public void CorrectCapitalUsageReturnedWhenAddingOrderToEmptyPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
var res = pos.AddOrder(o);
Assert.AreEqual(1200, res);
}
/// <summary>
/// Add an order to a trade.
/// Returns true if the trade is found and the order successfully added.
/// </summary>
protected bool SetTrade(Order order, Trade trade)
{
if(trade == null)
{
Logger.Log(LogLevel.Warn, "User script {0} tried to add order {1} to a null trade", this.GetType().Name, order);
return false;
}
if(!trade.Open)
{
Logger.Log(LogLevel.Warn, "User script {0} tried to add order {1} to a closed trade: {2}", this.GetType().Name, order, trade);
return false;
}
TradesRepository.AddOrder(trade, order);
Logger.Log(LogLevel.Info, "User script {0} added order {1} to trade {2}", this.GetType().Name, order, trade);
return true;
}
public void CorrectCapitalUsageReturnedWhenRemovingFromExistingPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
var res = pos.AddOrder(o2);
Assert.AreEqual(0, res);
}
public void AddOrderReturnsCorrectCurrentCapitalUsageWhenOpeningAPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
decimal capUsage = pos.AddOrder(o);
Assert.AreEqual(1200, capUsage);
}
public void AddOrderReturnsCorrectCurrentCapitalUsageWhenRemovingFromPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 100,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
var capUsage = pos.AddOrder(o2);
Assert.AreEqual(0, capUsage);
}
private DateTime? GetReferenceTime(Order order, ExecutionBenchmark benchmark)
{
//If the user sets a fixed reference time, we use that one in all cases
if(_referenceTime != null)
{
return order.TradeDate.Date + _referenceTime.Value;
}
//Otherwise use QDMS or the reference time set at the order
if (benchmark == ExecutionBenchmark.Close)
{
var session = _instrumentSessions[order.InstrumentID]
.FirstOrDefault(x => x.IsSessionEnd && (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt());
if (session == null) return null;
return order.TradeDate.Date + session.ClosingTime;
}
else if (benchmark == ExecutionBenchmark.Open)
{
var session = _instrumentSessions[order.InstrumentID]
.Where(x => (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt())
.OrderBy(x => x.OpeningTime)
.FirstOrDefault();
if (session == null) return null;
return order.TradeDate.Date + session.OpeningTime;
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return order.ReferenceTime;
}
return new DateTime(1, 1, 1);
}
public void CapitalUsageWhenEnteringAndExitingMultipleOrdersNearCloseIsCountedWithShortPosition()
{
var pos = new Position(_instrument);
decimal orderCapitalUsage = 0;
var o = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 0)
};
orderCapitalUsage = pos.AddOrder(o);
Assert.AreEqual(0, orderCapitalUsage);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 1)
};
orderCapitalUsage = pos.AddOrder(o2);
Assert.AreEqual(0, orderCapitalUsage);
var o3 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 2)
};
orderCapitalUsage = pos.AddOrder(o3);
Assert.AreEqual(1000, orderCapitalUsage);
var o4 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 3)
};
orderCapitalUsage = pos.AddOrder(o4);
Assert.AreEqual(1000, orderCapitalUsage);
pos.GetPnL(10, 1);
Assert.AreEqual(2000, pos.Capital.Gross.Last());
Assert.AreEqual(2000, pos.Capital.Short.Last());
}
public void PnLIsDeferredForROACCalculationsIfNoCapitalIsUsed()
{
var pos = new Position(_instrument);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
pos.GetPnL(10, 1);
Assert.AreEqual(1 + (10d / (10 * 100)), pos.ROAC);
}
public void CapitalUsageWhenEnteringAndExitingNearCloseIsCounted()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 0)
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 1)
};
pos.AddOrder(o2);
pos.GetPnL(10, 1);
Assert.AreEqual(1000, pos.Capital.Gross.Last());
Assert.AreEqual(1000, pos.Capital.Long.Last());
}
public void FifoPnLIsCorrectAfterAddingToPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = 100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(0, o.PerTradeFIFOPnL);
Assert.AreEqual(0, o2.PerTradeFIFOPnL);
}
public void ROACValueIsCorrectAfterReversing()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -150,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(11, 1);
Assert.AreEqual(Math.Round(1 + (1.0 * 100) / (10 * 100 + 11 * 50), 5), Math.Round(pos.ROAC, 5));
}
public void ROACValueReflectsFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(10, 1.1m);
Assert.AreEqual(1.1, pos.ROAC);
}
public void RealizedPnLValuesReflectFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1.05m
};
pos.AddOrder(o2);
Assert.AreEqual(155, pos.RealizedPnL);
}
public void ROACValueIsCorrectWithCashTransactions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
Assert.AreEqual(1.01, pos.ROAC);
