/// <summary>
/// Relieves the passed Taxlot
/// </summary>
/// <param name="env">Environment</param>
/// <param name="lot">The Tax Lot to relieve</param>
/// <param name="trade">The current trade</param>
/// <param name="quantity">Quantity to relieve</param>
/// <param name="fxrate">Appropriate fxrate</param>
internal static TaxLot RelieveTaxLot(PostingEngineEnvironment env, TaxLotDetail lot, Transaction trade, double quantity, bool reverse = false)
{
var prevFxRate = FxRates.Find(lot.Trade.TradeDate, lot.Trade.SettleCurrency).Rate;
var investmentAtCost = quantity * lot.Trade.SettleNetPrice * prevFxRate;
if (reverse)
{
investmentAtCost = investmentAtCost * -1;
}
var tl = new TaxLot
{
Trade = trade,
TradeDate = trade.TradeDate,
InvestmentAtCost = investmentAtCost, // Needs to be the Investment Cost that we are relieving from the Tax
BusinessDate = env.ValueDate,
OpeningLotId = lot.Trade.LpOrderId,
ClosingLotId = trade.LpOrderId,
TradePrice = lot.Trade.SettleNetPrice,
CostBasis = trade.SettleNetPrice,
Quantity = quantity
};
CalculateRealizedPnl(env, tl);
tl.Save(env.Connection, env.Transaction);
return(tl);
}
/// <summary>
/// Calculate the Realized Pnl based on the relieved Tax Lot
/// </summary>
/// <param name="createdTaxLot">The Relief</param>
/// <param name="taxLotToRelieve">The target taxlot</param>
public static double CalculateRealizedPnl(PostingEngineEnvironment env, TaxLot createdTaxLot)
{
var priceDiff = (createdTaxLot.CostBasis - createdTaxLot.TradePrice);
var realizedPnl = 0.0;
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(createdTaxLot.Trade.BloombergCode))
{
multiplier = env.SecurityDetails[createdTaxLot.Trade.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!createdTaxLot.Trade.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, createdTaxLot.Trade.SettleCurrency).Rate);
}
if (createdTaxLot.Trade.IsBuy())
{
realizedPnl = priceDiff * createdTaxLot.Quantity;
}
else if (createdTaxLot.Trade.IsSell())
{
realizedPnl = priceDiff * Math.Abs(createdTaxLot.Quantity);
}
else if (createdTaxLot.Trade.IsShort())
{
realizedPnl = priceDiff * createdTaxLot.Quantity;
}
else if (createdTaxLot.Trade.IsCover())
{
realizedPnl = priceDiff * createdTaxLot.Quantity * -1;
}
createdTaxLot.RealizedPnl = realizedPnl * fxrate * multiplier;
return(createdTaxLot.RealizedPnl);
}
/// <summary>
/// Relieves the passed TaxLostStatus, this should only be used for FORWARDS etc that expire
/// </summary>
/// <param name="env">Environment</param>
/// <param name="lot">The Tax Lot to relieve</param>
/// <param name="trade">The current trade</param>
/// <param name="quantity">Quantity to relieve</param>
/// <param name="fxrate">Appropriate fxrate</param>
internal static TaxLot RelieveTaxLot(PostingEngineEnvironment env, Transaction taxLotToRelieve, Transaction trade, double quantity, bool reverse = false)
{
var SettleNetPrice = trade.SettleNetPrice;
if (taxLotToRelieve.LpOrderId.Equals(trade.LpOrderId))
{
// Same, so we are dealing with the same trade, so we are backing out the same trade
SettleNetPrice = MarketPrices.GetPrice(env, trade.SettleDate, trade).Price;
}
var prevFxRate = FxRates.Find(taxLotToRelieve.TradeDate, taxLotToRelieve.SettleCurrency).Rate;
var investmentAtCost = quantity * taxLotToRelieve.SettleNetPrice * prevFxRate;
if (reverse)
{
investmentAtCost = investmentAtCost * -1;
}
var tl = new TaxLot
{
Trade = trade,
TradeDate = trade.TradeDate,
InvestmentAtCost = investmentAtCost, // Needs to be the Investment Cost that we are relieving from the Tax
BusinessDate = env.ValueDate,
OpeningLotId = taxLotToRelieve.LpOrderId,
ClosingLotId = trade.LpOrderId,
TradePrice = taxLotToRelieve.SettleNetPrice,
CostBasis = SettleNetPrice,
Quantity = quantity
};
CalculateRealizedPnl(env, tl);
tl.Save(env.Connection, env.Transaction);
return(tl);
}
/// <summary>
/// Displays the item information and item data information
/// for the given investment itemSummary.
