Position-aware RuleEngine: applies accounting rules to open positions.
Rules are executed in a defined priority order to ensure logical consistency:
- Accruals — recognize earned/owed amounts (no cash movement)
- Mark-to-market — revalue positions to fair value
- Cash flows — coupon payments, interest settlements, amortization
- Maturity — settle and close positions (must be last)
Classes:
-
AccountingRule–Protocol for position-aware accounting rules.
-
RuleEngine–Applies accounting rules declared by each instrument to open positions.
Bases: Protocol
Protocol for position-aware accounting rules.
Methods:
-
applies_to–Return True if this rule applies to the given instrument and position.
-
generate–Generate transactions for the given instrument and position.
applies_to(
instrument: Instrument,
position: Position,
context: RuleContext,
) -> bool
Return True if this rule applies to the given instrument and position.
generate(
instrument: Instrument,
position: Position,
context: RuleContext,
) -> list[Transaction]
Generate transactions for the given instrument and position.
RuleEngine(
rules: dict[type, AccountingRule]
| Iterable[AccountingRule] = (),
)
Applies accounting rules declared by each instrument to open positions.
Rules are keyed by their class. Each instrument declares which rule
classes apply to it via instrument.applicable_rules (a frozenset of
rule classes). The engine only runs rules that the instrument opts into.
Rules are executed in priority order (accruals → mark-to-market → cash flows → maturity) to ensure logical consistency.
Methods:
-
apply–Apply instrument-declared rules to every open position.
-
register–Register an accounting rule with the engine.
apply(
bank: Bank,
valuation_store: ValuationStore,
market_state: MarketState | None,
date: date,
previous_date: date | None = None,
*,
has_market_data: bool = True,
) -> list[Transaction]
Apply instrument-declared rules to every open position.
For each open position the engine reads instrument.applicable_rules
to determine which rules to evaluate. Only rules whose applies_to
returns True produce transactions. Rules are sorted by priority
so that accruals run before mark-to-market, cash flows, and maturity.