Strategies::MarketArbitrage Class Reference

The market arbitrage strategy logic. More...

#include <market_arbitrage.hpp>

Public Member Functions
	MarketArbitrage (asio::io_context &feedA_context, asio::io_context &feedB_context, asio::io_context &context, nlohmann::json options)
	Initialize the strategy. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::StartOfSession &message)
	Handle a start of session message. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::EndOfSession &message)
	Handle an end of session message. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::Clear &message)
	Handle a clear book message. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::AddOrder &message)
	Handle an add order message. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::DeleteOrder &message)
	Handle a delete order message. More...
void	did_receive (DataFeedReceiver *receiver, const DataFeed::Messages::Trade &message)
	Handle a trade message. More...

Detailed Description

The market arbitrage strategy logic.

Market Arbitrage Agent Algorithm

Constructor & Destructor Documentation

MarketArbitrage()

Strategies::MarketArbitrage::MarketArbitrage ( asio::io_context &  feedA_context, asio::io_context &  feedB_context, asio::io_context &  context, nlohmann::json  options  )

inline

Initialize the strategy.

Parameters

feedA_context	the IO context to create a feed for A with
feedB_context	the IO context to create a feed for B with
context	the IO context to create the strategy with
options	the JSON object with agent-dependent options

Member Function Documentation

did_receive() [1/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::AddOrder &  message  )

inline

Handle an add order message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

did_receive() [2/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::Clear &  message  )

inline

Handle a clear book message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

did_receive() [3/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::DeleteOrder &  message  )

inline

Handle a delete order message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

did_receive() [4/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::EndOfSession &  message  )

inline

Handle an end of session message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

did_receive() [5/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::StartOfSession &  message  )

inline

Handle a start of session message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

did_receive() [6/6]

void Strategies::MarketArbitrage::did_receive ( DataFeedReceiver *  receiver, const DataFeed::Messages::Trade &  message  )

inline

Handle a trade message.

Parameters

receiver	the receiver that is handling the message
message	the message to handle

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

• include/strategies/market_arbitrage.hpp