fastmm::bt::MarkoutHorizon Struct Reference

Buckets of one horizon, all over the same measured fills. More...

#include <fastmm/backtest/markout.hpp>

Public Member Functions
std::string	label () const
	"1s", "250ms", "2m"

Public Attributes
std::int64_t	horizon_ns = 0
MarkoutBucket	total
MarkoutBucket	buy
MarkoutBucket	sell
MarkoutBucket	maker
MarkoutBucket	taker
std::vector< MarkoutBucket >	instrument
	Indexed by instrument id, sized to the highest instrument that traded.
std::uint64_t	excluded_fills = 0
	Fills the run could not mark, split by cause.
std::uint64_t	excluded_past_end = 0
	fill ts + horizon is after the last event of the run
std::uint64_t	excluded_no_mid = 0
	the venue book had no two sides there (or at the fill)

Detailed Description

Buckets of one horizon, all over the same measured fills.

Member Function Documentation

label()

std::string fastmm::bt::MarkoutHorizon::label

(

)

const

"1s", "250ms", "2m"

Member Data Documentation

horizon_ns

std::int64_t fastmm::bt::MarkoutHorizon::horizon_ns = 0

total

MarkoutBucket fastmm::bt::MarkoutHorizon::total

buy

MarkoutBucket fastmm::bt::MarkoutHorizon::buy

sell

MarkoutBucket fastmm::bt::MarkoutHorizon::sell

maker

MarkoutBucket fastmm::bt::MarkoutHorizon::maker

taker

MarkoutBucket fastmm::bt::MarkoutHorizon::taker

instrument

std::vector<MarkoutBucket> fastmm::bt::MarkoutHorizon::instrument

Indexed by instrument id, sized to the highest instrument that traded.

excluded_fills

std::uint64_t fastmm::bt::MarkoutHorizon::excluded_fills = 0

Fills the run could not mark, split by cause.

Their sum is the number left out of the buckets above; they are never marked at a substitute price. the sum of the two below

excluded_past_end

std::uint64_t fastmm::bt::MarkoutHorizon::excluded_past_end = 0

fill ts + horizon is after the last event of the run

excluded_no_mid

std::uint64_t fastmm::bt::MarkoutHorizon::excluded_no_mid = 0

the venue book had no two sides there (or at the fill)