fastmm::research::FeatureRows Struct Reference

#include <fastmm/research/feature_table.hpp>

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

Public Attributes
std::vector< std::int64_t >	ts
	venue time of the event that produced the row
std::vector< std::uint32_t >	instrument
std::vector< std::int64_t >	mid
	(best bid + best ask) / 2, raw 1e-8
std::vector< std::int64_t >	microprice
	fastmm::microprice(book), raw 1e-8
std::vector< std::int64_t >	best_bid
std::vector< std::int64_t >	best_ask
std::vector< std::int64_t >	bid_qty
	displayed quantity at the best bid, raw 1e-8
std::vector< std::int64_t >	ask_qty
std::vector< std::int64_t >	imbalance
	fastmm::imbalance(book, levels), Ratio raw 1e-8
std::vector< std::int64_t >	spread
	best ask - best bid, raw 1e-8
std::vector< std::int64_t >	horizon_ns
	Horizons in nanoseconds, and the venue mid at ts + horizon.
std::vector< std::vector< std::int64_t > >	forward_mid

Member Function Documentation

size()

std::size_t fastmm::research::FeatureRows::size ( ) const

inlinenoexcept

reserve()

void fastmm::research::FeatureRows::reserve

(

std::size_t

n

)

clear()

void fastmm::research::FeatureRows::clear ( )

noexcept

Member Data Documentation

ts

std::vector<std::int64_t> fastmm::research::FeatureRows::ts

venue time of the event that produced the row

instrument

std::vector<std::uint32_t> fastmm::research::FeatureRows::instrument

mid

std::vector<std::int64_t> fastmm::research::FeatureRows::mid

(best bid + best ask) / 2, raw 1e-8

microprice

std::vector<std::int64_t> fastmm::research::FeatureRows::microprice

fastmm::microprice(book), raw 1e-8

best_bid

std::vector<std::int64_t> fastmm::research::FeatureRows::best_bid

best_ask

std::vector<std::int64_t> fastmm::research::FeatureRows::best_ask

bid_qty

std::vector<std::int64_t> fastmm::research::FeatureRows::bid_qty

displayed quantity at the best bid, raw 1e-8

ask_qty

std::vector<std::int64_t> fastmm::research::FeatureRows::ask_qty

imbalance

std::vector<std::int64_t> fastmm::research::FeatureRows::imbalance

fastmm::imbalance(book, levels), Ratio raw 1e-8

spread

std::vector<std::int64_t> fastmm::research::FeatureRows::spread

best ask - best bid, raw 1e-8

horizon_ns

std::vector<std::int64_t> fastmm::research::FeatureRows::horizon_ns

Horizons in nanoseconds, and the venue mid at ts + horizon.

forward_mid[h][i] is 0 when that row has no value at horizon h; it is excluded there, never marked at a substitute price.

forward_mid

std::vector<std::vector<std::int64_t> > fastmm::research::FeatureRows::forward_mid