fastmm::bt::InstrumentEquityRows Struct Reference

One instrument's columns of EquityRows, one row per bar. More...

#include <fastmm/backtest/result.hpp>

Public Attributes
std::vector< std::int64_t >	pnl
	raw notional, realized + unrealized - fees, settlement ccy
std::vector< std::int64_t >	position
	raw qty
std::vector< std::int64_t >	mid
	raw price, venue mid
std::vector< std::uint8_t >	quoted
	bit 0 bid resting, bit 1 ask resting

Detailed Description

One instrument's columns of EquityRows, one row per bar.

Member Data Documentation

pnl

std::vector<std::int64_t> fastmm::bt::InstrumentEquityRows::pnl

raw notional, realized + unrealized - fees, settlement ccy

position

std::vector<std::int64_t> fastmm::bt::InstrumentEquityRows::position

raw qty

mid

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

raw price, venue mid

quoted

std::vector<std::uint8_t> fastmm::bt::InstrumentEquityRows::quoted

bit 0 bid resting, bit 1 ask resting