Strategy parameter schema (8.6, ADR-0012). More...

#include "fastmm/core/containers/static_vector.hpp"
#include "fastmm/core/fixed_point.hpp"
#include "fastmm/core/time.hpp"
#include <bit>
#include <charconv>
#include <cmath>
#include <cstddef>
#include <cstdint>
#include <limits>
#include <map>
#include <optional>
#include <stdexcept>
#include <string>
#include <string_view>
#include <type_traits>
#include <utility>

Classes
struct	fastmm::ParamDesc

class	fastmm::ParamSchema

Namespaces
namespace	fastmm

Macros
#define	FASTMM_PARAMS(Self)

#define	FASTMM_PARAM_IMPL(unit, type, name, def, lo, hi, doc)
	Implementation of the FASTMM_PARAM* macros: the field, then a zero-size registrar whose constructor adds the schema entry while collect_schema() runs.

#define	FASTMM_PARAM(type, name, def, lo, hi, doc) FASTMM_PARAM_IMPL(::fastmm::detail::PlainUnit, type, name, def, lo, hi, doc)
	FASTMM_PARAM(type, name, default, min, max, doc): bool, integer, floating point, Price, Qty or Notional field.

#define	FASTMM_PARAM_BPS(name, def, lo, hi, doc) FASTMM_PARAM_IMPL(::fastmm::detail::BpsUnit, ::fastmm::Ratio, name, def, lo, hi, doc)
	FASTMM_PARAM_BPS(name, default, min, max, doc): Ratio field configured in basis points (5_bps, 0.25_bps; up to 4 decimals).

#define	FASTMM_PARAM_MS(name, def, lo, hi, doc) FASTMM_PARAM_IMPL(::fastmm::detail::MsUnit, ::fastmm::Duration, name, def, lo, hi, doc)
	FASTMM_PARAM_MS(name, default, min, max, doc): Duration field configured in whole milliseconds (bounds as Durations: milliseconds(2000)).

Typedefs
using	fastmm::ParamMap = std::map< std::string, std::string >

Enumerations
enum class	fastmm::ParamType : std::uint8_t { fastmm::Int = 0 , fastmm::Double = 1 , fastmm::Bool = 2 , fastmm::Decimal = 3 , fastmm::Bps = 4 , fastmm::Millis = 5 }

Functions
constexpr std::string_view	fastmm::to_string (ParamType t) noexcept

Variables
constexpr std::size_t	fastmm::kMaxParams = 128

Detailed Description

Strategy parameter schema (8.6, ADR-0012).

struct MyParams { FASTMM_PARAMS(MyParams) FASTMM_PARAM(double, gamma, 0.1, 0.0, 10.0, "risk aversion") FASTMM_PARAM(int, levels, 1, 1, 8, "quote levels per side") FASTMM_PARAM(bool, hedge, false, false, true, "hedge fills") FASTMM_PARAM(Qty, quote_qty, 0.01_qty, 0_qty, 1000_qty, "quantity per level, base units") FASTMM_PARAM_BPS(half_spread_bps, 5_bps, 0_bps, 1000_bps, "half spread around mid") FASTMM_PARAM_MS(stale_ms, milliseconds(2000), milliseconds(0), milliseconds(60000), "...")

// Optional cross-field check, run by StrategyBase::configure() after every key is applied. std::optional<std::string> validate() const { if (quote_qty > max_inventory) return "quote_qty must not exceed max_inventory"; return std::nullopt; } };

FASTMM_PARAM declares the field and a schema entry (name, type, default, range, doc, parser and formatter). Field types: bool, integers, floating point (schema types int, double, bool) and Price, Qty, Notional (schema type decimal, parsed exactly). FASTMM_PARAM_BPS declares a Ratio configured in basis points (type bps, up to 4 decimals) and FASTMM_PARAM_MS a Duration configured in whole milliseconds (type ms). Exact values accept exponent notation ("2e-05"), because TOML floats reach the parser formatted by fmt and Python floats by repr; a value is rejected only if more decimals remain after applying the exponent than the type holds. Range checks compare typed values; def, min and max in ParamDesc are doubles for display and Python only.

The schema is collected once by default-constructing the struct with a thread-local collector active, so registration is deterministic and needs no static initialisers. apply() maps string values (from TOML / CLI / Python) onto the fields. All of this is startup-only code (std::string and std::map are fine).

