A context for testing a strategy without a runner: it records what the strategy asks for. More...

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

Inheritance diagram for algotradelib::strategy::ProbeContextT< CapsType >:

Collaboration diagram for algotradelib::strategy::ProbeContextT< CapsType >:

Classes
class	Log
	A log that keeps each line in memory for a test to read. More...

Public Types
using	Broker = ProbeBroker
	The broker tag; see ProbeBroker.
using	caps = CapsType
	The broker capabilities the strategy sees.

Public Member Functions
	ProbeContextT ()=default
	Constructs an empty probe.
	ProbeContextT (const ProbeContextT &)=delete
	Deleted: like a runner's context, a probe cannot be copied.
ProbeContextT &	operator= (const ProbeContextT &)=delete
	Deleted: a probe cannot be copied.
	ProbeContextT (ProbeContextT &&)=default
	Move constructor: takes the other probe's state.
ProbeContextT &	operator= (ProbeContextT &&)=default
	Move assignment: takes the other probe's state.
std::chrono::system_clock::time_point	now () const noexcept
	Returns the current instant.
MarketPhase	phase () const noexcept
	Returns the market phase.
const TradingCalendar &	calendar () const noexcept
	Returns the trading calendar.
const Portfolio< ProbeBroker > &	portfolio () const noexcept
	Returns the portfolio.
std::optional< Instrument >	instrument (const InstrumentId &id) const
	Looks up an instrument's reference data in instruments_.
void	submit (OrderIntent intent)
	Records an order intent.
void	submit (TargetPosition target)
	Records a target position.
void	cancel (const OrderRef< ProbeBroker > &ref)
	Records a cancellation.
Log &	log () noexcept
	Returns the log.
const std::vector< OrderIntent > &	submitted () const noexcept
	Returns the order intents submitted.
const std::vector< TargetPosition > &	targets () const noexcept
	Returns the target positions submitted.
const std::vector< CancelIntent< ProbeBroker > > &	canceled () const noexcept
	Returns the cancellations requested.

Public Attributes
std::chrono::system_clock::time_point	now_ {}
	The instant now() returns.
MarketPhase	phase_ {MarketPhase::OPEN}
	The phase phase() returns.
TradingCalendar	calendar_
	The calendar calendar() returns.
Portfolio< ProbeBroker >	portfolio_
	The portfolio portfolio() returns.
std::vector< Instrument >	instruments_
	The reference data instrument() searches.

Detailed Description

template<typename CapsType>
class algotradelib::strategy::ProbeContextT< CapsType >

A context for testing a strategy without a runner: it records what the strategy asks for.

Set the public fields (now_, phase_, calendar_, portfolio_, instruments_), call a handler, then read submitted(), targets(), canceled() and log().lines(). ATL_ASSERT_STRATEGY(S, MinimalContext) compiles a strategy's handlers against it.

It has no series accessors (bars, frame, panel), so it needs no linear algebra backend; a strategy that reads series is checked by the runner it is bound to.

Template Parameters

CapsType The broker capabilities the strategy sees as Ctx::caps; see NoCaps and AllCaps.

Definition at line 509 of file concept.hpp.

Member Typedef Documentation

◆ Broker

template<typename CapsType>

using algotradelib::strategy::ProbeContextT< CapsType >::Broker = ProbeBroker

The broker tag; see ProbeBroker.

Definition at line 512 of file concept.hpp.

◆ caps

template<typename CapsType>

using algotradelib::strategy::ProbeContextT< CapsType >::caps = CapsType

The broker capabilities the strategy sees.

Definition at line 514 of file concept.hpp.

Member Function Documentation

◆ calendar()

template<typename CapsType>

const TradingCalendar & algotradelib::strategy::ProbeContextT< CapsType >::calendar ( ) const

inlinenoexcept

Returns the trading calendar.

Returns: calendar_.

Definition at line 567 of file concept.hpp.

◆ cancel()

template<typename CapsType>

void algotradelib::strategy::ProbeContextT< CapsType >::cancel ( const OrderRef< ProbeBroker > & ref )

inline

Records a cancellation.

Parameters

ref	The order to cancel, appended to canceled().

Definition at line 606 of file concept.hpp.

◆ canceled()

template<typename CapsType>

const std::vector< CancelIntent< ProbeBroker > > & algotradelib::strategy::ProbeContextT< CapsType >::canceled ( ) const

inlinenoexcept

Returns the cancellations requested.

Returns: The cancellations, in order.

Definition at line 630 of file concept.hpp.

◆ instrument()

template<typename CapsType>

std::optional< Instrument > algotradelib::strategy::ProbeContextT< CapsType >::instrument ( const InstrumentId & id ) const

inline

Looks up an instrument's reference data in instruments_.

