Trait lfest::AccountTracker
source · [−]pub trait AccountTracker: Send {
fn update(&mut self, timestamp: u64, price: f64, upnl: f64);
fn log_rpnl(&mut self, rpnl: f64);
fn log_fee(&mut self, fee: f64);
fn log_limit_order_submission(&mut self);
fn log_limit_order_cancellation(&mut self);
fn log_limit_order_fill(&mut self);
fn log_trade(&mut self, side: Side, price: f64, size: f64);
}Expand description
Something that tracks the performance of the Account. This allows for greated flexibility over using the FullAccountTracker which can easily use more than 10GB of RAM due to storage of tick-by-tick returns
Required Methods
Update with each tick, using data provided in update_state method of Exchange # Arguments timestamp: timestamp of latest tick price: price of latest tick upnl: unrealized profit and loss of account in current tick
fn log_limit_order_submission(&mut self)
fn log_limit_order_submission(&mut self)
Log a limit order submission event
fn log_limit_order_cancellation(&mut self)
fn log_limit_order_cancellation(&mut self)
Log a limit order cancellation event
fn log_limit_order_fill(&mut self)
fn log_limit_order_fill(&mut self)
Log a limit order fill event