event.hpp File Reference

The events a runner delivers to a strategy's handlers, and the market phase. More...

#include <algotradelib/core>
#include <array>
#include <chrono>
#include <cstdint>
#include <optional>
#include <ratio>
#include <string>
#include <vector>

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Classes
struct	algotradelib::strategy::SessionWindow
	The intraday session of a market, as the operator states it. More...
struct	algotradelib::strategy::BarEvent
	One bar, delivered to on_bar. More...
struct	algotradelib::strategy::BarSlice
	Every instrument's bar of one interval for one period end, delivered to on_bars. More...
struct	algotradelib::strategy::QuoteEvent
	A quote the runner has just read, delivered to on_quote. More...
struct	algotradelib::strategy::Fill
	One execution of an order the strategy placed, delivered to on_fill. More...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::strategy
	What a strategy sees and emits: events, intents, the portfolio, reconciliation and risk limits.

Enumerations
enum class	algotradelib::strategy::MarketPhase {   algotradelib::strategy::UNKNOWN , algotradelib::strategy::CLOSED , algotradelib::strategy::PRE_OPEN , algotradelib::strategy::OPEN ,   algotradelib::strategy::POST_CLOSE }
	Where the clock stands relative to the trading session. More...

Functions
constexpr std::string_view	algotradelib::strategy::market_phase_name (MarketPhase phase) noexcept
	Returns a lowercase name for a phase, such as "pre_open", for logs and display.
constexpr bool	algotradelib::strategy::market_phase_session_ended (MarketPhase phase) noexcept
	Tests whether a phase means the day's session is over (or never opened), so a day order no longer works.
std::chrono::system_clock::time_point	algotradelib::strategy::bar_period_end (const Bar &bar, BarInterval interval, BarStamp stamp)
	Computes the instant a bar's period ended.
BarEvent	algotradelib::strategy::make_bar_event (InstrumentId instrument, BarInterval interval, BarStamp stamp, Bar bar)
	Makes a bar event, computing its period_end_ with bar_period_end.

Variables
constexpr std::array< MarketPhase, 5 >	algotradelib::strategy::all_market_phases
	Every MarketPhase, in declaration order.

Detailed Description

The events a runner delivers to a strategy's handlers, and the market phase.

Each event is complete when the handler receives it; a handler decides and returns without requesting more data.

Definition in file event.hpp.