Constants.h File Reference

Common constants and conversion utilities. More...

Detailed Description

Common constants and conversion utilities.

This file provides constants and utility functions for financial data processing, including:

• Price and quantity multipliers for fixed-point representation
• Fractional price constants for various markets
• Conversion functions between internal and SBE (Simple Binary Encoding) formats
• Decimal place calculations for price precision

Fixed-point representation is used to avoid floating-point precision issues in financial calculations.

#include <cstdint>

Namespaces
namespace	b2bits
namespace	b2bits::constants
namespace	b2bits::constants::detail
	Internal utility functions for financial data conversion.

Functions
std::int64_t	b2bits::constants::detail::to_sbe_price_mantissa (std::int64_t val, std::int64_t mult=constants::SBE_PRICE_MULTIPLIER) noexcept
	Convert value to SBE price mantissa (fixed-point representation).
std::int64_t	b2bits::constants::detail::to_sbe_qty_mantissa (std::int64_t val, std::int64_t mult=constants::SBE_QTY_MULTIPLIER) noexcept
	Convert value to SBE quantity mantissa (fixed-point representation).
constexpr std::uint16_t	b2bits::constants::detail::num_price_decimals (std::uint64_t multiplier)
	Calculate number of decimal places in a multiplier.
constexpr bool	b2bits::constants::detail::validate_num_price_decimals (std::uint16_t num_decimals)
	Validate that number of decimals is within supported range.
constexpr std::uint64_t	b2bits::constants::detail::calculate_multiplier (std::uint16_t num_of_decimals)
	Calculate multiplier for a given number of decimal places.

Variables
static constexpr std::int64_t	b2bits::constants::SBE_PRICE_MULTIPLIER = 1'000'000'000
	SBE price multiplier (1 billion) - converts prices to fixed-point with 9 decimal places.
static constexpr std::int64_t	b2bits::constants::SBE_QTY_MULTIPLIER = 100
	SBE quantity multiplier (100) - converts quantities to fixed-point with 2 decimal places.
static constexpr std::int64_t	b2bits::constants::INVALID_COUPON_RATE = -1
	Sentinel value indicating an invalid or missing coupon rate.
constexpr double	b2bits::constants::PRICE_FRACTION_256 = 1.0 / 256LL
	Price fraction 1/256 - used for US Treasury securities pricing.
constexpr double	b2bits::constants::PRICE_FRACTION_512 = 1.0 / 512LL
	Price fraction 1/512 - used for some Treasury securities (1/2 of 1/256).
constexpr double	b2bits::constants::PRICE_FRACTION_100 = 1.0 / 100LL
	Price fraction 1/100 - standard percentage/decimal pricing.
constexpr double	b2bits::constants::PRICE_FRACTION_50000 = 5.0 / 10000LL
	Price fraction 5/10000 (0.0005) - used for fine-grained pricing.
static constexpr int	b2bits::constants::UNDERLYING_PRODUCT_GOVERNMENT = 6
	Product type identifier for government securities (bonds, notes, etc.).