portfolio.hpp

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#pragma once
 
#include <cstdint>
#include <string>
#include <unordered_map>
#include <vector>
 
#include "pineforge/hpo/objective.hpp"
 
namespace pineforge::hpo {
 
struct AccountEquityPoint {
    std::int64_t timestamp_ms = 0;
    double equity = 0.0;
};
 
struct Allocation {
    std::string strategy_id;
    std::string market_id;
    double weight = 0.0;
};
 
struct SleeveSummary {
    std::string strategy_id;
    std::string market_id;
    double weight = 0.0;
    double initial_equity = 0.0;
    double final_equity = 0.0;
};
 
struct PortfolioObservation {
    std::vector<AccountEquityPoint> account_equity;
    std::vector<double> account_returns;
    std::vector<Allocation> allocations;
    std::vector<SleeveSummary> sleeves;
    std::unordered_map<std::string, double> features;
    double turnover = 0.0;
    double capital_used = 0.0;
};
 
using PortfolioObjectiveFn = ObjectiveFn<PortfolioObservation>;
 
}  // namespace pineforge::hpo