fastmm::Instrument Struct Reference

#include <fastmm/core/instrument.hpp>

Public Types
enum	Flags : std::uint8_t { kEnabled = 1U << 0 , kInverse = 1U << 1 , kReduceOnlySupported = 1U << 2 , kCoinQuoted = 1U << 3 }

Public Member Functions
constexpr bool	enabled () const noexcept
constexpr bool	inverse () const noexcept
constexpr bool	coin_quoted () const noexcept
constexpr Price	round_price (Price p, Side side) const noexcept
	Passive rounding: bids down, asks up.
constexpr Qty	round_qty (Qty q) const noexcept
constexpr Price	ticks (std::int64_t n) const noexcept
	n ticks as a price distance (tick * n).
constexpr bool	valid_price (Price p) const noexcept
constexpr bool	valid_qty (Qty q) const noexcept
constexpr Notional	notional (Price p, Qty q) const noexcept
	Notional in the settlement currency: price * qty * multiplier for a linear contract, and qty * multiplier / price (base coin) for an inverse one, whose contract size is quoted in the quote currency.
constexpr Notional	pnl_per_tick () const noexcept
	PnL change (settlement ccy) for one tick move on one contract.
constexpr Notional	inverse_pnl (Price from, Price to, Qty qty) const noexcept
	PnL in the base coin of moving qty contracts from from to to: qty * multiplier * (1/from - 1/to).
constexpr std::string_view	settlement_ccy () const noexcept
	The currency PnL, fees and notional are denominated in: the base coin for an inverse contract, the quote currency otherwise.
constexpr bool	is_derivative () const noexcept

Public Attributes
InstrumentId	id {}
	4
VenueId	venue {}
	1
AssetClass	asset_class {}
	1
std::uint8_t	flags = 0
	1
std::uint8_t	price_decimals = 8
	1 venue formatting hint
Price	tick {}
	8
Qty	lot {}
	8
Qty	min_qty {}
	8
Qty	max_qty {}
	8
Notional	min_notional {}
	8
Qty	contract_multiplier = Qty::from_int(1)
	8 units of underlying per contract
Notional	max_notional {}
	8 -> 64
std::int64_t	expiry_ns = 0
	8 (0 = perpetual / spot)
Price	strike {}
	8 -> 16
Symbol	symbol {}
	21
FixedString< 8 >	base {}
	9
FixedString< 8 >	quote {}
	9 -> 55
OptionType	option_type = OptionType::None
	1 -> 56
std::uint8_t	cold_pad_ [8] = {}
	-> 64

Member Enumeration Documentation

Flags

enum fastmm::Instrument::Flags : std::uint8_t

Enumerator
kEnabled
kInverse	Priced in one currency and settled in another (Deribit's BTC perpetual: USD against BTC): notional is qty * multiplier / price and PnL moves with 1 / price, in the base coin.
kReduceOnlySupported
kCoinQuoted	An option whose premium is in its underlying coin (Deribit's BTC options, 0.0065 BTC): its model value is the USD price divided by the forward. Valued linearly in that premium; not kInverse.

Member Function Documentation

enabled()

constexpr bool fastmm::Instrument::enabled ( ) const

inlineconstexprnoexcept

inverse()

constexpr bool fastmm::Instrument::inverse ( ) const

inlineconstexprnoexcept

coin_quoted()

constexpr bool fastmm::Instrument::coin_quoted ( ) const

inlineconstexprnoexcept

round_price()

constexpr Price fastmm::Instrument::round_price ( Price  p, Side  side  ) const

inlineconstexprnoexcept

Passive rounding: bids down, asks up.

round_qty()

constexpr Qty fastmm::Instrument::round_qty ( Qty  q ) const

inlineconstexprnoexcept

ticks()

constexpr Price fastmm::Instrument::ticks ( std::int64_t  n ) const

inlineconstexprnoexcept

n ticks as a price distance (tick * n).

valid_price()

constexpr bool fastmm::Instrument::valid_price ( Price  p ) const

inlineconstexprnoexcept

valid_qty()

constexpr bool fastmm::Instrument::valid_qty ( Qty  q ) const

inlineconstexprnoexcept

notional()

constexpr Notional fastmm::Instrument::notional ( Price  p, Qty  q  ) const

inlineconstexprnoexcept

Notional in the settlement currency: price * qty * multiplier for a linear contract, and qty * multiplier / price (base coin) for an inverse one, whose contract size is quoted in the quote currency.

Zero for an inverse contract at a non-positive price.

pnl_per_tick()

constexpr Notional fastmm::Instrument::pnl_per_tick ( ) const

inlineconstexprnoexcept

PnL change (settlement ccy) for one tick move on one contract.

An inverse contract's tick value depends on the price (multiplier * tick / price^2), so this is zero for one: use inverse_pnl() instead.

inverse_pnl()

constexpr Notional fastmm::Instrument::inverse_pnl ( Price  from, Price  to, Qty  qty  ) const

inlineconstexprnoexcept

PnL in the base coin of moving qty contracts from from to to: qty * multiplier * (1/from - 1/to).

Zero unless both prices are positive.

settlement_ccy()

constexpr std::string_view fastmm::Instrument::settlement_ccy ( ) const

inlineconstexprnoexcept

The currency PnL, fees and notional are denominated in: the base coin for an inverse contract, the quote currency otherwise.

Empty when the instrument does not name it.

is_derivative()

constexpr bool fastmm::Instrument::is_derivative ( ) const

inlineconstexprnoexcept

Member Data Documentation

id

InstrumentId fastmm::Instrument::id {}

4

venue

VenueId fastmm::Instrument::venue {}

1

asset_class

AssetClass fastmm::Instrument::asset_class {}

1

flags

std::uint8_t fastmm::Instrument::flags = 0

1

price_decimals

std::uint8_t fastmm::Instrument::price_decimals = 8

1 venue formatting hint

tick

Price fastmm::Instrument::tick {}

8

lot

Qty fastmm::Instrument::lot {}

8

min_qty

Qty fastmm::Instrument::min_qty {}

8

max_qty

Qty fastmm::Instrument::max_qty {}

8

min_notional

Notional fastmm::Instrument::min_notional {}

8

contract_multiplier

Qty fastmm::Instrument::contract_multiplier = Qty::from_int(1)

8 units of underlying per contract

max_notional

Notional fastmm::Instrument::max_notional {}

8 -> 64

expiry_ns

std::int64_t fastmm::Instrument::expiry_ns = 0

8 (0 = perpetual / spot)

strike

Price fastmm::Instrument::strike {}

8 -> 16

symbol

Symbol fastmm::Instrument::symbol {}

21

base

FixedString<8> fastmm::Instrument::base {}

9

quote

FixedString<8> fastmm::Instrument::quote {}

9 -> 55

option_type

OptionType fastmm::Instrument::option_type = OptionType::None

1 -> 56

cold_pad_

std::uint8_t fastmm::Instrument::cold_pad_[8] = {}

-> 64