RiskLimit

struct RiskLimit

Risk limit for {exchange, symbol}.

Public Members

roq::Exchange exchange

Exchange.

roq::Symbol symbol

Symbol.

double long_position = 0.0

Position (long).

double short_position = 0.0

Position (short).

double long_position_limit = roq::NaN

Position limit (long).

double short_position_limit = roq::NaN

Position limit (short).

double long_risk_exposure_limit = roq::NaN

Risk exposure limit (long).

double short_risk_exposure_limit = roq::NaN

Risk exposure limit (short).

bool allow_netting = false

Allow netting?