/// </summary>
/// <param name="itemSummary">an itemSummary whose containerType is 'stocks'</param>
public void displayInvestmentDataForItem(ItemSummary itemSummary)
{
System.Console.WriteLine("");
String containerType = itemSummary.contentServiceInfo.containerInfo.containerName;
if (!containerType.Equals(ContainerTypes.INVESTMENT))
{
throw new Exception("DisplayInvestmentDataForItem called with invalid container type" +
containerType);
}
DisplayItemInfo displayItemInfo = new DisplayItemInfo();
displayItemInfo.displayItemSummaryInfo(itemSummary);
// Get ItemData
ItemData1 itemData = itemSummary.itemData;
if (itemData == null)
{
System.Console.WriteLine("\tItemData is null");
}
else
{
// InvestmentData
object[] accounts = itemData.accounts;
if (accounts == null || accounts.Length == 0)
{
System.Console.WriteLine("\tNo accounts");
}
else
{
System.Console.WriteLine("\n\t\t**InvestmentData**");
for (int i = 0; i < accounts.Length; i++)
{
InvestmentData investment = (InvestmentData)accounts[i];
System.Console.WriteLine("\t\tAccount Name: " + investment.accountName);
System.Console.WriteLine("\t\tAccount Number: " + investment.accountNumber);
System.Console.WriteLine("\t\tAccount Holder: " + investment.accountHolder);
System.Console.WriteLine("\t\tAccount Type: " + investment.acctType);
System.Console.WriteLine("\t\tCash: " + investment.cash);
System.Console.WriteLine("\t\tTotal Balance: " + investment.totalBalance.amount);
System.Console.WriteLine("\t\tTotal Vested Balance: " + investment.totalVestedBalance.amount);
System.Console.WriteLine("\t\tTotal Unvested Balance: " + investment.totalUnvestedBalance.amount);
System.Console.WriteLine("\t\tMargin Balance: " + investment.marginBalance.amount);
System.Console.WriteLine("\t\tlastUpdated: " + UtcToDateTime(investment.lastUpdated.Value));
// HoldingData
object[] holdings = investment.holdings;
if (holdings == null || holdings.Length == 0)
{
System.Console.WriteLine("\t\tNo investment holdings.");
}
else
{
System.Console.WriteLine("\t\t\t**HoldingData**");
for (int j = 0; j < holdings.Length; j++)
{
HoldingData holding = (HoldingData)holdings[j];
System.Console.WriteLine("\t\t\tHoldingData Symbol: " + holding.symbol);
System.Console.WriteLine("\t\t\tHoldingData Quantity: " + holding.quantity);
System.Console.WriteLine("\t\t\tHoldingData Value: " + holding.value.amount);
System.Console.WriteLine("\t\t\tHoldingData Description: " + holding.description);
System.Console.WriteLine("\t\t\tHoldingData Price: " + holding.price.amount);
System.Console.WriteLine("\t\t\tHoldingData Link: " + holding.link);
System.Console.WriteLine("\t\t\tHoldingData HoldingType: " + holding.holdingType);
System.Console.WriteLine("\t\t\tHoldingData HoldingTypeId: " + holding.holdingTypeId);
System.Console.WriteLine("\t\t\tHoldingData Percentage Allocaton: " + holding.percentAllocation);
System.Console.WriteLine("\t\t\tHoldingData Percantage Change: " + holding.percentageChange);
System.Console.WriteLine("\t\t\tHoldingData Employee Contribution: " + holding.employeeContribution);
System.Console.WriteLine("\t\t\tHoldingData Employeer Contribution: " + holding.employerContribution);
System.Console.WriteLine("\t\t\tHoldingData Cusip Number: " + holding.cusipNumber);
System.Console.WriteLine("\t\t\tHoldingData Daily Change: " + holding.dailyChange);
System.Console.WriteLine("\t\t\tHoldingData Cost Basis: " + holding.costBasis.amount + "\n");
// TaxLots
object[] taxLots = holding.taxLots;
if (taxLots == null || taxLots.Length == 0)
{
System.Console.WriteLine("\t\t\tNo holdings taxLots");
}
else
{
System.Console.WriteLine("\t\t\t\t**TaxLot**");
for (int u = 0; u < taxLots.Length; u++)
{
TaxLot taxLot = (TaxLot)taxLots[u];
System.Console.WriteLine("\t\t\t\tTaxLot Symbol: " + taxLot.symbol);
System.Console.WriteLine("\t\t\t\tTaxLot Description: " + taxLot.description);
