Add portfolio crate

nautilus_core/Cargo.toml

@@ -15,6 +15,7 @@ members = [
     "model",
     "network",
     "persistence",
+    "portfolio",
     "pyo3",
     "risk",
     "serialization",

nautilus_core/portfolio/Cargo.toml

@@ -0,0 +1,52 @@
+[package]
+name = "nautilus-portfolio"
+version.workspace = true
+edition.workspace = true
+authors.workspace = true
+description.workspace = true
+documentation.workspace = true
+
+[lib]
+name = "nautilus_portfolio"
+crate-type = ["rlib", "cdylib"]
+
+[dependencies]
+nautilus-analysis = { path = "../analysis" }
+nautilus-common = { path = "../common" }
+nautilus-core = { path = "../core" }
+nautilus-model = { path = "../model", features = ["stubs"] }
+anyhow = { workspace = true }
+derive_builder = { workspace = true }
+indexmap = { workspace = true }
+log = { workspace = true }
+pyo3 = { workspace = true, optional = true }
+pyo3-async-runtimes = { workspace = true, optional = true }
+rust_decimal = { workspace = true }
+rust_decimal_macros = { workspace = true }
+serde = { workspace = true }
+serde_json = { workspace = true }
+strum = { workspace = true }
+thiserror = { workspace = true }
+ustr = { workspace = true }
+
+[dev-dependencies]
+criterion = { workspace = true }
+rstest = { workspace = true }
+
+[features]
+default = ["python"]
+extension-module = [
+  "pyo3/extension-module",
+  "nautilus-analysis/extension-module",
+  "nautilus-common/extension-module",
+  "nautilus-core/extension-module",
+  "nautilus-model/extension-module",
+]
+python = [
+  "pyo3",
+  "pyo3-async-runtimes",
+  "nautilus-analysis/python",
+  "nautilus-common/python",
+  "nautilus-core/python",
+  "nautilus-model/python",
+]

nautilus_core/portfolio/src/lib.rs

@@ -0,0 +1,21 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+//! Provides a generic `Portfolio` for all environments.
+
+pub mod portfolio;
+
+// Re-exports
+pub use portfolio::Portfolio;

nautilus_core/portfolio/src/portfolio.rs

@@ -0,0 +1,208 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+//! Provides a generic `Portfolio` for all environments.
+
+// Under development
+#![allow(dead_code)]
+#![allow(unused_variables)]
+
+use std::{
+    cell::RefCell,
+    collections::{HashMap, HashSet},
+    rc::Rc,
+};
+
+use nautilus_analysis::analyzer::PortfolioAnalyzer;
+use nautilus_common::{cache::Cache, clock::Clock, msgbus::MessageBus};
+use nautilus_model::{
+    accounts::any::AccountAny,
+    data::quote::QuoteTick,
+    enums::OrderSide,
+    events::{account::state::AccountState, order::OrderEventAny, position::PositionEvent},
+    identifiers::{InstrumentId, Venue},
+    instruments::any::InstrumentAny,
+    position::Position,
+    types::money::Money,
+};
+use rust_decimal::Decimal;
+
+pub struct Portfolio {
+    clock: Rc<RefCell<dyn Clock>>,
+    cache: Rc<RefCell<Cache>>,
+    msgbus: Rc<RefCell<MessageBus>>,
+    accounts: HashMap<Venue, AccountAny>,
+    analyzer: PortfolioAnalyzer,
+    // venue: Option<Venue>, // Added for completeness but was meant to be a "temporary hack"
+    unrealized_pnls: HashMap<InstrumentId, Money>,
+    realized_pnls: HashMap<InstrumentId, Money>,
+    net_positions: HashMap<InstrumentId, Decimal>,
+    pending_calcs: HashSet<InstrumentId>,
+    initialized: bool,
+}
+
+impl Portfolio {
+    // pub fn set_specific_venue(&mut self, venue: Venue) { // Lets try not to use this?
+    //     todo!()
+    // }
+
+    // -- QUERIES ---------------------------------------------------------------------------------
+
+    #[must_use]
+    pub const fn is_initialized(&self) -> bool {
+        self.initialized
+    }
+
+    #[must_use]
+    pub const fn analyzer(&self) -> &PortfolioAnalyzer {
+        &self.analyzer
+    }
+
+    #[must_use]
+    pub fn account(&self, venue: &Venue) -> Option<&AccountAny> {
+        self.accounts.get(venue)
+    }
+
+    #[must_use]
+    pub fn balances_locked(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn margins_init(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn margins_maint(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn unrealized_pnls(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn realized_pnls(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn net_exposures(&self, venue: &Venue) -> HashMap<Venue, Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn unrealized_pnl(&self, instrument_id: &InstrumentId) -> Option<Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn realized_pnl(&self, instrument_id: &InstrumentId) -> Option<Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn net_exposure(&self, instrument_id: &InstrumentId) -> Option<Money> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn net_position(&self, instrument_id: &InstrumentId) -> Option<Decimal> {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn is_net_long(&self, instrument_id: &InstrumentId) -> bool {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn is_net_short(&self, instrument_id: &InstrumentId) -> bool {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn is_flat(&self, instrument_id: &InstrumentId) -> bool {
+        todo!()
+    }
+
+    #[must_use]
+    pub fn is_completely_flat(&self) -> bool {
+        todo!()
+    }
+
+    // -- COMMANDS --------------------------------------------------------------------------------
+
+    pub fn initialize_orders(&mut self) {
+        todo!()
+    }
+
+    pub fn initialize_positions(&mut self) {
+        todo!()
+    }
+
+    pub fn update_quote_tick(&mut self, quote: &QuoteTick) {
+        todo!()
+    }
+
+    pub fn update_account(&mut self, event: &AccountState) {
+        todo!()
+    }
+
+    pub fn update_order(&mut self, event: &OrderEventAny) {
+        todo!()
+    }
+
+    pub fn update_position(&mut self, event: &PositionEvent) {
+        todo!()
+    }
+
+    // -- INTERNAL --------------------------------------------------------------------------------
+
+    // fn net_position(&self, instrument_id: &InstrumentId) -> Decimal {  // Same as above?
+    //     todo!()
+    // }
+
+    fn update_net_position(
+        &self,
+        instrument_id: &InstrumentId,
+        positions_open: Vec<&Position>,
+    ) -> Decimal {
+        todo!()
+    }
+
+    fn calculate_unrealized_pnl(&self, instrument_id: &InstrumentId) -> Money {
+        todo!()
+    }
+
+    fn calculate_realized_pnl(&self, instrument_id: &InstrumentId) -> Money {
+        todo!()
+    }
+
+    fn get_last_price(&self, position: &Position) -> Money {
+        todo!()
+    }
+
+    fn calculate_xrate_to_base(
+        &self,
+        account: &AccountAny,
+        instrument: &InstrumentAny,
+        side: OrderSide,
+    ) -> f64 {
+        todo!()
+    }
+}