Portfolio Model

The portfolio tracks positions, cash, equity, and exposure. It is updated by fills from the execution pipeline.

Portfolio Diagram

mermaid flowchart LR A[Fills] --> B[Positions] A --> C[Cash] B --> D[Exposure] B --> E[Equity] C --> E

Core Quantities

• Position value: quantity * current_price.
• Equity: cash + sum(position values).
• Gross exposure: sum of absolute position values.
• Net exposure: sum of signed position values.
• Leverage: gross_exposure / equity.

Portfolio Snapshots

The engine emits snapshots for equity curves and performance metrics. These are used by BacktestResults and reporting utilities.