algotradelib::strategy::SellableConventionProbe< Broker > Class Template Reference

Infers a broker's SellableConvention from successive portfolios. More...

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

Inheritance diagram for algotradelib::strategy::SellableConventionProbe< Broker >:

Public Member Functions
void	observe (const Portfolio< Broker > &portfolio)
	Records one polled portfolio, comparing it with the previous one.
void	forget (const InstrumentId &instrument)
	Discards the last recorded reading for an instrument, so the next one is not compared across a gap.
SellableEvidence	evidence (const InstrumentId &instrument) const
	Returns the evidence for one instrument.
SellableEvidence	overall () const
	Returns the evidence summed over every instrument.
SellableConvention	verdict () const
	Returns the broker's convention as observed so far.
const std::vector< std::pair< InstrumentId, SellableEvidence > > &	per_instrument () const noexcept
	Returns the evidence per instrument.

Detailed Description

template<typename Broker>
class algotradelib::strategy::SellableConventionProbe< Broker >

Infers a broker's SellableConvention from successive portfolios.

Call observe with each polled portfolio. An observation is recorded only when, between two polls, an instrument's holding is unchanged, the resting sell quantity the broker reported grew, and the gap between held and sellable moved by exactly that amount (NET_OF_RESTING) or not at all (GROSS_OF_RESTING); anything else is discarded. Positions whose sellable basis is not enforceable, or which carry no sellable figure, are skipped, so with a broker that does not publish the figure the verdict stays UNDETERMINED.

Warning

Fed a backtest's portfolios, it learns the replay ledger's model (which reports sellable as held), not a broker's behaviour.

Template Parameters

Broker

The broker tag of the portfolio.

Definition at line 104 of file sellable_convention.hpp.

Member Function Documentation

evidence()

template<typename Broker>

SellableEvidence algotradelib::strategy::SellableConventionProbe< Broker >::evidence ( const InstrumentId & instrument ) const

inline

Returns the evidence for one instrument.

Parameters

instrument

The instrument.

Returns

Its counts, zero if nothing was observed.

Definition at line 166 of file sellable_convention.hpp.

forget()

template<typename Broker>

void algotradelib::strategy::SellableConventionProbe< Broker >::forget ( const InstrumentId & instrument )

inline

Discards the last recorded reading for an instrument, so the next one is not compared across a gap.

Parameters

instrument

The instrument.

Definition at line 152 of file sellable_convention.hpp.

Referenced by observe().

observe()

template<typename Broker>

void algotradelib::strategy::SellableConventionProbe< Broker >::observe ( const Portfolio< Broker > & portfolio )

inline

Records one polled portfolio, comparing it with the previous one.

Parameters

portfolio

The portfolio.

Definition at line 110 of file sellable_convention.hpp.

overall()

template<typename Broker>

SellableEvidence algotradelib::strategy::SellableConventionProbe< Broker >::overall ( ) const

inline

Returns the evidence summed over every instrument.

Returns

The counts for the broker as a whole.

Definition at line 177 of file sellable_convention.hpp.

Referenced by verdict().

per_instrument()

template<typename Broker>

const std::vector< std::pair< InstrumentId, SellableEvidence > > & algotradelib::strategy::SellableConventionProbe< Broker >::per_instrument ( ) const

inlinenoexcept

Returns the evidence per instrument.

Returns

Each instrument that contributed an observation, with its counts.

Definition at line 196 of file sellable_convention.hpp.

verdict()

template<typename Broker>

SellableConvention algotradelib::strategy::SellableConventionProbe< Broker >::verdict ( ) const

inline

Returns the broker's convention as observed so far.

Returns

overall().verdict().

Definition at line 190 of file sellable_convention.hpp.

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

• algotradelib/src/strategy/sellable_convention.hpp