Positions, cash and realized profit, updated by each execution of a replay. More...

#include <algotradelib/src/backtest/ledger.hpp>

Public Member Functions
	ReplayLedger (Decimal64 cash, Currency currency)
	Constructs a ledger holding only cash.
std::optional< Decimal64 >	cash_in (const Currency &currency) const
	Returns the cash held in a currency.
std::optional< Decimal64 >	quantity_of (const InstrumentId &instrument) const
	Returns the quantity held of an instrument.
std::optional< Decimal64 >	average_price_of (const InstrumentId &instrument) const
	Returns the average price of the position in an instrument.
Decimal64	realized_in (const Currency &currency) const
	Returns the profit realized by closing positions, in a currency (fees excluded).
const std::vector< HoldingPosition > &	positions () const noexcept
	Returns every position, including ones that went flat.
const std::vector< Execution > &	executions () const noexcept
	Returns every execution applied.
bool	apply (const Execution &execution, const Currency &currency)
	Applies one execution to the position, cash and realized profit.
bool	mark (const InstrumentId &instrument, const Decimal64 &price)
	Marks positions in an instrument to a price, updating their market value.
template<typename BrokerTag>
strategy::Portfolio< BrokerTag >	snapshot (std::chrono::system_clock::time_point as_of) const
	Returns the portfolio a strategy sees.
std::optional< Decimal64 >	equity_in (const Currency &currency) const
	Returns total equity in a currency: cash plus positions at their last marks.

Detailed Description

Positions, cash and realized profit, updated by each execution of a replay.

Cash and profit are kept per currency and never converted.

Definition at line 61 of file ledger.hpp.

Constructor & Destructor Documentation

◆ ReplayLedger()

algotradelib::backtest::ReplayLedger::ReplayLedger	(	Decimal64	cash,
		Currency	currency )

inline

Constructs a ledger holding only cash.

Parameters

cash	The starting cash.
currency	Its currency.

Definition at line 68 of file ledger.hpp.

Member Function Documentation

◆ apply()

bool algotradelib::backtest::ReplayLedger::apply	(	const Execution &	execution,
		const Currency &	currency )

inline

Applies one execution to the position, cash and realized profit.

A trade through flat (selling 150 from a long of 100) closes the old position, realizing its profit against the old average, and opens the remainder at the new price. Commission, institution fee and tax are deducted from cash.

Parameters

execution	The execution.
currency	The instrument's currency.

Returns: false, with the ledger unchanged, if the arithmetic does not fit, or if currency differs from the currency of a non-flat position in the instrument; true otherwise.

Note: If an allocation throws partway, the ledger can be left partly updated.

Definition at line 157 of file ledger.hpp.

◆ average_price_of()

std::optional< Decimal64 > algotradelib::backtest::ReplayLedger::average_price_of ( const InstrumentId & instrument ) const

inline

Returns the average price of the position in an instrument.

Parameters

instrument The instrument.

Returns: The average price, or std::nullopt if flat or never held.

Definition at line 105 of file ledger.hpp.

◆ cash_in()

std::optional< Decimal64 > algotradelib::backtest::ReplayLedger::cash_in ( const Currency & currency ) const

inline

Returns the cash held in a currency.

Parameters

currency The currency.

Returns: The amount, or std::nullopt if none is held.

Definition at line 77 of file ledger.hpp.

Referenced by apply(), and equity_in().

◆ equity_in()

std::optional< Decimal64 > algotradelib::backtest::ReplayLedger::equity_in ( const Currency & currency ) const

inline

Returns total equity in a currency: cash plus positions at their last marks.

Positions in other currencies are left out, not converted.

Parameters

currency The currency.

Returns: The equity, or std::nullopt if the arithmetic does not fit.

Definition at line 367 of file ledger.hpp.

◆ executions()

const std::vector< Execution > & algotradelib::backtest::ReplayLedger::executions ( ) const

inlinenoexcept

Returns every execution applied.

Returns: The executions, oldest first.

Definition at line 142 of file ledger.hpp.

◆ mark()

bool algotradelib::backtest::ReplayLedger::mark	(	const InstrumentId &	instrument,
		const Decimal64 &	price )

inline

Marks positions in an instrument to a price, updating their market value.

Parameters

instrument	The instrument.
price	The new mark.

Returns: false if a position's value does not fit (that position keeps its old mark and value; Backtester halts the replay with mark_not_representable); true otherwise.

Definition at line 298 of file ledger.hpp.

◆ positions()

const std::vector< HoldingPosition > & algotradelib::backtest::ReplayLedger::positions ( ) const

inlinenoexcept

Returns every position, including ones that went flat.

Of the money fields only market_value_ (quantity times last mark) is filled; purchase_value_, unrealized_profit_loss_ and unrealized_return_ stay at their defaults.

Returns: The positions.

Definition at line 136 of file ledger.hpp.

◆ quantity_of()

std::optional< Decimal64 > algotradelib::backtest::ReplayLedger::quantity_of ( const InstrumentId & instrument ) const

inline

Returns the quantity held of an instrument.

Parameters

instrument The instrument.

Returns: The quantity (zero if the position went flat), or std::nullopt if never held.

Definition at line 91 of file ledger.hpp.

◆ realized_in()

Decimal64 algotradelib::backtest::ReplayLedger::realized_in ( const Currency & currency ) const

inline

Returns the profit realized by closing positions, in a currency (fees excluded).

Parameters

currency The currency.

Returns: The amount; zero if none.

Definition at line 119 of file ledger.hpp.

Referenced by apply().

◆ snapshot()

template<typename BrokerTag>

strategy::Portfolio< BrokerTag > algotradelib::backtest::ReplayLedger::snapshot ( std::chrono::system_clock::time_point as_of ) const

inline

Returns the portfolio a strategy sees.

The model a replay presents: every held share is sellable (basis whole holding, deduct resting sells, unverified), buying power is this ledger's cash (no settlement is modelled), and cash_ is filled. Working orders are left empty; Backtester fills them from its queue.

Template Parameters

BrokerTag The order-reference tag of the portfolio.

Parameters

as_of The snapshot time, for as_of_ and the buying-power stamps.

Returns: The portfolio.

Definition at line 332 of file ledger.hpp.

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

algotradelib/src/backtest/ledger.hpp

Public Member Functions

Detailed Description

Constructor & Destructor Documentation

◆ ReplayLedger()

Member Function Documentation

◆ apply()

◆ average_price_of()

◆ cash_in()

◆ equity_in()

◆ executions()

◆ mark()

◆ positions()

◆ quantity_of()

◆ realized_in()

◆ snapshot()