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EnginePosition

hypercall::rsm::engine_deps

Struct EnginePosition 

Source 
pub struct EnginePosition {
    pub quantity: Decimal,
    pub entry_price: Decimal,
}
Expand description

A single position in the engine’s internal state.

Tracks the signed quantity (positive = long, negative = short) and the weighted-average entry price. The entry price is updated on fills that increase the position, and is used to compute realized PnL on fills that reduce it.

When the position is fully closed (quantity == 0), entry_price resets to zero.

§Invariants

These invariants are verified by Kani proofs in the proofs module:

  • After any fill: new_qty == old_qty + signed_qty
  • After any fill: entry_price >= 0
  • Conservation: old_qty * old_entry + signed_qty * fill_price == new_qty * new_entry + pnl
  • Exact close: when new_qty == 0, both quantity and entry_price are zero

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§quantity: Decimal

Signed position quantity. Positive for long, negative for short, zero for flat.

§entry_price: Decimal

Weighted-average entry price. Zero when the position is flat.

Implementations§

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impl EnginePosition

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pub fn fill_transition( position: Option<&EnginePosition>, signed_qty: Decimal, fill_price: Decimal, ) -> PositionFillTransition

Calculate the position state and realized PnL that would result from a fill.

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pub fn apply_fill( &mut self, signed_qty: Decimal, fill_price: Decimal, ) -> Decimal

Apply a fill to this position, returning the realized PnL.

signed_qty is the signed fill quantity: positive for a buy, negative for a sell. fill_price is the execution price of this fill.

§Behavior by case
Current positionFill directionEffect
Flat (qty=0)Buy or SellOpens new position at fill_price
Long (qty>0)BuyAdds to long, entry price becomes weighted avg
Long (qty>0)Sell (partial)Partially closes long, realizes PnL
Long (qty>0)Sell (full)Fully closes long, realizes PnL, resets to zero
Long (qty>0)Sell (flip)Closes long, realizes PnL, opens short at fill_price
Short (qty<0)SellAdds to short, entry price becomes weighted avg
Short (qty<0)Buy (partial)Partially closes short, realizes PnL
Short (qty<0)Buy (full)Fully closes short, realizes PnL, resets to zero
Short (qty<0)Buy (flip)Closes short, realizes PnL, opens long at fill_price
§PnL calculation

Realized PnL is computed only on the reducing portion of a fill:

  • Closing a long: pnl = (fill_price - entry_price) * qty_closed
  • Closing a short: pnl = (entry_price - fill_price) * qty_closed

Fills that only increase the position return zero PnL.

§Returns

The realized PnL from the reducing portion of this fill. Positive means profit, negative means loss. Zero if the fill only increases the position.

Trait Implementations§

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impl Clone for EnginePosition

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fn clone(&self) -> EnginePosition

Returns a duplicate of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for EnginePosition

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fn fmt(&self, f: &mut Formatter<'_>) -> Result<(), Error>

Formats the value using the given formatter. Read more
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impl<'de> Deserialize<'de> for EnginePosition

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fn deserialize<__D>( __deserializer: __D, ) -> Result<EnginePosition, <__D as Deserializer<'de>>::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more
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impl Serialize for EnginePosition

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fn serialize<__S>( &self, __serializer: __S, ) -> Result<<__S as Serializer>::Ok, <__S as Serializer>::Error>
where __S: Serializer,

Serialize this value into the given Serde serializer. Read more

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