algotradelib::strategy::vanilla::TimedLiquidation Struct Reference

Flattens every position when the market enters a phase it should not hold through. More...

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

Collaboration diagram for algotradelib::strategy::vanilla::TimedLiquidation:

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

Public Member Functions
template<class Ctx>
void	on_phase (Ctx &ctx, MarketPhase phase)
	Targets zero in every held instrument if phase is not in hold_through_.

Public Attributes
Params	params_
	The settings.

Static Public Attributes
static constexpr std::size_t	warmup_bars = 0
	No history is needed.

Detailed Description

Flattens every position when the market enters a phase it should not hold through.

On each phase change that is not in hold_through_ (including UNKNOWN, an uncovered calendar date), it states a target of zero for every instrument held. Working orders against those targets are cancelled by reconciliation.

Warning

To combine it with a signal strategy, the signal must stop stating its target once this has fired. In a backtest on_bar runs right after on_phase, and live the next bar follows it, so a signal that restates its target on every bar (such as BuyAndHold) replaces the flatten. See BuyThenLiquidate in tests/test-backtest.cpp for a gated composition.

Definition at line 28 of file timed_liquidation.hpp.

Member Function Documentation

on_phase()

template<class Ctx>

void algotradelib::strategy::vanilla::TimedLiquidation::on_phase ( Ctx & ctx, MarketPhase phase )

inline

Targets zero in every held instrument if phase is not in hold_through_.

Template Parameters

Ctx	The runner's context type.

Parameters

ctx	The context.
phase	The new market phase.

Definition at line 50 of file timed_liquidation.hpp.

Member Data Documentation

params_

Params algotradelib::strategy::vanilla::TimedLiquidation::params_

The settings.

Definition at line 38 of file timed_liquidation.hpp.

warmup_bars

std::size_t algotradelib::strategy::vanilla::TimedLiquidation::warmup_bars = 0

staticconstexpr

No history is needed.

Definition at line 41 of file timed_liquidation.hpp.

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

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