Struct Portfolio

pub struct Portfolio { /* private fields */ }

Implementations

impl Portfolio

pub fn new( cache: Rc<RefCell<Cache>>, clock: Rc<RefCell<dyn Clock>>, config: Option<PortfolioConfig>, ) -> Self

pub fn reset(&mut self)

pub fn is_initialized(&self) -> bool

Returns true if the portfolio has been initialized.

pub fn balances_locked(&self, venue: &Venue) -> HashMap<Currency, Money>

Returns the locked balances for the given venue.

Locked balances represent funds reserved for open orders.

pub fn margins_init(&self, venue: &Venue) -> HashMap<InstrumentId, Money>

Returns the initial margin requirements for the given venue.

Only applicable for margin accounts. Returns empty map for cash accounts.

pub fn margins_maint(&self, venue: &Venue) -> HashMap<InstrumentId, Money>

Returns the maintenance margin requirements for the given venue.

Only applicable for margin accounts. Returns empty map for cash accounts.

pub fn unrealized_pnls(&mut self, venue: &Venue) -> HashMap<Currency, Money>

Returns the unrealized PnLs for all positions at the given venue.

Calculates mark-to-market PnL based on current market prices.

pub fn realized_pnls(&mut self, venue: &Venue) -> HashMap<Currency, Money>

Returns the realized PnLs for all positions at the given venue.

Calculates total realized profit and loss from closed positions.

pub fn net_exposures(&self, venue: &Venue) -> Option<HashMap<Currency, Money>>

pub fn unrealized_pnl(&mut self, instrument_id: &InstrumentId) -> Option<Money>

pub fn realized_pnl(&mut self, instrument_id: &InstrumentId) -> Option<Money>

pub fn net_exposure(&self, instrument_id: &InstrumentId) -> Option<Money>

pub fn net_position(&self, instrument_id: &InstrumentId) -> Decimal

pub fn is_net_long(&self, instrument_id: &InstrumentId) -> bool

pub fn is_net_short(&self, instrument_id: &InstrumentId) -> bool

pub fn is_flat(&self, instrument_id: &InstrumentId) -> bool

pub fn is_completely_flat(&self) -> bool

pub fn initialize_orders(&mut self)

Initializes account margin based on existing open orders.

Panics

Panics if updating the cache with a mutated account fails.

pub fn initialize_positions(&mut self)

Initializes account margin based on existing open positions.

Panics

Panics if calculation of PnL or updating the cache with a mutated account fails.

pub fn update_quote_tick(&mut self, quote: &QuoteTick)

Updates portfolio calculations based on a new quote tick.

Recalculates unrealized PnL for positions affected by the quote update.

pub fn update_bar(&mut self, bar: &Bar)

Updates portfolio calculations based on a new bar.

Updates cached bar close prices and recalculates unrealized PnL.

pub fn update_account(&mut self, event: &AccountState)

Updates portfolio with a new account state event.

pub fn update_order(&mut self, event: &OrderEventAny)

Updates portfolio calculations based on an order event.

Handles balance updates for order fills and margin calculations for order changes.

pub fn update_position(&mut self, event: &PositionEvent)

Updates portfolio calculations based on a position event.

Recalculates net positions, unrealized PnL, and margin requirements.

Trait Implementations

impl Debug for Portfolio

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.