fastmm::research::SignalBucket Struct Reference

#include <fastmm/research/signal_eval.hpp>

Public Attributes
double	lo = 0.0
	signal range of the bucket, inclusive
double	hi = 0.0
std::uint64_t	n = 0
double	mean_signal = 0.0
double	forward_bps = 0.0
	mean (forward mid - mid) / mid, basis points
double	buy_bps = 0.0
	resting bid filled at the touch, marked at the horizon
double	sell_bps = 0.0
	resting ask filled at the touch, marked at the horizon
double	half_spread_bps = 0.0
	(mid - best bid) / mid; (buy_bps + sell_bps) / 2

Member Data Documentation

lo

double fastmm::research::SignalBucket::lo = 0.0

signal range of the bucket, inclusive

hi

double fastmm::research::SignalBucket::hi = 0.0

n

std::uint64_t fastmm::research::SignalBucket::n = 0

mean_signal

double fastmm::research::SignalBucket::mean_signal = 0.0

forward_bps

double fastmm::research::SignalBucket::forward_bps = 0.0

mean (forward mid - mid) / mid, basis points

buy_bps

double fastmm::research::SignalBucket::buy_bps = 0.0

resting bid filled at the touch, marked at the horizon

sell_bps

double fastmm::research::SignalBucket::sell_bps = 0.0

resting ask filled at the touch, marked at the horizon

half_spread_bps

double fastmm::research::SignalBucket::half_spread_bps = 0.0

(mid - best bid) / mid; (buy_bps + sell_bps) / 2