algotradelib::strategy::TradeTolerance Struct Reference

How small a difference from a target is not worth an order. More...

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

Public Member Functions
bool	stated () const noexcept
	Tests whether any floor is set.

Public Attributes
std::optional< Decimal64 >	minimum_quantity_
	The smallest drift worth trading, in shares.
std::optional< Decimal64 >	minimum_notional_
	The smallest drift worth trading, valued at the reference price.
std::optional< Decimal64 >	minimum_fraction_of_working_
	The smallest drift worth trading, as a fraction of the quantity already working (0.02 is 2%). Ignored when nothing is working.

Detailed Description

How small a difference from a target is not worth an order.

Every floor is optional and absent by default, which trades every share of drift. If any stated floor is met, no order is sent:

Floor	Compares	Use it for
minimum_quantity_	the drift in shares	lot economics, a per-share fee
minimum_notional_	the drift's value at the reference price	a fixed or minimum fee per order
minimum_fraction_of_working_	the drift over the quantity already working	not giving up queue priority

A floor that cannot be evaluated (a notional floor without a price) does not suppress. A drift is never suppressed when an order on the wrong side has to be cancelled.

Definition at line 233 of file reconcile.hpp.

Member Function Documentation

stated()

bool algotradelib::strategy::TradeTolerance::stated ( ) const

inlinenoexcept

Tests whether any floor is set.

Returns

true if at least one floor is present.

Definition at line 248 of file reconcile.hpp.

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

Member Data Documentation

minimum_fraction_of_working_

std::optional<Decimal64> algotradelib::strategy::TradeTolerance::minimum_fraction_of_working_

The smallest drift worth trading, as a fraction of the quantity already working (0.02 is 2%). Ignored when nothing is working.

Definition at line 242 of file reconcile.hpp.

Referenced by stated().

minimum_notional_

std::optional<Decimal64> algotradelib::strategy::TradeTolerance::minimum_notional_

The smallest drift worth trading, valued at the reference price.

Definition at line 237 of file reconcile.hpp.

Referenced by stated().

minimum_quantity_

std::optional<Decimal64> algotradelib::strategy::TradeTolerance::minimum_quantity_

The smallest drift worth trading, in shares.

Definition at line 235 of file reconcile.hpp.

Referenced by stated().

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

• algotradelib/src/strategy/reconcile.hpp