algotradelib::strategy::PlannedOrder Struct Reference

One order the runner is to place. More...

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

Collaboration diagram for algotradelib::strategy::PlannedOrder:

Public Attributes
InstrumentId	instrument_
	The instrument to trade.
OrderSide	side_ {OrderSide::BUY}
	The side.
OrderType	type_ {OrderType::LIMIT}
	The order type.
TimeInForce	time_in_force_ {TimeInForce::DAY}
	How long the order stays valid.
OrderSession	session_ {OrderSession::REGULAR}
	The trading session.
Venue	venue_ {Venue::UNSPECIFIED}
	Where to route the order; see OrderRequest::venue_.
Decimal64	quantity_
	The quantity, after rounding onto the lot.
std::optional< Decimal64 >	price_
	The limit price, after clamping and rounding; empty for a market order.
std::optional< Decimal64 >	trigger_price_
	The trigger price of a STOP_LIMIT order, exactly as stated; empty otherwise.
std::string	tag_
	The tag of the intent or target the order came from.
std::optional< std::string >	client_order_id_
	The idempotency key, if the intent carried one.
bool	price_rounded_ {false}
	Whether the price was rounded onto the tick grid.
bool	price_clamped_ {false}
	Whether the price was clamped to the day's band (an aggressive limit beyond it).
bool	price_would_have_been_clamped_ {false}
	Whether a price band was known but not applied (too old), and would have clamped this price.
bool	quantity_rounded_ {false}
	Whether the quantity was rounded down onto the lot.

Detailed Description

One order the runner is to place.

The price_rounded_, price_clamped_ and quantity_rounded_ flags say what reconciliation changed from what the strategy asked for.

Definition at line 149 of file reconcile.hpp.

Member Data Documentation

client_order_id_

std::optional<std::string> algotradelib::strategy::PlannedOrder::client_order_id_

The idempotency key, if the intent carried one.

Definition at line 175 of file reconcile.hpp.

Referenced by algotradelib::live::SessionExecutor< Session >::place(), and algotradelib::strategy::reconcile().

instrument_

InstrumentId algotradelib::strategy::PlannedOrder::instrument_

The instrument to trade.

Definition at line 151 of file reconcile.hpp.

Referenced by algotradelib::strategy::closes_toward_flat(), algotradelib::backtest::NextBarFillModel::decide(), algotradelib::strategy::RiskGuard::evaluate(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::projected_gross_exposure(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

price_

std::optional<Decimal64> algotradelib::strategy::PlannedOrder::price_

The limit price, after clamping and rounding; empty for a market order.

Definition at line 169 of file reconcile.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide(), algotradelib::strategy::RiskGuard::evaluate(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::projected_gross_exposure(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

price_clamped_

bool algotradelib::strategy::PlannedOrder::price_clamped_ {false}

Whether the price was clamped to the day's band (an aggressive limit beyond it).

Definition at line 180 of file reconcile.hpp.

Referenced by algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

price_rounded_

bool algotradelib::strategy::PlannedOrder::price_rounded_ {false}

Whether the price was rounded onto the tick grid.

Definition at line 178 of file reconcile.hpp.

Referenced by algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

price_would_have_been_clamped_

bool algotradelib::strategy::PlannedOrder::price_would_have_been_clamped_ {false}

Whether a price band was known but not applied (too old), and would have clamped this price.

Set by runner::Runner, not by reconciliation; see Runner::set_maximum_price_limits_age.

Definition at line 187 of file reconcile.hpp.

quantity_

Decimal64 algotradelib::strategy::PlannedOrder::quantity_

The quantity, after rounding onto the lot.

Definition at line 167 of file reconcile.hpp.

Referenced by algotradelib::strategy::closes_toward_flat(), algotradelib::backtest::NextBarFillModel::decide(), algotradelib::strategy::RiskGuard::evaluate(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::projected_gross_exposure(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

quantity_rounded_

bool algotradelib::strategy::PlannedOrder::quantity_rounded_ {false}

Whether the quantity was rounded down onto the lot.

Definition at line 189 of file reconcile.hpp.

Referenced by algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

session_

OrderSession algotradelib::strategy::PlannedOrder::session_ {OrderSession::REGULAR}

The trading session.

Definition at line 159 of file reconcile.hpp.

Referenced by algotradelib::live::SessionExecutor< Session >::place(), and algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place().

side_

OrderSide algotradelib::strategy::PlannedOrder::side_ {OrderSide::BUY}

The side.

Definition at line 153 of file reconcile.hpp.

Referenced by algotradelib::strategy::closes_toward_flat(), algotradelib::backtest::NextBarFillModel::decide(), algotradelib::strategy::RiskGuard::evaluate(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::projected_gross_exposure(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

tag_

std::string algotradelib::strategy::PlannedOrder::tag_

The tag of the intent or target the order came from.

Definition at line 173 of file reconcile.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide(), algotradelib::strategy::RiskGuard::evaluate(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

time_in_force_

TimeInForce algotradelib::strategy::PlannedOrder::time_in_force_ {TimeInForce::DAY}

How long the order stays valid.

Definition at line 157 of file reconcile.hpp.

Referenced by algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

trigger_price_

std::optional<Decimal64> algotradelib::strategy::PlannedOrder::trigger_price_

The trigger price of a STOP_LIMIT order, exactly as stated; empty otherwise.

Definition at line 171 of file reconcile.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), and algotradelib::strategy::reconcile().

type_

OrderType algotradelib::strategy::PlannedOrder::type_ {OrderType::LIMIT}

The order type.

Definition at line 155 of file reconcile.hpp.

Referenced by algotradelib::backtest::NextBarFillModel::decide(), algotradelib::live::SessionExecutor< Session >::place(), algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::place(), algotradelib::strategy::reconcile(), and algotradelib::strategy::reconcile().

venue_

Venue algotradelib::strategy::PlannedOrder::venue_ {Venue::UNSPECIFIED}

Where to route the order; see OrderRequest::venue_.

Strategies do not set it; a live runner fills in its binding's route before sending.

Definition at line 165 of file reconcile.hpp.

Referenced by algotradelib::live::SessionExecutor< Session >::place(), and algotradelib::runner::JournalingExecutor< Inner, Journal, Clock >::route_of().

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

• algotradelib/src/strategy/reconcile.hpp