The executor that sends a runner's orders and cancellations through a broker session. More...

#include <algotradelib/src/live/session_executor.hpp>

Public Types
using	Caps = typename Session::Caps
	The broker's capabilities, from the session.
using	BrokerTag = typename Session::BrokerTag
	The broker tag, from the session.

Public Member Functions
	SessionExecutor (Session &session, Venue default_route=Venue::UNSPECIFIED)
	Constructs an executor for a session.
Venue	default_route () const noexcept
	Returns the venue an order that names none is sent to.
Venue	requested_route (Venue asked) const noexcept
	Returns the venue this executor requests for an order.
Venue	effective_route (Venue asked) const noexcept
	Returns the route an order is sent with, for the journal to record before sending (for SOR, COMBINED, not the venue it executes on).
runner::SendOutcome	place (const strategy::PlannedOrder &order)
	Places one order.
runner::SendOutcome	cancel (const WorkingOrder< BrokerTag > &working)
	Cancels the whole remaining quantity of a working order.
std::optional< Decimal64 >	sellable_quantity (const InstrumentId &instrument)
	Asks the broker how much of an instrument may be sold, where the broker answers that by a separate inquiry (SellableSource::INQUIRY).
const std::optional< OrderRef< BrokerTag > > &	last_ref () const noexcept
	Returns the reference the broker issued for the last accepted order.
const std::optional< BrokerError > &	last_error () const noexcept
	Returns why the last instruction failed.

Static Public Member Functions
static constexpr SellableBasis	sellable_inquiry_basis ()
	Returns what the broker's sellable-quantity inquiry establishes, recorded with each figure.

Static Public Attributes
static constexpr bool	reaches_a_broker = true
	true: a runner built on this executor requires holdings to have been read before it places, however the runner was assembled (see Runner::allow_absent_portfolio).
static constexpr bool	inquires_sellable = Caps::sellable_source == SellableSource::INQUIRY
	true if the sellable quantity is a separate inquiry (one request per instrument sold).

Detailed Description

template<typename Session>
class algotradelib::live::SessionExecutor< Session >

The executor that sends a runner's orders and cancellations through a broker session.

It copies a strategy::PlannedOrder into an OrderRequest (prices and quantities are already on the grid) and classifies a failure with runner::outcome_of. Usually made by bind or bind_journaled.

Template Parameters

Session The broker session type (it must not be a market-data-only session).

Definition at line 25 of file session_executor.hpp.

Member Typedef Documentation

◆ BrokerTag

template<typename Session>

using algotradelib::live::SessionExecutor< Session >::BrokerTag = typename Session::BrokerTag

The broker tag, from the session.

Definition at line 36 of file session_executor.hpp.

◆ Caps

template<typename Session>

using algotradelib::live::SessionExecutor< Session >::Caps = typename Session::Caps

The broker's capabilities, from the session.

Definition at line 34 of file session_executor.hpp.

Constructor & Destructor Documentation

◆ SessionExecutor()

template<typename Session>

algotradelib::live::SessionExecutor< Session >::SessionExecutor	(	Session &	session,
		Venue	default_route = Venue::UNSPECIFIED )

inlineexplicit

Constructs an executor for a session.

Parameters

session	The session; borrowed, and must outlive the executor.
default_route	The venue for an order that names none; see default_route().

Definition at line 50 of file session_executor.hpp.

Member Function Documentation

◆ cancel()

template<typename Session>

runner::SendOutcome algotradelib::live::SessionExecutor< Session >::cancel ( const WorkingOrder< BrokerTag > & working )

inline

Cancels the whole remaining quantity of a working order.

An order with no broker reference is refused (REFUSED_LOCALLY) without a request.

Parameters

working The order, as listed (or reserved).

Returns: The outcome (accepted means the request was accepted, not that the order is gone).

Definition at line 160 of file session_executor.hpp.

◆ default_route()

template<typename Session>

Venue algotradelib::live::SessionExecutor< Session >::default_route ( ) const

inlinenoexcept

Returns the venue an order that names none is sent to.

A strategy's orders name no venue, so this is the route of every order a runner plans; an order that names a venue keeps it. The runner writes the route into the order before sending, so the journal and reports name it.

UNSPECIFIED (the default) takes the broker's own default: KRX at KIS, none needed at Toss, and a refusal at Kiwoom, which has no default (give Venue::KRX, Venue::NXT, or Venue::COMBINED for its SOR). At KIS, Venue::COMBINED selects SOR, which a demo account refuses. A route the broker cannot take is refused before any request.

