live_analysis.hpp File Reference

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. More...

#include "fastmm/backtest/markout.hpp"
#include <cstdint>
#include <span>
#include <string>
#include <vector>

Go to the source code of this file.

Classes
struct	fastmm::bt::LiveAnalysisInstrument
struct	fastmm::bt::LiveAnalysis

Namespaces
namespace	fastmm
namespace	fastmm::bt

Functions
LiveAnalysis	fastmm::bt::analyze_live (const std::string &path, std::span< const std::int64_t > horizons_ns)
	Throws std::runtime_error when the journal cannot be read.
std::string	fastmm::bt::format_live_analysis (const LiveAnalysis &a)
std::string	fastmm::bt::live_analysis_json (const LiveAnalysis &a)

Detailed Description

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.

The mid is the recorded BookTicker stream's (mid_series.hpp); a session that recorded none has no markouts, only the counts.