public void GenerateReplicaLiquidationChanges()
{
//first remove Changes that may not have been processed as we do not want them on
Changes.Clear();
//then clear out any remaining position,
//if there was an opening in the changes it does not matter, we close on realQuantity
//if there was a close, it will be done anyway!
if (Replicated)
{
PositionChanges change = new PositionChanges
{
PositionId = PositionId,
Type = PositionChanges.ChangeType.Close,
//Symbol = Symbol,
QuantityBefore = Quantity,
QuantityAfter = 0,
};
Changes.Add(change);
//RealQuantity = 0;
ReplicationWeight = 0;
//RealQuantity = 0;
}
Replicated = false;
}
internal decimal AddTrade(decimal qty, decimal tradePrice)
{
qty = Math.Round(qty, 4);
if (qty == 0)
{
return(0);
}
if (Quantity == 0)
{
PositionChanges change = new PositionChanges
{
PositionId = PositionId,
Type = PositionChanges.ChangeType.Open,
//Symbol = Symbol,
QuantityBefore = 0,
QuantityAfter = qty,
};
Changes.Add(change);
Quantity = qty;
averageCost = tradePrice;
}
else
{
var sameDirection = Math.Sign(Quantity / qty) == 1;
var replicationIsOn = (RealQuantity != 0);
if (sameDirection)
{
PositionChanges change = new PositionChanges
{
PositionId = PositionId,
Type = (replicationIsOn) ? PositionChanges.ChangeType.Increase : PositionChanges.ChangeType.Open,
//Symbol = Symbol,
QuantityBefore = (replicationIsOn) ? Quantity : 0,
QuantityAfter = Math.Round(Quantity + qty, 4),
};
Changes.Add(change);
averageCost = (averageCost * Quantity + qty * tradePrice) / (Quantity + qty);
Quantity += qty;
}
else
{
if (Math.Abs(qty) > Math.Abs(Quantity)) // changing side
{
var remainder = qty + Quantity;
AddTrade(-Quantity, tradePrice);
AddTrade(remainder, tradePrice);
}
else // closing or partially closing
{
//averagecost does not change
// TODO track cash proceeds per position?
if (Quantity + qty == 0)
{
PositionChanges change = new PositionChanges
{
PositionId = PositionId,
Type = PositionChanges.ChangeType.Close,
//Symbol = Symbol,
QuantityBefore = Quantity,
QuantityAfter = 0,
};
Changes.Add(change);
}
else
{
PositionChanges change = new PositionChanges
{
PositionId = PositionId,
Type = (replicationIsOn) ? PositionChanges.ChangeType.Decrease : PositionChanges.ChangeType.Open,
//Symbol = Symbol,
QuantityBefore = (replicationIsOn) ? Quantity : 0,
QuantityAfter = Math.Round(Quantity + qty, 4),
};
Changes.Add(change);
}
Quantity += qty;
}
}
}
lastPrice = tradePrice;
// TODO: create CashImpact method
return(qty * tradePrice);
}
