public void when_calculating_trades_and_there_are_multiple_complicated_sells()
{
var first_transaction = new BrokerageTransaction { Id = 1, SecurityId = 10, TradeDate = new DateTime(2010, 1, 1), Shares = 10, SharePrice = 100, GrossAmount = 1000 };
var second_transaction = new BrokerageTransaction { Id = 2, SecurityId = 10, TradeDate = new DateTime(2010, 1, 2), Shares = 10, SharePrice = 150, GrossAmount = 1500 };
var third_transaction = new BrokerageTransaction { Id = 3, SecurityId = 10, TradeDate = new DateTime(2010, 1, 5), Shares = -15, SharePrice = 200, GrossAmount = -1000 };
var fourth_transaction = new BrokerageTransaction { Id = 4, SecurityId = 10, TradeDate = new DateTime(2010, 1, 10), Shares = 10, SharePrice = 50, GrossAmount = 500 };
var fifth_transaction = new BrokerageTransaction { Id = 5, SecurityId = 10, TradeDate = new DateTime(2010, 1, 11), Shares = -10, SharePrice = 100, GrossAmount = -1000 };
var sixth_transaction = new BrokerageTransaction { Id = 6, SecurityId = 10, TradeDate = new DateTime(2010, 1, 12), Shares = -2, SharePrice = 10, GrossAmount = -20 };
var seventh_transaction = new BrokerageTransaction { Id = 7, SecurityId = 10, TradeDate = new DateTime(2010, 1, 13), Shares = -3, SharePrice = 20, GrossAmount = -60 };
var trades = new LIFOTradeCalculator().Calculate(new[] { third_transaction, fifth_transaction, sixth_transaction, seventh_transaction },
CreateLots(new[] { first_transaction, second_transaction, fourth_transaction }));
Assert.Equal(new[]
{
new Trade { PositionId = first_transaction.Id , AquireDate = first_transaction.TradeDate,
ClosingTransactionId = third_transaction.Id, ClosingDate = third_transaction.TradeDate,
Quantity = 10, SellPrice = third_transaction.SharePrice, ProfileAndLoss = 1000 },
new Trade { PositionId = second_transaction.Id , AquireDate = second_transaction.TradeDate,
ClosingTransactionId = third_transaction.Id, ClosingDate = third_transaction.TradeDate,
Quantity = 5, SellPrice = third_transaction.SharePrice, ProfileAndLoss = 250 },
new Trade { PositionId = second_transaction.Id , AquireDate = second_transaction.TradeDate,
ClosingTransactionId = fifth_transaction.Id, ClosingDate = fifth_transaction.TradeDate,
Quantity = 5, SellPrice = fifth_transaction.SharePrice, ProfileAndLoss = -250 },
new Trade { PositionId = fourth_transaction.Id , AquireDate = fourth_transaction.TradeDate,
ClosingTransactionId = fifth_transaction.Id, ClosingDate = fifth_transaction.TradeDate,
Quantity = 5, SellPrice = fifth_transaction.SharePrice, ProfileAndLoss = 250 },
new Trade { PositionId = fourth_transaction.Id , AquireDate = fourth_transaction.TradeDate,
ClosingTransactionId = sixth_transaction.Id, ClosingDate = sixth_transaction.TradeDate,
Quantity = 2, SellPrice = sixth_transaction.SharePrice, ProfileAndLoss = -80 },
new Trade { PositionId = fourth_transaction.Id , AquireDate = fourth_transaction.TradeDate,
ClosingTransactionId = seventh_transaction.Id, ClosingDate = seventh_transaction.TradeDate,
Quantity = 3, SellPrice = seventh_transaction.SharePrice, ProfileAndLoss = -90 },
}, trades, new PublicPropertyEqualityComparer<Trade>());
}
public void when_calculating_trades_and_there_are_no_selling_transactions()
{
var first_transaction = new BrokerageTransaction { Id = 1, SecurityId = 10, TradeDate = new DateTime(2010, 1, 1), Shares = 10, SharePrice = 100, GrossAmount = 1000 };
var second_transaction = new BrokerageTransaction { Id = 2, SecurityId = 10, TradeDate = new DateTime(2010, 1, 2), Shares = 10, SharePrice = 150, GrossAmount = 1500 };
var trades = new LIFOTradeCalculator().Calculate(new[] { first_transaction, second_transaction },
Enumerable.Empty<Lot>());
Assert.Equal(Enumerable.Empty<Trade>(), trades, new PublicPropertyEqualityComparer<Trade>());
}
public void when_calculating_trades_and_there_is_a_perfect_match()
{
var first_transaction = new BrokerageTransaction { Id = 1, SecurityId = 10, TradeDate = new DateTime(2010, 1, 1), Shares = 10, SharePrice = 100, GrossAmount = 1000 };
var second_transaction = new BrokerageTransaction { Id = 2, SecurityId = 10, TradeDate = new DateTime(2010, 1, 2), Shares = 10, SharePrice = 150, GrossAmount = 1500 };
var third_transaction = new BrokerageTransaction { Id = 3, SecurityId = 10, TradeDate = new DateTime(2010, 1, 5), Shares = -10, SharePrice = 200, GrossAmount = -2000 };
var trades = new LIFOTradeCalculator().Calculate(new[] { first_transaction, second_transaction, third_transaction },
CreateLots(new[] { first_transaction, second_transaction })
.Concat(new[] { new Lot { IsOpen = false } })
.ToList());
Assert.Equal(new[]
{
new Trade { PositionId = first_transaction.Id , AquireDate = first_transaction.TradeDate,
ClosingTransactionId = third_transaction.Id, ClosingDate = third_transaction.TradeDate,
Quantity = 10, SellPrice = third_transaction.SharePrice, ProfileAndLoss = 1000 }
}, trades, new PublicPropertyEqualityComparer<Trade>());
}
public void when_calculating_trades_and_the_sell_closes_one_position_and_partially_another()
{
var first_transaction = new BrokerageTransaction { Id = 1, SecurityId = 10, TradeDate = new DateTime(2010, 1, 1), Shares = 10, SharePrice = 100, GrossAmount = 1000 };
var second_transaction = new BrokerageTransaction { Id = 2, SecurityId = 10, TradeDate = new DateTime(2010, 1, 2), Shares = 10, SharePrice = 150, GrossAmount = 1500 };
var third_transaction = new BrokerageTransaction { Id = 3, SecurityId = 10, TradeDate = new DateTime(2010, 1, 5), Shares = -15, SharePrice = 200, GrossAmount = -1000 };
var lots = CreateLots(new[] { first_transaction, second_transaction });
var trades = new LIFOTradeCalculator().Calculate(new[] { third_transaction },
lots);
Assert.Equal(new[]
{
new Trade { PositionId = first_transaction.Id , AquireDate = first_transaction.TradeDate,
ClosingTransactionId = third_transaction.Id, ClosingDate = third_transaction.TradeDate,
Quantity = 10, SellPrice = third_transaction.SharePrice, ProfileAndLoss = 1000 },
new Trade { PositionId = second_transaction.Id , AquireDate = second_transaction.TradeDate,
ClosingTransactionId = third_transaction.Id, ClosingDate = third_transaction.TradeDate,
Quantity = 5, SellPrice = third_transaction.SharePrice, ProfileAndLoss = 250 },
}, trades, new PublicPropertyEqualityComparer<Trade>());
Assert.False(lots.First().IsOpen);
}
public AutoAssignTradesCommand(DataContext data_context, LIFOTradeCalculator trade_calculator)
{
this.data_context = data_context;
this.trade_calculator = trade_calculator;
}