What a strategy's handlers receive as ctx: everything the strategy may read, and where it queues what it wants. More...

#include <algotradelib/src/runner/context.hpp>

Inheritance diagram for algotradelib::runner::Context< BrokerTag, CapsType >:

Classes
class	Log
	A log that keeps lines in memory for the runner to emit or a test to read. More...

Public Types
using	Broker = BrokerTag
	The broker tag of the order references.
using	caps = CapsType
	The broker capabilities, for if constexpr (Ctx::caps::has_depth) and the like.

Public Member Functions
	Context (const Context &)=delete
	Deleted: a context cannot be copied, so a handler cannot take it by value.
Context &	operator= (const Context &)=delete
	Deleted: a context cannot be copied.
	Context (Context &&)=default
	Move constructor: takes the state of the context passed in, which is left valid but unspecified.
Context &	operator= (Context &&)=default
	Move assignment: takes the other context's state.
	Context (std::size_t series_capacity=512)
	Constructs a context.
std::chrono::system_clock::time_point	now () const noexcept
	Returns the instant the runner is acting at.
MarketPhase	phase () const noexcept
	Returns the market phase.
const TradingCalendar &	calendar () const noexcept
	Returns the trading calendar the runner last read.
const Portfolio< BrokerTag > &	portfolio () const noexcept
	Returns the portfolio: positions, buying power and the orders still working.
std::optional< Instrument >	instrument (const InstrumentId &id) const
	Returns an instrument's reference data, including its price grid.
std::optional< Decimal64 >	last_price (const InstrumentId &id) const
	Returns the latest price seen for an instrument (a quote's last price or a bar's close).
Log &	log () noexcept
	Returns the log.
void	submit (OrderIntent intent)
	Queues an order; the runner checks and sends it after the handler returns.
void	submit (TargetPosition target)
	Queues a target position; the runner trades the difference from the portfolio.
void	cancel (const OrderRef< BrokerTag > &ref, std::string tag={})
	Queues a cancellation of a working order.
const std::vector< Instruction< BrokerTag > > &	queued () const noexcept
	Returns the queued requests without removing them (for runners).
std::vector< Instruction< BrokerTag > >	drain ()
	Removes and returns the queued requests (for runners).
void	set_now (std::chrono::system_clock::time_point when) noexcept
	Sets the current instant (for runners).
void	set_phase (MarketPhase phase) noexcept
	Sets the market phase (for runners).
void	set_calendar (TradingCalendar calendar)
	Replaces the trading calendar (for runners and sources, not strategies).
void	set_portfolio (Portfolio< BrokerTag > portfolio)
	Replaces the portfolio (for runners).
void	set_instrument (Instrument reference)
	Adds or replaces an instrument's reference data.
void	set_last_price (const InstrumentId &id, Decimal64 price)
	Records an instrument's latest price, used to value market orders and size notionals.

Detailed Description

template<typename BrokerTag, typename CapsType>
class algotradelib::runner::Context< BrokerTag, CapsType >

What a strategy's handlers receive as ctx: everything the strategy may read, and where it queues what it wants.

The same type in a dry run, a live session and a backtest. Nothing here performs I/O: every read comes from caches the runner filled, and submit and cancel only queue requests, which the runner checks and sends after the handler returns. The members under "What the runner uses" are for runners, not strategies.

Template Parameters

BrokerTag	The broker tag of order references (a strategy reads them with auto).
CapsType	The broker capabilities, exposed as caps for if constexpr.

Definition at line 81 of file context.hpp.

Member Typedef Documentation

◆ Broker

template<typename BrokerTag, typename CapsType>

using algotradelib::runner::Context< BrokerTag, CapsType >::Broker = BrokerTag

The broker tag of the order references.

Definition at line 84 of file context.hpp.

◆ caps

template<typename BrokerTag, typename CapsType>

using algotradelib::runner::Context< BrokerTag, CapsType >::caps = CapsType

The broker capabilities, for if constexpr (Ctx::caps::has_depth) and the like.

Definition at line 86 of file context.hpp.

Constructor & Destructor Documentation

◆ Context() [1/2]

template<typename BrokerTag, typename CapsType>

algotradelib::runner::Context< BrokerTag, CapsType >::Context ( const Context< BrokerTag, CapsType > & )

delete

Deleted: a context cannot be copied, so a handler cannot take it by value.

Referenced by Context(), Context(), operator=(), and operator=().

◆ Context() [2/2]

template<typename BrokerTag, typename CapsType>

algotradelib::runner::Context< BrokerTag, CapsType >::Context ( std::size_t series_capacity = 512 )

inlineexplicit

Constructs a context.

Parameters

series_capacity How many trailing bars each cached series keeps; must be positive with a linear algebra backend, or the first record_bar throws.

Definition at line 144 of file context.hpp.

Member Function Documentation

◆ calendar()

template<typename BrokerTag, typename CapsType>

const TradingCalendar & algotradelib::runner::Context< BrokerTag, CapsType >::calendar ( ) const

inlinenoexcept

Returns the trading calendar the runner last read.

Returns: The calendar; empty if none was read.

Definition at line 164 of file context.hpp.

Referenced by set_calendar().

◆ cancel()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::cancel	(	const OrderRef< BrokerTag > &	ref,
		std::string	tag = {} )

inline

Queues a cancellation of a working order.

Parameters

ref	The order, from portfolio().working_.
tag	A label for the cancellation.

Definition at line 247 of file context.hpp.

◆ drain()

template<typename BrokerTag, typename CapsType>

std::vector< Instruction< BrokerTag > > algotradelib::runner::Context< BrokerTag, CapsType >::drain ( )

inline

Removes and returns the queued requests (for runners).

Returns: The requests, in order.

