checkpoint: spread/commisions working

examples/simple_strategy.rs

@@ -3,6 +3,8 @@ use backtestingfx::broker::Broker;
 use backtestingfx::strategy::Strategy;
 use backtestingfx::engine::Engine;
 use backtestingfx::data::load_csv;
+use backtestingfx::stats::Stats;
+
 
 struct BuyEveryBar;
 
@@ -15,13 +17,13 @@ impl Strategy for BuyEveryBar {
 
 fn main() {
     let data = load_csv("examples/data/eurusd_lse_1h.csv");
-    let mut engine = Engine::new(data, 10000.0);
+    let mut engine = Engine::new(data, 10_000.0, 0.0, 0.00010);
     let mut strategy = BuyEveryBar;
 
     engine.run(&mut strategy); // main line that runs the strategy 
 
-    println!("Final cash: {}", engine.broker.cash);
+    let stats = Stats::compute(&engine.broker, 10_000.0);
-    println!("Trades executed: {}", engine.broker.trade_history.len());
+    println!("{}", stats);
 }
 
 

src/broker.rs

@@ -4,32 +4,41 @@ use crate::types::{Position, Trade};
 pub struct Broker{
     pub cash: f64,
     pub positions: Vec<Position>,
-    pub trade_history: Vec<Trade>
+    pub trade_history: Vec<Trade>,
+    pub commission: f64,
+    pub spread: f64
 }
 
 impl Broker {
-    pub fn new(initial_cash: f64) -> Self {     // does not need &mut because it initialises something new 
+    pub fn new(initial_cash: f64, commission: f64, spread: f64) -> Self {     // does not need &mut because it initialises something new 
         Broker {
             cash: initial_cash,
             positions: Vec::new(),
-            trade_history: Vec::new()
+            trade_history: Vec::new(),
+            commission,
+            spread
         }
     }
 
     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::)
+        let fill_price = price + self.spread; // buy at ask 
+        self.cash -= self.commission * lot_size; // pay commission
+
         self.positions.push(Position {
-            id: 0,
+            id: self.positions.len() as u64,
-            entry_price: price,
+            entry_price: fill_price,
             lot_size,
             is_long: true,
             entry_timestamp: timestamp,
         });
     }
 
-    pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64) {     // needs to modify the broker with new position. (.push works with the Vec::)
+    pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64) {  
+        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 {
             id : 0,
-            entry_price: price,
+            entry_price: fill_price,
             lot_size,
             is_long: false,
             entry_timestamp: timestamp

src/engine.rs

@@ -8,10 +8,10 @@ pub struct Engine {
 }
 
 impl Engine {
-    pub fn new(data: Vec<Bar>, initial_cash: f64) -> Self {
+    pub fn new(data: Vec<Bar>, initial_cash: f64, commission: f64, spread: f64) -> Self {
         Engine {
             data,
-            broker : Broker::new(initial_cash) // it takes initial cash and not Broker as Engine is responsible for broker not the user 
+            broker : Broker::new(initial_cash, commission, spread) // it takes initial cash and not Broker as Engine is responsible for broker not the user 
         }
     }
 

src/lib.rs

@@ -3,3 +3,4 @@ pub mod strategy;
 pub mod broker;
 pub mod engine;
 pub mod data;
+pub mod stats;

src/stats.rs

@@ -0,0 +1,76 @@
+use crate::broker::Broker;
+
+  pub struct Stats {
+      pub initial_cash: f64,
+      pub final_cash: f64,
+      pub total_return_pct: f64,
+      pub num_trades: usize,
+      pub num_wins: usize,
+      pub win_rate_pct: f64,
+      pub avg_pnl: f64,
+      pub best_trade: f64,
+      pub worst_trade: f64,
+      pub profit_factor: f64,
+  }
+
+  impl Stats {
+      pub fn compute(broker: &Broker, initial_cash: f64) -> Self {
+          let num_trades = broker.trade_history.len();
+          let final_cash = broker.cash;
+          let total_return_pct = (final_cash - initial_cash) / initial_cash * 100.0;
+
+          let num_wins = broker.trade_history.iter().filter(|t| t.pnl > 0.0).count();
+          let win_rate_pct = if num_trades > 0 {
+              num_wins as f64 / num_trades as f64 * 100.0
+          } else { 0.0 };
+
+          let avg_pnl = if num_trades > 0 {
+              broker.trade_history.iter().map(|t| t.pnl).sum::<f64>() / num_trades as f64
+          } else { 0.0 };
+
+          let best_trade = broker.trade_history.iter().map(|t| t.pnl)
+              .fold(f64::NEG_INFINITY, f64::max);
+          let worst_trade = broker.trade_history.iter().map(|t| t.pnl)
+              .fold(f64::INFINITY, f64::min);
+
+          let gross_profit: f64 = broker.trade_history.iter()
+              .filter(|t| t.pnl > 0.0).map(|t| t.pnl).sum();
+          let gross_loss: f64 = broker.trade_history.iter()
+              .filter(|t| t.pnl < 0.0).map(|t| t.pnl.abs()).sum();
+          let profit_factor = if gross_loss > 0.0 { gross_profit / gross_loss } else {
+  f64::INFINITY };
+
+          Stats {
+              initial_cash,
+              final_cash,
+              total_return_pct,
+              num_trades,
+              num_wins,
+              win_rate_pct,
+              avg_pnl,
+              best_trade: if num_trades > 0 { best_trade } else { 0.0 },
+              worst_trade: if num_trades > 0 { worst_trade } else { 0.0 },
+              profit_factor,
+          }
+      }
+  }
+
+  impl std::fmt::Display for Stats {
+      fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
+          write!(f,
+              "--- Backtest Results ---\n\
+               Initial Cash:   {:.2}\n\
+               Final Cash:     {:.2}\n\
+               Total Return:   {:.2}%\n\
+               Trades:         {}\n\
+               Win Rate:       {:.1}%\n\
+               Avg PnL:        {:.5}\n\
+               Best Trade:     {:.5}\n\
+               Worst Trade:    {:.5}\n\
+               Profit Factor:  {:.2}",
+              self.initial_cash, self.final_cash, self.total_return_pct,
+              self.num_trades, self.win_rate_pct, self.avg_pnl,
+              self.best_trade, self.worst_trade, self.profit_factor
+          )
+      }
+  }