nautilus_model/events/position/
snapshot.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use nautilus_core::UnixNanos;
17use serde::{Deserialize, Serialize};
18
19use crate::{
20    enums::{OrderSide, PositionSide},
21    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId},
22    position::Position,
23    types::{Currency, Money, Quantity},
24};
25
26/// Represents a position state snapshot as a certain instant.
27#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
28#[cfg_attr(
29    feature = "python",
30    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
31)]
32pub struct PositionSnapshot {
33    /// The trader ID associated with the snapshot.
34    pub trader_id: TraderId,
35    /// The strategy ID associated with the snapshot.
36    pub strategy_id: StrategyId,
37    /// The instrument ID associated with the snapshot.
38    pub instrument_id: InstrumentId,
39    /// The position ID associated with the snapshot.
40    pub position_id: PositionId,
41    /// The account ID associated with the position.
42    pub account_id: AccountId,
43    /// The client order ID for the order which opened the position.
44    pub opening_order_id: ClientOrderId,
45    /// The client order ID for the order which closed the position.
46    pub closing_order_id: Option<ClientOrderId>,
47    /// The entry direction from open.
48    pub entry: OrderSide,
49    /// The position side.
50    pub side: PositionSide,
51    /// The position signed quantity (positive for LONG, negative for SHOT).
52    pub signed_qty: f64,
53    /// The position open quantity.
54    pub quantity: Quantity,
55    /// The peak directional quantity reached by the position.
56    pub peak_qty: Quantity,
57    /// The position quote currency.
58    pub quote_currency: Currency,
59    /// The position base currency.
60    pub base_currency: Option<Currency>,
61    /// The position settlement currency.
62    pub settlement_currency: Currency,
63    /// The average open price.
64    pub avg_px_open: f64,
65    /// The average closing price.
66    pub avg_px_close: Option<f64>,
67    /// The realized return for the position.
68    pub realized_return: Option<f64>,
69    /// The realized PnL for the position (including commissions).
70    pub realized_pnl: Option<Money>,
71    /// The unrealized PnL for the position (including commissions).
72    pub unrealized_pnl: Option<Money>,
73    /// The commissions for the position.
74    pub commissions: Vec<Money>,
75    /// The open duration for the position (nanoseconds).
76    pub duration_ns: Option<u64>,
77    /// UNIX timestamp (nanoseconds) when the position opened.
78    pub ts_opened: UnixNanos,
79    /// UNIX timestamp (nanoseconds) when the position closed.
80    pub ts_closed: Option<UnixNanos>,
81    /// UNIX timestamp (nanoseconds) when the snapshot was initialized.
82    pub ts_init: UnixNanos,
83    /// UNIX timestamp (nanoseconds) when the last position event occurred.
84    pub ts_last: UnixNanos,
85}
86
87impl PositionSnapshot {
88    pub fn from(position: &Position, unrealized_pnl: Option<Money>) -> Self {
89        Self {
90            trader_id: position.trader_id,
91            strategy_id: position.strategy_id,
92            instrument_id: position.instrument_id,
93            position_id: position.id,
94            account_id: position.account_id,
95            opening_order_id: position.opening_order_id,
96            closing_order_id: position.closing_order_id,
97            entry: position.entry,
98            side: position.side,
99            signed_qty: position.signed_qty,
100            quantity: position.quantity,
101            peak_qty: position.peak_qty,
102            quote_currency: position.quote_currency,
103            base_currency: position.base_currency,
104            settlement_currency: position.settlement_currency,
105            avg_px_open: position.avg_px_open,
106            avg_px_close: position.avg_px_close,
107            realized_return: Some(position.realized_return), // TODO: Standardize
108            realized_pnl: position.realized_pnl,
109            unrealized_pnl,
110            commissions: position.commissions.values().cloned().collect(), // TODO: Optimize
111            duration_ns: Some(position.duration_ns),                       // TODO: Standardize
112            ts_opened: position.ts_opened,
113            ts_closed: position.ts_closed,
114            ts_init: position.ts_init,
115            ts_last: position.ts_last,
116        }
117    }
118}
nautilus_model/events/position/snapshot.rs

nautilus_model/events/position/
snapshot.rs
