A basic portfolio implementation that supports multiple assets. More...

#include <portfolios.h>

Data Fields
struct WU_Portfolio_	base
double	cash
int	num_assets
WU_TimeStamp	last_update_time
WU_PortfolioParams	params
WU_PositionVector **	positions
WU_PortfolioStats	stats
WU_Signal *	pending_orders

Detailed Description

A basic portfolio implementation that supports multiple assets.

It tracks cash, positions for each asset, and calculates portfolio value and PnL based on the current market prices and the positions held. It also keeps track of accumulated transaction costs and trading statistics. The portfolio is initialized with a set of parameters and an array of asset symbols, and it dynamically manages the positions for each asset.

Definition at line 112 of file portfolios.h.

Field Documentation

◆ base

struct WU_Portfolio_ WU_BasicPortfolio::base

Definition at line 113 of file portfolios.h.

◆ cash

double WU_BasicPortfolio::cash

Definition at line 114 of file portfolios.h.

◆ last_update_time

WU_TimeStamp WU_BasicPortfolio::last_update_time

Definition at line 116 of file portfolios.h.

◆ num_assets

int WU_BasicPortfolio::num_assets

Definition at line 115 of file portfolios.h.

◆ params

WU_PortfolioParams WU_BasicPortfolio::params

Definition at line 117 of file portfolios.h.

◆ pending_orders

WU_Signal* WU_BasicPortfolio::pending_orders

Definition at line 120 of file portfolios.h.

◆ positions

WU_PositionVector** WU_BasicPortfolio::positions

Definition at line 118 of file portfolios.h.

◆ stats

WU_PortfolioStats WU_BasicPortfolio::stats

Definition at line 119 of file portfolios.h.

The documentation for this struct was generated from the following file:

include/wu/portfolios.h

Data Fields