fastmm::bt::Metrics Struct Reference

#include <fastmm/backtest/metrics.hpp>

Public Member Functions
const MarkoutHorizon *	markout (std::int64_t horizon_ns) const noexcept
	The markout of one horizon, or nullptr when it was not measured.

Public Attributes
double	net_pnl = 0.0
	PnL in quote currency at the last bar: net == realized + unrealized - fees.
double	realized_pnl = 0.0
double	unrealized_pnl = 0.0
double	fees = 0.0
double	final_position = 0.0
	base units, summed over instruments
double	sharpe_bar = 0.0
	mean / sample stdev of per-bar equity changes
double	sharpe_annualized = 0.0
	sharpe_bar * sqrt(bars per 365-day year); NaN for runs shorter than kMinAnnualizedDurationS, where the scaling turns noise into four-digit values.
double	max_drawdown = 0.0
	largest fall of equity from its peak, quote currency, >= 0
double	max_drawdown_pct = 0.0
	max_drawdown / initial_capital; NaN when initial_capital <= 0.
std::uint64_t	fills = 0
std::uint64_t	maker_fills = 0
std::uint64_t	taker_fills = 0
std::uint64_t	orders = 0
	new orders sent
std::uint64_t	cancels = 0
std::uint64_t	replaces = 0
std::uint64_t	rejects = 0
double	fill_ratio = 0.0
	fills / new orders
double	spread_captured_bps = 0.0
	mean of (mid - px) / mid for buys, (px - mid) / mid sells
double	volume_base = 0.0
double	volume_quote = 0.0
double	inventory_mean = 0.0
	over bars
double	inventory_abs_mean = 0.0
	over bars
double	inventory_max = 0.0
	max |position| over bars
double	quote_uptime = 0.0
	fraction of bars with both a bid and an ask resting
std::uint64_t	bars = 0
double	duration_s = 0.0
std::uint64_t	virtual_tick_to_order_p50_ns = 0
	Virtual tick-to-order: engine receipt of the triggering event (T0, virtual clock) to the order's arrival at the simulated venue.
std::uint64_t	virtual_tick_to_order_p99_ns = 0
std::uint64_t	wall_tick_to_order_p50_ns = 0
	Measured wall clock per engine step that consumed market data (0 when not measured).
std::uint64_t	wall_tick_to_order_p99_ns = 0
PnlDecomposition	decomposition
	Where the net PnL came from, and how good the fills were. See markout.hpp.
FillQuality	fill_quality
std::vector< MarkoutHorizon >	markouts
	one entry per configured horizon, in order

Member Function Documentation

markout()

const MarkoutHorizon * fastmm::bt::Metrics::markout ( std::int64_t  horizon_ns ) const

noexcept

The markout of one horizon, or nullptr when it was not measured.

Member Data Documentation

net_pnl

double fastmm::bt::Metrics::net_pnl = 0.0

PnL in quote currency at the last bar: net == realized + unrealized - fees.

realized_pnl

double fastmm::bt::Metrics::realized_pnl = 0.0

unrealized_pnl

double fastmm::bt::Metrics::unrealized_pnl = 0.0

fees

double fastmm::bt::Metrics::fees = 0.0

final_position

double fastmm::bt::Metrics::final_position = 0.0

base units, summed over instruments

sharpe_bar

double fastmm::bt::Metrics::sharpe_bar = 0.0

mean / sample stdev of per-bar equity changes

sharpe_annualized

double fastmm::bt::Metrics::sharpe_annualized = 0.0

sharpe_bar * sqrt(bars per 365-day year); NaN for runs shorter than kMinAnnualizedDurationS, where the scaling turns noise into four-digit values.

max_drawdown

double fastmm::bt::Metrics::max_drawdown = 0.0

largest fall of equity from its peak, quote currency, >= 0

max_drawdown_pct

double fastmm::bt::Metrics::max_drawdown_pct = 0.0

max_drawdown / initial_capital; NaN when initial_capital <= 0.

fills

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

maker_fills

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

taker_fills

std::uint64_t fastmm::bt::Metrics::taker_fills = 0

orders

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

new orders sent

cancels

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

replaces

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

rejects

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

fill_ratio

double fastmm::bt::Metrics::fill_ratio = 0.0

fills / new orders

spread_captured_bps

double fastmm::bt::Metrics::spread_captured_bps = 0.0

mean of (mid - px) / mid for buys, (px - mid) / mid sells

volume_base

double fastmm::bt::Metrics::volume_base = 0.0

volume_quote

double fastmm::bt::Metrics::volume_quote = 0.0

inventory_mean

double fastmm::bt::Metrics::inventory_mean = 0.0

over bars

inventory_abs_mean

double fastmm::bt::Metrics::inventory_abs_mean = 0.0

over bars

inventory_max

double fastmm::bt::Metrics::inventory_max = 0.0

max |position| over bars

quote_uptime

double fastmm::bt::Metrics::quote_uptime = 0.0

fraction of bars with both a bid and an ask resting

bars

std::uint64_t fastmm::bt::Metrics::bars = 0

duration_s

double fastmm::bt::Metrics::duration_s = 0.0

virtual_tick_to_order_p50_ns

std::uint64_t fastmm::bt::Metrics::virtual_tick_to_order_p50_ns = 0

Virtual tick-to-order: engine receipt of the triggering event (T0, virtual clock) to the order's arrival at the simulated venue.

Deterministic; includes the order latency model.

virtual_tick_to_order_p99_ns

std::uint64_t fastmm::bt::Metrics::virtual_tick_to_order_p99_ns = 0

wall_tick_to_order_p50_ns

std::uint64_t fastmm::bt::Metrics::wall_tick_to_order_p50_ns = 0

Measured wall clock per engine step that consumed market data (0 when not measured).

wall_tick_to_order_p99_ns

std::uint64_t fastmm::bt::Metrics::wall_tick_to_order_p99_ns = 0

decomposition

PnlDecomposition fastmm::bt::Metrics::decomposition

Where the net PnL came from, and how good the fills were. See markout.hpp.

fill_quality

FillQuality fastmm::bt::Metrics::fill_quality

markouts

std::vector<MarkoutHorizon> fastmm::bt::Metrics::markouts

one entry per configured horizon, in order