Module barter::portfolio

Defines useful data structures such as an OrderEvent and Position. The Portfolio must interact with MarketEvents, SignalEvents, OrderEvents, and FillEvents. The useful traits MarketUpdater, OrderGenerator, & FillUpdater are provided that define the interactions with these events. Contains a MetaPortfolio implementation that persists state in a generic Repository. This also contains example implementations of an OrderAllocator & OrderEvaluator, which help the Portfolio make decisions on whether to generate OrderEvents and of what size.

Modules

• allocator
  Logic for OrderEvent quantity allocation.
• error
  Barter portfolio module specific errors.
• portfolio
  Core Portfolio logic containing an implementation of MarketUpdater, OrderGenerator and FillUpdater. Utilises the risk and allocator logic to optimise OrderEvent generation.
• position
  Data structures encapsulating the state of a trading Position, as well as the logic for entering, updating and exiting them.
• repository
  Repositories for persisting Portfolio state.
• risk
  Logic for evaluating the risk associated with a proposed OrderEvent.

Structs

• Balance
  Total and available balance at a point in time.
• OrderEvent
  Orders are generated by the portfolio and details work to be done by an Execution handler to open a trade.
• OrderEventBuilder
  Builder to construct OrderEvent instances.

Enums

• OrderType
  Type of order the portfolio wants the execution::handler to place.

Traits

• FillUpdater
  Updates the Portfolio from an input FillEvent.
• MarketUpdater
  Updates the Portfolio from an input MarketEvent.
• OrderGenerator
  May generate an OrderEvent from an input advisory Signal.

Type Definitions

• BalanceId
  Communicates a String represents a unique identifier for an Engine’s Portfolio Balance.