Definition at line 263 of file context.hpp.

◆ instrument()

template<typename BrokerTag, typename CapsType>

std::optional< Instrument > algotradelib::runner::Context< BrokerTag, CapsType >::instrument ( const InstrumentId & id ) const

inline

Returns an instrument's reference data, including its price grid.

Parameters

id	The instrument.

Returns: The reference data, or std::nullopt if the runner has not loaded it.

Definition at line 177 of file context.hpp.

◆ last_price()

template<typename BrokerTag, typename CapsType>

std::optional< Decimal64 > algotradelib::runner::Context< BrokerTag, CapsType >::last_price ( const InstrumentId & id ) const

inline

Returns the latest price seen for an instrument (a quote's last price or a bar's close).

Parameters

id	The instrument.

Returns: The price, or std::nullopt if none has been seen.

Definition at line 190 of file context.hpp.

◆ log()

template<typename BrokerTag, typename CapsType>

Log & algotradelib::runner::Context< BrokerTag, CapsType >::log ( )

inlinenoexcept

Returns the log.

Returns: The log.

Definition at line 226 of file context.hpp.

◆ now()

template<typename BrokerTag, typename CapsType>

std::chrono::system_clock::time_point algotradelib::runner::Context< BrokerTag, CapsType >::now ( ) const

inlinenoexcept

Returns the instant the runner is acting at.

Returns: The current instant (a replay's clock in a backtest).

Definition at line 152 of file context.hpp.

◆ operator=() [1/2]

template<typename BrokerTag, typename CapsType>

Context & algotradelib::runner::Context< BrokerTag, CapsType >::operator= ( const Context< BrokerTag, CapsType > & )

delete

Deleted: a context cannot be copied.

Returns: Not callable.

◆ operator=() [2/2]

template<typename BrokerTag, typename CapsType>

Context & algotradelib::runner::Context< BrokerTag, CapsType >::operator= ( Context< BrokerTag, CapsType > && )

default

Move assignment: takes the other context's state.

Returns: *this.

◆ phase()

template<typename BrokerTag, typename CapsType>

MarketPhase algotradelib::runner::Context< BrokerTag, CapsType >::phase ( ) const

inlinenoexcept

Returns the market phase.

Returns: The phase.

Definition at line 158 of file context.hpp.

Referenced by set_phase().

◆ portfolio()

template<typename BrokerTag, typename CapsType>

const Portfolio< BrokerTag > & algotradelib::runner::Context< BrokerTag, CapsType >::portfolio ( ) const

inlinenoexcept

Returns the portfolio: positions, buying power and the orders still working.

Returns: The portfolio.

Definition at line 170 of file context.hpp.

Referenced by set_portfolio().

◆ queued()

template<typename BrokerTag, typename CapsType>

const std::vector< Instruction< BrokerTag > > & algotradelib::runner::Context< BrokerTag, CapsType >::queued ( ) const

inlinenoexcept

Returns the queued requests without removing them (for runners).

Returns: The requests, in order.

Definition at line 257 of file context.hpp.

◆ set_calendar()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_calendar ( TradingCalendar calendar )

inline

Replaces the trading calendar (for runners and sources, not strategies).

A strategy should only read calendar(): an order submitted in the same handler call that changed the calendar is checked against the phase from before the change. runner::LoopReport::sends_under_a_revised_phase_ counts such sends.

Parameters

calendar The calendar.

Definition at line 290 of file context.hpp.

Referenced by algotradelib::runner::ManualSource< Runner >::poll().

◆ set_instrument()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_instrument ( Instrument reference )

inline

Adds or replaces an instrument's reference data.

Parameters

reference The reference data.

Definition at line 302 of file context.hpp.

◆ set_last_price()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_last_price	(	const InstrumentId &	id,
		Decimal64	price )

inline

Records an instrument's latest price, used to value market orders and size notionals.

Parameters

id	The instrument.
price	The price.

Definition at line 312 of file context.hpp.

◆ set_now()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_now ( std::chrono::system_clock::time_point when )

inlinenoexcept

Sets the current instant (for runners).

Parameters

when	The instant.

Definition at line 273 of file context.hpp.

◆ set_phase()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_phase ( MarketPhase phase )

inlinenoexcept

Sets the market phase (for runners).

Parameters

phase The phase.

Definition at line 279 of file context.hpp.

◆ set_portfolio()

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::set_portfolio ( Portfolio< BrokerTag > portfolio )

inline

Replaces the portfolio (for runners).

Parameters

portfolio The portfolio.

Definition at line 296 of file context.hpp.

◆ submit() [1/2]

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::submit ( OrderIntent intent )

inline

Queues an order; the runner checks and sends it after the handler returns.

Parameters

intent The order.

Definition at line 234 of file context.hpp.

◆ submit() [2/2]

template<typename BrokerTag, typename CapsType>

void algotradelib::runner::Context< BrokerTag, CapsType >::submit ( TargetPosition target )

inline

Queues a target position; the runner trades the difference from the portfolio.

Parameters

target The target.

Definition at line 240 of file context.hpp.

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

algotradelib/src/runner/context.hpp

Classes

Public Types

Public Member Functions

Detailed Description

Member Typedef Documentation

◆ Broker

◆ caps

Constructor & Destructor Documentation

◆ Context() [1/2]

◆ Context() [2/2]

Member Function Documentation

◆ calendar()

◆ cancel()

◆ drain()

◆ instrument()

◆ last_price()

◆ log()

◆ now()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ phase()

◆ portfolio()

◆ queued()

◆ set_calendar()

◆ set_instrument()

◆ set_last_price()

◆ set_now()

◆ set_phase()

◆ set_portfolio()

◆ submit() [1/2]

◆ submit() [2/2]