algotradelib::backtest::QueuedOrder< BrokerTag > Struct Template Reference

One order a replay accepted and has not yet filled or withdrawn. More...

#include <algotradelib/src/backtest/engine.hpp>

Collaboration diagram for algotradelib::backtest::QueuedOrder< BrokerTag >:

Public Attributes
strategy::PlannedOrder	order_
	The order as reconciliation planned it.
OrderRef< BrokerTag >	ref_
	The reference the replay issued for it.
std::uint64_t	accepted_on_ {0}
	The bar it was accepted during; it cannot fill against that bar.
std::optional< std::chrono::system_clock::time_point >	decided_at_
	When the strategy decided the order, if known.
bool	decision_is_exact_ {true}
	Whether decided_at_ is enforced strictly, or only a nominal upper bound (the period end of an open-stamped daily or longer bar).
bool	released_ {false}
	Whether a stop-limit order has been released, so it now rests as its limit.
std::optional< Date >	session_
	The market-local date of the session a DAY order lives in, once known (the date of the first bar it could trade against); Backtester withdraws it when that session ends.

Detailed Description

template<typename BrokerTag>
struct algotradelib::backtest::QueuedOrder< BrokerTag >

One order a replay accepted and has not yet filled or withdrawn.

Template Parameters

BrokerTag

The order-reference tag.

Definition at line 39 of file engine.hpp.

Member Data Documentation

accepted_on_

template<typename BrokerTag>

std::uint64_t algotradelib::backtest::QueuedOrder< BrokerTag >::accepted_on_ {0}

The bar it was accepted during; it cannot fill against that bar.

Definition at line 45 of file engine.hpp.

Referenced by algotradelib::backtest::QueueingExecutor< Tag >::place().

decided_at_

template<typename BrokerTag>

std::optional<std::chrono::system_clock::time_point> algotradelib::backtest::QueuedOrder< BrokerTag >::decided_at_

When the strategy decided the order, if known.

Where the engine knows when a bar's period began and this instant is exact, the order may fill only against a bar whose period began at or after it (so a decision at 10:30 is not filled at that day's 09:00 open). A nominal instant (decision_is_exact_ false) is an upper bound: a start at or after it still proves the order came first, while an earlier start is allowed and counted in ReplayResult::unchecked_fill_causality_. Empty (an order placed by a caller driving the executor directly) is always eligible.

Definition at line 56 of file engine.hpp.

Referenced by algotradelib::backtest::QueueingExecutor< Tag >::place().

decision_is_exact_

template<typename BrokerTag>

bool algotradelib::backtest::QueuedOrder< BrokerTag >::decision_is_exact_ {true}

Whether decided_at_ is enforced strictly, or only a nominal upper bound (the period end of an open-stamped daily or longer bar).

Strict for every intraday bar, including a session's last one cut short by the close, whose derived end is late rather than exact: a late bound defers a fill and never credits an earlier price.

Definition at line 64 of file engine.hpp.

Referenced by algotradelib::backtest::QueueingExecutor< Tag >::place().

order_

template<typename BrokerTag>

strategy::PlannedOrder algotradelib::backtest::QueuedOrder< BrokerTag >::order_

The order as reconciliation planned it.

Definition at line 41 of file engine.hpp.

Referenced by algotradelib::backtest::QueueingExecutor< Tag >::place().

ref_

template<typename BrokerTag>

OrderRef<BrokerTag> algotradelib::backtest::QueuedOrder< BrokerTag >::ref_

The reference the replay issued for it.

Definition at line 43 of file engine.hpp.

Referenced by algotradelib::backtest::QueueingExecutor< Tag >::place().

released_

template<typename BrokerTag>

bool algotradelib::backtest::QueuedOrder< BrokerTag >::released_ {false}

Whether a stop-limit order has been released, so it now rests as its limit.

The order itself (and the strategy's working row) still reads as a stop, as a live listing does.

Definition at line 70 of file engine.hpp.

session_

template<typename BrokerTag>

std::optional<Date> algotradelib::backtest::QueuedOrder< BrokerTag >::session_

The market-local date of the session a DAY order lives in, once known (the date of the first bar it could trade against); Backtester withdraws it when that session ends.

Definition at line 75 of file engine.hpp.

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

• algotradelib/src/backtest/engine.hpp