Port Portfolio to Rust

[Pushkarm029]

Pull Request

Include a summary of the changes.

Type of change

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• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to not work as expected)
• This change requires a documentation update

How has this change been tested?

Describe how this code was/is tested.

[codspeed-hq]

CodSpeed Performance Report

Merging #2058 will improve performances by 75.33%

_{Comparing Pushkarm029:portfolio2rs (5508ea1) with develop (94134e9)}

Summary

⚡ 1 improvements
✅ 51 untouched benchmarks

Benchmarks breakdown

	Benchmark	develop	Pushkarm029:portfolio2rs	Change
⚡	test_condition_none	22.4 µs	12.7 µs	+75.33%

[twitu]

btw why do we need the pub type Statistic to be Arc<dyn ...> when it's supposed to be used single threaded?

[twitu]

update_account only needs a reference to the cache. It does not need access to the full state of the Portfolio. We can avoid the inner outer pattern by moving a clone of the cache the update account closure. Just like we did message bus in RiskEngine.

[faysou]

@Pushkarm029 you can rebase your dev branch and do a force push instead of merging with the dev branch which adds a lot of unnecessary commits.

I use this shell script which is quite practical, it has an optional argument to reset one or more commits as well (I like to see my current differences and edit them as well, instead of just adding commits, which is ok for pull requests):

custom_rebase() {
    git fetch origin develop:develop

    git stash
    git rebase develop
    git stash pop

    local commits=${1:-0}
    if [ "$commits" -gt 0 ]; then
        git reset --soft HEAD~"$commits"
    fi
}

[Pushkarm029]

Sorry to everyone who got notified; it’s fixed now.😅

[twitu]

Yup, we need the inner outer pattern for some of the methods.

[twitu]

We cannot create an rc refcell of self from inside the new function. We will have to use an inner outer pattern here.

Also no need to pass rc refcell by & reference. Pass it by cloning it.

[twitu]

update quote tick uses self fields that are not behind and Rc Refcell which is why it won't work by just passing the cache or the message bus. The other update functions too use parts of self that are not cloneable references. So it seems like an inner outer style must be implemented.

[twitu]

Perhaps for portfolio we can take a slightly different approach to inner outer. These lines are the actual inner state of the portfolio. Perhaps they can be wrapped into their own struct, and rc ref celled on this Portfolio struct (which will act as outer).

struct PorfolioState {
    accounts: AccountsManager,
    analyzer: PortfolioAnalyzer,
    unrealized_pnls: HashMap<InstrumentId, Money>,
    realized_pnls: HashMap<InstrumentId, Money>,
    net_positions: HashMap<InstrumentId, Decimal>,
}

struct Porfolio {
  ...
  inner. Rc<RefCell<PortfolioState>>

This way you can clone the portfolio state and pass it to the closure and relevant functions without needing to wrap the whole portfolio struct which might be cumbersome. However, it will mean that all the functions that the closures call will have to be changed slightly to receive the portfolio state, message bus, cache as separate parameter.

update_quote_tick(&self, ,.....)
update_qutote_tick(cache, messagebus, portfolio_state, ....)

To abstract away the borrow and borrow mut calls. You can also consider an additional thin helper layer.

struct PorfolioWrapper {
   inner: Rc<RefCell<PortfolioState>>,
}

struct Porfolio {
    inner: PortfolioWrapper
 }

For PortfolioWrapper you can consider implementing something like these helper methods to easily access the inner fields like

impl PortfolioWrapper {
    fn accounts(&self) -> impl Deref<Target = &AccountsManager> {
        self.inner.borrow().accounts
    }
}