Struct PortfolioRiskConfig 

pub struct PortfolioRiskConfig {
    pub max_daily_loss: f64,
    pub max_concurrent_positions: u32,
    pub max_gross_exposure: f64,
}

Configuration for PortfolioRisk. Every limit is independently disable-able, and the Default disables them all (opt-in).

Fields

max_daily_loss: f64

Account-wide net loss ceiling for the day, in quote currency (a negative number, e.g. -500.0). When net realised PnL across all symbols drops to or below this, every new entry is halted until the next 00:00 UTC rollover. f64::NEG_INFINITY disables the halt.

max_concurrent_positions: u32

Maximum number of symbols holding a position at once. A new entry on a symbol that is currently flat is blocked when this many symbols are already open. 0 means unlimited.

max_gross_exposure: f64

Cap on aggregate gross exposure (the sum of |notional| across all open positions) in quote currency. A new entry is blocked when it would push gross exposure past this. f64::INFINITY disables the cap.

Trait Implementations

impl Clone for PortfolioRiskConfig

fn clone(&self) -> PortfolioRiskConfig

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for PortfolioRiskConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result<(), Error>

Formats the value using the given formatter.

impl Default for PortfolioRiskConfig

fn default() -> PortfolioRiskConfig

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for PortfolioRiskConfig

fn deserialize<__D>( __deserializer: __D, ) -> Result<PortfolioRiskConfig, <__D as Deserializer<'de>>::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for PortfolioRiskConfig

fn serialize<__S>( &self, __serializer: __S, ) -> Result<<__S as Serializer>::Ok, <__S as Serializer>::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.