public void PerformanceServiceShouldCalulateTheSameWayWithOneSingleAndMultipleBuys()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
//2 Buys
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 370, 2.16m, 0, DateTime.Parse("2011-04-29 15:42:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 200, 2.30m, 0, DateTime.Parse("2011-05-04 10:13:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 570, 2.38m, 5.5m, 29.55m, DateTime.Parse("2011-06-08 19:35:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
var profit = result.ProfitAbsolute;
var profitPercentage = result.ProfitPercentage;
var newBook = new TransactionBook();
//Aggregated 1 buy
newBook.AddEntry(TransactionEntryMock.CreateBuying(stockId, 570, 2.20912280701754m, 0, DateTime.Parse("2011-04-29 15:42:00.000")));
newBook.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 570, 2.38m, 5.5m, 29.55m, DateTime.Parse("2011-06-08 19:35:00.000")));
var newResult = GetPerformance(newBook, stockId, sellTransId);
newResult.ProfitMade.Should().BeTrue();
newResult.ProfitAbsolute.Should().Be(profit);
newResult.ProfitPercentage.Should().Be(profitPercentage);
}
public void TransactionBookShouldOnlyAllowSellingWhenEnoughUnitsAvailable()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
Action act = () => book.AddEntry(TransactionEntryMock.CreateSelling(guid, 100));
act.ShouldThrow <InvalidOperationException>();
}
public void TransactionBookShouldCalulateRemainingShares100Buy100Sell()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 100));
book.AddEntry(TransactionEntryMock.CreateSelling(guid, 100));
book.GetOrAddOpenPosition(guid).Shares.Should().Be(0);
}
public void TransactionBookShouldCalulateCorrectOrderCostsForRemainingSharesAfterSplit()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 6500, 0.14m, 1.25m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 14000, 0.06m, 15.40m));
book.AddEntry(TransactionEntryMock.CreateSplit(guid, Guid.NewGuid(), 137m, 13.209124m, DateTime.Now));
book.GetOrAddOpenPosition(guid).PositionSize.Should().Be(137 * 13.209124m + 1.25m + 15.40m);
}
public void TransactionBookShouldReturnLastChanges()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
var buy = TransactionEntryMock.CreateBuying(guid, 100);
var sell = TransactionEntryMock.CreateSelling(guid, 100);
book.AddEntry(buy);
book.GetLastCommittedChanges(guid).Count().Should().Be(0);
book.AddEntry(sell);
book.GetLastCommittedChanges(guid).Count().Should().Be(2);
}
public void PerformanceServiceShouldCalulateRiskWith1Buy1Sell()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 400, 2.97m, 0, DateTime.Parse("2011-04-29 13:00:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 400, 3.32m, 5.5m, 10.71m, DateTime.Parse("2011-06-08 19:19:00.000")));
var result = GetPerformance(book, stockId, sellTransId, 3.58m, 2.80m);
result.R.Should().Be(1.77m);
}
public void TransactionBookShouldCalulateOpenPositionsOrderCost()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 20, 101.96m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 30, 98m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 33, 90.62m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 35, 83m, 11.65m));
var position = book.GetOrAddOpenPosition(guid);
position.OrderCosts.Should().Be(11.65m * 4);
}
public void PerformanceServiceShouldCalulateHoldingPeriod1Buy1Sell()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 80, 6.69m, 11.65m, DateTime.Parse("2014-02-03 09:02:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 80, 5.99m, 11.65m, 0, DateTime.Parse("2014-04-15 11:28:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
result.HoldingPeriod.IsIntradayTrade.Should().BeFalse();
result.HoldingPeriod.ToDays().Should().Be(71.10m);
}
public void PerformanceServiceShouldCalulateRiskWith2Buys1Sell()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 370, 2.16m, 0, DateTime.Parse("2011-04-29 15:42:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 200, 2.30m, 0, DateTime.Parse("2011-05-04 10:13:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 570, 2.38m, 5.5m, 29.55m, DateTime.Parse("2011-06-08 19:35:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
result.R.Should().Be(0.89m);
}
public void TransactionBookShouldCalulateAveragePrizeUsingFifo()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 100, 1.2m, 0m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 50, 1.6m, 0m));
