private void Reset()
{
exposure = PositionExposure.FLAT;
open_pos = open_prc = closed_pos = closed_val = buy_qty =
buy_val = sell_qty = sell_val = buy_avg = sell_avg =
open_pl = closed_pl = total_pl = notional_pl = 0.0;
}
private void Update(Fill fill)
{
//if( log.IsDebugEnabled )
//{
// log.Info( "PRE_UPDATE" );
// log.Info( " buy_qty: " + buy_qty );
// log.Info( " buy_val: " + buy_val );
// log.Info( " sel_qty: " + sell_qty );
// log.Info( " sel_val: " + sell_val );
// log.Info( " open_pos: " + open_pos );
// log.Info( " open_prc: " + open_prc );
// log.Info( " closed_pos: " + closed_pos );
// log.Info( " closed_val: " + closed_val );
//}
if (Fill.SideCode.BUY == fill.Side)
{
buy_qty += fill.Quantity;
buy_val += fill.Quantity * fill.Price;
}
else
{
sell_qty += fill.Quantity;
sell_val += fill.Quantity * fill.Price;
}
if (buy_qty == sell_qty)
{
exposure = PositionExposure.FLAT;
closed_pos += buy_qty;
closed_val += sell_val - buy_val;
open_pos = open_prc = buy_qty = buy_val = sell_qty = sell_val = 0.0;
}
else if (buy_qty > sell_qty)
{
exposure = PositionExposure.LONG;
if (buy_val > 0 && buy_qty > 0)
{
buy_avg = buy_val / buy_qty;
}
buy_qty -= sell_qty;
buy_val = buy_qty * buy_avg;
open_pos = buy_qty;
open_prc = buy_avg;
closed_pos += sell_qty;
closed_val += sell_val - (sell_qty * buy_avg);
sell_qty = sell_val = 0.0;
}
else
{
exposure = PositionExposure.SHORT;
if (sell_val > 0 && sell_qty > 0)
{
sell_avg = sell_val / sell_qty;
}
sell_qty -= buy_qty;
sell_val = sell_qty * sell_avg;
open_pos = sell_qty;
open_prc = sell_avg;
closed_pos += buy_qty;
closed_val += (buy_qty * sell_avg) - buy_val;
buy_qty = buy_val = 0.0;
}
//if( log.IsDebugEnabled )
//{
// log.Info( "POST_UPDATE" );
// log.Info( " buy_qty: " + buy_qty );
// log.Info( " buy_val: " + buy_val );
// log.Info( " sel_qty: " + sell_qty );
// log.Info( " sel_val: " + sell_val );
// log.Info( " open_pos: " + open_pos );
// log.Info( " open_prc: " + open_prc );
// log.Info( " closed_pos: " + closed_pos );
// log.Info( " closed_val: " + closed_val );
//}
}
