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added lot size

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KhizarImran
2026-06-21 00:18:44 +01:00
parent 706be103f0
commit cb9bf41ff3
3 changed files with 130 additions and 38 deletions
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src/broker.rs
+93 -34
View File
@@ -1,15 +1,16 @@
use crate::types::{Bar, Position, Trade};
use pyo3::prelude::*;
use crate::types::{Position, Trade, Bar};
#[pyclass]
pub struct Broker{
pub struct Broker {
pub cash: f64,
pub initial_cash: f64,
pub positions: Vec<Position>,
pub trade_history: Vec<Trade>,
pub commission: f64,
pub spread: f64
pub spread: f64,
pub contract_size: f64,
pub quote_to_account: f64,
}
// Rust-internal only, not exposed to Python
@@ -19,18 +20,26 @@ impl Broker {
while i < self.positions.len() {
let fill = {
let p = &self.positions[i];
if p.is_long{
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}
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 sl_hit {
p.stop_loss
} else if tp_hit {
p.take_profit
} else {
None
}
}
};
@@ -43,9 +52,15 @@ impl Broker {
};
let pnl = if position.is_long {
(close_price - position.entry_price) * position.lot_size
(close_price - position.entry_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
} else {
(position.entry_price - close_price) * position.lot_size
(position.entry_price - close_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
};
self.cash += pnl;
self.trade_history.push(Trade {
@@ -55,10 +70,10 @@ impl Broker {
is_long: position.is_long,
pnl,
entry_timestamp: position.entry_timestamp,
exit_timestamp: bar.timestamp
exit_timestamp: bar.timestamp,
});
} else {
i+=1;
i += 1;
}
}
}
@@ -67,18 +82,33 @@ impl Broker {
#[pymethods]
impl Broker {
#[new]
pub fn new(initial_cash: f64, commission: f64, spread: f64) -> Self {
pub fn new(
initial_cash: f64,
commission: f64,
spread: f64,
contract_size: f64,
quote_to_account: f64,
) -> Self {
Broker {
cash: initial_cash,
initial_cash,
positions: Vec::new(),
trade_history: Vec::new(),
commission,
spread
spread,
contract_size,
quote_to_account,
}
}
pub fn buy(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {
pub fn buy(
&mut self,
price: f64,
lot_size: f64,
timestamp: i64,
stop_loss: Option<f64>,
take_profit: Option<f64>,
) {
let fill_price = price + self.spread;
self.cash -= self.commission * lot_size;
self.positions.push(Position {
@@ -88,11 +118,18 @@ impl Broker {
is_long: true,
entry_timestamp: timestamp,
stop_loss,
take_profit
take_profit,
});
}
pub fn sell(&mut self, price: f64, lot_size: f64, timestamp: i64, stop_loss: Option<f64>, take_profit: Option<f64>) {
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;
self.cash -= self.commission * lot_size;
self.positions.push(Position {
@@ -102,7 +139,7 @@ impl Broker {
is_long: false,
entry_timestamp: timestamp,
stop_loss,
take_profit
take_profit,
});
}
@@ -117,9 +154,15 @@ impl Broker {
};
let pnl = if position.is_long {
(close_price - position.entry_price) * position.lot_size
(close_price - position.entry_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
} else {
(position.entry_price - close_price) * position.lot_size
(position.entry_price - close_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
};
self.cash += pnl;
@@ -130,7 +173,7 @@ impl Broker {
pnl,
entry_timestamp: position.entry_timestamp,
exit_timestamp: timestamp,
exit_price: close_price
exit_price: close_price,
});
}
}
@@ -144,9 +187,15 @@ impl Broker {
};
let pnl = if position.is_long {
(close_price - position.entry_price) * position.lot_size
(close_price - position.entry_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
} else {
(position.entry_price - close_price) * position.lot_size
(position.entry_price - close_price)
* position.lot_size
* self.contract_size
* self.quote_to_account
};
self.cash += pnl;
self.trade_history.push(Trade {
@@ -156,19 +205,29 @@ impl Broker {
pnl,
entry_timestamp: position.entry_timestamp,
exit_timestamp: timestamp,
exit_price: close_price
exit_price: close_price,
});
}
}
pub fn equity(&self, current_price: f64) -> f64 {
let unrealized: f64 = self.positions.iter().map(|p| {
if p.is_long {
(current_price - p.entry_price) * p.lot_size
} else {
(p.entry_price - current_price) * p.lot_size
}
}).sum();
let unrealized: f64 = self
.positions
.iter()
.map(|p| {
if p.is_long {
(current_price - p.entry_price)
* p.lot_size
* self.contract_size
* self.quote_to_account
} else {
(p.entry_price - current_price)
* p.lot_size
* self.contract_size
* self.quote_to_account
}
})
.sum();
self.cash + unrealized
}
src/engine.rs
+17 -2
View File
@@ -29,10 +29,23 @@ impl Engine {
#[pymethods]
impl Engine {
#[new]
pub fn new(data: Vec<Bar>, initial_cash: f64, commission: f64, spread: f64) -> Self {
pub fn new(
data: Vec<Bar>,
initial_cash: f64,
commission: f64,
spread: f64,
contract_size: f64,
quote_to_account: f64,
) -> Self {
Engine {
data,
broker: Broker::new(initial_cash, commission, spread),
broker: Broker::new(
initial_cash,
commission,
spread,
contract_size,
quote_to_account,
),
equity_curve: Vec::new(),
}
}
@@ -54,6 +67,8 @@ impl Engine {
self.broker.initial_cash,
self.broker.commission,
self.broker.spread,
self.broker.contract_size,
self.broker.quote_to_account,
),
)?;