/// <summary>
/// Calculates the running Realized Cost and Open Quantity for every Fill transaction for each security
/// Side Realized Cost OpenQuantity
/// Buy Realized Cost -= FillPrice * FillQuantity OpenQuantity += FillQuantity
/// Sell Realized Cost += FillPrice * FillQuantity OpenQuantity -= FillQuantity
/// </summary>
/// <param name="previousValue"></param>
/// <param name="currentFill"></param>
/// <returns></returns>
private FillPnLAndOpenQuantity CalculateFillPnLAndOpenQuantity(FillPnLAndOpenQuantity previousValue, Fill currentFill)
{
decimal runningCost = 0;
long openQuantity = 0;
decimal currentRunningCost = currentFill.FillPrice * currentFill.FillSize;
if (currentFill.Side == "B")
{
runningCost = previousValue.RealizedCost + (currentRunningCost * -1);
openQuantity = previousValue.OpenQuantity + currentFill.FillSize;
}
else if (currentFill.Side == "S")
{
runningCost = previousValue.RealizedCost + currentRunningCost;
openQuantity = previousValue.OpenQuantity - currentFill.FillSize;
}
return(new FillPnLAndOpenQuantity(runningCost, openQuantity));
}
/// <summary>
/// Opens Price and Fill data files and does a forward scan on both the files. Calculates MTM PnL
/// while the file is being scanned, hence done in one pass
/// </summary>
/// <param name="fillFilePath"></param>
/// <param name="priceFillPath"></param>
/// <returns></returns>
public Dictionary <PriceUpdate, MTMPnLAndOpenQuantity> ProcessFillsForPriceUpdate(string fillFilePath, string priceFillPath)
{
var mtmLedger = new Dictionary <PriceUpdate, MTMPnLAndOpenQuantity>(1000);
var fillTransactionLedger = new Dictionary <string, FillPnLAndOpenQuantity>(1000);
Console.WriteLine("Start reading price and fill data files..");
using (var priceStream = new FileStream(priceFillPath, FileMode.Open, FileAccess.Read, FileShare.Read)){
using (var priceStreamReader = new StreamReader(new GZipStream(priceStream, CompressionMode.Decompress))){
using (var fillStream = new FileStream(fillFilePath, FileMode.Open, FileAccess.Read, FileShare.Read)){
using (var fillStreamReader = new StreamReader(new GZipStream(fillStream, CompressionMode.Decompress))){
string priceDataLine = null;
while ((priceDataLine = priceStreamReader.ReadLine()) != null)
{
try{
var currentPriceUpdate = new PriceUpdate(priceDataLine);
string fillDataLine = null;
while ((fillDataLine = fillStreamReader.ReadLine()) != null)
{
try{
bool exitLoop = false;
var currentFill = new Fill(fillDataLine);
FillPnLAndOpenQuantity currentVal;
if (!fillTransactionLedger.TryGetValue(currentFill.Symbol, out currentVal))
{
currentVal = new FillPnLAndOpenQuantity(0, 0);
}
if (currentPriceUpdate.Symbol == currentFill.Symbol && currentFill.Epoch > currentPriceUpdate.Epoch)
{
MTMPnLAndOpenQuantity mtmPnLData = CalculateMTMPnLAndOpenQuantity(currentVal, currentPriceUpdate);
mtmLedger.Add(currentPriceUpdate, mtmPnLData);
Console.WriteLine(mtmPnLData.ToString());
exitLoop = true;
}
currentVal = CalculateFillPnLAndOpenQuantity(currentVal, currentFill);
fillTransactionLedger[currentFill.Symbol] = currentVal;
if (exitLoop)
{
break;
}
}
catch (Exception ex) {
Console.WriteLine("Exception reading fill file at line: {0}. Exception: {1}", fillDataLine, ex);
}
}
}
catch (Exception ex) {
Console.WriteLine("Exception reading price file at line: {0}. Exception: {1}", priceDataLine, ex);
}
}
}
}
}
}
Console.WriteLine("End reading price and fill data files.");
Console.WriteLine("Number of MTM updates: {0}", mtmLedger.Count);
return(mtmLedger);
}
/// <summary>
/// Calculates the Mark to Market PnL for each Price update
/// Mark To Market PnL = Realized Cost + OpenQuantity * CurrentPrice
/// </summary>
/// <param name="currentPnL"></param>
/// <param name="priceUpdate"></param>
/// <returns></returns>
private MTMPnLAndOpenQuantity CalculateMTMPnLAndOpenQuantity(FillPnLAndOpenQuantity currentPnL, PriceUpdate priceUpdate)
{
decimal markedToMarketPandL = currentPnL.RealizedCost + currentPnL.OpenQuantity * priceUpdate.CurrentPrice;
return(new MTMPnLAndOpenQuantity(priceUpdate.Epoch, priceUpdate.Symbol, markedToMarketPandL, currentPnL.OpenQuantity));
}