}
public void CorrectPriceBasisUpdateWhenAddingOrderToEmptyPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(12, pos.CostBasis);
}
public void ROACValueIsCorrectAfterPartialExit()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(10, 1);
Assert.AreEqual(1.05, pos.ROAC);
}
public void AddOrderTakesIntoAccountFXRate()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 100,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -200,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1.1m
};
var capUsage = pos.AddOrder(o2);
Assert.AreEqual(1100, capUsage);
}
public void UnrealizedPnLReturnsDiffernceBetweenTotalAndRealizedPnL()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(11, 1);
Assert.AreEqual(50, pos.UnrealizedPnL);
}
public void RealizedPnLValuesIncludeCommissions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o);
Assert.AreEqual(-5, pos.RealizedPnL);
var o2 = new Order
{
Quantity = -100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o2);
Assert.AreEqual(90, pos.RealizedPnL);
}
public void CorrectPriceBasisUpdateWhenReversingExistingPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -150,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(11, pos.CostBasis);
}
public void FifoPnLTakesIntoAccountFXRate()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1.1m
};
pos.AddOrder(o2);
Assert.AreEqual(0, o.PerTradeFIFOPnL);
Assert.AreEqual(100, o2.PerTradeFIFOPnL);
}
public void GetPnLReturnsCorrectPnLForShortPositions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(-100, pos.GetPnL(11, 1));
Assert.AreEqual(100, pos.GetPnL(10, 1));
}
public void AddingAnOrderForTheWrongInstrumentThrowsException()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = new Instrument { ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock },
FXRateToBase = 1
};
ActualValueDelegate<object> testDelegate = () => pos.AddOrder(o2);
Assert.That(testDelegate, Throws.Exception);
}
public void GetPnLIncludesCommissions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o);
Assert.AreEqual(100 - 5, pos.GetPnL(11, 1));
Assert.AreEqual(-100, pos.GetPnL(10, 1));
}
public void MultiPeriodCapitalUsageIsRecordedCorrectly()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(1000, pos.Capital.TodaysCapitalGross);
Assert.AreEqual(1000, pos.Capital.TodaysCapitalLong);
pos.GetPnL(10, 1);
var o2 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
var o3 = new Order
{
Quantity = -200,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o3);
pos.GetPnL(10, 1);
Assert.AreEqual(2000, pos.Capital.Gross.Last());
Assert.AreEqual(2000, pos.Capital.Long.Last());
pos.GetPnL(10, 1);
var o4 = new Order
{
Quantity = 150,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o4);
pos.GetPnL(10, 1);
List<decimal> expectedCapitalGross = new List<decimal> { 1000, 2000, 0, 1500 };
for (int i = 0; i < expectedCapitalGross.Count; i++)
{
Assert.AreEqual(expectedCapitalGross[i], pos.Capital.Gross[i]);
}
}
public void GetPnLReturnsCorrectPnLWithBothRealizedAndUnrealizedPnL()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1,
};
pos.AddOrder(o2);
Assert.AreEqual(50 * 1 + 50 * 2, pos.GetPnL(12, 1));
Assert.AreEqual(-2 * 50, pos.GetPnL(10, 1));
}
/// <summary>
/// Gets the reference price for a particular order, given an execution benchmark.
/// </summary>
private decimal? GetReferencePrice(Order order, ExecutionBenchmark benchmark)
{
if (benchmark == ExecutionBenchmark.Close)
{
return order.ClosePrice;
}
else if (benchmark == ExecutionBenchmark.Open)
{
//For the open we need to look at the external data
if (!_data.ContainsKey(order.InstrumentID)) return null;
var bar = _data[order.InstrumentID].FirstOrDefault(x => x.DT.Date == order.TradeDate.Date);
if (bar == null) return null;
return bar.Open;
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return order.ReferencePrice;
}
return 0;
}
public void GetPnLReturnsCorrectPnLIncludingFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(45, pos.GetPnL(11, 0.95m));
}
/// <summary>
/// We have the reference time and price, now generate stats for every execution in the given order.
/// </summary>
private void GenerateStats(Order order, DateTime referenceTime, decimal referencePrice)
{
if (order.Executions == null) return;
foreach (Execution ex in order.Executions)
{
Stats.Add(new ExecutionStats(ex, referencePrice, referenceTime));
}
}
public void CumulativeCapitalUsedHasCorrectValueWhenReversing()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -200,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(12 * 100 + 11 * 100, pos.Capital.TodaysCapitalGross);
Assert.AreEqual(12 * 100 - 11 * 100, pos.Capital.TodaysCapitalNet);
Assert.AreEqual(12 * 100, pos.Capital.TodaysCapitalLong);
Assert.AreEqual(11 * 100, pos.Capital.TodaysCapitalShort);
}
