feat: stoploss and take profit implementation on the broker.rs

examples/simple_strategy.rs

@@ -10,7 +10,7 @@ struct BuyEveryBar;
 impl Strategy for BuyEveryBar {
     fn next (&mut self, bar: &Bar, broker: &mut Broker) {
         broker.close_all(bar.close, bar.timestamp); //closes any open positions
-        broker.buy(bar.close, 1.0, bar.timestamp); // can be more complicated with buy, sells, close position, close all etc.
+        broker.buy(bar.close, 1.0, bar.timestamp, None, None); // can be more complicated with buy, sells, close position, close all etc.
     }
 }
 

src/broker.rs

@@ -1,5 +1,5 @@
 
-use crate::types::{Position, Trade};
+use crate::types::{Position, Trade, Bar};
 
 pub struct Broker{
     pub cash: f64,
@@ -22,20 +22,21 @@ impl Broker {
         }
     }
 
-    pub fn buy(&mut self, price: f64, lot_size: f64, timestamp: i64) {      // needs to modify the broker with new position. (.push works with the Vec::)
+    pub fn buy(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {      // needs to modify the broker with new position. (.push works with the Vec::)
         let fill_price = price + self.spread; // buy at ask 
         self.cash -= self.commission * lot_size; // pay commission
-
         self.positions.push(Position {
             id: self.positions.len() as u64,
             entry_price: fill_price,
             lot_size,
             is_long: true,
             entry_timestamp: timestamp,
+            stop_loss,
+            take_profit
         });
     }
 
-    pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64) {  
+    pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {  
         let fill_price = price - self.spread; // buy at ask 
         self.cash -= self.commission * lot_size; // pay commission   // needs to modify the broker with new position. (.push works with the Vec::)
         self.positions.push(Position {
@@ -43,7 +44,9 @@ impl Broker {
             entry_price: fill_price,
             lot_size,
             is_long: false,
-            entry_timestamp: timestamp
+            entry_timestamp: timestamp,
+            stop_loss,
+            take_profit
         });
     }
 
@@ -116,4 +119,55 @@ impl Broker {
         self.cash + unrealized
     }
     
+    pub fn check_sl_tp(&mut self, bar: &Bar) {
+        let mut i = 0;
+        while i < self.positions.len() {
+            let fill = {
+                let p = &self.positions[i];
+                if p.is_long{
+                    let sl_hit = p.stop_loss.map_or(false, |sl| bar.low <= sl);
+                    let tp_hit = p.take_profit.map_or(false, |tp| bar.high >= tp);
+                    if sl_hit {p.stop_loss}
+                    else if tp_hit {p.take_profit}
+                    else {None}
+                } else {
+                    let sl_hit = p.stop_loss.map_or(false, |sl| bar.high >= sl);
+                    let tp_hit = p.take_profit.map_or(false, |tp| bar.low <= tp);
+                    if sl_hit {p.stop_loss}
+                    else if tp_hit {p.take_profit}
+                    else {None}
+                }
+            };
+
+            if let Some(fill_price) = fill {
+                let position = self.positions.remove(i);
+                let close_price = if position.is_long {
+                    fill_price - self.spread
+                } else {
+                    fill_price + self.spread
+                };
+
+                let pnl = if position.is_long {
+                    (close_price - position.entry_price) * position.lot_size
+                } else {
+                    (position.entry_price - close_price) * position.lot_size
+                };
+                self.cash += pnl;
+                self.trade_history.push(Trade {
+                    entry_price: position.entry_price,
+                    exit_price: close_price,
+                    lot_size: position.lot_size,
+                    is_long: position.is_long,
+                    pnl,
+                    entry_timestamp: position.entry_timestamp,
+                    exit_timestamp: bar.timestamp
+                });
+            } else {
+                i+=1;
+            } 
+
+        }
+
+    }
+    
 }

src/engine.rs

@@ -21,6 +21,7 @@ impl Engine {
     pub fn run (&mut self, strategy: &mut dyn Strategy) -> Stats {
         strategy.init(&self.data);
         for bar in &self.data {
+            self.broker.check_sl_tp(bar);
             strategy.next(bar, &mut self.broker);
             self.equity_curve.push(self.broker.equity(bar.close));
         }

src/types.rs

@@ -14,7 +14,10 @@ pub struct Position {       // this is for the trading position
     pub entry_price: f64,
     pub lot_size: f64,
     pub is_long: bool,
-    pub entry_timestamp: i64
+    pub entry_timestamp: i64,
+    pub stop_loss: Option<f64>,
+    pub take_profit: Option<f64>
+
 }
 
 #[derive(Debug, Clone)]