quoting.hpp File Reference

Quoting helpers for strategies (ADR-0012): integer-only, noexcept, no allocation. More...

#include "fastmm/core/config_macros.hpp"
#include "fastmm/core/enums.hpp"
#include "fastmm/core/fixed_point.hpp"
#include "fastmm/core/instrument.hpp"
#include "fastmm/core/messages.hpp"
#include "fastmm/core/quote_manager.hpp"
#include <cstdint>

Go to the source code of this file.

Namespaces
namespace	fastmm

Functions
constexpr Price	fastmm::mid (Price bid, Price ask) noexcept
constexpr Price	fastmm::microprice (Level bid, Level ask) noexcept
	Size-weighted microprice of the touch, truncated toward zero.
constexpr Ratio	fastmm::spread_ratio (Price bid, Price ask) noexcept
	(ask - bid) / mid; zero when the mid is not positive. 1 bp == Ratio raw 10'000.
constexpr Price	fastmm::away_from (Price ref, Side side, Price dist) noexcept
	A price dist away from ref on the passive side: Buy -> ref - dist, Sell -> ref + dist.
constexpr bool	fastmm::inventory_allows (Side side, Qty position, Qty qty, Qty limit) noexcept
	Whether a fill of qty on side keeps the position within +-limit: Buy needs position + qty <= limit, Sell needs position - qty >= -limit.
void	fastmm::keep_passive (DesiredQuotes &q, Price best_bid, Price best_ask, Price tick) noexcept
	Post-only quotes must not cross the market.
void	fastmm::fit_side (StaticVector< Level, kMaxQuoteLevels > &levels, Qty room, const Instrument &inst) noexcept
	Cuts one side of a ladder to room in total, keeping the levels closest to the mid: each level is rounded down to the lot, and one left under the lot, the instrument's min_qty or its min_notional ends the side (the venue would refuse it).
template<class Ctx >
void	fastmm::fit_to_reported (Ctx &ctx, InstrumentId id, const Instrument &inst, DesiredQuotes &q) noexcept
	Cuts both sides of a ladder to what the account's balance on the instrument's venue covers (StrategyContext::balance_room, priced at the side's dearest level).
template<class Ctx >
FASTMM_FORCE_INLINE void	fastmm::fit_to_balance (Ctx &ctx, InstrumentId id, const Instrument &inst, DesiredQuotes &q) noexcept

Detailed Description

Quoting helpers for strategies (ADR-0012): integer-only, noexcept, no allocation.

mid(bid, ask) (bid + ask) / 2, truncated like the books' mid() microprice(bid_level, ask_level) size-weighted mid of the touch spread_ratio(bid, ask) (ask - bid) / mid as a Ratio away_from(ref, side, dist) a bid dist below ref, an ask dist above inventory_allows(side, pos, qty, lim) may this side add qty without passing the limit keep_passive(q, best_bid, best_ask, tick) shift a ladder so level 0 is one tick inside the touch fit_side(levels, room, inst) cut a side to a total quantity fit_to_balance(ctx, id, inst, q) cut both sides to what the account's balance covers

Together with Instrument::ticks(n), DesiredQuotes::bid/ask/uncross and the Ratio operators and literals in core/fixed_point.hpp.