Warning: Prefer Venue::KRX or Venue::NXT to Venue::COMBINED until SOR orders have been seen listed on your account. Journal recovery matches a listed order to the recorded route; if the broker lists a SOR order under the venue where it rests, recovery can conclude the order was never placed, and a restarted runner could send it again. Neither broker's SOR listing has been observed.

Returns: The default route.

Definition at line 73 of file session_executor.hpp.

Referenced by SessionExecutor().

◆ effective_route()

template<typename Session>

Venue algotradelib::live::SessionExecutor< Session >::effective_route ( Venue asked ) const

inlinenoexcept

Returns the route an order is sent with, for the journal to record before sending (for SOR, COMBINED, not the venue it executes on).

default_route() is applied first; then the broker's traits say where an unspecified venue goes (KRX at KIS). A session whose traits do not say returns the requested route.

Parameters

asked The order's venue.

Returns: The venue.

Definition at line 94 of file session_executor.hpp.

◆ last_error()

template<typename Session>

const std::optional< BrokerError > & algotradelib::live::SessionExecutor< Session >::last_error ( ) const

inlinenoexcept

Returns why the last instruction failed.

Returns: The error, or empty if the last instruction succeeded.

Definition at line 237 of file session_executor.hpp.

◆ last_ref()

template<typename Session>

const std::optional< OrderRef< BrokerTag > > & algotradelib::live::SessionExecutor< Session >::last_ref ( ) const

inlinenoexcept

Returns the reference the broker issued for the last accepted order.

Returns: The reference, or empty if no order was accepted yet.

Definition at line 231 of file session_executor.hpp.

◆ place()

template<typename Session>

runner::SendOutcome algotradelib::live::SessionExecutor< Session >::place ( const strategy::PlannedOrder & order )

inline

Places one order.

An order with an idempotency key (client_order_id_) at a broker that accepts none is refused (REFUSED_LOCALLY), not sent without the key.

Parameters

order The order.

Returns: The outcome; on failure last_error() says why, and on success last_ref() is the broker's reference.

Definition at line 108 of file session_executor.hpp.

◆ requested_route()

template<typename Session>

Venue algotradelib::live::SessionExecutor< Session >::requested_route ( Venue asked ) const

inlinenoexcept

Returns the venue this executor requests for an order.

Parameters

asked The order's venue.

Returns: asked, or default_route() if asked is UNSPECIFIED.

Definition at line 80 of file session_executor.hpp.

Referenced by effective_route(), and place().

◆ sellable_inquiry_basis()

template<typename Session>

constexpr SellableBasis algotradelib::live::SessionExecutor< Session >::sellable_inquiry_basis ( )

inlinestaticconstexpr

Returns what the broker's sellable-quantity inquiry establishes, recorded with each figure.

Returns: The basis.

Definition at line 221 of file session_executor.hpp.

◆ sellable_quantity()

template<typename Session>

std::optional< Decimal64 > algotradelib::live::SessionExecutor< Session >::sellable_quantity ( const InstrumentId & instrument )

inline

Asks the broker how much of an instrument may be sold, where the broker answers that by a separate inquiry (SellableSource::INQUIRY).

Elsewhere the figure comes with the holdings, and this returns std::nullopt without a request.

Parameters

instrument The instrument.

Returns: The quantity, or std::nullopt if not asked or the inquiry failed (last_error() says why); the runner treats an unknown quantity as nothing sellable.

Definition at line 199 of file session_executor.hpp.

Member Data Documentation

◆ inquires_sellable

template<typename Session>

bool algotradelib::live::SessionExecutor< Session >::inquires_sellable = Caps::sellable_source == SellableSource::INQUIRY

staticconstexpr

true if the sellable quantity is a separate inquiry (one request per instrument sold).

Definition at line 215 of file session_executor.hpp.

◆ reaches_a_broker

template<typename Session>

bool algotradelib::live::SessionExecutor< Session >::reaches_a_broker = true

staticconstexpr

true: a runner built on this executor requires holdings to have been read before it places, however the runner was assembled (see Runner::allow_absent_portfolio).

Definition at line 32 of file session_executor.hpp.

The documentation for this class was generated from the following file:

algotradelib/src/live/session_executor.hpp

Public Types

Public Member Functions

Static Public Member Functions

Static Public Attributes

Detailed Description

Member Typedef Documentation

◆ BrokerTag

◆ Caps

Constructor & Destructor Documentation

◆ SessionExecutor()

Member Function Documentation

◆ cancel()

◆ default_route()

◆ effective_route()

◆ last_error()

◆ last_ref()

◆ place()

◆ requested_route()

◆ sellable_inquiry_basis()

◆ sellable_quantity()

Member Data Documentation

◆ inquires_sellable

◆ reaches_a_broker