tsa::order Class Reference

Class order is the library's internal order representation. Users are not intended to interact with this class directly and its member functions are not documented. Use class order_ref to interact with orders. More...

#include <TSAOrder.h>

Inheritance diagram for tsa::order:

Classes
struct	order_info
	Information about an order. More...

Public Types

Static Public Member Functions
static std::string	to_string (order::status)
	returns a string representation of order::state.
static std::string	to_string (order::time_in_force)
	returns a string representation of order::time_in_force.
static std::string	to_string (order::action)
	returns a string representation order::action.
static std::string	to_string (order::type)
	returns a string representation order::type.
static std::string	to_string (order::exec_interval)
	returns a string representation order::exec_interval.

Additional Inherited Members
Public Member Functions inherited from tsa::object
	object (void)
	Constructor.
virtual	~object (void)
	Destructor.
const char *	class_name (void) const
	Returns the class name as returned by the 'Real Time Type Information' (RTTI) mechanism. More...
bool	has_same_class_as (const object &other) const
	Returns true if self has the same type as other object. More...

Detailed Description

Class order is the library's internal order representation. Users are not intended to interact with this class directly and its member functions are not documented. Use class order_ref to interact with orders.

Member Enumeration Documentation

enum tsa::order::action

Order action.

Enumerator
buy	The order is a 'buy' order.
sell	The order is a 'sell' order.
oa_undefined	internal use

enum tsa::order::exec_interval

The order 'execution interval' determines when an order will be executed. Note: By default market orders are to be executed immediately, which means at the 'open' of the 'next' bar (in relation to the bar that just closed). 'Stop' and 'limit' orders are to be executed anytime between as well as during the next bar's 'opening' and 'closing' intervals. For research purposes, it is possible to mark orders for execution at 'this_close' (meaning the closing price of the bar that has already closed). This only makes sense when researching end- of-day strategies, where deployment could require the order to be placed manually, just before the close, with the assumption that the actual close will not change strategy signals.

Enumerator
at_open	At the 'open' of next bar.
at_close	At the 'close' of the next bar.
during_bar	During the entire next 'bar'.
this_close	At the current-bar's close (This is only relevant for simulations on end-of-day data. Not to be used for deployment).

enum tsa::order::status

Order state.

Enumerator
created	The order has been created but has not been transmitted, and can still be modified.
pending_submit	The order has been transmitted. It is has not yet been confirmed as submitted but we must assume that is has and that it is active. order::is_active() returns true.
pre_submitted	The order is held by the platform until elected for submission. This can happen when the order is submitted outside trading hours, or when a particular order type is simulated by the platform.
submitted	The order is confirmed 'working' at the exchange. It may already be filled.
pending_cancel	A cancellation request has been sent, but the order is not yet confirmed cancelled. In this state the order may already be filled.
pending_cancel_replace	A request to cancel-replace the order has been made, but no confirmation has been received.
paused	The exchange has notified that the order is paused, due to exchange issues.
filled	The order has been filled in its entirety.
cancelled	The order is confirmed cancelled and is no longer active.
rejected	The order has been rejected.

enum tsa::order::time_in_force

Time-in-force (TIF). By default all orders are placed as good-till-cancel (GTC) orders. See instrument::default_time_in_force(order::time_in_force).

Enumerator
gtc	Good Till Cancel (default).
day	Expires at the end of day/session.
user_defined_tif	User defined time-in-force.

enum tsa::order::type

Order type.

Enumerator
market	'Market' order.
stop	'Stop' order (includes 'stop limit' orders).
limit	'Limit' order.
ot_undefined	internal use