fastmm::EngineConfig Struct Reference

#include <fastmm/core/engine_config.hpp>

Public Attributes
std::uint64_t	session_id = 0
std::uint64_t	rng_seed = 1
std::uint16_t	session_epoch = 1
std::uint32_t	max_events_per_step = 64
Duration	crossed_grace = milliseconds(100)
Duration	latency_publish_interval = seconds(1)
Duration	reject_log_interval = seconds(10)
	Risk rejects are logged at WARN: the first of each reason, then at most one line per reason per interval with the number suppressed in between (0 logs every reject).
Duration	max_param_age {}
	[strategy] max_param_age_ms: quoting is disabled before the first ParamUpdate and while none was applied for this long (zero: off).
std::string	state_file
	[strategy] state_file / state_interval_s (strategies/hooks.hpp KeepsState): the engine takes the strategy's state() every state_interval and at the end for whoever runs it to write to state_file (Engine::take_strategy_state; empty: never), and hands initial_state to restore() once, after on_start (empty: nothing to restore).
Duration	state_interval = seconds(300)
std::string	initial_state
Duration	state_snapshot_interval {}
	[strategy] state_snapshot_interval_s: with a journal, the strategy's state() and the positions are written to it this often (StrategyStateMsg; zero: never).
Duration	ack_timeout {}
	[engine] ack_timeout_ms: an order still waiting for its ack this long is force-cancelled, so a lost request cannot hold a pool slot, a max_open_orders slot and max_position exposure for good (zero: off).
Duration	flatten_interval = milliseconds(500)
	Operator flatten (ControlCommand::Flatten, the control socket's flatten): how often the engine looks at the remaining position and sends the next reduce-only slice, how long it keeps trying (zero: until it is flat or the operator stops it) and the slippage allowance a flatten without --max-slippage-bps uses.
Duration	flatten_timeout = seconds(60)
std::int64_t	flatten_slippage_bps = 25
std::int64_t	queue_conservatism_bps = 10'000
	[engine] queue_conservatism (a backtest: [backtest] queue_conservatism), in bps of 1: how much of a level's shrink ahead of our order the queue estimate (StrategyContext::queue_ahead) credits to cancels ahead of it.
Notional	pnl_carry {}
	Net PnL carried over from earlier sessions ([risk] max_loss is a budget for the deployment, not per process); fastmm-live reads it from the durable kill state (core/session_state.hpp).
bool	quoting_enabled = true
std::uint32_t	await_reconcile = 0
	Bit v: venue v's positions are not current until its first reconciliation ends.
int	cpu = -1
SpinMode	spin_mode = SpinMode::Busy
RiskLimits	risk
QuoteParams	quotes
FxPlan	fx
	[accounting]: the settlement currencies and their FX sources (inactive: nothing converted).
FeeTable	fees
	Maker/taker rates per instrument (fee_table, config/config.hpp), what StrategyContext::fees reports.
UnderlyingPlan	underlying
	[risk.underlying]: the underlyings with a net position limit and their instruments (inactive: none).
BalanceConfig	balance
	[risk] check_balance and the initial margin rates ([[instruments]] initial_margin) the balance check and the estimate use (core/balance_book.hpp).
PerpConfig	perp
	[accounting] mark, stale_mark_ms, stale_funding_ms: what a derivative's position is valued at and when the venue's mark, index and funding are stale (core/perp_book.hpp).
PoolPlan	pools
	[venues.

Member Data Documentation

session_id

std::uint64_t fastmm::EngineConfig::session_id = 0

rng_seed

std::uint64_t fastmm::EngineConfig::rng_seed = 1

session_epoch

std::uint16_t fastmm::EngineConfig::session_epoch = 1

max_events_per_step

std::uint32_t fastmm::EngineConfig::max_events_per_step = 64

crossed_grace

Duration fastmm::EngineConfig::crossed_grace = milliseconds(100)

latency_publish_interval

Duration fastmm::EngineConfig::latency_publish_interval = seconds(1)

reject_log_interval

Duration fastmm::EngineConfig::reject_log_interval = seconds(10)

Risk rejects are logged at WARN: the first of each reason, then at most one line per reason per interval with the number suppressed in between (0 logs every reject).

max_param_age

Duration fastmm::EngineConfig::max_param_age {}

[strategy] max_param_age_ms: quoting is disabled before the first ParamUpdate and while none was applied for this long (zero: off).

state_file

std::string fastmm::EngineConfig::state_file

[strategy] state_file / state_interval_s (strategies/hooks.hpp KeepsState): the engine takes the strategy's state() every state_interval and at the end for whoever runs it to write to state_file (Engine::take_strategy_state; empty: never), and hands initial_state to restore() once, after on_start (empty: nothing to restore).

