File List

Here is a list of all documented files with brief descriptions:

[detail level 12345]

algotradelib
src
analytics
conversion.hpp	Conversions between exact Decimal64 values and the analytics Scalar
frame.hpp
indicators.hpp	Named technical indicators: z-score, Bollinger bands, RSI, ATR, MACD, and trailing covariance, correlation and beta
metrics.hpp	Performance metrics: maximum drawdown, Sharpe and Sortino ratios, annualization, turnover
numeric.hpp	Re-exports math::Scalar, math::missing and math::observed into analytics
panel.hpp
returns.hpp	Simple, log and cumulative returns of a price series
rolling.hpp	Trailing-window statistics: sums, means, deviations, extremes and moving averages
series_buffer.hpp
time_index.hpp
backtest
clock.hpp	Bar-interval arithmetic and the replay clock
cost.hpp	Trading costs for a backtest: commission (CommissionModel, CommissionPolicy), slippage (SlippageModel) and how a limit order's fill price is chosen (LimitFillPrice)
engine.hpp	The backtest engine: Backtester replays bars (and quotes) through the same Runner a live session uses
fill.hpp	The backtest fill model: whether a queued order trades against the next bar, and at what price and cost
ledger.hpp	The replay ledger: positions, cash and realized profit a backtest keeps, in exact decimals
report.hpp	The backtest report: performance figures, costs, and every assumption and limitation of the run as a field (ReportCaveats)
brokers
kis
auth.hpp
client.hpp
config.hpp
network.hpp
traits.hpp
kiwoom
auth.hpp
client.hpp
config.hpp
errors.hpp
network.hpp
traits.hpp
tossinvest
auth.hpp
client.hpp
config.hpp
network.hpp
traits.hpp
common.hpp
core
broker_caps.hpp
broker_session.hpp
broker_traits.hpp
broker_verbs.hpp
calendar.hpp
data_only_traits.hpp
enum_values.hpp	A compile-time check that a list names every value of an enum, and a parser over the list
instrument.hpp
market_data.hpp
types.hpp
live
bind.hpp	Factories that bind a strategy to a broker session in one call: bind, bind_journaled and bind_observer
session_executor.hpp
session_source.hpp
math
eigen.hpp	The math types and decompositions, implemented with Eigen
matrix.hpp	The linear algebra types of the math module: Matrix, Vector, SeriesView, MutableSeriesView, MatrixView and Index
scalar.hpp
network
http_client.hpp
oauth.hpp
rate_limit.hpp
ws_session.hpp
ws_session_base.hpp
wss_session.hpp
runner
clock.hpp
context.hpp
dispatch.hpp
execution.hpp
file_journal.hpp
journal.hpp
loop.hpp
order_updates.hpp
reconcile_orders.hpp
runner.hpp
signal_stop.hpp
stop.hpp
strategy
vanilla
buy_and_hold.hpp
crossover.hpp
reversion.hpp
signal.hpp	Helpers for the vanilla strategies that compute indicators
sizing.hpp
timed_liquidation.hpp
concept.hpp	What a strategy is, how a runner calls its handlers, and ATL_ASSERT_STRATEGY
event.hpp	The events a runner delivers to a strategy's handlers, and the market phase
intent.hpp	What a strategy asks the runner for: orders (OrderIntent), target positions (TargetPosition) and cancellations (CancelIntent)
portfolio.hpp
reconcile.hpp	Reconciliation: turning a strategy's intents and targets into the orders and cancellations to send
risk.hpp
sellable_convention.hpp
version.hpp	The library's version macros
examples
example-analytics-offline.cpp
example-backtest-broker.cpp
example-backtest-compare.cpp
example-backtest-offline.cpp
example-inverse-fund.cpp
example-kis-account.cpp
example-kis-auth.cpp
example-kis-orders.cpp
example-kis-place-order.cpp
example-kis-quote.cpp
example-kiwoom-account.cpp
example-kiwoom-auth.cpp
example-kiwoom-quote.cpp
example-live-loop.cpp	A live runner loop with no broker, no credentials and no network
example-live-program.cpp	The live program to copy: KIS, Kiwoom or Toss, journalled, recoverable, stoppable
example-order-journal.cpp
example-portable-holdings.cpp
example-portable-market-data.cpp
example-rate-limit-stats.cpp
example-strategy-dryrun.cpp
example-strategy-live.cpp
example-tossinvest-account.cpp
example-tossinvest-auth.cpp
example-tossinvest-orders.cpp
example-tossinvest-quote.cpp
kis_credentials.hpp	The examples' KIS credentials: one JSON file per account, or the environment
kiwoom_credentials.hpp	The examples' Kiwoom credentials: one JSON file per key, or the environment
live_program.hpp	The production wiring of a live run, with no broker named: the part of example-live-program a consumer keeps