book.AddEntry(TransactionEntryMock.CreateSelling(guid, 80, 1.2m, 0m));
book.GetOrAddOpenPosition(guid).PricePerShare.Should().BeApproximately(1.48571m, 0.00001m);
book.AddEntry(TransactionEntryMock.CreateSelling(guid, 60, 1.46666m, 0m));
book.GetOrAddOpenPosition(guid).PricePerShare.Should().BeApproximately(1.60m, 0.00001m);
}
public void PerformanceServiceShouldCalulateProfitWith1Buy1Sell()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 80, 6.689m, 11.65m, DateTime.Parse("2014-02-03 09:02:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 80, 5.99m, 11.65m, 0, DateTime.Parse("2014-04-15 11:28:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
result.ProfitMade.Should().BeFalse();
result.ProfitAbsolute.Should().Be(-79.22m);
result.ProfitPercentage.Should().Be(-14.49m);
}
public void PerformanceServiceShouldCalulateHoldingPeriodWith2Buys1Sell()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 370, 2.16m, 0, DateTime.Parse("2011-04-29 15:42:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 200, 2.30m, 0, DateTime.Parse("2011-05-04 10:13:00.000")));
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 570, 2.38m, 5.5m, 0, DateTime.Parse("2011-06-08 19:35:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
result.HoldingPeriod.IsIntradayTrade.Should().BeFalse();
result.HoldingPeriod.ToDays().Should().Be(40.16m);
}
public void PerformanceServiceShouldCalulateTheProfitForADividend()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 1000, 25, 0, DateTime.Parse("2008-04-15 00:00:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 1000, 40, 0, DateTime.Parse("2009-01-03 00:00:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 500, 26, 0, DateTime.Parse("2010-03-07 00:00:00.000")));
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 500, 30, 0, DateTime.Parse("2011-04-07 00:00:00.000")));
book.AddEntry(TransactionEntryMock.CreateDividend(stockId, sellTransId, 2200, 45, 0m, 0m, DateTime.Parse("2011-04-28 00:00:00.000")));
var result = GetDividendPerformance(book, stockId, sellTransId);
result.ProfitAbsolute.Should().Be(99000);
}
public void TransactionBookShouldCalulateOpenPositionWithoutSell()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 20, 101.96m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 30, 98m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 33, 90.62m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 35, 83m, 11.65m));
var position = book.GetOrAddOpenPosition(guid);
position.Shares.Should().Be(118);
position.PricePerShare.Should().BeApproximately(92.553050m, 0.00001m);
position.PositionSize.Should().Be(10921.26m);
position.ProductId.Should().Be(guid);
}
public void TransactionBookShouldCalulateOpenPositionWithOnePartialSale()
{
var guid = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 20, 101.96m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 30, 98m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 33, 90.62m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateBuying(guid, 35, 83m, 11.65m));
book.AddEntry(TransactionEntryMock.CreateSelling(guid, 60, 100m, 11.65m));
var position = book.GetOrAddOpenPosition(guid);
position.Shares.Should().Be(58);
position.PricePerShare.Should().BeApproximately(86.36258098m, 0.00001m);
position.PositionSize.Should().BeApproximately(5009.02969m, 0.00001m);
position.ProductId.Should().Be(guid);
}
public void PerformanceServiceShouldCalulateProfitOfPartlyFilledOrder()
{
var stockId = Guid.NewGuid();
var sellTransId = Guid.NewGuid();
var book = new TransactionBook();
book.AddEntry(TransactionEntryMock.CreateBuying(stockId, 550, 1.92m, 9.90m, DateTime.Parse("2012-02-09 20:00:00.000")));
//First sell
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 422, 1.75m, 11.15m, 0, DateTime.Parse("2012-03-01 09:02:00.000")));
var result = GetPerformance(book, stockId, sellTransId);
result.ProfitMade.Should().BeFalse();
result.ProfitAbsolute.Should().Be(-90.49m);
result.ProfitPercentage.Should().Be(-11.06m);
//Second sell
book.AddEntry(TransactionEntryMock.CreateSelling(stockId, sellTransId, 128, 1.74m, 0.56m, 0, DateTime.Parse("2012-03-01 09:02:00.000")));
result = GetPerformance(book, stockId, sellTransId);
result.ProfitMade.Should().BeFalse();
result.ProfitAbsolute.Should().Be(-25.90m);
result.ProfitPercentage.Should().Be(-10.44m);
}
