private void AddTradeEvent(TransactionsBO transaction)
{
// I need to ignore/prevent trades where quantity = 0
decimal quantityRef = transaction.Quantity; // a reference to the transaction quantity so it doesn't get manipulated
TaxLotsOpen lot = new TaxLotsOpen(transaction.TradeDate, quantityRef, transaction.Price);
if (_netQuantity == 0)
{
_isLong = (quantityRef >= 0);
}
// this means the trade is not in the same direction as the quantity
else if (quantityRef * _netQuantity < 0)
{
while (_openLots.Count > 0 && quantityRef != 0)
{
decimal pnl;
int multiplier = (_isLong) ? 1 : -1; // this is important because it allows me to calculate pnl taking direction into account.
if (Math.Abs(quantityRef) >= Math.Abs(_openLots.Peek().quantity))
{
pnl = Math.Abs(_openLots.Peek().quantity) * (transaction.Price - _openLots.Peek().price) * multiplier;
quantityRef += _openLots.Peek().quantity;
_openLots.Dequeue();
}
else
{
pnl = Math.Abs(quantityRef) * (transaction.Price - _openLots.Peek().price) * multiplier;
_openLots.Peek().quantity += quantityRef;
quantityRef = 0;
}
_realisedPnL += pnl;
}
if (quantityRef != 0)
{
lot.quantity = quantityRef;
}
}
if (quantityRef != 0)
{
_openLots.Enqueue(lot);
}
UpdatePosition(transaction);
Debug.Assert(_netQuantity == _openLots.Sum(s => s.quantity));
}
private void AddTradeEvent(TransactionsBO transaction)
{
// I need to ignore/prevent trades where quantity = 0
decimal quantityRef = transaction.Quantity; // a reference to the transaction quantity so it doesn't get manipulated
TaxLotsOpen lot = new TaxLotsOpen(transaction.TradeDate, quantityRef, transaction.Price);
if (_netQuantity == 0)
{
_isLong = (quantityRef >= 0);
}
// this means the trade is not in the same direction as the quantity
else if (quantityRef * _netQuantity < 0)
{
while (_openLots.Count > 0 && quantityRef != 0)
{
if (Math.Abs(quantityRef) >= Math.Abs(_openLots.Peek().quantity))
{
quantityRef += _openLots.Peek().quantity;
_openLots.Dequeue();
}
else
{
_openLots.Peek().quantity += quantityRef;
quantityRef = 0;
}
}
if (quantityRef != 0)
{
lot.quantity = quantityRef;
}
}
if (quantityRef != 0)
{
_openLots.Enqueue(lot);
}
UpdatePosition(transaction);
Debug.Assert(_netQuantity == _openLots.Sum(s => s.quantity));
}
private void AddCorporateActionEvent(TransactionsBO transaction)
{
if (transaction.TransactionType.TypeName == "Dividends")
{
if (transaction.Quantity == 0)
{
// cash dividend
_realisedPnL += transaction.TradeAmount;
}
else
{
// stock dividend
TaxLotsOpen dividendLot = new TaxLotsOpen(transaction.TradeDate, transaction.Quantity, transaction.Price);
_openLots.Enqueue(dividendLot);
UpdatePosition(transaction);
}
}
else
{
throw new NotImplementedException();
}
Debug.Assert(_netQuantity == _openLots.Sum(s => s.quantity));
}
