fastmm::HedgeExecutor::Config Struct Reference

#include <fastmm/strategies/hedge_executor.hpp>

Public Attributes
std::string_view	name = "hedge"
	log prefix
std::uint32_t	tag = 0
	user_tag of hedge orders
std::uint32_t	derisk_tag = 0
	user_tag of de-risk orders
Duration	retry = milliseconds(200)
	after a hedge that filled nothing
int	max_failures = 5
	within failure_window: bench, or halt on the last one
Duration	failure_window = milliseconds(60000)
Duration	uncertain_hold = milliseconds(5000)
Duration	stale {}
	a hedge book older than this is unusable; 0: never
Duration	bench = milliseconds(60000)
	how long a failing instrument sits out
Duration	derisk_after {}
	0: never de-risk
Qty	derisk_step {}
	base units per de-risk order; 0: the whole residual
Duration	derisk_interval = milliseconds(1000)
Ratio	derisk_tolerance {}

Member Data Documentation

name

std::string_view fastmm::HedgeExecutor::Config::name = "hedge"

log prefix

tag

std::uint32_t fastmm::HedgeExecutor::Config::tag = 0

user_tag of hedge orders

derisk_tag

std::uint32_t fastmm::HedgeExecutor::Config::derisk_tag = 0

user_tag of de-risk orders

retry

Duration fastmm::HedgeExecutor::Config::retry = milliseconds(200)

after a hedge that filled nothing

max_failures

int fastmm::HedgeExecutor::Config::max_failures = 5

within failure_window: bench, or halt on the last one

failure_window

Duration fastmm::HedgeExecutor::Config::failure_window = milliseconds(60000)

uncertain_hold

Duration fastmm::HedgeExecutor::Config::uncertain_hold = milliseconds(5000)

stale

Duration fastmm::HedgeExecutor::Config::stale {}

a hedge book older than this is unusable; 0: never

bench

Duration fastmm::HedgeExecutor::Config::bench = milliseconds(60000)

how long a failing instrument sits out

derisk_after

Duration fastmm::HedgeExecutor::Config::derisk_after {}

0: never de-risk

derisk_step

Qty fastmm::HedgeExecutor::Config::derisk_step {}

base units per de-risk order; 0: the whole residual

derisk_interval

Duration fastmm::HedgeExecutor::Config::derisk_interval = milliseconds(1000)

derisk_tolerance

Ratio fastmm::HedgeExecutor::Config::derisk_tolerance {}