fastmm::RejectRecord Struct Reference

One order refused: by the pre-trade checks (the engine's) or by its venue (an OrderReject), with the account's order budget as the engine saw it then (ctx.order_budget). More...

#include <fastmm/core/record_stream.hpp>

Public Types
enum	Flags : std::uint8_t { kReplace = 1U << 0 , kReduces = 1U << 1 , kReduceOnly = 1U << 2 , kFromVenue = 1U << 3 }

Public Attributes
RecordHeader	hdr
RejectReason	reason
	64
RejectSource	source
	65
Side	side
	66
std::uint8_t	flags
	67
std::uint32_t	folded
	68 refusals of the same key folded in since the last record
Price	price
	72
Qty	qty
	80
ClientOrderId	cl_ord_id
	88 the venue's refusals; 0 for a pre-trade one
std::int64_t	local_tokens
	96 [risk] bucket tokens left (OrderBudget::kUnlimited: off)
std::int64_t	local_wait_ns
	104
std::int64_t	orders_10s_used
	The account's windows: used and what the connector admits (RateWindow::admits; 0 unknown).
std::int64_t	orders_10s_admits
	120
std::int64_t	orders_1m_used
	128
std::int64_t	orders_1m_admits
	136
std::int64_t	orders_1d_used
	144
std::int64_t	orders_1d_admits
	152
std::int64_t	weight_used
	160
std::int64_t	weight_admits
	168
std::int32_t	venue_code
	176 the venue's error code (OrderRejectMsg::venue_code)
std::uint8_t	budget_known
	180 the account's connector has published a budget
std::uint8_t	paused
	181
std::uint8_t	pad0_ [2]
FixedString< 40 >	text
	184 the venue's text (OrderRejectMsg::text)
std::uint8_t	pad_ [31]
	-> 256

Static Public Attributes
static constexpr std::int64_t	kFoldNs = 100'000'000

Detailed Description

One order refused: by the pre-trade checks (the engine's) or by its venue (an OrderReject), with the account's order budget as the engine saw it then (ctx.order_budget).

hdr.venue is the account the order went to or was routed to, hdr.instrument its instrument. Refusals of the same instrument, side, account, reason, source and flags within RejectRecord::kFoldNs of the last one recorded for them are counted into the next record's folded rather than recorded one by one: the counts stay exact per account, a strategy retrying on every event does not fill the store.

Member Enumeration Documentation

Flags

enum fastmm::RejectRecord::Flags : std::uint8_t

Enumerator
kReplace	a replace, not a new order
kReduces	with the open orders on its side, it only takes the position to zero
kReduceOnly
kFromVenue	an OrderReject, not a pre-trade check

Member Data Documentation

kFoldNs

constexpr std::int64_t fastmm::RejectRecord::kFoldNs = 100'000'000

staticconstexpr

hdr

RecordHeader fastmm::RejectRecord::hdr

reason

RejectReason fastmm::RejectRecord::reason

64

source

RejectSource fastmm::RejectRecord::source

65

side

Side fastmm::RejectRecord::side

66

flags

std::uint8_t fastmm::RejectRecord::flags

67

folded

std::uint32_t fastmm::RejectRecord::folded

68 refusals of the same key folded in since the last record

price

Price fastmm::RejectRecord::price

72

qty

Qty fastmm::RejectRecord::qty

80

cl_ord_id

ClientOrderId fastmm::RejectRecord::cl_ord_id

88 the venue's refusals; 0 for a pre-trade one

local_tokens

std::int64_t fastmm::RejectRecord::local_tokens

96 [risk] bucket tokens left (OrderBudget::kUnlimited: off)

local_wait_ns

std::int64_t fastmm::RejectRecord::local_wait_ns

104

orders_10s_used

std::int64_t fastmm::RejectRecord::orders_10s_used

The account's windows: used and what the connector admits (RateWindow::admits; 0 unknown).

112

orders_10s_admits

std::int64_t fastmm::RejectRecord::orders_10s_admits

120

orders_1m_used

std::int64_t fastmm::RejectRecord::orders_1m_used

128

orders_1m_admits

std::int64_t fastmm::RejectRecord::orders_1m_admits

136

orders_1d_used

std::int64_t fastmm::RejectRecord::orders_1d_used

144

orders_1d_admits

std::int64_t fastmm::RejectRecord::orders_1d_admits

152

weight_used

std::int64_t fastmm::RejectRecord::weight_used

160

weight_admits

std::int64_t fastmm::RejectRecord::weight_admits

168

venue_code

std::int32_t fastmm::RejectRecord::venue_code

176 the venue's error code (OrderRejectMsg::venue_code)

budget_known

std::uint8_t fastmm::RejectRecord::budget_known

180 the account's connector has published a budget

paused

std::uint8_t fastmm::RejectRecord::paused

181

pad0_

std::uint8_t fastmm::RejectRecord::pad0_[2]

text

FixedString<40> fastmm::RejectRecord::text

184 the venue's text (OrderRejectMsg::text)

pad_

std::uint8_t fastmm::RejectRecord::pad_[31]

-> 256