fastmm::bt::OrderRows Struct Reference

#include <fastmm/backtest/result.hpp>

Public Member Functions
std::size_t	size () const noexcept
void	reserve (std::size_t n)

Public Attributes
std::vector< std::int64_t >	ts
	engine send time (virtual)
std::vector< std::int64_t >	venue_ts
	arrival at the venue; 0 when dropped
std::vector< std::int64_t >	trigger_ts
	T0 of the event that caused the order (0 unknown)
std::vector< std::uint64_t >	cl_ord_id
std::vector< std::uint32_t >	instrument
std::vector< std::int8_t >	side
	0 buy / 1 sell / -1 n/a (cancel, replace)
std::vector< std::int64_t >	price
std::vector< std::int64_t >	qty
std::vector< std::uint8_t >	kind
	kOrderKindNew / Cancel / Replace
std::vector< std::uint8_t >	type
	OrderType (new orders)

Member Function Documentation

size()

std::size_t fastmm::bt::OrderRows::size ( ) const

inlinenoexcept

reserve()

void fastmm::bt::OrderRows::reserve

(

std::size_t

n

)

Member Data Documentation

ts

std::vector<std::int64_t> fastmm::bt::OrderRows::ts

engine send time (virtual)

venue_ts

std::vector<std::int64_t> fastmm::bt::OrderRows::venue_ts

arrival at the venue; 0 when dropped

trigger_ts

std::vector<std::int64_t> fastmm::bt::OrderRows::trigger_ts

T0 of the event that caused the order (0 unknown)

cl_ord_id

std::vector<std::uint64_t> fastmm::bt::OrderRows::cl_ord_id

instrument

std::vector<std::uint32_t> fastmm::bt::OrderRows::instrument

side

std::vector<std::int8_t> fastmm::bt::OrderRows::side

0 buy / 1 sell / -1 n/a (cancel, replace)

price

std::vector<std::int64_t> fastmm::bt::OrderRows::price

qty

std::vector<std::int64_t> fastmm::bt::OrderRows::qty

kind

std::vector<std::uint8_t> fastmm::bt::OrderRows::kind

kOrderKindNew / Cancel / Replace

type

std::vector<std::uint8_t> fastmm::bt::OrderRows::type

OrderType (new orders)