public void OnDayClose(DateTime todaysDate, decimal totalCapitalToday)
{
//update the status of each trade
foreach (TradeTracker t in TradeTrackers.Values)
{
t.Update(todaysDate, _data, _fxData);
}
//update position stats
foreach (var kvp in Positions)
{
int id = kvp.Key;
Position p = kvp.Value;
decimal fxRate = p.Currency == null || p.Currency.ID == 1 ? 1 : _fxData[p.Currency.ID][0].Close;
decimal? lastPrice = !_data.ContainsKey(id) || _data[id].CurrentBar < 0 ? (decimal?)null : _data[id][0].Close;
p.GetPnL(lastPrice, fxRate);
}
//Capital usage and profit/loss for the day
Capital.AddLong(Positions.Sum(x => x.Value.Capital.Long.Last()));
Capital.AddShort(Positions.Sum(x => x.Value.Capital.Short.Last()));
decimal todaysPnl = TradeTrackers.Sum(x => x.Value.TodaysPnL);
_logger.Log(LogLevel.Trace, string.Format("Portfolio {0} @ {1}: Capital used: {2:0.00} P/L: {3:0.00}",
Name,
todaysDate,
Capital.TodaysCapitalGross,
todaysPnl));
//P/L curves
ProfitLossEquityCurve.AddChange((double)todaysPnl, todaysDate);
ProfitLossLongEquityCurve.AddValue((double)TradeTrackers.Sum(x => x.Value.TotalPnlLong), todaysDate);
ProfitLossShortEquityCurve.AddValue((double)TradeTrackers.Sum(x => x.Value.TotalPnlShort), todaysDate);
//ROAC
if (Capital.TodaysCapitalGross == 0)
{
_deferredPnL += todaysPnl;
RoacEquityCurve.AddReturn(0, todaysDate);
}
else
{
RoacEquityCurve.AddReturn((double)((_deferredPnL + todaysPnl) / Capital.TodaysCapitalGross), todaysDate);
_deferredPnL = 0;
}
//ROTC
if (totalCapitalToday == 0)
{
RotcEquityCurve.AddReturn(0, todaysDate);
}
else
{
RotcEquityCurve.AddReturn((double)(todaysPnl / totalCapitalToday), todaysDate);
}
Capital.EndOfDay();
}
private decimal CalculateCapitalUsage(Order order)
{
decimal capitalUsage = 0;
//If the order is toward the end of the day, we don't want to count it for the day's capital usage
var timeLimit = new TimeSpan(15, 40, 00);
if (order.TradeDate.TimeOfDay < timeLimit)
{
capitalUsage = GetCapitalUsage(order);
}
else
{
//Unless! It's an intraday trade which we entered and exited after the cutoff,
//in which case we want to count it
if (Quantity == 0 || Math.Sign(Quantity) == Math.Sign(order.Quantity))
{
//Adding to a position
//We just want to keep track of this, no reason to add capital usage yet
_avgPriceEnteredAfterEodCutoff =
(Math.Abs(order.Quantity) * GetCapitalUsagePriceBasis(order.Price, order.FXRateToBase) + Math.Abs(_quantityEnteredAfterEodCutoff) * _avgPriceEnteredAfterEodCutoff)
/ Math.Abs(order.Quantity + _quantityEnteredAfterEodCutoff);
_quantityEnteredAfterEodCutoff += order.Quantity;
}
else if (_quantityEnteredAfterEodCutoff != 0)
{
//Exiting a position opened after the cutoff
decimal originalQuantityEntered = _quantityEnteredAfterEodCutoff;
if (order.Quantity > 0)
{
//exiting a short
capitalUsage = Math.Min(order.Quantity, -_quantityEnteredAfterEodCutoff) * _avgPriceEnteredAfterEodCutoff;
Capital.AddShort(capitalUsage);
_quantityEnteredAfterEodCutoff -= Math.Min(order.Quantity, -_quantityEnteredAfterEodCutoff);
}
else
{
//exiting a long
capitalUsage = Math.Min(-order.Quantity, _quantityEnteredAfterEodCutoff) * _avgPriceEnteredAfterEodCutoff;
Capital.AddLong(capitalUsage);
_quantityEnteredAfterEodCutoff -= Math.Min(-order.Quantity, _quantityEnteredAfterEodCutoff);
}
//Did we actually reverse the position?
