messages.hpp File Reference

Event bus message structs (5.5). More...

#include "fastmm/core/config_macros.hpp"
#include "fastmm/core/enums.hpp"
#include "fastmm/core/fixed_point.hpp"
#include "fastmm/core/fixed_string.hpp"
#include "fastmm/core/risk_limits.hpp"
#include "fastmm/core/strong_id.hpp"
#include "fastmm/core/time.hpp"
#include <cstddef>
#include <cstdint>
#include <span>
#include <string_view>
#include <type_traits>

Go to the source code of this file.

Classes
struct	fastmm::Level
	One price level. Shared by book messages and the L2 book. More...
struct	fastmm::EventHeader
struct	fastmm::BookDeltaMsg
	Bids then asks follow the fixed part as a flexible array of Level (bid_count + ask_count). More...
struct	fastmm::TradeMsg
struct	fastmm::BookTickerMsg
struct	fastmm::OptionTickerMsg
	Options ticker (EventType::OptionTicker): the venue's mark, implied volatilities and greeks for one option instrument. More...
struct	fastmm::OrderAckMsg
struct	fastmm::OrderRejectMsg
struct	fastmm::OrderCancelAckMsg
struct	fastmm::OrderCancelRejectMsg
struct	fastmm::OrderFillMsg
struct	fastmm::OrderExpiredMsg
struct	fastmm::PositionUpdateMsg
struct	fastmm::FundingMsg
	A perpetual funding payment the venue booked on the account's position in hdr.instrument (EventType::Funding). More...
struct	fastmm::BalanceMsg
	The account's holding of one asset on one venue (EventType::Balance), as the venue reports it at its time hdr.exch_ts. More...
struct	fastmm::PerpStateMsg
	The venue's reference prices and funding of one derivative (EventType::PerpState), from its public market data. More...
struct	fastmm::TimerMsg
struct	fastmm::ControlMsg
struct	fastmm::ControlLimitsMsg
	ControlCommand::SetLimits: a ControlMsg with the new limits after it. More...
struct	fastmm::ControlUnderlyingMsg
	ControlCommand::SetUnderlyingLimit: a ControlMsg whose arg is the new max_net (raw Qty, base units; 0 lifts the limit) of the underlying at index underlying of the session's plan (core/underlying.hpp), named in name for the log and a journal reader. More...
struct	fastmm::ControlTransferMsg
	ControlCommand::Transfer: one step of a pool treasury's transfer (core/treasury.hpp), on the treasury's ring into the engine, which journals it. More...
struct	fastmm::ConnectionStateMsg
struct	fastmm::ReconcileMsg
	Control thread injects the venue's view after a reconnect (5.8). More...
struct	fastmm::LatencySampleMsg
struct	fastmm::StrategyStateMsg
	Journal only: what a replay or a backtest over the journal can start from. More...
struct	fastmm::StatePosition
	One instrument's position in a StrategyStateMsg's kPositionsPart: on the account (venue) whose Reconcile Position would set it. More...
struct	fastmm::EngineTimeMsg
	Journal only (format v2): the engine clock as an absolute value. More...
struct	fastmm::ParamUpdateMsg
	New strategy parameter values (ADR-0013): up to kMaxFields (field index, raw value) pairs, built and validated off the engine thread (strategies/param_publisher.hpp). More...
struct	fastmm::OutNewOrderMsg
struct	fastmm::OutCancelMsg
struct	fastmm::OutReplaceMsg
struct	fastmm::OrderAddL3Msg
struct	fastmm::OrderExecL3Msg
struct	fastmm::OrderCancelL3Msg
struct	fastmm::OrderReplaceL3Msg

Namespaces
namespace	fastmm

Concepts
concept	fastmm::MessageLike
	Every message: trivially copyable with the EventHeader first.
concept	fastmm::FixedSizeMessage

Typedefs
using	fastmm::BookSnapshotMsg = BookDeltaMsg
	same layout; hdr.type == BookSnapshot, kSnapshot set

Functions
template<class M >
constexpr void	fastmm::init_header (M &m, EventType type, InstrumentId inst={}, VenueId venue={}, std::uint32_t len=static_cast< std::uint32_t >(sizeof(M))) noexcept
	For fixed-size messages len defaults to sizeof(M); BookDeltaMsg passes size_for().
constexpr std::uint8_t	fastmm::truncation_flags (bool bids, bool asks) noexcept
	The header flags of a delta whose bids and/or asks kept only the levels nearest the touch.
template<MessageLike M>
FASTMM_FORCE_INLINE const M &	fastmm::msg_cast (const EventHeader *h) noexcept

Variables
constexpr std::uint8_t	fastmm::kMessageVersion = 1
constexpr std::string_view	fastmm::kFundingIdPrefix = "funding:"
	A funding id in the list of venue ids a restarted session's store already holds (store::Recovery::VenueResume::known_exec_ids, next to the trade ids): the prefix keeps the two id spaces apart.
constexpr std::uint64_t	fastmm::kTripKillPlannedStop = 1
	ControlCommand::TripKill's arg for a stop that was asked for (fastmm-live's --duration, a signal, fastmm-ctl stop): the engine pulls its quotes and cancels as for any trip, and logs it as a stop.
constexpr std::uint32_t	fastmm::kMaxBookLevelsPerMsg = 1024
	Largest fixed-size message; BookDelta is bounded separately by kMaxBookLevelsPerMsg.
constexpr std::uint32_t	fastmm::kMaxMsgBytes

Detailed Description

Event bus message structs (5.5).

Every message:

• starts with a 64-byte EventHeader whose first 4 bytes are the total length and 5th byte the EventType (MsgRing protocol),
• is trivially copyable with sizeof a multiple of 64 (explicit padding),
• carries a version so journals remain readable across layout changes.

Messages are constructed in place inside a ring/journal buffer; use init_header().