public void ProfitCorrectlyCalculatedAfterSimpleEntryAndExit()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
decimal newFxRate = 1.36m;
quantity = -quantity;
var transaction2 = new FXTransaction
{
Quantity = quantity,
Proceeds = newFxRate * quantity,
Cost = -newFxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction2);
Assert.AreEqual(-quantity * (newFxRate - fxRate), pos.RealizedPnL);
pos.Update(newFxRate);
Assert.AreEqual(-quantity * (newFxRate - fxRate), pos.TotalPnL);
}
public void AddFXTransaction(FXTransaction transaction)
{
if(transaction.FXCurrency.ID != Currency.ID)
{
throw new Exception("Incorrect currency used.");
}
Transactions.Add(transaction);
decimal fxRate = transaction.Proceeds / transaction.Quantity;
//profit/loss
if ((transaction.Quantity < 0 && Quantity > 0) ||
(transaction.Quantity > 0 && Quantity < 0))
{
decimal profit = -Math.Min(Math.Abs(transaction.Quantity), Math.Abs(Quantity)) *
(fxRate - CostBasis) *
Math.Sign(transaction.Quantity);
RealizedPnL += profit;
_unrecognizedPnL += profit;
}
//update cost basis
if(Quantity == 0)
{
//new position
CostBasis = fxRate;
PriorPeriodCostBasis = fxRate;
}
else if (Math.Sign(transaction.Quantity) == Math.Sign(Quantity))
{
//adding to existing position
CostBasis = (Quantity * CostBasis + transaction.Quantity * fxRate) / (Quantity + transaction.Quantity);
PriorPeriodCostBasis = (Quantity * PriorPeriodCostBasis + transaction.Quantity * fxRate) / (Quantity + transaction.Quantity);
}
else if(Math.Abs(transaction.Quantity) > Math.Abs(Quantity))
{
//removing from position...if we're reversing it, it's as if it's a new position
CostBasis = fxRate;
PriorPeriodCostBasis = fxRate;
}
Quantity += transaction.Quantity;
}
public void QuantityAndPriceReflectAddedTransactions()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
Assert.AreEqual(quantity, pos.Quantity);
Assert.AreEqual(fxRate, pos.CostBasis);
Assert.AreEqual(fxRate, pos.PriorPeriodCostBasis);
}
public void RealizedProfitsWithUpdateBetweenTradesCalculatedCorrectly()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
decimal newFxRate = 1.36m;
pos.Update(newFxRate);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.TotalPnL);
int newQuantity = -1000;
decimal newFxRate2 = 1.37m;
var transaction2 = new FXTransaction
{
Quantity = newQuantity,
Proceeds = newFxRate2 * newQuantity,
Cost = -newFxRate2 * newQuantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction2);
Assert.AreEqual(-newQuantity * (newFxRate2 - fxRate), pos.RealizedPnL);
}
/// <summary>
///
/// </summary>
/// <param name="o"></param>
/// <returns>Capital usage by this order.</returns>
public decimal AddOrder(Order o)
{
Open = true;
if (!Positions.ContainsKey(o.Instrument.ID))
Positions.Add(o.Instrument.ID, new Position(o.Instrument, _optionsCapitalUsageMultiplier));
decimal orderCapUsage = Positions[o.Instrument.ID].AddOrder(o);
_ordersRemaining--;
if (o.CurrencyID > 1)
{
decimal quantity = -o.Quantity * o.Multiplier * o.Price;
var ft = new FXTransaction
{
FXCurrency = o.Currency,
FXCurrencyID = o.CurrencyID,
Quantity = quantity,
Proceeds = quantity * o.FXRateToBase,
Cost = -quantity * o.FXRateToBase,
DateTime = o.TradeDate
};
AddFXTransaction(ft);
}
return orderCapUsage;
}
public void AddFXTransaction(FXTransaction ft)
{
Open = true;
if (!CurrencyPositions.ContainsKey(ft.FXCurrency.ID))
CurrencyPositions.Add(ft.FXCurrency.ID, new CurrencyPosition(ft.FXCurrency));
CurrencyPositions[ft.FXCurrency.ID].AddFXTransaction(ft);
}
public void AddCashTransaction(CashTransaction ct)
{
Open = true;
if (ct.InstrumentID.HasValue)
{
if (Positions.ContainsKey(ct.Instrument.ID))
Positions[ct.Instrument.ID].AddCashTransaction(ct);
}
else
{
//InstrumentID is null. This happens frequently
//as many cash transactions are not related to a particular instrument
Positions[NullInstrumentId].AddCashTransaction(ct);
}
if(ct.CurrencyID > 1)
{
var ft = new FXTransaction
{
FXCurrency = ct.Currency,
FXCurrencyID = ct.CurrencyID,
Quantity = ct.Amount,
Proceeds = ct.Amount * ct.FXRateToBase,
Cost = -ct.Amount * ct.FXRateToBase,
DateTime = ct.TransactionDate
};
AddFXTransaction(ft);
}
_cashTransactionsRemaining--;
}