 8 decimals), 5_bps, 0.25_bps (up to 4 decimals). More decimals, or a value out of range, is a compile error. An inline namespace, so using namespace fastmm; brings them in too (like std::literals).

Typedefs
using	fastmm::Price = Fixed< struct PriceTag >
using	fastmm::Qty = Fixed< struct QtyTag >
using	fastmm::Notional = Fixed< struct NotionalTag >
using	fastmm::Ratio = Fixed< RatioTag >
	A dimensionless factor: 1.0 == 1e8 raw, 1 bp == 10'000 raw, so 0.0001 bp is the smallest step.

Functions
template<class T >
constexpr Fixed< T >	fastmm::operator* (Fixed< T > v, Ratio r) noexcept
	value * ratio in the value's domain, through Int128 with one truncation toward zero: mid * 5_bps, qty * ratio(filled, total).
template<class T >
constexpr Fixed< T >	fastmm::operator* (Ratio r, Fixed< T > v) noexcept
constexpr Ratio	fastmm::operator* (Ratio a, Ratio b) noexcept
template<class T >
constexpr Ratio	fastmm::ratio (Fixed< T > num, Fixed< T > den) noexcept
	num / den as a Ratio, truncated toward zero; zero when den is zero.
constexpr Notional	fastmm::mul (Price p, Qty q) noexcept
	price * qty with a 128-bit intermediate, truncated toward zero to 1e-8.
template<class A , class B >
constexpr std::int64_t	fastmm::mul_raw (Fixed< A > a, Fixed< B > b) noexcept
	Generic scaled multiply for fixed*fixed in one domain (e.g. qty * multiplier).
constexpr Price	fastmm::div (Notional n, Qty q) noexcept
	notional / qty -> price (used for average cost). Truncates toward zero.
template<class T >
constexpr Fixed< T >	fastmm::apply_bps (Fixed< T > v, std::int64_t bps) noexcept
	value * bps / 10000 in one domain.
constexpr std::int64_t	fastmm::floor_div (std::int64_t a, std::int64_t b) noexcept
	Floor division for possibly-negative numerators (prices are >= 0, but be safe).
constexpr Price	fastmm::round_to_tick (Price p, Price tick, Side side) noexcept
	Round to the tick grid in the passive direction: bids down, asks up. tick > 0.
constexpr Price	fastmm::round_to_tick_nearest (Price p, Price tick) noexcept
constexpr bool	fastmm::on_tick (Price p, Price tick) noexcept
constexpr Qty	fastmm::round_to_lot (Qty q, Qty lot) noexcept
	Quantities always round down (never send more than intended).
constexpr bool	fastmm::on_lot (Qty q, Qty lot) noexcept
template<class T >
constexpr Fixed< T >	fastmm::min (Fixed< T > a, Fixed< T > b) noexcept
template<class T >
constexpr Fixed< T >	fastmm::max (Fixed< T > a, Fixed< T > b) noexcept
template<class T >
constexpr std::optional< Fixed< T > >	fastmm::checked_add (Fixed< T > a, Fixed< T > b) noexcept
	Checked arithmetic: nullopt instead of a wrapped int64. The operators stay unchecked; these are for the places that combine a value from outside the engine with a configured one.
template<class T >
constexpr std::optional< Fixed< T > >	fastmm::checked_sub (Fixed< T > a, Fixed< T > b) noexcept
template<class T >
constexpr std::optional< Fixed< T > >	fastmm::checked_mul (Fixed< T > a, std::int64_t k) noexcept
constexpr Price	fastmm::literals::operator""_px (unsigned long long v) noexcept
	100_px == Price::from_int(100).
constexpr Qty	fastmm::literals::operator""_qty (unsigned long long v) noexcept
template<char... Cs>
constexpr Price	fastmm::literals::operator""_px () noexcept
template<char... Cs>
constexpr Qty	fastmm::literals::operator""_qty () noexcept
template<char... Cs>
constexpr Ratio	fastmm::literals::operator""_bps () noexcept

Variables
constexpr std::int64_t	fastmm::kFixedScale = 100'000'000
	1e-8
constexpr int	fastmm::kFixedDecimals = 8
constexpr std::size_t	fastmm::kMaxDecimalChars = 24
	sign + 11 integer digits + '.' + 8 fraction digits + NUL
constexpr std::int64_t	fastmm::kRatioPerBp = 10'000
	Ratio (below): 1.0 == kFixedScale raw, one basis point == kRatioPerBp raw.
constexpr int	fastmm::kBpsDecimals = 4

Detailed Description

Fixed<Tag>: int64 fixed point with a global 1e-8 scale (ADR-0001).

Price, Qty and Notional are distinct types: p * q does not compile, use mul(p, q) which widens to Int128. Exact decimal parsing/formatting (no double) is used for every venue string; from_double/to_double exist only for config and diagnostics. Range: +-92,233,720,368.54775807. Instruments outside this are rejected at load time.