algotradelib::Bar Struct Reference

One bar: the prices and volume of one period, as exact decimals. More...

#include <algotradelib/src/core/market_data.hpp>

Collaboration diagram for algotradelib::Bar:

Public Attributes
std::chrono::system_clock::time_point	timestamp_
	The instant marking the period; BarSeries::stamp_ says which edge.
std::optional< Decimal64 >	open_
	The first trade's price; empty if nothing traded in the period (never zero or the previous close).
Decimal64	high_
	The highest trade price.
Decimal64	low_
	The lowest trade price.
Decimal64	close_
	The last trade price.
Decimal64	volume_
	The shares traded.
std::optional< Decimal64 >	traded_value_
	The value traded, if the broker publishes it.

Detailed Description

One bar: the prices and volume of one period, as exact decimals.

The interval, stamp convention and currency are on the BarSeries.

Definition at line 129 of file market_data.hpp.

Member Data Documentation

close_

Decimal64 algotradelib::Bar::close_

The last trade price.

Definition at line 139 of file market_data.hpp.

Referenced by algotradelib::backtest::Backtester< Strategy, CapsType >::feed(), algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::feed(), algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::feed_warmup(), and algotradelib::runner::Runner< Strategy, CapsType, Tag, Executor >::record().

high_

Decimal64 algotradelib::Bar::high_

The highest trade price.

Definition at line 135 of file market_data.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide().

low_

Decimal64 algotradelib::Bar::low_

The lowest trade price.

Definition at line 137 of file market_data.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide().

open_

std::optional<Decimal64> algotradelib::Bar::open_

The first trade's price; empty if nothing traded in the period (never zero or the previous close).

Definition at line 133 of file market_data.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide().

timestamp_

std::chrono::system_clock::time_point algotradelib::Bar::timestamp_

The instant marking the period; BarSeries::stamp_ says which edge.

Definition at line 131 of file market_data.hpp.

traded_value_

std::optional<Decimal64> algotradelib::Bar::traded_value_

The value traded, if the broker publishes it.

Definition at line 143 of file market_data.hpp.

volume_

Decimal64 algotradelib::Bar::volume_

The shares traded.

Definition at line 141 of file market_data.hpp.

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

• algotradelib/src/core/market_data.hpp