public void OnDayClose(DateTime todaysDate, decimal totalCapitalToday)
{
//update the status of each trade
foreach (TradeTracker t in TradeTrackers.Values)
{
t.Update(todaysDate, _data, _fxData);
}
//update position stats
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;
decimal? lastPrice = !_data.ContainsKey(id) || _data[id].CurrentBar < 0 ? (decimal?)null : _data[id][0].Close;
p.GetPnL(lastPrice, fxRate);
}
//Capital usage and profit/loss for the day
Capital.AddLong(Positions.Sum(x => x.Value.Capital.Long.Last()));
Capital.AddShort(Positions.Sum(x => x.Value.Capital.Short.Last()));
decimal todaysPnl = TradeTrackers.Sum(x => x.Value.TodaysPnL);
_logger.Log(LogLevel.Trace, string.Format("Portfolio {0} @ {1}: Capital used: {2:0.00} P/L: {3:0.00}",
Name,
todaysDate,
Capital.TodaysCapitalGross,
todaysPnl));
//P/L curves
ProfitLossEquityCurve.AddChange((double)todaysPnl, todaysDate);
ProfitLossLongEquityCurve.AddValue((double)TradeTrackers.Sum(x => x.Value.TotalPnlLong), todaysDate);
ProfitLossShortEquityCurve.AddValue((double)TradeTrackers.Sum(x => x.Value.TotalPnlShort), todaysDate);
//ROAC
if (Capital.TodaysCapitalGross == 0)
{
_deferredPnL += todaysPnl;
RoacEquityCurve.AddReturn(0, todaysDate);
}
else
{
RoacEquityCurve.AddReturn((double)((_deferredPnL + todaysPnl) / Capital.TodaysCapitalGross), todaysDate);
_deferredPnL = 0;
}
//ROTC
if (totalCapitalToday == 0)
{
RotcEquityCurve.AddReturn(0, todaysDate);
}
else
{
RotcEquityCurve.AddReturn((double)(todaysPnl / totalCapitalToday), todaysDate);
}
Capital.EndOfDay();
}
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 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 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 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 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 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));
}
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));
}
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 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 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 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 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 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 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());
}