FastMM documentation
FastMM C++ API 0.6.0
Public headers, tier 1 and tier 2
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strategy.hpp
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1#pragma once
2// Everything a strategy header needs (ADR-0012):
3//
4// fixed point and literals Price, Qty, Notional, Ratio, 100.25_px, 0.01_qty, 5_bps
5// instruments and time Instrument, InstrumentId, Timestamp, Duration, milliseconds()
6// messages and books Level, TradeMsg, BookTickerMsg, ConnectionStateMsg, BookView
7// quotes and helpers DesiredQuotes, mid, microprice, inventory_allows, keep_passive, ...
8// orders NewOrderRequest, OmsUpdate, Order
9// parameters FASTMM_PARAMS, FASTMM_PARAM, FASTMM_PARAM_BPS, FASTMM_PARAM_MS
10// hooks Fill, verify_strategy, StrategyBase, StrategyLike
11// hedging HedgeExecutor
12// logging FASTMM_LOG_INFO, FASTMM_LOG_WARN, ...
13//
14// #include "fastmm/strategy.hpp"
15// using namespace fastmm::literals; // or `using namespace fastmm;`, which includes them
16#include "fastmm/core/book/book_view.hpp"
17#include "fastmm/core/enums.hpp"
18#include "fastmm/core/fixed_point.hpp"
19#include "fastmm/core/instrument.hpp"
20#include "fastmm/core/log.hpp"
21#include "fastmm/core/messages.hpp"
22#include "fastmm/core/oms.hpp"
23#include "fastmm/core/quote_manager.hpp"
24#include "fastmm/core/time.hpp"
25#include "fastmm/strategies/hedge_executor.hpp"
26#include "fastmm/strategies/hooks.hpp"
27#include "fastmm/strategies/params.hpp"
28#include "fastmm/strategies/quoting.hpp"
29#include "fastmm/strategies/strategy.hpp"
book_view.hpp
BookView: the read interface every book implementation (L2Book, L3Book::to_l2 view,...
enums.hpp
All engine enumerations.
fixed_point.hpp
Fixed<Tag>: int64 fixed point with a global 1e-8 scale (ADR-0001).
hedge_executor.hpp
HedgeExecutor: keeps a strategy's exposure hedged with taker orders (docs/how-to/strategies/ hedge-ex...
hooks.hpp
Strategy hooks (ADR-0012): the hook table, the compile-time checker and the Fill view.
instrument.hpp
Instrument: the single definition of a tradable contract (5.3 / 5.15).
log.hpp
Asynchronous logging (5.10).
messages.hpp
Event bus message structs (5.5).
oms.hpp
Order management (5.8): a Pool<Order> + OpenHashMap<ClientOrderId, Handle> + a ring of recently termi...
params.hpp
Strategy parameter schema (8.6, ADR-0012).
quote_manager.hpp
QuoteManager (5.6): diffs the strategy's DesiredQuotes against the orders resting at the venue and em...
quoting.hpp
Quoting helpers for strategies (ADR-0012): integer-only, noexcept, no allocation.
strategy.hpp
Strategy concept and the StrategyBase helper (8.6).
time.hpp
Time primitives.