fastmm::RiskHeadroom Struct Reference

How much more each limit admits for one instrument now: the largest order (or number of orders) that passes that limit's check at this instant, the others aside. More...

#include <fastmm/core/risk_limits.hpp>

Public Attributes
std::int64_t	order_tokens = kUnlimited
	orders the rate limiter admits now (orders_per_sec)
std::int64_t	open_orders = kUnlimited
	more open orders on the instrument (max_open_orders)
Qty	max_order_qty = Qty::max()
	per order (max_order_qty)
Notional	max_order_notional = Notional::max()
	per order (max_order_notional)
Qty	buy_qty = Qty::max()
	Largest buy / sell passing max_position (position plus open orders on that side), rounded down to the lot.
Qty	sell_qty = Qty::max()
Qty	underlying_buy_qty = Qty::max()
	Largest buy / sell of this instrument passing [risk.underlying] max_net (the underlying's net plus its open orders on that side, over every instrument), in this instrument's contracts, rounded down to the lot; zero while an inverse contract of the underlying has no mark.
Qty	underlying_sell_qty = Qty::max()
Notional	gross_notional = Notional::max()
	Exposure an order that does not reduce its position may add: max_gross_notional minus the gross exposure, and per direction the net room of max_net_notional.
Notional	net_buy_notional = Notional::max()
Notional	net_sell_notional = Notional::max()
Notional	exposure_buy_notional = Notional::max()
	The same two caps as the notional of one order on this instrument, in its settlement currency (the engine converts with the rate the check uses): the largest buy / sell notional that passes both.
Notional	exposure_sell_notional = Notional::max()
Notional	loss_budget = Notional::max()
	max_loss plus the net PnL it is measured against; the kill switch trips at zero or below.
Qty	balance_buy_qty = Qty::max()
	Largest buy / sell at the book's mid the account's balance on the venue covers ([risk] check_balance, core/balance_book.hpp), rounded down to the lot; unlimited until the venue reports the balance the side draws on.
Qty	balance_sell_qty = Qty::max()

Static Public Attributes
static constexpr std::int64_t	kUnlimited = std::numeric_limits<std::int64_t>::max()

Detailed Description

How much more each limit admits for one instrument now: the largest order (or number of orders) that passes that limit's check at this instant, the others aside.

What check_new would use next: a request of exactly a room passes that check and one lot more is refused. kUnlimited where the limit is off. Notionals are in the reporting currency ([accounting]) where the check converts.

Member Data Documentation

kUnlimited

constexpr std::int64_t fastmm::RiskHeadroom::kUnlimited = std::numeric_limits<std::int64_t>::max()

staticconstexpr

order_tokens

std::int64_t fastmm::RiskHeadroom::order_tokens = kUnlimited

orders the rate limiter admits now (orders_per_sec)

open_orders

std::int64_t fastmm::RiskHeadroom::open_orders = kUnlimited

more open orders on the instrument (max_open_orders)

max_order_qty

Qty fastmm::RiskHeadroom::max_order_qty = Qty::max()

per order (max_order_qty)

max_order_notional

Notional fastmm::RiskHeadroom::max_order_notional = Notional::max()

per order (max_order_notional)

buy_qty

Qty fastmm::RiskHeadroom::buy_qty = Qty::max()

Largest buy / sell passing max_position (position plus open orders on that side), rounded down to the lot.

sell_qty

Qty fastmm::RiskHeadroom::sell_qty = Qty::max()

underlying_buy_qty

Qty fastmm::RiskHeadroom::underlying_buy_qty = Qty::max()

Largest buy / sell of this instrument passing [risk.underlying] max_net (the underlying's net plus its open orders on that side, over every instrument), in this instrument's contracts, rounded down to the lot; zero while an inverse contract of the underlying has no mark.

underlying_sell_qty

Qty fastmm::RiskHeadroom::underlying_sell_qty = Qty::max()

gross_notional

Notional fastmm::RiskHeadroom::gross_notional = Notional::max()

Exposure an order that does not reduce its position may add: max_gross_notional minus the gross exposure, and per direction the net room of max_net_notional.

net_buy_notional

Notional fastmm::RiskHeadroom::net_buy_notional = Notional::max()

net_sell_notional

Notional fastmm::RiskHeadroom::net_sell_notional = Notional::max()

exposure_buy_notional

Notional fastmm::RiskHeadroom::exposure_buy_notional = Notional::max()

The same two caps as the notional of one order on this instrument, in its settlement currency (the engine converts with the rate the check uses): the largest buy / sell notional that passes both.

max() when neither cap is on and for the side that reduces the position (the caps never refuse that); zero while the currency's rate is unknown, where an order that adds exposure is refused (FxRateUnknown).

exposure_sell_notional

Notional fastmm::RiskHeadroom::exposure_sell_notional = Notional::max()

loss_budget

Notional fastmm::RiskHeadroom::loss_budget = Notional::max()

max_loss plus the net PnL it is measured against; the kill switch trips at zero or below.

balance_buy_qty

Qty fastmm::RiskHeadroom::balance_buy_qty = Qty::max()

Largest buy / sell at the book's mid the account's balance on the venue covers ([risk] check_balance, core/balance_book.hpp), rounded down to the lot; unlimited until the venue reports the balance the side draws on.

balance_sell_qty

Qty fastmm::RiskHeadroom::balance_sell_qty = Qty::max()