perf improvement: added Instrument.quote_cash_index

Author: rbeeli

CHANGELOG.md

@@ -8,6 +8,10 @@ All notable changes to this project will be documented in this file.
 
 - Support for optional Instrument `multiplier` value
 
+### Changed
+
+- Quote cash lookup performance improvement by caching index in `Instrument` struct
+
 ## [0.4.2] - 2025-09-29
 
 ### Changed

src/account.jl

@@ -137,8 +137,11 @@ function register_instrument!(
         throw(ArgumentError("Instrument $(inst.symbol) already registered"))
     end
 
+    quote_cash_index = cash_asset(acc, inst.quote_symbol).index
+
     # set asset index for fast array indexing and hashing
     inst.index = length(acc.positions) + 1
+    inst.quote_cash_index = quote_cash_index
 
     push!(acc.positions, Position{TTime,OData}(inst.index, inst))
 

src/instrument.jl

@@ -13,7 +13,8 @@ mutable struct Instrument{IData}
     const quote_symbol::Symbol
     const quote_tick::Price       # minimum price increment of base asset
     const quote_digits::Int       # number of digits after the decimal point for display
-
+    quote_cash_index::Int
+ 
     const multiplier::Float64
     const metadata::IData
 
@@ -42,6 +43,7 @@ mutable struct Instrument{IData}
             quote_symbol,
             quote_tick,
             quote_digits,
+            0, # quote_cash_index
             multiplier,
             metadata
         )

src/logic.jl

@@ -2,8 +2,8 @@
     # update P&L and account equity using delta of old and new P&L
     new_pnl = calc_pnl_local(pos, close_price)
     pnl_delta = new_pnl - pos.pnl_local
-    cash = cash_asset(acc, pos.inst.quote_symbol)
-    @inbounds acc.equities[cash.index] += pnl_delta
+    quote_cash_index = pos.inst.quote_cash_index
+    @inbounds acc.equities[quote_cash_index] += pnl_delta
     pos.pnl_local = new_pnl
     return
 end
@@ -24,8 +24,8 @@ end
     commission::Price=0.0,       # fixed commission in quote (local) currency
     commission_pct::Price=0.0,   # percentage commission of nominal order value, e.g. 0.001 = 0.1%
 )::Trade{TTime,OData,IData} where {TTime<:Dates.AbstractTime,OData,IData,CData}
-    # get quote asset
-    quote_cash = cash_asset(acc, order.inst.quote_symbol)
+    # get quote asset index
+    quote_cash_index = order.inst.quote_cash_index
 
     # positions are netted using weighted average price,
     # hence only one static position per instrument is maintained
@@ -48,7 +48,7 @@ end
         realized_pnl = (fill_price - pos.avg_price) * realized_qty
 
         # add realized P&L to account balance
-        @inbounds acc.balances[quote_cash.index] += realized_pnl
+        @inbounds acc.balances[quote_cash_index] += realized_pnl
 
         # remove realized P&L from position P&L
         pos.pnl_local -= realized_pnl
@@ -98,8 +98,8 @@ end
     pos.quantity = new_exposure
 
     # subtract paid commissions from account balance and equity
-    @inbounds acc.balances[quote_cash.index] -= commission
-    @inbounds acc.equities[quote_cash.index] -= commission
+    @inbounds acc.balances[quote_cash_index] -= commission
+    @inbounds acc.equities[quote_cash_index] -= commission
 
     # update P&L of position and account equity (w/o commissions, already accounted for)
     update_pnl!(acc, pos, fill_price)