quant

Class Hierarchy

• • Namespace trading
    • Struct Level
    • Struct Order
    • Enum Action
    • Enum Side
    • Struct Event
  • Struct SimulationResult
  • Class Engine
  • Class Feature
  • Class OrderBook
  • Class OrderBookView

File Hierarchy

• • Directory engine
    • Directory include
      • File Engine.hpp
      • File Feature.hpp
      • File OrderBook.hpp
      • File OrderBookView.hpp
      • File Types.hpp

Full API

Classes and Structs

• Struct SimulationResult
  • Struct Documentation
    • SimulationResult
      • name
      • data

• Struct Event
  • Struct Documentation
    • trading::Event
      • action
      • side
      • price
      • volume
      • oid
      • flag
      • ts_recv

• Struct Level
  • Struct Documentation
    • trading::Level
      • total_vol
      • price
      • count
      • head
      • prev_level
      • next_level

• Struct Order
  • Struct Documentation
    • trading::Order
      • oid
      • price
      • volume
      • side
      • birth_tick
      • prev
      • next
      • level

• Class Engine
  • Class Documentation
    • Engine
      • run_simulation()
      • book()
      • book()

• Class Feature
  • Class Documentation
    • Feature
      • Feature()
      • ~Feature()
      • compute()
      • get_name()
      • m_name

• Class OrderBook
  • Class Documentation
    • OrderBook
      • OrderBook()
      • process_event()
      • last_ts
      • last_action
      • last_trade_price
      • last_trade_size
      • last_trade_side

• Class OrderBookView
  • Class Documentation
    • OrderBookView
      • OrderBookView()
      • get_depth_volume()
      • get_vwaa()
      • get_price_at_level()
      • get_vwap_depth()
      • get_vol_at_level()
      • get_bid_price()
      • get_ask_price()
      • get_bid_size()
      • get_ask_size()
      • get_last_action()
      • get_last_ts()
      • get_last_trade_side()
      • get_last_trade_price()
      • get_last_trade_size()
      • get_bid_depth()
      • get_ask_depth()
      • get_mid_price()
      • get_spread()
      • get_level()
      • get_orders_at_level_snapshot()
      • get_orders_at_level_snapshot()
      • get_order_snapshot()

Enums

• Enum Action
  • Enum Documentation
    • Action
      • Add
      • Modify
      • Cancel
      • Trade
      • Fill
      • Clear
      • None

• Enum Side
  • Enum Documentation
    • Side
      • Bid
      • Ask
      • None