Module Trading_engine.Market_slice

One synchronized completed-bar observation, complete FX snapshot, and pre-match corporate-action batch for the configured market.

type fx_mark = private {
  1. currency : string;
  2. rate : Scalar.Price.t;
}
val fx_mark : currency:string -> rate:Scalar.Price.t -> (fx_mark, string) Stdlib.result
type t = private {
  1. slice_sequence : int64;
  2. start_at : Ptime.t;
  3. end_at : Ptime.t;
  4. available_at : Ptime.t;
  5. received_at : Ptime.t;
  6. bars : Bar.t list;
  7. market_events : Market_event.t list;
  8. order_book_events : Order_book_event.t list;
  9. fx_rates : fx_mark list;
  10. corporate_actions : Corporate_action.t list;
  11. lifecycle_events : Instrument_lifecycle.event list;
  12. borrow_observations : Financing.borrow_observation list;
  13. cash_rate_observations : Financing.cash_rate_observation list;
  14. settlement_failures : Settlement.failure list;
}
val create : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> (t, string) Stdlib.result
val create_v10 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> (t, string) Stdlib.result
val create_v11 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> (t, string) Stdlib.result
val create_v12 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> lifecycle_events:Instrument_lifecycle.event list -> (t, string) Stdlib.result
val create_v13 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> lifecycle_events:Instrument_lifecycle.event list -> (t, string) Stdlib.result
val create_v14 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> lifecycle_events:Instrument_lifecycle.event list -> market_events:Market_event.t list -> (t, string) Stdlib.result
val create_v15 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> lifecycle_events:Instrument_lifecycle.event list -> market_events:Market_event.t list -> order_book_events:Order_book_event.t list -> (t, string) Stdlib.result
val create_v16 : slice_sequence:int64 -> start_at:Ptime.t -> end_at:Ptime.t -> available_at:Ptime.t -> received_at:Ptime.t -> bars:Bar.t list -> fx_rates:fx_mark list -> corporate_actions:Corporate_action.t list -> borrow_observations:Financing.borrow_observation list -> cash_rate_observations:Financing.cash_rate_observation list -> settlement_failures:Settlement.failure list -> lifecycle_events:Instrument_lifecycle.event list -> market_events:Market_event.t list -> order_book_events:Order_book_event.t list -> (t, string) Stdlib.result
val bar : t -> Id.Instrument.t -> Bar.t option
val fx_rate : t -> string -> Scalar.Price.t option
val compare_replay_order : t -> t -> int
val pp : Stdlib.Format.formatter -> t -> unit