One order a strategy asks the runner to place. More...

#include <algotradelib/src/strategy/intent.hpp>

Public Member Functions
OrderIntent	with_tag (std::string tag) const
	Returns a copy with a tag.
OrderIntent	with_client_order_id (std::string key) const
	Returns a copy with a broker idempotency key.
const InstrumentId &	instrument () const noexcept
	Returns the instrument to trade.
OrderSide	side () const noexcept
	Returns the side.
OrderType	type () const noexcept
	Returns the order type.
TimeInForce	time_in_force () const noexcept
	Returns how long the order stays valid.
const SizeSpec &	size () const noexcept
	Returns how much to trade.
const std::optional< Price > &	limit () const noexcept
	Returns the limit price.
const std::optional< Price > &	trigger () const noexcept
	Returns the trigger price.
const std::string &	tag () const noexcept
	Returns the tag.
const std::optional< std::string > &	client_order_id () const noexcept
	Returns the idempotency key.

Static Public Member Functions
static OrderIntent	limit (InstrumentId instrument, OrderSide side, SizeSpec size, Price limit, TimeInForce time_in_force=TimeInForce::DAY)
	Makes a limit order.
static OrderIntent	stop_limit (InstrumentId instrument, OrderSide side, SizeSpec size, Price trigger, Price limit, TimeInForce time_in_force=TimeInForce::DAY)
	Makes a stop-limit order: a limit order the broker releases when the trigger price is reached.
static OrderIntent	market (InstrumentId instrument, OrderSide side, SizeSpec size, TimeInForce time_in_force=TimeInForce::DAY)
	Makes a market order, which carries no price.

Detailed Description

One order a strategy asks the runner to place.

Make one with limit, market or stop_limit; add a tag with with_tag and an idempotency key with with_client_order_id. Submit it with ctx.submit(intent).

Definition at line 249 of file intent.hpp.

Member Function Documentation

◆ client_order_id()

const std::optional< std::string > & algotradelib::strategy::OrderIntent::client_order_id ( ) const

inlinenoexcept

Returns the idempotency key.

Returns: The key set with with_client_order_id, or std::nullopt.

Definition at line 416 of file intent.hpp.

Referenced by algotradelib::strategy::reconcile(), and algotradelib::strategy::weight_target().

◆ instrument()

const InstrumentId & algotradelib::strategy::OrderIntent::instrument ( ) const

inlinenoexcept

Returns the instrument to trade.

Returns: The instrument.

Definition at line 368 of file intent.hpp.

Referenced by limit(), market(), algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ limit() [1/2]

const std::optional< Price > & algotradelib::strategy::OrderIntent::limit ( ) const

inlinenoexcept

Returns the limit price.

Returns: The price for a limit or stop-limit order; std::nullopt for a market order.

Definition at line 398 of file intent.hpp.

◆ limit() [2/2]

OrderIntent algotradelib::strategy::OrderIntent::limit	(	InstrumentId	instrument,
		OrderSide	side,
		SizeSpec	size,
		Price	limit,
		TimeInForce	time_in_force = TimeInForce::DAY )

inlinestatic

Makes a limit order.

Parameters

instrument	The instrument to trade.
side	Buy or sell.
size	How much to trade; see SizeSpec.
limit	The limit price.
time_in_force	How long the order stays valid.

Returns: The intent.

Definition at line 261 of file intent.hpp.

Referenced by limit(), algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ market()

OrderIntent algotradelib::strategy::OrderIntent::market	(	InstrumentId	instrument,
		OrderSide	side,
		SizeSpec	size,
		TimeInForce	time_in_force = TimeInForce::DAY )

inlinestatic

Makes a market order, which carries no price.

Parameters

instrument	The instrument to trade.
side	Buy or sell.
size	How much to trade; see SizeSpec.
time_in_force	How long the order stays valid.

Returns: The intent.

Definition at line 322 of file intent.hpp.

Referenced by algotradelib::strategy::vanilla::EqualWeightRebalance::on_phase().

◆ side()

OrderSide algotradelib::strategy::OrderIntent::side ( ) const

inlinenoexcept

Returns the side.

Returns: Buy or sell.

Definition at line 374 of file intent.hpp.

Referenced by limit(), market(), algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ size()

const SizeSpec & algotradelib::strategy::OrderIntent::size ( ) const

inlinenoexcept

Returns how much to trade.

Returns: The size.

Definition at line 392 of file intent.hpp.

Referenced by limit(), market(), algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ stop_limit()

OrderIntent algotradelib::strategy::OrderIntent::stop_limit	(	InstrumentId	instrument,
		OrderSide	side,
		SizeSpec	size,
		Price	trigger,
		Price	limit,
		TimeInForce	time_in_force = TimeInForce::DAY )

inlinestatic

Makes a stop-limit order: a limit order the broker releases when the trigger price is reached.

Which direction of move reaches the trigger, and how the trigger may relate to the limit, is the broker's rule and is not checked here. A backtest models the release and the fill with stated assumptions and counts them in ReportCaveats; see NextBarFillModel::decide.

Parameters

instrument	The instrument to trade.
side	Buy or sell.
size	How much to trade; see SizeSpec.
trigger	The price that releases the order.
limit	The limit price once released.
time_in_force	How long the order stays valid.

Returns: The intent.

Definition at line 294 of file intent.hpp.

◆ tag()

const std::string & algotradelib::strategy::OrderIntent::tag ( ) const

inlinenoexcept

Returns the tag.

Returns: The label set with with_tag, or an empty string.

Definition at line 410 of file intent.hpp.

Referenced by algotradelib::strategy::reconcile(), algotradelib::strategy::weight_target(), and with_tag().

◆ time_in_force()

TimeInForce algotradelib::strategy::OrderIntent::time_in_force ( ) const

inlinenoexcept

Returns how long the order stays valid.

Returns: The time in force.

Definition at line 386 of file intent.hpp.

Referenced by limit(), market(), algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ trigger()

const std::optional< Price > & algotradelib::strategy::OrderIntent::trigger ( ) const

inlinenoexcept

Returns the trigger price.

Returns: The trigger for a stop-limit order; std::nullopt otherwise.

Definition at line 404 of file intent.hpp.

Referenced by algotradelib::strategy::reconcile(), stop_limit(), and algotradelib::strategy::weight_target().

◆ type()

OrderType algotradelib::strategy::OrderIntent::type ( ) const

inlinenoexcept

Returns the order type.

Returns: LIMIT, MARKET or STOP_LIMIT.

Definition at line 380 of file intent.hpp.

◆ with_client_order_id()

OrderIntent algotradelib::strategy::OrderIntent::with_client_order_id ( std::string key ) const

inline

Returns a copy with a broker idempotency key.

Set it only where Ctx::caps::has_client_order_id is true (test it with if constexpr): a runner whose broker has no idempotency key refuses the intent rather than dropping the key.

Parameters

key The key.

Returns: The copy carrying key.

Definition at line 358 of file intent.hpp.

◆ with_tag()

OrderIntent algotradelib::strategy::OrderIntent::with_tag ( std::string tag ) const

inline

Returns a copy with a tag.

Parameters

tag	A label of your choice, carried to the order and its fills; the library does not interpret it.

Returns: The tagged copy.

Definition at line 343 of file intent.hpp.

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

algotradelib/src/strategy/intent.hpp

Public Member Functions

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ client_order_id()

◆ instrument()

◆ limit() [1/2]

◆ limit() [2/2]

◆ market()

◆ side()

◆ size()

◆ stop_limit()

◆ tag()

◆ time_in_force()

◆ trigger()

◆ type()

◆ with_client_order_id()

◆ with_tag()