if (Math.Abs(order.Quantity) > Math.Abs(originalQuantityEntered))
{
_quantityEnteredAfterEodCutoff = Math.Sign(order.Quantity) * (Math.Abs(order.Quantity) - Math.Abs(originalQuantityEntered));
_avgPriceEnteredAfterEodCutoff = GetCapitalUsagePriceBasis(order.Price, order.FXRateToBase);
}
}
}
return(capitalUsage);
}
/// <summary>
/// Update the capital usage given a new order
/// </summary>
private decimal GetCapitalUsage(Order order)
{
decimal capitalUsage = 0;
if (Math.Sign(order.Quantity) == Math.Sign(Quantity) || Math.Abs(order.Quantity) > Math.Abs(Quantity))
{
//if reversing
if ((order.Quantity < 0 && Quantity > 0) ||
(order.Quantity > 0 && Quantity < 0))
{
capitalUsage = GetCapitalUsage(Math.Abs(Math.Abs(order.Quantity) - Math.Abs(Quantity)), order.Price, order.FXRateToBase);
if (order.Quantity > 0)
{
Capital.AddLong(Math.Abs(Math.Abs(order.Quantity) - Math.Abs(Quantity)) * order.Price * order.FXRateToBase * Instrument.Multiplier * GetCapitalUsageMultiplier(Instrument.AssetCategory));
}
else
{
Capital.AddShort(Math.Abs(Math.Abs(order.Quantity) - Math.Abs(Quantity)) * order.Price * order.FXRateToBase * Instrument.Multiplier * GetCapitalUsageMultiplier(Instrument.AssetCategory));
}
}
else //if adding
{
capitalUsage = GetCapitalUsage(order.Quantity, order.Price, order.FXRateToBase);
if (order.Quantity > 0)
{
Capital.AddLong(Math.Abs(order.Quantity * order.Price) * order.FXRateToBase * Instrument.Multiplier * GetCapitalUsageMultiplier(Instrument.AssetCategory));
}
else
{
Capital.AddShort(Math.Abs(order.Quantity * order.Price) * order.FXRateToBase * Instrument.Multiplier * GetCapitalUsageMultiplier(Instrument.AssetCategory));
}
}
}
return(capitalUsage);
}
public void Update(DateTime currentDate, Dictionary <int, TimeSeries> data, Dictionary <int, TimeSeries> fxData)
{
TodaysPnL = 0;
if (!Open)
{
return;
}
//Update positions
foreach (var kvp in Positions)
{
int id = kvp.Key;
Position p = kvp.Value;
decimal fxRate = p.Currency == null || p.Currency.ID <= 1 ? 1 : fxData[p.Currency.ID][0].Close;
TodaysPnL += p.GetPnL(data[id].CurrentBar < 0 ? (decimal?)null : data[id][0].Close, fxRate);
}
//Update currency positions
foreach (var kvp in CurrencyPositions)
{
int id = kvp.Key;
if (fxData[id].CurrentBar < 0)
{
continue;
}
CurrencyPosition p = kvp.Value;
decimal fxRate = fxData[id][0].Close;
TodaysPnL += p.Update(fxRate);
}
if (Positions.Any(x => x.Value.Capital.Gross.Count > 0))
{
Capital.AddLong(Positions.Sum(x => x.Value.Capital.Long.Last()));
Capital.AddShort(Positions.Sum(x => x.Value.Capital.Short.Last()));
}
if (Capital.TodaysCapitalGross != 0)
{
_currentEquity *= (double)(1 + TodaysPnL / Capital.TodaysCapitalGross);
}
#if DEBUG
_logger.Log(LogLevel.Trace, string.Format("Trade tracker ID {0} @ {1}, todays capital usage {2:0.00}, P/L: {3:0.00}",
Trade.ID,
currentDate,
Capital.TodaysCapitalGross,
TodaysPnL));
#endif
Capital.EndOfDay();
_totalPnL += TodaysPnL;
CumulativeReturns.Add(currentDate, _currentEquity);
CumulativePnL.Add(currentDate, _totalPnL);
Open = Positions.Values.Sum(x => x.Quantity) != 0 ||
CurrencyPositions.Values.Sum(x => x.Quantity) != 0 ||
(_ordersRemaining > 0 && _ordersRemaining < Trade.Orders.Count);
}
/// <summary>
/// Calculates profit/loss given a new price and FX rate. Also updates ROAC.
/// </summary>
/// <returns>The profit/loss since the last GetPnL() call.</returns>
public decimal GetPnL(decimal?newPrice, decimal newFXRate)
{
//Null: this happens if there is no data on this anywhere.
//Can happen when there is no prior position on an instrument.
decimal updatePrice = newPrice ?? PriorPeriodCostBasis;
var capitalUsage = GetCapitalUsage(_priorPeriodQuantity, PriorPeriodCostBasis, PriorPeriodFXRateBasis);
if (_priorPeriodQuantity > 0)
{
Capital.AddLong(capitalUsage);
}
else
{
Capital.AddShort(capitalUsage);
}
//the change in value from the previous day
if (Quantity > 0)
{
_unrecognizedPnLLong += Instrument.Multiplier * Quantity * (updatePrice * newFXRate - PriorPeriodCostBasis * PriorPeriodFXRateBasis);
}
else
{
_unrecognizedPnLShort += Instrument.Multiplier * Quantity * (updatePrice * newFXRate - PriorPeriodCostBasis * PriorPeriodFXRateBasis);
}
//calculate ROAC
if (Capital.TodaysCapitalGross > 0)
{
ROAC = ROAC * (double)(1 + (_unrecognizedPnLLong + _unrecognizedPnLShort + _deferredPnL) / Capital.TodaysCapitalGross);
_deferredPnL = 0;
}
else
{
//if no capital is deployed, ROAC calculation is impossible
//so we just defer the profit/loss until some capital usage exists to calculate ROAC on
//This happens when position is zero, but we get a cash transaction for example.
_deferredPnL += _unrecognizedPnLLong + _unrecognizedPnLShort;
}
LastPrice = updatePrice;
_priorPeriodQuantity = Quantity;
//prior period cost basis is updated to reflect the latest prices
PriorPeriodCostBasis = updatePrice;
PriorPeriodFXRateBasis = newFXRate;
//Total p/l is updated with today's profit/loss
PnLLong += _unrecognizedPnLLong;
PnLShort += _unrecognizedPnLShort;
decimal toReturn = _unrecognizedPnLLong + _unrecognizedPnLShort;
_unrecognizedPnLLong = 0;
_unrecognizedPnLShort = 0;
_quantityEnteredAfterEodCutoff = 0;
_avgPriceEnteredAfterEodCutoff = 0;
Capital.EndOfDay();
return(toReturn);
}