fastmm::bt::MetricsInputs Struct Reference

#include <fastmm/backtest/metrics.hpp>

Public Attributes
Duration	bar = seconds(1)
double	initial_capital = 0.0
	quote currency; only used for max_drawdown_pct
std::uint64_t	rejects = 0
std::uint64_t	wall_p50_ns = 0
std::uint64_t	wall_p99_ns = 0
std::vector< std::int64_t >	final_mid
	Venue mid of each instrument at the end of the run (raw price, indexed by instrument id).
bool	queue_position_known = false
	Set when the venue could report a queue position (FillModel::L2Queue).
std::int64_t	end_ts = 0
	Time of the last event of the run: a fill whose horizon falls after it could not be marked because the data ended, which is a different thing from a one-sided book.

Member Data Documentation

bar

Duration fastmm::bt::MetricsInputs::bar = seconds(1)

initial_capital

double fastmm::bt::MetricsInputs::initial_capital = 0.0

quote currency; only used for max_drawdown_pct

rejects

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

wall_p50_ns

std::uint64_t fastmm::bt::MetricsInputs::wall_p50_ns = 0

wall_p99_ns

std::uint64_t fastmm::bt::MetricsInputs::wall_p99_ns = 0

final_mid

std::vector<std::int64_t> fastmm::bt::MetricsInputs::final_mid

Venue mid of each instrument at the end of the run (raw price, indexed by instrument id).

The decomposition marks the leftover inventory and the mid drift against it; without it only instrument 0's last equity-bar mid is available.

queue_position_known

bool fastmm::bt::MetricsInputs::queue_position_known = false

Set when the venue could report a queue position (FillModel::L2Queue).

end_ts

std::int64_t fastmm::bt::MetricsInputs::end_ts = 0

Time of the last event of the run: a fill whose horizon falls after it could not be marked because the data ended, which is a different thing from a one-sided book.