portfolios.h File Reference

#include "types.h"
#include "data.h"
#include "positions.h"
#include "stats.h"

Go to the source code of this file.

Data Structures
struct	WU_Portfolio
	Base for a portfolio, which defines the minimal interface for updating the portfolio with signals, calculating the current value of the portfolio, and calculating the profit and loss (PnL), as well as a method to free the portfolio's resources. More...
struct	WU_ExecutionPolicy
struct	WU_BorrowParams
struct	WU_PortfolioParams
	The parameters to define a portfolio. More...
struct	WU_BasicPortfolio
	A basic portfolio implementation that supports multiple assets. More...

Macros
#define	wu_portfolio_update(portfolio, signals)
	The update macro allows you to update the portfolio with new signals.
#define	wu_portfolio_value(portfolio)
	Calculates the current value of the portfolio.
#define	wu_portfolio_pnl(portfolio)
	Calculates the profit and loss (PnL) of the portfolio.
#define	wu_portfolio_delete(portfolio)
	Frees the resources associated with the portfolio.
#define	WU_PORTFOLIO(portfolio)
	Casting macro for the base portfolio type.

Enumerations
enum	WU_Direction { WU_DIRECTION_LONG , WU_DIRECTION_SHORT , WU_DIRECTION_BOTH }
enum	WU_ExecutionPolicyValue { WU_EXECUTION_POLICY_IMMEDIATE , WU_EXECUTION_POLICY_NEXT_CLOSE , WU_EXECUTION_POLICY_FIXED_SLIPPAGE , WU_EXECUTION_POLICY_RANDOM_SLIPPAGE }
enum	WU_TransactionCostType { WU_TRANSACTION_COST_FIXED , WU_TRANSACTION_COST_PROPORTIONAL }

Functions
WU_PortfolioParams	wu_portfolio_params_default (void)
	Returns default portfolio parameters with reasonable values.
WU_BasicPortfolio	wu_basic_portfolio_new (WU_PortfolioParams params, const char *symbols[])
	Creates a new basic portfolio instance with the specified parameters and asset symbols.
double	wu_basic_portfolio_asset_value (WU_BasicPortfolio portfolio, int asset_index)
	Get current value of a specific asset's positions.
double	wu_basic_portfolio_asset_quantity (WU_BasicPortfolio portfolio, int asset_index)
	Get total quantity held for a specific asset.

Macro Definition Documentation

WU_PORTFOLIO

#define WU_PORTFOLIO

(

portfolio

)

Value:

((WU_Portfolio)(portfolio))

Casting macro for the base portfolio type.

Definition at line 157 of file portfolios.h.

wu_portfolio_delete

#define wu_portfolio_delete

(

portfolio

)

Value:

    do { \
    if ((portfolio)->delete) \
        (portfolio)->delete((WU_Portfolio)(portfolio)); \
} while(0)

Frees the resources associated with the portfolio.

Usually this macro is called by the runner when it takes ownership of the portfolio.

Definition at line 52 of file portfolios.h.

wu_portfolio_pnl

#define wu_portfolio_pnl

(

portfolio

)

Value:

(((WU_Portfolio)(portfolio))->pnl( \
(WU_Portfolio)(portfolio)))

Calculates the profit and loss (PnL) of the portfolio.

This is typically calculated as the difference between the current value of the portfolio and the initial cash invested, minus any transaction costs or fees.

Definition at line 45 of file portfolios.h.

wu_portfolio_update

#define wu_portfolio_update	(		portfolio,
			signals )

Value:

    do { \
    ((WU_Portfolio)(portfolio))->update((WU_Portfolio)(portfolio), \
        (signals)); \
} while(0)

The update macro allows you to update the portfolio with new signals.

Definition at line 28 of file portfolios.h.

wu_portfolio_value

#define wu_portfolio_value

(

portfolio

)

Value:

(((WU_Portfolio)(portfolio))->value( \
(WU_Portfolio)(portfolio)))

Calculates the current value of the portfolio.

This includes the value of all positions plus any remaining cash.

Definition at line 37 of file portfolios.h.

Enumeration Type Documentation

WU_Direction

enum WU_Direction

Enumerator
WU_DIRECTION_LONG
WU_DIRECTION_SHORT
WU_DIRECTION_BOTH

Definition at line 57 of file portfolios.h.

WU_ExecutionPolicyValue

enum WU_ExecutionPolicyValue

Enumerator
WU_EXECUTION_POLICY_IMMEDIATE
WU_EXECUTION_POLICY_NEXT_CLOSE
WU_EXECUTION_POLICY_FIXED_SLIPPAGE
WU_EXECUTION_POLICY_RANDOM_SLIPPAGE

Definition at line 63 of file portfolios.h.

WU_TransactionCostType

enum WU_TransactionCostType

Enumerator
WU_TRANSACTION_COST_FIXED
WU_TRANSACTION_COST_PROPORTIONAL

Definition at line 70 of file portfolios.h.

Function Documentation

wu_basic_portfolio_asset_quantity()

double wu_basic_portfolio_asset_quantity	(	WU_BasicPortfolio	portfolio,
		int	asset_index )

Get total quantity held for a specific asset.

Get total quantity held for a specific asset.

It does bound checking.

Definition at line 827 of file basic.c.

wu_basic_portfolio_asset_value()

double wu_basic_portfolio_asset_value	(	WU_BasicPortfolio	portfolio,
		int	asset_index )

Get current value of a specific asset's positions.

Get current value of a specific asset's positions.

This function does bound checking.

Definition at line 812 of file basic.c.

wu_basic_portfolio_new()

WU_BasicPortfolio wu_basic_portfolio_new	(	WU_PortfolioParams	params,
		const char *	symbols[] )

Creates a new basic portfolio instance with the specified parameters and asset symbols.

The array symbols should be created using the wu_symbol_list macro, which ensures it is null-terminated.

Creates a new basic portfolio instance with the specified parameters and asset symbols.

It takes in the portfolio parameters and an array of asset symbols, and initializes the portfolio's internal state accordingly. Memory is dynamically allocated for the portfolio structure and the position vectors for each asset. The function also sets up the function pointers for the portfolio operations (update, value, pnl, delete) and initializes the cash balance and trading statistics. If any memory allocation fails, it ensures that all previously allocated resources are freed to prevent memory leaks.

Definition at line 764 of file basic.c.

wu_portfolio_params_default()

WU_PortfolioParams wu_portfolio_params_default

(

void

)

Returns default portfolio parameters with reasonable values.

Returns default portfolio parameters with reasonable values.

The portfolio can process buy and sell signals, manage positions for each asset, and calculate the total value and profit/loss (PnL) of the portfolio. It also includes features such as transaction costs, slippage, stop-loss, and take-profit mechanisms. Returns default portfolio parameters with reasonable values.

Definition at line 19 of file basic.c.