ats Namespace Reference

Namespace for the algorithmic trading system. More...

Classes
class	BinanceExchangeManager
	The BinanceExchangeManager class is a class that defines the interface for managing orders on the Binance exchange. More...
class	ExchangeManager
	The ExchangeManager class is an abstract class that defines the interface for managing orders on an exchange. More...
struct	Klines
	The Klines stores kline data for a specific symbol. More...
class	MarketData
	Handles the streaming of market data for the trading system. More...
struct	Order
	The Order struct represents an order to be placed on an exchange. More...
struct	OrderBook
	The OrderBook struct represents the orderbook. More...
class	OrderManager
	A class for managing orders. More...
struct	Position
	Represents a position with its quantity and price. More...
class	PositionManager
	Manages the positions and the PnL of a trading system. More...
class	RiskManager
	A class that handles risk management. More...
class	Strategy
	Defines an abstract interface for trading strategies. More...
class	Trade
	Class representing a trade executed on an exchange. More...

Enumerations
enum	OrderType {   LIMIT , MARKET , STOP_LOSS , STOP_LOSS_LIMIT ,   TAKE_PROFIT , TAKE_PROFIT_LIMIT , LIMIT_MAKER , OTCOUNT }
	Enum for different types of orders. More...
enum	Side { BUY , SELL , SCOUNT }
	Enum for buy/sell side of an order. More...

Functions
std::string	OrderTypeToString (OrderType t)
	Converts OrderType enum value to string. More...
OrderType	stringToOrderType (const std::string &s)
	Converts a string to an OrderType enum value. More...
std::string	SideToString (Side t)
	Converts Side enum value to string. More...
Side	stringToSide (const std::string &s)
	Converts a string to a Side enum value. More...

Detailed Description

Namespace for the algorithmic trading system.

This namespace contains all the classes and functions for the algorithmic trading system. It includes classes for managing orders, trades, accounts, and exchanges, as well as functions for analyzing market data, making trading decisions, and executing trades.

The system is designed to be extensible, with different types of exchanges and strategies able to be added through inheritance and polymorphism. The core functionality of the system is provided by the ExchangeManager and StrategyManager classes, which coordinate the interactions between exchanges, accounts, orders, and trades.

The system uses the JSONCPP library for parsing and manipulating JSON data, and currently supports the Binance exchange. It also includes a simulation mode for testing strategies and algorithms without risking real funds using the Binance testnet.

Enumeration Type Documentation

OrderType

enum ats::OrderType

Enum for different types of orders.

Enumerator
LIMIT	Limit order
MARKET	Market order
STOP_LOSS	Stop loss order
STOP_LOSS_LIMIT	Stop loss limit order
TAKE_PROFIT	Take profit order
TAKE_PROFIT_LIMIT	Take profit limit order
LIMIT_MAKER	Limit maker order
OTCOUNT	Number of order types

Side

enum ats::Side

Enum for buy/sell side of an order.

Enumerator
BUY	Buy side of an order
SELL	Sell side of an order
SCOUNT	Number of sides

Function Documentation

OrderTypeToString()

std::string ats::OrderTypeToString

(

OrderType

t

)

Converts OrderType enum value to string.

Parameters

t	The OrderType enum value to convert.

Returns

A string representation of the OrderType value.

SideToString()

std::string ats::SideToString

(

Side

t

)

Converts Side enum value to string.

Parameters

t	The Side enum value to convert.

Returns

A string representation of the Side value.

stringToOrderType()

OrderType ats::stringToOrderType

(

const std::string &

s

)

Converts a string to an OrderType enum value.

Parameters

s	The string to convert.

Returns

The corresponding OrderType enum value.

stringToSide()

Side ats::stringToSide

(

const std::string &

s

)

Converts a string to a Side enum value.

Parameters

s	The string to convert.

Returns

The corresponding Side enum value.