Parameters

id	The instrument.

Returns: Its reference data, or std::nullopt if the test provided none.

Definition at line 581 of file concept.hpp.

◆ log()

template<typename CapsType>

Log & algotradelib::strategy::ProbeContextT< CapsType >::log ( )

inlinenoexcept

Returns the log.

Returns: The recording log.

Definition at line 614 of file concept.hpp.

◆ now()

template<typename CapsType>

std::chrono::system_clock::time_point algotradelib::strategy::ProbeContextT< CapsType >::now ( ) const

inlinenoexcept

Returns the current instant.

Returns: now_.

Definition at line 555 of file concept.hpp.

◆ operator=() [1/2]

template<typename CapsType>

ProbeContextT & algotradelib::strategy::ProbeContextT< CapsType >::operator= ( const ProbeContextT< CapsType > & )

delete

Deleted: a probe cannot be copied.

Returns: Not callable.

◆ operator=() [2/2]

template<typename CapsType>

ProbeContextT & algotradelib::strategy::ProbeContextT< CapsType >::operator= ( ProbeContextT< CapsType > && )

default

Move assignment: takes the other probe's state.

Returns: *this.

◆ phase()

template<typename CapsType>

MarketPhase algotradelib::strategy::ProbeContextT< CapsType >::phase ( ) const

inlinenoexcept

Returns the market phase.

Returns: phase_.

Definition at line 561 of file concept.hpp.

◆ portfolio()

template<typename CapsType>

const Portfolio< ProbeBroker > & algotradelib::strategy::ProbeContextT< CapsType >::portfolio ( ) const

inlinenoexcept

Returns the portfolio.

Returns: portfolio_.

Definition at line 573 of file concept.hpp.

◆ submit() [1/2]

template<typename CapsType>

void algotradelib::strategy::ProbeContextT< CapsType >::submit ( OrderIntent intent )

inline

Records an order intent.

Parameters

intent The intent, appended to submitted().

Definition at line 594 of file concept.hpp.

◆ submit() [2/2]

template<typename CapsType>

void algotradelib::strategy::ProbeContextT< CapsType >::submit ( TargetPosition target )

inline

Records a target position.

Parameters

target The target, appended to targets().

Definition at line 600 of file concept.hpp.

◆ submitted()

template<typename CapsType>

const std::vector< OrderIntent > & algotradelib::strategy::ProbeContextT< CapsType >::submitted ( ) const

inlinenoexcept

Returns the order intents submitted.

Returns: The intents, in order.

Definition at line 620 of file concept.hpp.

◆ targets()

template<typename CapsType>

const std::vector< TargetPosition > & algotradelib::strategy::ProbeContextT< CapsType >::targets ( ) const

inlinenoexcept

Returns the target positions submitted.

Returns: The targets, in order.

Definition at line 625 of file concept.hpp.

Member Data Documentation

◆ calendar_

template<typename CapsType>

TradingCalendar algotradelib::strategy::ProbeContextT< CapsType >::calendar_

The calendar calendar() returns.

Definition at line 637 of file concept.hpp.

◆ instruments_

template<typename CapsType>

std::vector<Instrument> algotradelib::strategy::ProbeContextT< CapsType >::instruments_

The reference data instrument() searches.

Definition at line 641 of file concept.hpp.

◆ now_

template<typename CapsType>

std::chrono::system_clock::time_point algotradelib::strategy::ProbeContextT< CapsType >::now_ {}

The instant now() returns.

Definition at line 633 of file concept.hpp.

◆ phase_

template<typename CapsType>

MarketPhase algotradelib::strategy::ProbeContextT< CapsType >::phase_ {MarketPhase::OPEN}

The phase phase() returns.

Definition at line 635 of file concept.hpp.

◆ portfolio_

template<typename CapsType>

Portfolio<ProbeBroker> algotradelib::strategy::ProbeContextT< CapsType >::portfolio_

The portfolio portfolio() returns.

Definition at line 639 of file concept.hpp.

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

algotradelib/src/strategy/concept.hpp

Classes

Public Types

Public Member Functions

Public Attributes

Detailed Description

Member Typedef Documentation

◆ Broker

◆ caps

Member Function Documentation

◆ calendar()

◆ cancel()

◆ canceled()

◆ instrument()

◆ log()

◆ now()

◆ operator=() [1/2]

◆ operator=() [2/2]

◆ phase()

◆ portfolio()

◆ submit() [1/2]

◆ submit() [2/2]

◆ submitted()

◆ targets()

Member Data Documentation

◆ calendar_

◆ instruments_

◆ now_

◆ phase_

◆ portfolio_