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use crate::{
data::MarketMeta,
event::Event,
execution::FillEvent,
portfolio::{error::PortfolioError, position::PositionUpdate},
strategy::{Decision, Signal, SignalForceExit},
};
use barter_data::event::{DataKind, MarketEvent};
use barter_integration::model::{instrument::Instrument, Exchange};
use chrono::{DateTime, Utc};
use serde::{Deserialize, Serialize};
use uuid::Uuid;
/// Logic for [`OrderEvent`] quantity allocation.
pub mod allocator;
/// Barter portfolio module specific errors.
pub mod error;
/// Core Portfolio logic containing an implementation of [`MarketUpdater`],
/// [`OrderGenerator`] and [`FillUpdater`]. Utilises the risk and allocator logic to optimise
/// [`OrderEvent`] generation.
pub mod portfolio;
/// Data structures encapsulating the state of a trading [`Position`](position::Position), as
/// well as the logic for entering, updating and exiting them.
pub mod position;
/// Repositories for persisting Portfolio state.
pub mod repository;
/// Logic for evaluating the risk associated with a proposed [`OrderEvent`].
pub mod risk;
/// Updates the Portfolio from an input [`MarketEvent`].
pub trait MarketUpdater {
/// Determines if the Portfolio has an open Position relating to the input [`MarketEvent`]. If
/// so it updates it using the market data, and returns a [`PositionUpdate`] detailing the
/// changes.
fn update_from_market(
&mut self,
market: &MarketEvent<DataKind>,
) -> Result<Option<PositionUpdate>, PortfolioError>;
}
/// May generate an [`OrderEvent`] from an input advisory [`Signal`].
pub trait OrderGenerator {
/// May generate an [`OrderEvent`] after analysing an input advisory [`Signal`].
fn generate_order(&mut self, signal: &Signal) -> Result<Option<OrderEvent>, PortfolioError>;
/// Generates an exit [`OrderEvent`] if there is an open [`Position`](position::Position)
/// associated with the input [`SignalForceExit`]'s [`PositionId`](position::PositionId).
fn generate_exit_order(
&mut self,
signal: SignalForceExit,
) -> Result<Option<OrderEvent>, PortfolioError>;
}
/// Updates the Portfolio from an input [`FillEvent`].
pub trait FillUpdater {
/// Updates the Portfolio state using the input [`FillEvent`]. The [`FillEvent`] triggers a
/// Position entry or exit, and the Portfolio updates key fields such as current_cash and
/// current_value accordingly.
fn update_from_fill(&mut self, fill: &FillEvent) -> Result<Vec<Event>, PortfolioError>;
}
/// Orders are generated by the portfolio and details work to be done by an Execution handler to
/// open a trade.
#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
pub struct OrderEvent {
pub time: DateTime<Utc>,
pub exchange: Exchange,
pub instrument: Instrument,
/// Metadata propagated from source MarketEvent
pub market_meta: MarketMeta,
/// LONG, CloseLong, SHORT or CloseShort
pub decision: Decision,
/// +ve or -ve Quantity depending on Decision
pub quantity: f64,
/// MARKET, LIMIT etc
pub order_type: OrderType,
}
impl OrderEvent {
pub const ORGANIC_ORDER: &'static str = "Order";
pub const FORCED_EXIT_ORDER: &'static str = "OrderForcedExit";
/// Returns a OrderEventBuilder instance.
pub fn builder() -> OrderEventBuilder {
OrderEventBuilder::new()
}
}
/// Type of order the portfolio wants the execution::handler to place.
#[derive(Copy, Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
pub enum OrderType {
Market,
Limit,
Bracket,
}
impl Default for OrderType {
fn default() -> Self {
Self::Market
}
}
/// Builder to construct OrderEvent instances.
#[derive(Debug, Default)]
pub struct OrderEventBuilder {
pub time: Option<DateTime<Utc>>,
pub exchange: Option<Exchange>,
pub instrument: Option<Instrument>,
pub market_meta: Option<MarketMeta>,
pub decision: Option<Decision>,
pub quantity: Option<f64>,
pub order_type: Option<OrderType>,
}
impl OrderEventBuilder {
pub fn new() -> Self {
Self::default()
}
pub fn time(self, value: DateTime<Utc>) -> Self {
Self {
time: Some(value),
..self
}
}
pub fn exchange(self, value: Exchange) -> Self {
Self {
exchange: Some(value),
..self
}
}
pub fn instrument(self, value: Instrument) -> Self {
Self {
instrument: Some(value),
..self
}
}
pub fn market_meta(self, value: MarketMeta) -> Self {
Self {
market_meta: Some(value),
..self
}
}
pub fn decision(self, value: Decision) -> Self {
Self {
decision: Some(value),
..self
}
}
pub fn quantity(self, value: f64) -> Self {
Self {
quantity: Some(value),
..self
}
}
pub fn order_type(self, value: OrderType) -> Self {
Self {
order_type: Some(value),
..self
}
}
pub fn build(self) -> Result<OrderEvent, PortfolioError> {
Ok(OrderEvent {
time: self.time.ok_or(PortfolioError::BuilderIncomplete("time"))?,
exchange: self
.exchange
.ok_or(PortfolioError::BuilderIncomplete("exchange"))?,
instrument: self
.instrument
.ok_or(PortfolioError::BuilderIncomplete("instrument"))?,
market_meta: self
.market_meta
.ok_or(PortfolioError::BuilderIncomplete("market_meta"))?,
decision: self
.decision
.ok_or(PortfolioError::BuilderIncomplete("decision"))?,
quantity: self
.quantity
.ok_or(PortfolioError::BuilderIncomplete("quantity"))?,
order_type: self
.order_type
.ok_or(PortfolioError::BuilderIncomplete("order_type"))?,
})
}
}
/// Communicates a String represents a unique identifier for an Engine's Portfolio [`Balance`].
pub type BalanceId = String;
/// Total and available balance at a point in time.
#[derive(Copy, Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
pub struct Balance {
pub time: DateTime<Utc>,
pub total: f64,
pub available: f64,
}
impl Default for Balance {
fn default() -> Self {
Self {
time: Utc::now(),
total: 0.0,
available: 0.0,
}
}
}
impl Balance {
/// Construct a new [`Balance`] using the provided total & available balance values.
pub fn new(time: DateTime<Utc>, total: f64, available: f64) -> Self {
Self {
time,
total,
available,
}
}
/// Returns the unique identifier for an Engine's [`Balance`].
pub fn balance_id(engine_id: Uuid) -> BalanceId {
format!("{}_balance", engine_id)
}
}