public void ProfitCorrectlyCalculatedAfterReversing()
{
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;
int newQuantity = -2000;
var transaction2 = new FXTransaction
{
Quantity = newQuantity,
Proceeds = newFxRate * newQuantity,
Cost = -newFxRate * newQuantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction2);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.RealizedPnL);
pos.Update(newFxRate);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.TotalPnL);
}
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 Update(DateTime currentDate, Dictionary <int, TimeSeries> data, Dictionary <int, TimeSeries> fxData)
{
TodaysPnL = 0;
if (!Open)
{
return;
}
//Update positions
foreach (var kvp in Positions)
{
int id = kvp.Key;
Position p = kvp.Value;
decimal fxRate = p.Currency == null || p.Currency.ID <= 1 ? 1 : fxData[p.Currency.ID][0].Close;
TodaysPnL += p.GetPnL(data[id].CurrentBar < 0 ? (decimal?)null : data[id][0].Close, fxRate);
}
//Update currency positions
foreach (var kvp in CurrencyPositions)
{
int id = kvp.Key;
if (fxData[id].CurrentBar < 0)
{
continue;
}
CurrencyPosition p = kvp.Value;
decimal fxRate = fxData[id][0].Close;
TodaysPnL += p.Update(fxRate);
}
if (Positions.Any(x => x.Value.Capital.Gross.Count > 0))
{
Capital.AddLong(Positions.Sum(x => x.Value.Capital.Long.Last()));
Capital.AddShort(Positions.Sum(x => x.Value.Capital.Short.Last()));
}
if (Capital.TodaysCapitalGross != 0)
{
_currentEquity *= (double)(1 + TodaysPnL / Capital.TodaysCapitalGross);
}
#if DEBUG
_logger.Log(LogLevel.Trace, string.Format("Trade tracker ID {0} @ {1}, todays capital usage {2:0.00}, P/L: {3:0.00}",
Trade.ID,
currentDate,
Capital.TodaysCapitalGross,
TodaysPnL));
#endif
Capital.EndOfDay();
_totalPnL += TodaysPnL;
CumulativeReturns.Add(currentDate, _currentEquity);
CumulativePnL.Add(currentDate, _totalPnL);
Open = Positions.Values.Sum(x => x.Quantity) != 0 ||
CurrencyPositions.Values.Sum(x => x.Quantity) != 0 ||
(_ordersRemaining > 0 && _ordersRemaining < Trade.Orders.Count);
}
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);
}