Macro Definition Documentation

◆ FASTMM_PARAMS

#define FASTMM_PARAMS ( Self )

Value:

  using FastmmParamsSelf = Self;                                                     \
  static const ::fastmm::ParamSchema& schema() {                                     \
    static const ::fastmm::ParamSchema s = ::fastmm::detail::collect_schema<Self>(); \
    return s;                                                                        \
  }                                                                                  \
  std::optional<std::string> apply(const ::fastmm::ParamMap& m) {                    \
    return ::fastmm::detail::apply_params(schema(), this, m);                        \
  }                                                                                  \
  [[nodiscard]] std::string describe() const {                                       \
    return ::fastmm::detail::describe_params(schema(), this);                        \
  }

◆ FASTMM_PARAM_IMPL

#define FASTMM_PARAM_IMPL	(	unit,
		type,
		name,
		def,
		lo,
		hi,
		doc
	)

Value:

  type name = def;                                                                                \
  struct FastmmReg_##name {                                                                       \
    FastmmReg_##name() noexcept {                                                                 \
      using FastmmCodec = ::fastmm::detail::ParamCodec<type, unit>;                               \
      ::fastmm::detail::register_param(::fastmm::ParamDesc{                                       \
          #name,                                                                                  \
          FastmmCodec::kType,                                                                     \
          FastmmCodec::display(::fastmm::detail::param_cast<type>(def)),                          \
          FastmmCodec::display(::fastmm::detail::param_cast<type>(lo)),                           \
          FastmmCodec::display(::fastmm::detail::param_cast<type>(hi)),                           \
          doc,                                                                                    \
          +[](void* fastmm_obj, std::string_view fastmm_value) {                                  \
            return ::fastmm::detail::assign_param<FastmmCodec, type>(                             \
                static_cast<FastmmParamsSelf*>(fastmm_obj)->name,                                 \
                fastmm_value,                                                                     \
                ::fastmm::detail::param_cast<type>(lo),                                           \
                ::fastmm::detail::param_cast<type>(hi));                                          \
          },                                                                                      \
          +[](const void* fastmm_obj) {                                                           \
            return FastmmCodec::format(static_cast<const FastmmParamsSelf*>(fastmm_obj)->name);   \
          },                                                                                      \
          +[](const void* fastmm_obj) noexcept -> std::int64_t {                                  \
            return FastmmCodec::to_raw(static_cast<const FastmmParamsSelf*>(fastmm_obj)->name);   \
          },                                                                                      \
          +[](void* fastmm_obj, std::int64_t fastmm_raw) noexcept {                               \
            static_cast<FastmmParamsSelf*>(fastmm_obj)->name = FastmmCodec::from_raw(fastmm_raw); \
          }});                                                                                    \
    }                                                                                             \
  };                                                                                              \
  [[no_unique_address]] FastmmReg_##name fastmm_reg_##name{};

Implementation of the FASTMM_PARAM* macros: the field, then a zero-size registrar whose constructor adds the schema entry while collect_schema() runs.

◆ FASTMM_PARAM

#define FASTMM_PARAM	(	type,
		name,
		def,
		lo,
		hi,
		doc
	)	FASTMM_PARAM_IMPL(::fastmm::detail::PlainUnit, type, name, def, lo, hi, doc)

FASTMM_PARAM(type, name, default, min, max, doc): bool, integer, floating point, Price, Qty or Notional field.

◆ FASTMM_PARAM_BPS

#define FASTMM_PARAM_BPS	(	name,
		def,
		lo,
		hi,
		doc
	)	FASTMM_PARAM_IMPL(::fastmm::detail::BpsUnit, ::fastmm::Ratio, name, def, lo, hi, doc)

FASTMM_PARAM_BPS(name, default, min, max, doc): Ratio field configured in basis points (5_bps, 0.25_bps; up to 4 decimals).

◆ FASTMM_PARAM_MS

#define FASTMM_PARAM_MS	(	name,
		def,
		lo,
		hi,
		doc
	)	FASTMM_PARAM_IMPL(::fastmm::detail::MsUnit, ::fastmm::Duration, name, def, lo, hi, doc)

FASTMM_PARAM_MS(name, default, min, max, doc): Duration field configured in whole milliseconds (bounds as Durations: milliseconds(2000)).

Classes

Namespaces

Macros

Typedefs

Enumerations

Functions