/// <summary>
/// Operation to open a position with the specified currency
/// </summary>
/// <param name="currencyInPosition"></param>
/// <param name="baseCurrency"></param>
/// <param name="executeDate">the date opening the position</param>
public void OpenPosition(Currency currencyInPosition, Currency baseCurrency, DateTime executeDate)
{
if (Status == PositionRuntimeStatus.Active)
throw new Exception("The position is already opened. Currency in the position: " + this._currencyInPosition.Name
);
Status = PositionRuntimeStatus.Active;
_startTime = executeDate;
this._currencyInPosition = currencyInPosition;
this._baseCurrency = baseCurrency;
_currentPositionRecord = new PositionRecord(executeDate, currencyInPosition, baseCurrency, PositionType, this);
PositionRecords.Add(_currentPositionRecord);
}
/// <summary>
/// Take profit re-entry operation
/// A new position record is created with start date as executeDate
/// </summary>
/// <param name="executeDate">the date performing take profit re-entry</param>
public void TakeProfitReEntry(DateTime executeDate)
{
if (Status != PositionRuntimeStatus.TakeProfit)
throw new Exception("The status of a position must be at Take Profit when calling TakeProfitReEntry function.");
Status = PositionRuntimeStatus.Active;
// create a new trade record using the last traded record
_currentPositionRecord = new PositionRecord(executeDate, this.CurrencyInPosition, BaseCurrency, PositionType, this);
PositionRecords.Add(_currentPositionRecord);
}
/// <summary>
/// Get the start date of the record which is within a valid date
/// </summary>
/// <param name="record"></param>
/// <returns></returns>
private DateTime GetEffectiveStartDate(PositionRecord record)
{
DateTime effectiveStartDate;
if (_effectiveDates.Contains(record.StartDate))
effectiveStartDate = record.StartDate;
else
effectiveStartDate = _effectiveDates.Where(d => d >= record.StartDate).Min();
return effectiveStartDate;
}
/// <summary>
/// Get the bid or ask exchange rate according to the type of the record.
/// Long position -> Bid price
/// Short position -> Ask price
/// </summary>
/// <param name="record"></param>
/// <param name="currentDate"></param>
/// <returns></returns>
private decimal GetExchangeRate(PositionRecord record, DateTime currentDate)
{
decimal curExchangeRate;
if (record.Type == PositionType.Long)
curExchangeRate = GetBidExRate(record.BaseCurrency.Name,
record.CurrencyInPosition.Name,
currentDate);
else
curExchangeRate = GetAskExRate(record.BaseCurrency.Name,
record.CurrencyInPosition.Name,
currentDate);
return curExchangeRate;
}
private static decimal CalculateProfitBaseOnPosType(PositionRecord record, decimal forwardRate, decimal curExchangeRate)
{
decimal curProfit;
if (record.Type == PositionType.Long)
curProfit = (forwardRate - curExchangeRate) / curExchangeRate;
else
curProfit = (curExchangeRate - forwardRate) / curExchangeRate;
return curProfit;
}
/// <summary>
/// Determine whether the exchange rate is ask or bid for forward rate calculation
/// </summary>
/// <param name="record"></param>
/// <param name="effectiveStartDate"></param>
/// <returns></returns>
private decimal GetExchangeRateBaseOnPosType(PositionRecord record, DateTime effectiveStartDate)
{
decimal startExchangeRate;
if (record.Type == PositionType.Long)
startExchangeRate = GetAskExRate(record.BaseCurrency.Name,
record.CurrencyInPosition.Name,
effectiveStartDate);
else
startExchangeRate = GetBidExRate(record.BaseCurrency.Name,
record.CurrencyInPosition.Name,
effectiveStartDate);
return startExchangeRate;
}