Public Member Functions | |
| Leg () | |
| std::string | toString () const |
Public Attributes | |
| MarketId | marketId |
| short | ratio |
| Side::Enum | side |
| Optional< short > | strategyCode |
| Optional< int > | ratioQtyNumerator |
| Optional< int > | ratioQtyDenominator |
| Optional< int > | ratioPriceNumerator |
| Optional< int > | ratioPriceDenominator |
Definition at line 207 of file NewFuturesStrategyDefinition.h.
| Leg | ( | ) |
Default constructor.
| std::string toString | ( | ) | const |
Returns string representation.
| MarketId marketId |
Market Id of the futures leg market.
Definition at line 210 of file NewFuturesStrategyDefinition.h.
| short ratio |
Number of futures contracts per increment quantity.
Definition at line 213 of file NewFuturesStrategyDefinition.h.
| Optional<int> ratioPriceDenominator |
The price ratio is the fractional weighted price component per leg in the strategy. Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 3 as the LegRatioPriceDenominator.
Definition at line 244 of file NewFuturesStrategyDefinition.h.
| Optional<int> ratioPriceNumerator |
The price ratio is the fractional weighted price component per leg in the strategy. Using a Q4 2017 set as composite strategy as an example, each leg Oct 2017, Nov 2017 and Dec 2017 will have 1 as the LegRatioPriceNumerator.
Definition at line 238 of file NewFuturesStrategyDefinition.h.
| Optional<int> ratioQtyDenominator |
The quantity ratio represents the proportion of each of the leg of interproduct spreads. The Leg ratio denominator will be set to 1 for most products not but will be used in future product launches.
Definition at line 232 of file NewFuturesStrategyDefinition.h.
| Optional<int> ratioQtyNumerator |
The quantity ratio represents the proportion of each of the leg of interproduct spreads. Using Gas Oil crack as an example. This will be set to 4 for the Gas oil leg and 3 for the Brent leg.
Definition at line 227 of file NewFuturesStrategyDefinition.h.
| Side::Enum side |
Leg side.
Definition at line 216 of file NewFuturesStrategyDefinition.h.
| Optional<short> strategyCode |
The strategy code for the leg. If set, this field can be used to obtain the next level of granularity of the strategy. If it is not set, the /c LegMarketID is the most granular level for the market. See Appendix E for list of codes.
Definition at line 222 of file NewFuturesStrategyDefinition.h.
