fastmm::bt::MarkoutBucket Struct Reference

#include <fastmm/backtest/markout.hpp>

Public Member Functions
double	markout_quote () const noexcept
double	capture_quote () const noexcept
double	adverse_selection_quote () const noexcept
	capture - markout: the part of the captured spread the mid took back.
double	markout_bps () const noexcept
	Notional-weighted basis points; 0 when no fill was measured.
double	capture_bps () const noexcept
double	adverse_selection_bps () const noexcept
double	notional () const noexcept
void	add (std::int64_t markout, std::int64_t capture, std::int64_t notional) noexcept

Public Attributes
std::int64_t	markout_raw = 0
	sum of s * (mid(t0 + h) - price), quote currency
std::int64_t	capture_raw = 0
	sum of s * (mid(t0) - price) over the same fills
std::int64_t	notional_raw = 0
	sum of |qty| * price over the same fills
std::uint64_t	fills = 0

Member Function Documentation

markout_quote()

double fastmm::bt::MarkoutBucket::markout_quote ( ) const

noexcept

capture_quote()

double fastmm::bt::MarkoutBucket::capture_quote ( ) const

noexcept

adverse_selection_quote()

double fastmm::bt::MarkoutBucket::adverse_selection_quote ( ) const

noexcept

capture - markout: the part of the captured spread the mid took back.

markout_bps()

double fastmm::bt::MarkoutBucket::markout_bps ( ) const

noexcept

Notional-weighted basis points; 0 when no fill was measured.

capture_bps()

double fastmm::bt::MarkoutBucket::capture_bps ( ) const

noexcept

adverse_selection_bps()

double fastmm::bt::MarkoutBucket::adverse_selection_bps ( ) const

noexcept

notional()

double fastmm::bt::MarkoutBucket::notional ( ) const

noexcept

add()

void fastmm::bt::MarkoutBucket::add ( std::int64_t  markout, std::int64_t  capture, std::int64_t  notional  )

inlinenoexcept

Member Data Documentation

markout_raw

std::int64_t fastmm::bt::MarkoutBucket::markout_raw = 0

sum of s * (mid(t0 + h) - price), quote currency

capture_raw

std::int64_t fastmm::bt::MarkoutBucket::capture_raw = 0

sum of s * (mid(t0) - price) over the same fills

notional_raw

std::int64_t fastmm::bt::MarkoutBucket::notional_raw = 0

sum of |qty| * price over the same fills

fills

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