algotradelib::strategy::vanilla::MovingAverageCrossover Struct Reference

Holds quantity_ shares while the fast moving average is above the slow one, and is flat otherwise. More...

#include <algotradelib/src/strategy/vanilla/crossover.hpp>

Collaboration diagram for algotradelib::strategy::vanilla::MovingAverageCrossover:

Classes
struct	Params
	The strategy's settings. More...

Public Member Functions
std::size_t	warmup_bars () const
	Returns how many bars to load before the first live bar.
template<class Ctx>
void	on_bar (Ctx &ctx, const BarEvent &bar)
	States the target position for the instrument on each of its bars.

Public Attributes
Params	params_
	The settings.

Detailed Description

Holds quantity_ shares while the fast moving average is above the slow one, and is flat otherwise.

On every bar it states a target position (the level, not a crossing event), so it keeps no state and behaves the same after a restart.

Definition at line 47 of file crossover.hpp.

Member Function Documentation

on_bar()

template<class Ctx>

void algotradelib::strategy::vanilla::MovingAverageCrossover::on_bar ( Ctx & ctx, const BarEvent & bar )

inline

States the target position for the instrument on each of its bars.

Template Parameters

Ctx	The runner's context type.

Parameters

ctx	The context.
bar	The new bar.

Definition at line 80 of file crossover.hpp.

Referenced by algotradelib::strategy::vanilla::EmaCrossover::on_bar(), and algotradelib::strategy::vanilla::SmaCrossover::on_bar().

warmup_bars()

std::size_t algotradelib::strategy::vanilla::MovingAverageCrossover::warmup_bars ( ) const

inline

Returns how many bars to load before the first live bar.

Returns

slow_ + 1; the strategy acts only once that many closes are cached.

Definition at line 71 of file crossover.hpp.

Referenced by on_bar(), algotradelib::strategy::vanilla::EmaCrossover::warmup_bars(), and algotradelib::strategy::vanilla::SmaCrossover::warmup_bars().

Member Data Documentation

params_

Params algotradelib::strategy::vanilla::MovingAverageCrossover::params_

The settings.

Definition at line 65 of file crossover.hpp.

Referenced by on_bar(), and warmup_bars().

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

• algotradelib/src/strategy/vanilla/crossover.hpp