public void Increase_Short_Opened_Position_Inverted_AssetPair()
{
// arrange
decimal tradePrice = 1 / 5607.87m;
decimal tradeVolume = 10 * 5607.87m;
bool inverted = true;
int direction = -1;
decimal prevCumulativeVolume = 10;
decimal prevCumulativeOppositeVolume = -65434.00m;
decimal rate = 6545.88m;
decimal openRate = 6543.40m;
decimal crossRate = 1.16m;
var expectedResult = new RealisedPnLResult
{
Price = 1 / tradePrice * crossRate,
Volume = tradePrice * tradeVolume,
OppositeVolume = tradeVolume * crossRate,
ClosedVolume = 0,
RealisedPnL = 0
};
expectedResult.CumulativeVolume = prevCumulativeVolume + expectedResult.Volume * direction * -1;
expectedResult.CumulativeOppositeVolume = prevCumulativeOppositeVolume +
expectedResult.Volume * expectedResult.Price * -1 * direction * -1;
expectedResult.AvgPrice =
Math.Abs(expectedResult.CumulativeOppositeVolume / expectedResult.CumulativeVolume);
expectedResult.UnrealisedPnL = (rate - expectedResult.AvgPrice) * expectedResult.CumulativeVolume;
// act
RealisedPnLResult actualResult = RealisedPnLCalculator.Calculate(
tradePrice,
tradeVolume,
inverted,
direction,
prevCumulativeVolume,
prevCumulativeOppositeVolume,
rate,
openRate,
crossRate);
// assert
Assert.IsTrue(AreEqual(expectedResult, actualResult));
}
public void Close_Long_Position_And_Open_Short_Position()
{
// arrange
decimal tradePrice = 6543.65m;
decimal tradeVolume = 8;
bool inverted = false;
int direction = 1;
decimal prevCumulativeVolume = -5;
decimal prevCumulativeOppositeVolume = 32699.61m;
decimal rate = 6545.05m;
decimal openRate = 6539.92m;
decimal crossRate = 1m;
var expectedResult = new RealisedPnLResult
{
AvgPrice = tradePrice * crossRate,
Price = tradePrice * crossRate,
Volume = tradeVolume,
OppositeVolume = tradeVolume * tradePrice * crossRate,
ClosedVolume = Math.Abs(prevCumulativeVolume)
};
expectedResult.CumulativeVolume = tradeVolume - expectedResult.ClosedVolume;
expectedResult.CumulativeOppositeVolume =
expectedResult.CumulativeVolume * expectedResult.Price * -1 * direction;
expectedResult.RealisedPnL = (expectedResult.Price - openRate) * expectedResult.ClosedVolume;
expectedResult.UnrealisedPnL = (rate - expectedResult.AvgPrice) * expectedResult.CumulativeVolume;
// act
RealisedPnLResult actualResult = RealisedPnLCalculator.Calculate(
tradePrice,
tradeVolume,
inverted,
direction,
prevCumulativeVolume,
prevCumulativeOppositeVolume,
rate,
openRate,
crossRate);
// assert
Assert.IsTrue(AreEqual(expectedResult, actualResult));
}
public void Partially_Close_Opened_Position()
{
// arrange
decimal tradePrice = 6544.95m;
decimal tradeVolume = 6;
bool inverted = false;
int direction = -1;
decimal prevCumulativeVolume = 11;
decimal prevCumulativeOppositeVolume = -71939.13m;
decimal rate = 6545.70m;
decimal openRate = 6539.92m;
decimal crossRate = 1m;
var expectedResult = new RealisedPnLResult
{
AvgPrice = openRate,
Price = tradePrice * crossRate,
Volume = tradeVolume,
OppositeVolume = tradeVolume * tradePrice * crossRate,
CumulativeVolume = prevCumulativeVolume - tradeVolume,
CumulativeOppositeVolume = prevCumulativeOppositeVolume + tradeVolume * openRate * -1 * direction,
ClosedVolume = tradeVolume
};
expectedResult.RealisedPnL = (expectedResult.Price - openRate) * expectedResult.ClosedVolume;
expectedResult.UnrealisedPnL = (rate - expectedResult.AvgPrice) * expectedResult.CumulativeVolume;
// act
RealisedPnLResult actualResult = RealisedPnLCalculator.Calculate(
tradePrice,
tradeVolume,
inverted,
direction,
prevCumulativeVolume,
prevCumulativeOppositeVolume,
rate,
openRate,
crossRate);
// assert
Assert.IsTrue(AreEqual(expectedResult, actualResult));
}
public void Open_Long_Position()
{
// arrange
decimal tradePrice = 6543.40m;
decimal tradeVolume = 10;
bool inverted = false;
int direction = -1;
decimal prevCumulativeVolume = 0;
decimal prevCumulativeOppositeVolume = 0;
decimal rate = 6543.40m;
decimal openRate = 0;
decimal crossRate = 1;
var expectedResult = new RealisedPnLResult
{
AvgPrice = tradePrice,
Price = tradePrice,
Volume = tradeVolume,
OppositeVolume = tradeVolume * tradePrice,
CumulativeVolume = tradeVolume * direction,
CumulativeOppositeVolume = tradeVolume * tradePrice * -1 * direction,
ClosedVolume = 0,
RealisedPnL = 0,
UnrealisedPnL = 0
};
// act
RealisedPnLResult actualResult = RealisedPnLCalculator.Calculate(
tradePrice,
tradeVolume,
inverted,
direction,
prevCumulativeVolume,
prevCumulativeOppositeVolume,
rate,
openRate,
crossRate);
// assert
Assert.IsTrue(AreEqual(expectedResult, actualResult));
}
