algotradelib::strategy::InstrumentBasis Struct Reference

An instrument's currency and the price to value it at, for the exposure ceiling. More...

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

Collaboration diagram for algotradelib::strategy::InstrumentBasis:

Public Attributes
InstrumentId	instrument_
	The instrument.
Currency	currency_
	The currency it trades in.
Decimal64	price_
	The mark to value it at.

Detailed Description

An instrument's currency and the price to value it at, for the exposure ceiling.

Definition at line 339 of file risk.hpp.

Member Data Documentation

currency_

Currency algotradelib::strategy::InstrumentBasis::currency_

The currency it trades in.

Definition at line 343 of file risk.hpp.

Referenced by algotradelib::strategy::projected_gross_exposure().

instrument_

InstrumentId algotradelib::strategy::InstrumentBasis::instrument_

The instrument.

Definition at line 341 of file risk.hpp.

price_

Decimal64 algotradelib::strategy::InstrumentBasis::price_

The mark to value it at.

projected_gross_exposure raises it to any higher limit price of an order on the instrument.

Definition at line 349 of file risk.hpp.

Referenced by algotradelib::strategy::projected_gross_exposure().

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

• algotradelib/src/strategy/risk.hpp