risk_limits.hpp File Reference

RiskLimits: the pre-trade limits a session runs with ([risk] in the configuration), and RiskHeadroom, what they still admit (RiskEngine::headroom, StrategyContext::risk_headroom). More...

#include "fastmm/core/fixed_point.hpp"
#include "fastmm/core/time.hpp"
#include <cstdint>
#include <limits>
#include <type_traits>

Go to the source code of this file.

Classes
struct	fastmm::RiskLimits
struct	fastmm::RiskHeadroom
	How much more each limit admits for one instrument now: the largest order (or number of orders) that passes that limit's check at this instant, the others aside. More...

Namespaces
namespace	fastmm

Detailed Description

RiskLimits: the pre-trade limits a session runs with ([risk] in the configuration), and RiskHeadroom, what they still admit (RiskEngine::headroom, StrategyContext::risk_headroom).

Separate from risk.hpp so a message can carry them (core/messages.hpp: ControlLimitsMsg, the operator's limits command) without pulling in the whole risk engine.