metrics.hpp File Reference

Metrics (8.4) computed from the result rows: equity bars (1 s by default), fills and orders. More...

#include "fastmm/backtest/markout.hpp"
#include "fastmm/core/time.hpp"
#include <cstdint>
#include <vector>

Go to the source code of this file.

Classes
struct	fastmm::bt::PnlDecomposition
	How the net PnL of the run splits into the parts a market maker can act on: net == spread_capture + mid_drift - fees_paid + rebates_received + residual mid_drift is the move of the mid from each fill to the end of the run, valued at the signed quantity of the fill: adverse selection plus the mark-to-market of whatever is still open. More...
struct	fastmm::bt::FillQuality
	Diagnostics of how the fills were obtained, next to the markouts. More...
struct	fastmm::bt::Metrics
struct	fastmm::bt::MetricsInputs

Namespaces
namespace	fastmm
namespace	fastmm::bt

Functions
Metrics	fastmm::bt::compute_metrics (const EquityRows &equity, const FillRows &fills, const OrderRows &orders, const MetricsInputs &in)

Variables
constexpr double	fastmm::bt::kMinAnnualizedDurationS = 86400.0
	Shortest run whose Sharpe ratio is annualised: one day.

Detailed Description

Metrics (8.4) computed from the result rows: equity bars (1 s by default), fills and orders.

Every input is an exact integer (raw 1e-8 fixed point); the doubles here are reporting-only and never feed back into the simulation.