Types

const Cash = Int64

Cash balance measured in the same minimal currency unit as Price. The signed representation allows tracking both assets and liabilities.

@enum EventType::UInt8 begin
    OrderNew = 1
    OrderCancel = 2
    OrderExpire = 3
    Trade = 4
end

Classification for matching-engine events. Distinguishing event types keeps the event log compact and simplifies reporting.

const Instrument = Symbol

Identifier of a traded instrument. The code uses Symbol to avoid heap allocations and simplifies comparisons.

@enum OrderType::UInt8 begin
    Market = 1
    Limit = 2
end

Type of order submitted to the market. A market order executes immediately at the best available price, while a limit order specifies a price threshold.

const PositionQty = Int64

Net position held by an agent. The sign indicates long (positive) or short (negative) exposure.

const Price = Int32

Price expressed in the smallest currency unit (for example cents). Using a fixed-width integer keeps arithmetic fast and deterministic.

const Qty = UInt32

Number of instruments in an order or trade. Quantities are non-negative and stored as whole units.

@enum Side::UInt8 begin
    Buy = 1
    Sell = 2
end

Side of the order or position. The UInt8 backing type keeps the representation compact for storage within larger structs.

@enum TIF::UInt8 begin
    GTC = 1
    IOC = 2
    FOK = 3
    GTT = 4
end

Time-in-force instructions that control order lifetimes:

• GTC — Good Till Cancelled
• IOC — Immediate Or Cancel
• FOK — Fill Or Kill
• GTT — Good Till Time (requires explicit expiry)

const TickSize = Int32

Minimal price increment supported by the market. All limit prices must be expressible as multiples of this value.

const Time = Int64

Discrete timestamp used by the simulator to order events. The value represents integer ticks rather than wall-clock time so the unit is project specific.

opposite(side::Side) -> Side

Return the opposing side (Buy -> Sell, Sell -> Buy).

side_sign(side::Side) -> Int

Return +1 for a buy side and -1 for a sell side. Useful for converting quantities into signed deltas when updating cash or positions.