algotradelib::strategy::vanilla::VolatilityTargetSizing::Params Struct Reference

The strategy's settings. More...

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

Collaboration diagram for algotradelib::strategy::vanilla::VolatilityTargetSizing::Params:

Public Attributes
InstrumentId	instrument_
	The instrument to hold; bars for any other instrument are ignored.
std::size_t	window_ {20}
	The number of returns the volatility is measured over; below 2, nothing is traded.
Decimal64	risk_budget_
	The value volatility per bar the position should have, in the instrument's currency.
Decimal64	max_quantity_
	The largest position to hold, whatever the arithmetic gives.
std::string	tag_ {"volatility-target"}
	The tag on the targets.

Detailed Description

The strategy's settings.

Definition at line 30 of file sizing.hpp.

Member Data Documentation

instrument_

InstrumentId algotradelib::strategy::vanilla::VolatilityTargetSizing::Params::instrument_

The instrument to hold; bars for any other instrument are ignored.

Definition at line 32 of file sizing.hpp.

Referenced by algotradelib::strategy::vanilla::VolatilityTargetSizing::on_bar().

max_quantity_

Decimal64 algotradelib::strategy::vanilla::VolatilityTargetSizing::Params::max_quantity_

The largest position to hold, whatever the arithmetic gives.

Definition at line 38 of file sizing.hpp.

Referenced by algotradelib::strategy::vanilla::VolatilityTargetSizing::on_bar().

risk_budget_

Decimal64 algotradelib::strategy::vanilla::VolatilityTargetSizing::Params::risk_budget_

The value volatility per bar the position should have, in the instrument's currency.

Definition at line 36 of file sizing.hpp.

Referenced by algotradelib::strategy::vanilla::VolatilityTargetSizing::on_bar().

tag_

std::string algotradelib::strategy::vanilla::VolatilityTargetSizing::Params::tag_ {"volatility-target"}

The tag on the targets.

Definition at line 40 of file sizing.hpp.

Referenced by algotradelib::strategy::vanilla::VolatilityTargetSizing::on_bar().

window_

std::size_t algotradelib::strategy::vanilla::VolatilityTargetSizing::Params::window_ {20}

The number of returns the volatility is measured over; below 2, nothing is traded.

Definition at line 34 of file sizing.hpp.

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

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

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