System.Console.WriteLine("\t\t\t\tTaxLot Quantity: " + taxLot.quantity);
System.Console.WriteLine("\t\t\t\tTaxLot Amount: " + taxLot.amount.amount);
System.Console.WriteLine("\t\t\t\tTaxLot Price: " + taxLot.price.amount);
System.Console.WriteLine("\t\t\t\tTaxLot Link: " + taxLot.link);
System.Console.WriteLine("\t\t\t\tTaxLot Cusip Number: " + taxLot.cusipNumber + "\n");
}
}
// End TaxLot
}
}
// End HoldingData
// InvestmentTransactionData
object[] investTransactions = investment.investmentTransactions;
if (investTransactions == null || investTransactions.Length == 0)
{
System.Console.WriteLine("\t\tNo investment tranactions");
}
else
{
System.Console.WriteLine("\t\t\t**InvestmentTransactionsData**");
for (int j = 0; j < investTransactions.Length; j++)
{
InvestmentTransactionsData trans =
(InvestmentTransactionsData)investTransactions[j];
System.Console.WriteLine("\t\t\tTranaction.symbol: " + trans.symbol);
System.Console.WriteLine("\t\t\tTranaction.amount: " + trans.amount.amount);
System.Console.WriteLine("\t\t\tTranaction.price : " + trans.price.amount);
System.Console.WriteLine("\t\t\tTranaction.quantity : " + trans.quantity);
System.Console.WriteLine("\t\t\tTranaction.transDate : " + trans.transDate.date);
System.Console.WriteLine("\t\t\tTransaction.description: " + trans.description);
System.Console.WriteLine("\t\t\tTranaction.link : " + trans.link);
System.Console.WriteLine("\t\t\tTranaction.transactionType : " + trans.transactionType);
System.Console.WriteLine("\t\t\tTranaction.confirmantionNumber : " + trans.confirmationNumber + "\n");
}
}
// End InvestmentTransactionData
}
}
// End InvestmentData
}
/*
* // Get AccountHistory
* object[] acctHistories = itemData.accountHistory;
* if(acctHistories == null || acctHistories.Length == 0)
* {
* System.Console.WriteLine("\tNo Account History");
* }
* else
* {
* System.Console.WriteLine("\n\t**Account History**");
* for(int i = 0; i < acctHistories.Length; i++)
* {
* AccountHistory acctHistory = (AccountHistory)acctHistories[i];
*
* System.Console.WriteLine("\tAccount ID: {0}", acctHistory.accountId );
*
* // Get History
* object[] histories = acctHistory.history;
* if(histories == null || histories.Length == 0)
* {
* System.Console.WriteLine("\t\tNo History");
* }
* else
* {
* System.Console.WriteLine("\t\t**History**");
* for(int j = 0; j < histories.Length; j++)
* {
* InvestmentData investment = (InvestmentData) histories[j];
* System.Console.WriteLine("\t\taccountName: "+ investment.accountName );
* System.Console.WriteLine("\t\taccountNumber: "+ investment.accountNumber );
* System.Console.WriteLine("\t\taccountHolder: "+ investment.accountHolder );
* System.Console.WriteLine("\t\tacctType: "+ investment.acctType );
* System.Console.WriteLine("\t\tcash: "+ investment.cash );
* System.Console.WriteLine("\t\ttotalBalance: "+ investment.totalBalance.amount );
* System.Console.WriteLine("\t\ttotalVestedBalance: "+ investment.totalVestedBalance.amount );
* System.Console.WriteLine("\t\ttotalUnvestedBalance: "+ investment.totalUnvestedBalance.amount );
* System.Console.WriteLine("\t\tmarginBalance: "+ investment.marginBalance.amount );
* System.Console.WriteLine("\t\tlastUpdated: " + UtcToDateTime(investment.lastUpdated.Value) + "\n");
* }
* }
* }
* }
* // AccountHistory*/
}
public object AlleviateTaxLot(AlleviateTaxLotDto obj)
{
try
{
string symbol = obj.ProspectiveTrade.Symbol;
string side = obj.ProspectiveTrade.Side;
string message = "Tax Lot(s) Alleviated Successfully";
if (side.Equals("COVER"))
{
if (!obj.OpenTaxLots.All(x => x.Side.Equals("SHORT")))
{
message = "All selected lots are not SHORT";
}
}
else if (side.Equals("SELL"))
{
if (!obj.OpenTaxLots.All(x => x.Side.Equals("BUY")))
{
message = "All selected lots are not BUY";
}
}
else
{
message = "Incorrect side for this transaction";
}
int lotSum = obj.OpenTaxLots.Sum(x => Math.Abs(x.RemainingQuantity));
