Struct Position

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pub struct Position {
    pub symbol: Symbol,
    pub quantity: Decimal,
    pub avg_cost: Decimal,
    pub realized_pnl: Decimal,
    pub open_bar: usize,
}

Expand description

A single-symbol position tracking quantity, average cost, and realized P&L.

Fields§

§symbol: Symbol

The instrument.

§quantity: Decimal

Current net quantity (positive = long, negative = short, zero = flat).

§avg_cost: Decimal

Volume-weighted average cost of the current position.

§realized_pnl: Decimal

Cumulative realized P&L for this position (net of commissions).

§open_bar: usize

Bar index at which the current position leg was opened. Set via Position::set_open_bar.

Implementations§

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impl Position

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pub fn new(symbol: Symbol) -> Self

Creates a new flat Position for symbol.

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pub fn set_open_bar(&mut self, bar: usize)

Records the bar index at which the current position leg was opened.

Call this whenever transitioning from flat to a new position.

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pub fn position_age_bars(&self, current_bar: usize) -> usize

Returns how many bars the current position has been open.

age = current_bar - self.open_bar (saturating at 0).

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pub fn max_favorable_excursion(&self, prices: &[Price]) -> Option<Decimal>

Maximum favorable excursion (MFE): the best unrealized P&L seen across prices.

For a long position, this is max(price - avg_cost) * quantity. For a short position, this is max(avg_cost - price) * |quantity|.

Returns None when the position is flat, avg_cost is zero, or prices is empty.

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pub fn kelly_fraction( win_rate: Decimal, avg_win: Decimal, avg_loss: Decimal, ) -> Option<Decimal>

Kelly fraction: optimal bet size as a fraction of capital.

Kelly = win_rate - (1 - win_rate) / (avg_win / avg_loss)

Returns None when avg_loss or avg_win is zero. The result is clamped to [0, 1] — never bet more than 100% or go short via Kelly.

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pub fn apply_fill(&mut self, fill: &Fill) -> Result<Decimal, FinError>

Applies a fill, updating quantity, avg_cost, and realized_pnl.

§Returns

The realized P&L contributed by this fill (0 if position is increasing).

§Errors

Returns FinError::ArithmeticOverflow on checked arithmetic failure.

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pub fn unrealized_pnl(&self, current_price: Price) -> Decimal

Returns unrealized P&L at current_price.

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pub fn checked_unrealized_pnl( &self, current_price: Price, ) -> Result<Decimal, FinError>

Returns unrealized P&L at current_price, returning Err on arithmetic overflow.

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pub fn unrealized_pnl_pct(&self, current_price: Price) -> Option<Decimal>

Returns unrealized P&L as a percentage of cost basis at current_price.

pct = unrealized_pnl / (|quantity| × avg_cost) × 100. Returns None if the position is flat or avg_cost is zero.

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pub fn total_cost_basis(&self) -> Decimal

Returns the total cost basis: |quantity| * avg_cost.

Represents the total capital committed to this position. Returns zero for flat positions.

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pub fn market_value(&self, current_price: Price) -> Decimal

Returns the market value of this position at current_price.

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pub fn is_flat(&self) -> bool

Returns true if the position is flat (zero quantity).

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pub fn is_long(&self) -> bool

Returns true if the position is long (positive quantity).

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pub fn is_short(&self) -> bool

Returns true if the position is short (negative quantity).

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pub fn direction(&self) -> PositionDirection

Returns the direction of the position.

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pub fn total_pnl(&self, current_price: Price) -> Decimal

Returns total P&L: realized_pnl + unrealized_pnl(current_price).

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pub fn quantity_abs(&self) -> Decimal

Returns the absolute magnitude of the current quantity.

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pub fn cost_basis(&self) -> Decimal

Returns the cost basis of the current position: avg_cost * |quantity|.

Represents total capital deployed, excluding any realized P&L. Returns 0 when the position is flat.

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pub fn is_profitable(&self, current_price: Price) -> bool

Returns true if unrealized PnL at current_price is strictly positive.

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pub fn avg_entry_price(&self) -> Option<Price>

Returns the average entry price as a Price, or None if the position is flat.

This is avg_cost expressed as a validated Price. Returns None when avg_cost == 0 (no open position).

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pub fn exposure_pct( &self, current_price: Price, total_portfolio_value: Decimal, ) -> Option<Decimal>

Returns the position’s current market value as a percentage of total_portfolio_value.

exposure_pct = |quantity × current_price| / total_portfolio_value × 100

Returns None when total_portfolio_value is zero, the position is flat, or current_price is zero.

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pub fn stop_loss_price(&self, stop_pct: Decimal) -> Option<Price>

Returns the stop-loss price at stop_pct percent below (long) or above (short) entry.

Long: stop = avg_cost × (1 - stop_pct / 100)
Short: stop = avg_cost × (1 + stop_pct / 100)

Returns None when the position is flat or avg_cost is zero.

§Example

// A 2% stop loss on a long position at avg_cost=100 → stop at 98
position.stop_loss_price(dec!(2)).unwrap() == Price::new(dec!(98)).unwrap()

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pub fn take_profit_price(&self, tp_pct: Decimal) -> Option<Price>

Returns the take-profit price for the current position at tp_pct percent gain.

Returns None when the position is flat or avg_cost is zero. For a long position, the take-profit price is avg_cost * (1 + tp_pct / 100). For a short position, the take-profit price is avg_cost * (1 - tp_pct / 100).

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