srfm::multi_asset::MultiAssetEvent Struct Reference

A snapshot of N correlated financial assets at a point in time. More...

#include <multi_asset.hpp>

Public Member Functions
std::size_t	n_assets () const noexcept
	Return the number of assets represented.
bool	is_valid () const noexcept
	Validate that all vectors have equal length.

Public Attributes
std::vector< std::string >	symbols
	Asset ticker symbols (for labelling).
std::vector< double >	prices
	Mid-prices for each asset.
std::vector< double >	volumes
	Traded volumes for each asset.
int64_t	timestamp
	Unix epoch milliseconds.

Detailed Description

A snapshot of N correlated financial assets at a point in time.

Represents a single row of a multi-asset OHLCV dataset embedded as a spacetime event in the (N+1)-dimensional financial spacetime manifold.

Definition at line 50 of file multi_asset.hpp.

Member Function Documentation

is_valid()

bool srfm::multi_asset::MultiAssetEvent::is_valid ( ) const

inlinenoexcept

Validate that all vectors have equal length.

Definition at line 60 of file multi_asset.hpp.

n_assets()

std::size_t srfm::multi_asset::MultiAssetEvent::n_assets ( ) const

inlinenoexcept

Return the number of assets represented.

Definition at line 57 of file multi_asset.hpp.

Member Data Documentation

prices

std::vector<double> srfm::multi_asset::MultiAssetEvent::prices

Mid-prices for each asset.

Definition at line 52 of file multi_asset.hpp.

symbols

std::vector<std::string> srfm::multi_asset::MultiAssetEvent::symbols

Asset ticker symbols (for labelling).

Definition at line 51 of file multi_asset.hpp.

timestamp

int64_t srfm::multi_asset::MultiAssetEvent::timestamp

Unix epoch milliseconds.

Definition at line 54 of file multi_asset.hpp.

volumes

std::vector<double> srfm::multi_asset::MultiAssetEvent::volumes

Traded volumes for each asset.

Definition at line 53 of file multi_asset.hpp.

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The documentation for this struct was generated from the following file:

• include/srfm/multi_asset.hpp