portfolio

Documentation

Index

• type Analyzer
• type AnalyzerFunc
  • func (f AnalyzerFunc) RecordTrade(record TradeRecord)
• type Portfolio
  • func New(c *cache.Cache) *Portfolio
  • func (p *Portfolio) ApplyFill(fill model.FillReport) error
  • func (p *Portfolio) ApplyFillWithPosition(fill model.FillReport, previous *model.PositionStatusReport, ...) error
  • func (p *Portfolio) ApplyMarketEvent(event model.MarketEvent) error
  • func (p *Portfolio) AvailableEquity(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) BalancesLocked(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) Commission(accountID model.AccountID, currency model.Currency) decimal.Decimal
  • func (p *Portfolio) Equity(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) Exposure(accountID model.AccountID, quote model.Currency) decimal.Decimal
  • func (p *Portfolio) HandleExecutionEvent(event model.ExecutionEvent) error
  • func (p *Portfolio) MarginsInit(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal
  • func (p *Portfolio) MarginsMaint(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal
  • func (p *Portfolio) MarkValue(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal
  • func (p *Portfolio) MarkValues(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) NetExposuresByAccount(target model.Currency) map[model.AccountID]decimal.Decimal
  • func (p *Portfolio) NetExposuresByInstrument(accountID model.AccountID, target model.Currency) map[model.InstrumentID]decimal.Decimal
  • func (p *Portfolio) NetExposuresByVenue(target model.Currency) map[model.Venue]decimal.Decimal
  • func (p *Portfolio) NetPosition(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal
  • func (p *Portfolio) NetPositionsByInstrument(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal
  • func (p *Portfolio) RealizedPnL(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal
  • func (p *Portfolio) RealizedPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) SetAnalyzer(analyzer Analyzer)
  • func (p *Portfolio) SetConversionRate(from model.Currency, to model.Currency, rate decimal.Decimal) error
  • func (p *Portfolio) SetMark(accountID model.AccountID, instrumentID model.InstrumentID, ...)
  • func (p *Portfolio) TotalPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) UnrealizedPnL(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal
  • func (p *Portfolio) UnrealizedPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal
  • func (p *Portfolio) UpdateAccount(account model.AccountSnapshot) error
• type TradeRecord

Types

type Analyzer

type Analyzer interface {
	RecordTrade(TradeRecord)
}

type AnalyzerFunc

type AnalyzerFunc func(TradeRecord)

func (AnalyzerFunc) RecordTrade

func (f AnalyzerFunc) RecordTrade(record TradeRecord)

type Portfolio

type Portfolio struct {
	// contains filtered or unexported fields
}

func New

func New(c *cache.Cache) *Portfolio

func (*Portfolio) ApplyFill

func (p *Portfolio) ApplyFill(fill model.FillReport) error

func (*Portfolio) ApplyFillWithPosition

func (p *Portfolio) ApplyFillWithPosition(fill model.FillReport, previous *model.PositionStatusReport, position model.PositionStatusReport) error

func (*Portfolio) ApplyMarketEvent

func (p *Portfolio) ApplyMarketEvent(event model.MarketEvent) error

func (*Portfolio) AvailableEquity

func (p *Portfolio) AvailableEquity(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) BalancesLocked

func (p *Portfolio) BalancesLocked(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) Commission

func (p *Portfolio) Commission(accountID model.AccountID, currency model.Currency) decimal.Decimal

func (*Portfolio) Equity

func (p *Portfolio) Equity(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) Exposure

func (p *Portfolio) Exposure(accountID model.AccountID, quote model.Currency) decimal.Decimal

func (*Portfolio) HandleExecutionEvent

func (p *Portfolio) HandleExecutionEvent(event model.ExecutionEvent) error

func (*Portfolio) MarginsInit

func (p *Portfolio) MarginsInit(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal

func (*Portfolio) MarginsMaint

func (p *Portfolio) MarginsMaint(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal

func (*Portfolio) MarkValue

func (p *Portfolio) MarkValue(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal

func (*Portfolio) MarkValues

func (p *Portfolio) MarkValues(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) NetExposuresByAccount

func (p *Portfolio) NetExposuresByAccount(target model.Currency) map[model.AccountID]decimal.Decimal

func (*Portfolio) NetExposuresByInstrument

func (p *Portfolio) NetExposuresByInstrument(accountID model.AccountID, target model.Currency) map[model.InstrumentID]decimal.Decimal

func (*Portfolio) NetExposuresByVenue

func (p *Portfolio) NetExposuresByVenue(target model.Currency) map[model.Venue]decimal.Decimal

func (*Portfolio) NetPosition

func (p *Portfolio) NetPosition(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal

func (*Portfolio) NetPositionsByInstrument

func (p *Portfolio) NetPositionsByInstrument(accountID model.AccountID) map[model.InstrumentID]decimal.Decimal

func (*Portfolio) RealizedPnL

func (p *Portfolio) RealizedPnL(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal

func (*Portfolio) RealizedPnLs

func (p *Portfolio) RealizedPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) SetAnalyzer

func (p *Portfolio) SetAnalyzer(analyzer Analyzer)

func (*Portfolio) SetConversionRate

func (p *Portfolio) SetConversionRate(from model.Currency, to model.Currency, rate decimal.Decimal) error

func (*Portfolio) SetMark

func (p *Portfolio) SetMark(accountID model.AccountID, instrumentID model.InstrumentID, price decimal.Decimal)

func (*Portfolio) TotalPnLs

func (p *Portfolio) TotalPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) UnrealizedPnL

func (p *Portfolio) UnrealizedPnL(accountID model.AccountID, instrumentID model.InstrumentID) decimal.Decimal

func (*Portfolio) UnrealizedPnLs

func (p *Portfolio) UnrealizedPnLs(accountID model.AccountID) map[model.Currency]decimal.Decimal

func (*Portfolio) UpdateAccount

func (p *Portfolio) UpdateAccount(account model.AccountSnapshot) error

type TradeRecord

type TradeRecord struct {
	AccountID          model.AccountID
	InstrumentID       model.InstrumentID
	PositionID         model.PositionID
	Currency           model.Currency
	RealizedPnL        decimal.Decimal
	AccountCurrency    model.Currency
	AccountCurrencyPnL decimal.Decimal
}