fastmm::RiskLimits Struct Reference

#include <fastmm/core/risk_limits.hpp>

Public Member Functions
constexpr bool	reads_totals () const noexcept
	A limit that reads the portfolio totals ([accounting] converts them).

Public Attributes
Qty	max_order_qty {}
	0 = unlimited
Notional	max_order_notional {}
	0 = unlimited
Qty	max_position {}
	absolute, predicted (position + same-side open); 0 = unlimited
std::uint32_t	max_open_orders = 0
	per instrument; 0 = unlimited
std::int64_t	price_collar_bps = 0
	vs mid; 0 = disabled
std::int64_t	fat_finger_bps = 0
	vs last trade; 0 = disabled
Duration	stale_md {}
	reject if book older than this; 0 = disabled
Notional	max_gross_notional {}
	Portfolio exposure at the last marks, over every instrument; 0 = unlimited.
Notional	max_net_notional {}
Notional	max_loss {}
	trip when net pnl <= -max_loss; 0 = disabled
std::uint32_t	orders_per_sec = 0
	token bucket rate; 0 = unlimited
std::uint32_t	burst = 0
	bucket capacity (defaults to orders_per_sec)
bool	stp = true
	self-trade prevention against our own resting orders
std::uint32_t	max_feed_lag_ms = 0
	Feed-lag gate (core/venue_health.hpp): while a venue's market data arrives more than this much later than its baseline, its quotes are pulled and orders that could rest there without reducing the position are refused (FeedLag); 0 = off.

Member Function Documentation

reads_totals()

constexpr bool fastmm::RiskLimits::reads_totals ( ) const

inlineconstexprnoexcept

A limit that reads the portfolio totals ([accounting] converts them).

Member Data Documentation

max_order_qty

Qty fastmm::RiskLimits::max_order_qty {}

0 = unlimited

max_order_notional

Notional fastmm::RiskLimits::max_order_notional {}

0 = unlimited

max_position

Qty fastmm::RiskLimits::max_position {}

absolute, predicted (position + same-side open); 0 = unlimited

max_open_orders

std::uint32_t fastmm::RiskLimits::max_open_orders = 0

per instrument; 0 = unlimited

price_collar_bps

std::int64_t fastmm::RiskLimits::price_collar_bps = 0

vs mid; 0 = disabled

fat_finger_bps

std::int64_t fastmm::RiskLimits::fat_finger_bps = 0

vs last trade; 0 = disabled

stale_md

Duration fastmm::RiskLimits::stale_md {}

reject if book older than this; 0 = disabled

max_gross_notional

Notional fastmm::RiskLimits::max_gross_notional {}

Portfolio exposure at the last marks, over every instrument; 0 = unlimited.

Gross is the sum of |position|, net the signed sum: a hedged pair is small in net and large in gross.

max_net_notional

Notional fastmm::RiskLimits::max_net_notional {}

max_loss

Notional fastmm::RiskLimits::max_loss {}

trip when net pnl <= -max_loss; 0 = disabled

orders_per_sec

std::uint32_t fastmm::RiskLimits::orders_per_sec = 0

token bucket rate; 0 = unlimited

burst

std::uint32_t fastmm::RiskLimits::burst = 0

bucket capacity (defaults to orders_per_sec)

stp

bool fastmm::RiskLimits::stp = true

self-trade prevention against our own resting orders

max_feed_lag_ms

std::uint32_t fastmm::RiskLimits::max_feed_lag_ms = 0

Feed-lag gate (core/venue_health.hpp): while a venue's market data arrives more than this much later than its baseline, its quotes are pulled and orders that could rest there without reducing the position are refused (FeedLag); 0 = off.