The loader reads the file, not the engine.

state_interval

Duration fastmm::EngineConfig::state_interval = seconds(300)

initial_state

std::string fastmm::EngineConfig::initial_state

state_snapshot_interval

Duration fastmm::EngineConfig::state_snapshot_interval {}

[strategy] state_snapshot_interval_s: with a journal, the strategy's state() and the positions are written to it this often (StrategyStateMsg; zero: never).

The bytes handed to restore() are written once at the start whenever there are some.

ack_timeout

Duration fastmm::EngineConfig::ack_timeout {}

[engine] ack_timeout_ms: an order still waiting for its ack this long is force-cancelled, so a lost request cannot hold a pool slot, a max_open_orders slot and max_position exposure for good (zero: off).

flatten_interval

Duration fastmm::EngineConfig::flatten_interval = milliseconds(500)

Operator flatten (ControlCommand::Flatten, the control socket's flatten): how often the engine looks at the remaining position and sends the next reduce-only slice, how long it keeps trying (zero: until it is flat or the operator stops it) and the slippage allowance a flatten without --max-slippage-bps uses.

flatten_timeout

Duration fastmm::EngineConfig::flatten_timeout = seconds(60)

flatten_slippage_bps

std::int64_t fastmm::EngineConfig::flatten_slippage_bps = 25

queue_conservatism_bps

std::int64_t fastmm::EngineConfig::queue_conservatism_bps = 10'000

[engine] queue_conservatism (a backtest: [backtest] queue_conservatism), in bps of 1: how much of a level's shrink ahead of our order the queue estimate (StrategyContext::queue_ahead) credits to cancels ahead of it.

10000: none.

pnl_carry

Notional fastmm::EngineConfig::pnl_carry {}

Net PnL carried over from earlier sessions ([risk] max_loss is a budget for the deployment, not per process); fastmm-live reads it from the durable kill state (core/session_state.hpp).

quoting_enabled

bool fastmm::EngineConfig::quoting_enabled = true

await_reconcile

std::uint32_t fastmm::EngineConfig::await_reconcile = 0

Bit v: venue v's positions are not current until its first reconciliation ends.

A live session sets it for the venues that replay executions at connect: until then the position is the store's plus whatever the replay has booked so far, and an order sized, hedged or risk-checked on it could double a hedge or pass a limit. No order is sent and quoting stays off until every such venue has reconciled (journal header await_reconcile, so a replay does the same).

cpu

int fastmm::EngineConfig::cpu = -1

spin_mode

SpinMode fastmm::EngineConfig::spin_mode = SpinMode::Busy

risk

RiskLimits fastmm::EngineConfig::risk

quotes

QuoteParams fastmm::EngineConfig::quotes

fx

FxPlan fastmm::EngineConfig::fx

[accounting]: the settlement currencies and their FX sources (inactive: nothing converted).

fees

FeeTable fastmm::EngineConfig::fees

Maker/taker rates per instrument (fee_table, config/config.hpp), what StrategyContext::fees reports.

The simulated venue charges fills with the same table; a live venue reports its own.

underlying

UnderlyingPlan fastmm::EngineConfig::underlying

[risk.underlying]: the underlyings with a net position limit and their instruments (inactive: none).

balance

BalanceConfig fastmm::EngineConfig::balance

[risk] check_balance and the initial margin rates ([[instruments]] initial_margin) the balance check and the estimate use (core/balance_book.hpp).

perp

PerpConfig fastmm::EngineConfig::perp

[accounting] mark, stale_mark_ms, stale_funding_ms: what a derivative's position is valued at and when the venue's mark, index and funding are stale (core/perp_book.hpp).

pools

PoolPlan fastmm::EngineConfig::pools

[venues.

<x>] pool_of: the accounts behind each venue (core/account_pool.hpp). A new order on an instrument whose venue has members goes to one of them (NewOrderRequest::account, else by balance and remaining order window), and the order keeps it.