int prospectiveTradeQuantity = Math.Abs(obj.ProspectiveTrade.RemainingQuantity);
if (lotSum < prospectiveTradeQuantity)
{
//message = "Quantity Mismatch";
}
List <TaxLot> taxLotList = new List <TaxLot>();
foreach (var item in obj.OpenTaxLots)
{
TaxLot t = new TaxLot();
if (prospectiveTradeQuantity == 0)
{
break;
}
else if (Math.Abs(item.RemainingQuantity) <= prospectiveTradeQuantity)
{
item.Status = "Closed";
if (Math.Abs(item.RemainingQuantity) < prospectiveTradeQuantity)
{
t.Quantity = Math.Abs(item.RemainingQuantity);
}
else
{
t.Quantity = prospectiveTradeQuantity;
}
prospectiveTradeQuantity -= Math.Abs(item.RemainingQuantity);
item.RemainingQuantity = 0;
}
else if (Math.Abs(item.RemainingQuantity) > prospectiveTradeQuantity)
{
item.Status = "Partially Closed";
int absRemainingQuantity = Math.Abs(item.RemainingQuantity) - prospectiveTradeQuantity;
t.Quantity = prospectiveTradeQuantity;
prospectiveTradeQuantity = 0;
if (item.RemainingQuantity < 0)
{
item.RemainingQuantity = absRemainingQuantity * -1;
}
else
{
item.RemainingQuantity = absRemainingQuantity;
}
}
t.OpeningLotId = item.OpenLotId;
t.ClosingLotId = obj.ProspectiveTrade.LpOrderId;
//TODO. temporary assignment for now
t.BusinessDate = DateTime.UtcNow;
t.RealizedPnl = (obj.ProspectiveTrade.TradePrice - item.TradePrice) * t.Quantity;
t.CostBasis = obj.ProspectiveTrade.TradePrice;
t.TradePrice = item.TradePrice;
t.TradeDate = DateTime.UtcNow;
t.Quantity = SignedValueBasedOnSide(t.Quantity, obj.ProspectiveTrade.Side);
t.InvestmentAtCost = t.Quantity * t.TradePrice * -1;
taxLotList.Add(t);
}
SqlHelper sqlHelper = new SqlHelper(connectionString);
sqlHelper.VerifyConnection();
sqlHelper.SqlBeginTransaction();
InsertTaxLot(taxLotList, sqlHelper);
UpdateTaxLotStatus(obj.OpenTaxLots, sqlHelper);
sqlHelper.SqlCommitTransaction();
sqlHelper.CloseConnection();
return(Utils.Wrap(true, null, HttpStatusCode.OK, message));
}
catch (Exception ex)
{
throw ex;
}
}
internal static void GenerateCloseOutPostings(PostingEngineEnvironment env, TaxLotDetail lot, TaxLot taxlot, Transaction element, TaxLotStatus taxlotStatus, string fund)
{
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(element.BloombergCode))
{
multiplier = env.SecurityDetails[element.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var prevPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price;
var unrealizedPnl = Math.Abs(taxlotStatus.Quantity) * (element.SettleNetPrice - prevPrice) * multiplier;
unrealizedPnl = Math.Abs(unrealizedPnl) * CommonRules.DetermineSign(taxlotStatus.Trade);
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl,
MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price,
element.SettleNetPrice, fxrate);
var PnL = taxlot.RealizedPnl;
PostRealizedPnl(
env,
buyTrade,
PnL,
taxlot.TradePrice,
taxlot.CostBasis, fxrate);
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
Account fromAccount = null;
Account toAccount = null;
if (element.IsDerivative())
{
return;
}
else
{
var accountType = (buyTrade.IsShort() || buyTrade.IsCover()) ? "SHORT POSITIONS AT COST" : "LONG POSITIONS AT COST";
var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
fromAccount = new AccountUtils().CreateAccount(AccountType.Find(accountType), listOfFromTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find(markToMarketAccount), listOfFromTags, element);
}
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
// Now Generate Entries
var fromJournal = new Journal(element)
{
Account = fromAccount,
CreditDebit = env.DebitOrCredit(fromAccount, PnL),
When = env.ValueDate,
StartPrice = taxlot.TradePrice,
EndPrice = taxlot.CostBasis,
Value = PnL,
FxRate = 1,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var toJournal = new Journal(fromJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, PnL * -1),
Value = PnL * -1,
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}
