mirror of
https://github.com/KhizarImran/backtestingfx.git
synced 2026-08-15 21:18:04 +00:00
core: fully restructured code to support pyo3
This commit is contained in:
KhizarImran
+114
-112
@@ -1,6 +1,8 @@
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use pyo3::prelude::*;
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use crate::types::{Position, Trade, Bar};
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#[pyclass]
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pub struct Broker{
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pub cash: f64,
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pub initial_cash: f64,
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@@ -10,115 +12,8 @@ pub struct Broker{
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pub spread: f64
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}
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// Rust-internal only, not exposed to Python
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impl Broker {
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pub fn new(initial_cash: f64, commission: f64, spread: f64) -> Self { // does not need &mut because it initialises something new
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Broker {
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cash: initial_cash,
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initial_cash,
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positions: Vec::new(),
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trade_history: Vec::new(),
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commission,
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spread
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}
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}
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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::)
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let fill_price = price + self.spread; // buy at ask
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self.cash -= self.commission * lot_size; // pay commission
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self.positions.push(Position {
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id: self.positions.len() as u64,
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entry_price: fill_price,
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lot_size,
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is_long: true,
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entry_timestamp: timestamp,
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stop_loss,
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take_profit
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});
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}
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pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {
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let fill_price = price - self.spread; // buy at ask
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self.cash -= self.commission * lot_size; // pay commission // needs to modify the broker with new position. (.push works with the Vec::)
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self.positions.push(Position {
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id : self.positions.len() as u64,
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entry_price: fill_price,
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lot_size,
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is_long: false,
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entry_timestamp: timestamp,
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stop_loss,
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take_profit
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});
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}
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pub fn close_position (&mut self, id: u64, price:f64, timestamp:i64) {
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if let Some(index) = self.positions.iter().position(|p| p.id == id) {
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let position = self.positions.remove(index);
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let close_price = if position.is_long {
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price - self.spread // sell at the bif whilst closing
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} else {
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price + self.spread
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};
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let pnl = if position.is_long {
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(close_price - position.entry_price) * position.lot_size
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} else {
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(position.entry_price - close_price) * position.lot_size
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};
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self.cash += pnl;
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self.trade_history.push(Trade {
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entry_price: position.entry_price,
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lot_size: position.lot_size,
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is_long: position.is_long,
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pnl,
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entry_timestamp: position.entry_timestamp,
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exit_timestamp: timestamp,
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exit_price: close_price
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});
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}
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}
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pub fn close_all (&mut self, price:f64, timestamp: i64) { // Instead of .push it uses drain to calculate the close all positions
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for position in self.positions.drain(..) {
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let close_price = if position.is_long {
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price - self.spread // sell at the bif whilst closing
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} else {
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price + self.spread
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};
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let pnl = if position.is_long {
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(close_price - position.entry_price) * position.lot_size
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} else {
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(position.entry_price - close_price) * position.lot_size
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};
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self.cash += pnl;
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self.trade_history.push(Trade {
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entry_price: position.entry_price,
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lot_size: position.lot_size,
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is_long: position.is_long,
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pnl,
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entry_timestamp: position.entry_timestamp,
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exit_timestamp: timestamp,
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exit_price: close_price
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});
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}
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}
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pub fn equity(&self, current_price: f64) -> f64 { // computes unrealised positions from the opened positions
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let unrealized: f64 = self.positions.iter().map(|p| {
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if p.is_long {
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(current_price - p.entry_price) * p.lot_size
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} else {
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(p.entry_price - current_price) * p.lot_size
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}
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}).sum();
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self.cash + unrealized
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}
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pub fn check_sl_tp(&mut self, bar: &Bar) {
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let mut i = 0;
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while i < self.positions.len() {
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@@ -164,10 +59,117 @@ impl Broker {
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});
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} else {
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i+=1;
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}
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}
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}
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}
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}
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#[pymethods]
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impl Broker {
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#[new]
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pub fn new(initial_cash: f64, commission: f64, spread: f64) -> Self {
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Broker {
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cash: initial_cash,
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initial_cash,
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positions: Vec::new(),
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trade_history: Vec::new(),
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commission,
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spread
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}
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}
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pub fn buy(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {
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let fill_price = price + self.spread;
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self.cash -= self.commission * lot_size;
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self.positions.push(Position {
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id: self.positions.len() as u64,
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entry_price: fill_price,
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lot_size,
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is_long: true,
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entry_timestamp: timestamp,
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stop_loss,
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take_profit
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});
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}
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pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {
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let fill_price = price - self.spread;
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self.cash -= self.commission * lot_size;
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self.positions.push(Position {
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id: self.positions.len() as u64,
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entry_price: fill_price,
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lot_size,
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is_long: false,
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entry_timestamp: timestamp,
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stop_loss,
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take_profit
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});
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}
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pub fn close_position(&mut self, id: u64, price: f64, timestamp: i64) {
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if let Some(index) = self.positions.iter().position(|p| p.id == id) {
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let position = self.positions.remove(index);
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let close_price = if position.is_long {
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price - self.spread
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} else {
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price + self.spread
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};
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let pnl = if position.is_long {
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(close_price - position.entry_price) * position.lot_size
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} else {
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(position.entry_price - close_price) * position.lot_size
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};
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self.cash += pnl;
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self.trade_history.push(Trade {
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entry_price: position.entry_price,
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lot_size: position.lot_size,
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is_long: position.is_long,
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pnl,
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entry_timestamp: position.entry_timestamp,
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exit_timestamp: timestamp,
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exit_price: close_price
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});
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}
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}
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pub fn close_all(&mut self, price: f64, timestamp: i64) {
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for position in self.positions.drain(..) {
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let close_price = if position.is_long {
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price - self.spread
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} else {
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price + self.spread
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};
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let pnl = if position.is_long {
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(close_price - position.entry_price) * position.lot_size
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} else {
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(position.entry_price - close_price) * position.lot_size
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};
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self.cash += pnl;
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self.trade_history.push(Trade {
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entry_price: position.entry_price,
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lot_size: position.lot_size,
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is_long: position.is_long,
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pnl,
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entry_timestamp: position.entry_timestamp,
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exit_timestamp: timestamp,
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exit_price: close_price
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});
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}
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}
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pub fn equity(&self, current_price: f64) -> f64 {
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let unrealized: f64 = self.positions.iter().map(|p| {
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if p.is_long {
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(current_price - p.entry_price) * p.lot_size
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} else {
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(p.entry_price - current_price) * p.lot_size
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}
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}).sum();
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self.cash + unrealized
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}
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}
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