fastmm::LiveQuoteSide Struct Reference

One side of an instrument as the engine publishes it (EngineLiveStats::quotes). More...

#include <fastmm/core/quote_diag.hpp>

Public Attributes
std::int64_t	desired_px_raw = 0
	level 0 of the strategy's last ladder (0: none)
std::int64_t	desired_qty_raw = 0
	over every level
std::int64_t	working_px_raw = 0
	best working quote price (0: none)
std::int64_t	working_qty_raw = 0
	leaves of every open order on the side
std::int64_t	account_qty_raw [kQuoteDiagAccounts] = {}
	Leaves of the working quotes by pool account (index in the pool, 0 the primary).
std::int64_t	block_since_ns = 0
	engine time block began
std::uint16_t	working_orders = 0
std::uint8_t	desired_levels = 0
QuoteBlock	block = QuoteBlock::NotWanted
RejectReason	reason = RejectReason::None
	block Refused: the refusal; otherwise None
std::uint8_t	pad_ [3] = {}
QuoteNote	note

Detailed Description

One side of an instrument as the engine publishes it (EngineLiveStats::quotes).

Member Data Documentation

desired_px_raw

std::int64_t fastmm::LiveQuoteSide::desired_px_raw = 0

level 0 of the strategy's last ladder (0: none)

desired_qty_raw

std::int64_t fastmm::LiveQuoteSide::desired_qty_raw = 0

over every level

working_px_raw

std::int64_t fastmm::LiveQuoteSide::working_px_raw = 0

best working quote price (0: none)

working_qty_raw

std::int64_t fastmm::LiveQuoteSide::working_qty_raw = 0

leaves of every open order on the side

account_qty_raw

std::int64_t fastmm::LiveQuoteSide::account_qty_raw[kQuoteDiagAccounts] = {}

Leaves of the working quotes by pool account (index in the pool, 0 the primary).

block_since_ns

std::int64_t fastmm::LiveQuoteSide::block_since_ns = 0

engine time block began

working_orders

std::uint16_t fastmm::LiveQuoteSide::working_orders = 0

desired_levels

std::uint8_t fastmm::LiveQuoteSide::desired_levels = 0

block

QuoteBlock fastmm::LiveQuoteSide::block = QuoteBlock::NotWanted

reason

RejectReason fastmm::LiveQuoteSide::reason = RejectReason::None

block Refused: the refusal; otherwise None

pad_

std::uint8_t fastmm::LiveQuoteSide::pad_[3] = {}

note

QuoteNote fastmm::LiveQuoteSide::note