fastmm::bt::FillRows Struct Reference

#include <fastmm/backtest/result.hpp>

Public Member Functions
std::size_t	size () const noexcept
void	reserve (std::size_t n)

Public Attributes
std::vector< std::int64_t >	ts
	venue time of the execution
std::vector< std::uint32_t >	instrument
std::vector< std::int8_t >	side
	0 buy / 1 sell
std::vector< std::int64_t >	price
	raw 1e-8
std::vector< std::int64_t >	qty
std::vector< std::int64_t >	fee
	raw notional, negative == rebate
std::vector< std::uint64_t >	cl_ord_id
std::vector< std::uint8_t >	liquidity
	Liquidity: 1 maker, 2 taker.
std::vector< std::int64_t >	mid
	venue mid at fill time (raw)
std::vector< std::int64_t >	best_bid
	venue touch at fill time (raw); 0 when that side is empty
std::vector< std::int64_t >	best_ask
std::vector< std::int64_t >	queue_ahead
	Displayed quantity still ahead of the order when it filled (raw); -1 when the fill model does not track a queue position (FillModel::Matching).
std::vector< std::int64_t >	markout_horizon_ns
	Markout horizons, in nanoseconds of simulated time, and the venue mid of the fill's instrument at fill ts + horizon (raw).
std::vector< std::vector< std::int64_t > >	markout_mid

Member Function Documentation

size()

std::size_t fastmm::bt::FillRows::size ( ) const

inlinenoexcept

reserve()

void fastmm::bt::FillRows::reserve

(

std::size_t

n

)

Member Data Documentation

ts

std::vector<std::int64_t> fastmm::bt::FillRows::ts

venue time of the execution

instrument

std::vector<std::uint32_t> fastmm::bt::FillRows::instrument

side

std::vector<std::int8_t> fastmm::bt::FillRows::side

0 buy / 1 sell

price

std::vector<std::int64_t> fastmm::bt::FillRows::price

raw 1e-8

qty

std::vector<std::int64_t> fastmm::bt::FillRows::qty

fee

std::vector<std::int64_t> fastmm::bt::FillRows::fee

raw notional, negative == rebate

cl_ord_id

std::vector<std::uint64_t> fastmm::bt::FillRows::cl_ord_id

liquidity

std::vector<std::uint8_t> fastmm::bt::FillRows::liquidity

Liquidity: 1 maker, 2 taker.

mid

std::vector<std::int64_t> fastmm::bt::FillRows::mid

venue mid at fill time (raw)

best_bid

std::vector<std::int64_t> fastmm::bt::FillRows::best_bid

venue touch at fill time (raw); 0 when that side is empty

best_ask

std::vector<std::int64_t> fastmm::bt::FillRows::best_ask

queue_ahead

std::vector<std::int64_t> fastmm::bt::FillRows::queue_ahead

Displayed quantity still ahead of the order when it filled (raw); -1 when the fill model does not track a queue position (FillModel::Matching).

markout_horizon_ns

std::vector<std::int64_t> fastmm::bt::FillRows::markout_horizon_ns

Markout horizons, in nanoseconds of simulated time, and the venue mid of the fill's instrument at fill ts + horizon (raw).

markout_mid[h][i] is 0 when the run ended before the horizon or the book had no two sides there: that fill is excluded from the horizon, never marked at a substitute price.

markout_mid

std::vector<std::vector<std::int64_t> > fastmm::bt::FillRows::markout_mid