Enum Sizing 

pub enum Sizing {
    FixedFraction {
        fraction: f64,
    },
    FixedQty {
        qty: f64,
    },
    FixedCash {
        cash: f64,
    },
    VolTarget {
        target_vol: f64,
        lookback: u32,
    },
    RiskPerTrade {
        risk_pct: f64,
    },
}

Position sizing model.

Variants

FixedFraction

A fraction of current equity.

Fields

fraction: f64

Fraction in [0, 1].

FixedQty

A fixed quantity of the base asset.

Fields

qty: f64

Quantity.

FixedCash

A fixed cash notional.

Fields

cash: f64

Cash amount.

VolTarget

Size to a target volatility: the position notional is scaled so the position’s per-bar return volatility approximates target_vol. With realized per-bar volatility rv over lookback bars, the notional is equity * target_vol / rv (then capped by the leverage limits). No position is taken until lookback bars of history exist.

Fields

target_vol: f64

Target per-bar return volatility, as a fraction (e.g. 0.02 = 2%).

lookback: u32

Lookback bars for the realized-volatility estimate.

RiskPerTrade

Size from the stop-loss distance and a per-trade risk budget.

Fields

risk_pct: f64

Risk per trade in percent of equity.

Trait Implementations

impl Clone for Sizing

fn clone(&self) -> Sizing

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Sizing

impl Debug for Sizing

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Sizing

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl JsonSchema for Sizing

fn schema_name() -> String

The name of the generated JSON Schema.

fn schema_id() -> Cow<'static, str>

Returns a string that uniquely identifies the schema produced by this type.

fn json_schema(generator: &mut SchemaGenerator) -> Schema

Generates a JSON Schema for this type.

fn is_referenceable() -> bool

Whether JSON Schemas generated for this type should be re-used where possible using the $ref keyword.

impl PartialEq for Sizing

fn eq(&self, other: &Sizing) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for Sizing

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for Sizing