fastmm::bt::LiveAnalysis Struct Reference

#include <fastmm/backtest/live_analysis.hpp>

Public Attributes
std::string	strategy
std::int64_t	first_ns = 0
	venue time of the first and last event
std::int64_t	last_ns = 0
std::uint64_t	orders = 0
	new orders sent
std::uint64_t	cancels = 0
std::uint64_t	replaces = 0
std::uint64_t	rejects = 0
	venue refusals
std::uint64_t	fills = 0
	executions, each once
std::uint64_t	maker_fills = 0
std::uint64_t	repeated_fills = 0
	the same execution reported again (a replay): counted once
bool	mids = false
	the journal has a BookTicker stream to mark against
std::vector< LiveAnalysisInstrument >	instruments
	by instrument id
std::vector< MarkoutHorizon >	horizons

Member Data Documentation

strategy

std::string fastmm::bt::LiveAnalysis::strategy

first_ns

std::int64_t fastmm::bt::LiveAnalysis::first_ns = 0

venue time of the first and last event

last_ns

std::int64_t fastmm::bt::LiveAnalysis::last_ns = 0

orders

std::uint64_t fastmm::bt::LiveAnalysis::orders = 0

new orders sent

cancels

std::uint64_t fastmm::bt::LiveAnalysis::cancels = 0

replaces

std::uint64_t fastmm::bt::LiveAnalysis::replaces = 0

rejects

std::uint64_t fastmm::bt::LiveAnalysis::rejects = 0

venue refusals

fills

std::uint64_t fastmm::bt::LiveAnalysis::fills = 0

executions, each once

maker_fills

std::uint64_t fastmm::bt::LiveAnalysis::maker_fills = 0

repeated_fills

std::uint64_t fastmm::bt::LiveAnalysis::repeated_fills = 0

the same execution reported again (a replay): counted once

mids

bool fastmm::bt::LiveAnalysis::mids = false

the journal has a BookTicker stream to mark against

instruments

std::vector<LiveAnalysisInstrument> fastmm::bt::LiveAnalysis::instruments

by instrument id

horizons

std::vector<MarkoutHorizon> fastmm::bt::LiveAnalysis::horizons