quote_diag.hpp File Reference

Why a side of an instrument is or is not quoting (ctx.note_quote, the status file's quote table): what the strategy last asked for on the side against the orders working there, the first thing the engine finds in the way, and the strategy's own reason and budget for the side. More...

#include "fastmm/core/enums.hpp"
#include <cstddef>
#include <cstdint>
#include <string_view>

Go to the source code of this file.

Classes
struct	fastmm::QuoteNote
	What the strategy says about a side (ctx.note_quote): a short reason ("inventory_cap", "model_off", "cooldown"; empty: none) and the budget it gave the side, in the settlement currency (raw 1e-8; 0: none given). More...
struct	fastmm::LiveQuoteSide
	One side of an instrument as the engine publishes it (EngineLiveStats::quotes). More...
struct	fastmm::LiveQuoteInstrument
struct	fastmm::LiveMetric
	A number the strategy publishes by name (ctx.metric): a budget split, a model state. More...

Namespaces
namespace	fastmm

Enumerations
enum class	fastmm::QuoteBlock : std::uint8_t {   fastmm::Quoting = 0 , fastmm::NotWanted = 1 , fastmm::QuotingOff = 2 , fastmm::Pulled = 3 ,   fastmm::VenueKilled = 4 , fastmm::FeedLag = 5 , fastmm::Backoff = 6 , fastmm::Starved = 7 ,   fastmm::Refused = 8 , fastmm::Pending = 9 }
	The first obstacle between what the strategy asked for on a side and orders working there. More...

Functions
constexpr std::string_view	fastmm::to_string (QuoteBlock b) noexcept

Variables
constexpr std::size_t	fastmm::kQuoteNoteLen = 24
	QuoteNote::reason, NUL-terminated.
constexpr std::size_t	fastmm::kMaxStrategyMetrics = 32
constexpr std::size_t	fastmm::kStrategyMetricNameLen = 24
constexpr std::size_t	fastmm::kQuoteDiagAccounts = 8
	a pool's accounts (EngineConfig::pools)

Detailed Description

Why a side of an instrument is or is not quoting (ctx.note_quote, the status file's quote table): what the strategy last asked for on the side against the orders working there, the first thing the engine finds in the way, and the strategy's own reason and budget for the side.

The engine knows its own obstacles (quoting off, a pull, a kill, the feed-lag gate, a reject backoff, a wait for an order token, a refusal); why a model chose not to quote, or quoted less than its budget, only the strategy can say.