srfm::event_bt::Portfolio Struct Reference

Running portfolio state tracked by BacktestEngine. More...

#include <event_backtester.hpp>

Public Member Functions
double	gross_notional (const std::map< std::string, double > &last_prices) const
	Current gross notional exposure.

Public Attributes
double	cash = 0.0
std::map< std::string, double >	positions
	symbol -> net quantity
std::vector< double >	equity_curve
	Equity snapshot after each fill.

Detailed Description

Running portfolio state tracked by BacktestEngine.

Definition at line 106 of file event_backtester.hpp.

Member Function Documentation

gross_notional()

double srfm::event_bt::Portfolio::gross_notional ( const std::map< std::string, double > &  last_prices ) const

inline

Current gross notional exposure.

Definition at line 112 of file event_backtester.hpp.

Member Data Documentation

cash

double srfm::event_bt::Portfolio::cash = 0.0

Definition at line 107 of file event_backtester.hpp.

equity_curve

std::vector<double> srfm::event_bt::Portfolio::equity_curve

Equity snapshot after each fill.

Definition at line 109 of file event_backtester.hpp.

positions

std::map<std::string,double> srfm::event_bt::Portfolio::positions

symbol -> net quantity

Definition at line 108 of file event_backtester.hpp.

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

• include/srfm/event_backtester.hpp