fastmm::PerpStateMsg Struct Reference

The venue's reference prices and funding of one derivative (EventType::PerpState), from its public market data. More...

#include <fastmm/core/messages.hpp>

Public Attributes
EventHeader	hdr
Price	mark_price
	64
Price	index_price
	72
double	funding_rate
	80
Duration	funding_interval
	88
Timestamp	next_funding
	96
Qty	open_interest
	104
std::uint8_t	fields
	112
std::uint8_t	pad_ [15]
	-> 128

Static Public Attributes
static constexpr std::uint8_t	kMark = 1U << 0
static constexpr std::uint8_t	kIndex = 1U << 1
static constexpr std::uint8_t	kFunding = 1U << 2
static constexpr std::uint8_t	kOpenInterest = 1U << 3

Detailed Description

The venue's reference prices and funding of one derivative (EventType::PerpState), from its public market data.

Market data: it rides the market-data ring and the journal, so a replay sees the same values at the same engine times. hdr.exch_ts is the venue's time of the values. fields names what the message carries; the engine keeps the last value of each field with the time it arrived (core/perp_book.hpp), so a venue that publishes mark, index and funding on separate channels sends one message per channel. mark_price kMark: the price the venue values positions and liquidations at index_price kIndex: the spot index the mark and the funding follow funding_rate kFunding: the rate the venue will apply at next_funding, per funding interval, as a decimal (0.0001 = 1 bp); positive: longs pay shorts funding_interval kFunding: how often funding is paid (a continuous venue reports the rate over this interval: Deribit's current_funding, 8 h) next_funding kFunding: venue time of the next payment; zero when funding is continuous open_interest kOpenInterest: contracts open

Member Data Documentation

kMark

constexpr std::uint8_t fastmm::PerpStateMsg::kMark = 1U << 0

staticconstexpr

kIndex

constexpr std::uint8_t fastmm::PerpStateMsg::kIndex = 1U << 1

staticconstexpr

kFunding

constexpr std::uint8_t fastmm::PerpStateMsg::kFunding = 1U << 2

staticconstexpr

kOpenInterest

constexpr std::uint8_t fastmm::PerpStateMsg::kOpenInterest = 1U << 3

staticconstexpr

hdr

EventHeader fastmm::PerpStateMsg::hdr

mark_price

Price fastmm::PerpStateMsg::mark_price

64

index_price

Price fastmm::PerpStateMsg::index_price

72

funding_rate

double fastmm::PerpStateMsg::funding_rate

80

funding_interval

Duration fastmm::PerpStateMsg::funding_interval

88

next_funding

Timestamp fastmm::PerpStateMsg::next_funding

96

open_interest

Qty fastmm::PerpStateMsg::open_interest

104

fields

std::uint8_t fastmm::PerpStateMsg::fields

112

pad_

std::uint8_t fastmm::PerpStateMsg::pad_[15]

-> 128