/// <summary>
/// Relieves the passed Taxlot
/// </summary>
/// <param name="env">Environment</param>
/// <param name="lot">The Tax Lot to relieve</param>
/// <param name="trade">The current trade</param>
/// <param name="quantity">Quantity to relieve</param>
/// <param name="fxrate">Appropriate fxrate</param>
internal static TaxLot RelieveTaxLot(PostingEngineEnvironment env, TaxLotDetail lot, Transaction trade, double quantity, bool reverse = false)
{
var prevFxRate = FxRates.Find(lot.Trade.TradeDate, lot.Trade.SettleCurrency).Rate;
var investmentAtCost = quantity * lot.Trade.SettleNetPrice * prevFxRate;
if (reverse)
{
investmentAtCost = investmentAtCost * -1;
}
var tl = new TaxLot
{
Trade = trade,
TradeDate = trade.TradeDate,
InvestmentAtCost = investmentAtCost, // Needs to be the Investment Cost that we are relieving from the Tax
BusinessDate = env.ValueDate,
OpeningLotId = lot.Trade.LpOrderId,
ClosingLotId = trade.LpOrderId,
TradePrice = lot.Trade.SettleNetPrice,
CostBasis = trade.SettleNetPrice,
Quantity = quantity
};
CalculateRealizedPnl(env, tl);
tl.Save(env.Connection, env.Transaction);
return(tl);
}
/// <summary>
/// Generate all of the journal entries we need for reduction / closeout of a tax lot
/// </summary>
/// <param name="env"></param>
/// <param name="lot"></param>
/// <param name="taxlotStatus"></param>
/// <param name="element"></param>
/// <param name="workingQuantity"></param>
/// <param name="fxrate"></param>
/// <param name="multiplier"></param>
private void GenerateJournals(PostingEngineEnvironment env, TaxLotDetail lot, TaxLotStatus taxlotStatus, Transaction element, double workingQuantity, double fxrate, double multiplier)
{
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, workingQuantity, true);
// Has to happen for every day
var fxJournalsForInvestmentAtCost = FxPosting.CreateFx(
env,
CommonRules.GetFXMarkToMarketAccountType(element, "FX MARKET TO MARKET ON STOCK COST"),
"Change in unrealized due to fx on original Cost",
"daily", workingQuantity, taxlotStatus, buyTrade);
env.Journals.AddRange(fxJournalsForInvestmentAtCost);
taxlotStatus.Quantity += workingQuantity;
if (taxlotStatus.Quantity == 0)
{
taxlotStatus.Status = "Closed";
}
else
{
taxlotStatus.Status = "Partially Closed";
}
if (taxlotStatus.Quantity == 0.0)
{
// Is this really needed, as if the tax lot is zero then should not generate any additional unrealized pnl
//GenerateDailyUnrealized(env, taxlotStatus, element, workingQuantity * -1, fxrate);
}
var eodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, buyTrade).Price;
// Calculate the unrealized Backout PNL for the created Tax Lot
var unrealizedPnl = Math.Abs(taxlot.Quantity) * (eodPrice - buyTrade.SettleNetPrice) * multiplier * fxrate;
unrealizedPnl *= CommonRules.DetermineSign(element);
// Need to backout the Unrealized PNL here, as we are reducing the position of the TaxLot
CommonRules.ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl * -1,
buyTrade.SettleNetPrice,
element.SettleNetPrice,
fxrate);
// Original FxRate
var changeDueToFx = fxrate - taxlotStatus.FxRate;
// Original Trade Price
var changeInRealizedPnlDueToFx = changeDueToFx * (taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
var changeInUnRealizedPnlDueToFx = changeDueToFx * (taxlot.CostBasis - taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
CommonRules.PostRealizedPnl(
env,
buyTrade,
taxlot.RealizedPnl,
taxlot.TradePrice,
taxlot.CostBasis,
fxrate);
if (fxrate != 1.0)
{
PostRealizedFxGain(env, buyTrade, changeInRealizedPnlDueToFx, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var fxChange = new FxPosting().CreateFxUnsettled(env, buyTrade);
List <SqlParameter> sqlParams = new List <SqlParameter>();
sqlParams.Add(new SqlParameter("@busDate", env.ValueDate));
sqlParams.Add(new SqlParameter("@LpOrderId", lot.Trade.LpOrderId));
var dataTable = new SqlHelper(env.ConnectionString).GetDataTables("ClosingTaxLot", CommandType.StoredProcedure, sqlParams.ToArray());
var changeInUnRealized = 1.0;
if (dataTable[0].Rows.Count > 0)
{
changeInUnRealized = Convert.ToDouble(dataTable[0].Rows[0][2]);
}
var changeInUnRealizedFx = 0.0;
if (dataTable[1].Rows.Count > 0)
{
changeInUnRealizedFx = Convert.ToDouble(dataTable[1].Rows[0][2]);
}
if (changeInUnRealizedFx != 0.0)
{
var closeOut = changeInUnRealizedFx + fxChange;
PostUnrealizedFxGain(env, buyTrade, closeOut, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var sumFxMarkToMarket = 0.0;
if (dataTable[2].Rows.Count > 0)
{
sumFxMarkToMarket = Convert.ToDouble(dataTable[2].Rows[0][2]);
sumFxMarkToMarket += fxJournalsForInvestmentAtCost[0].Value;
ReversePosting(env, "Change in unrealized due to fx on original Cost", CommonRules.GetFXMarkToMarketAccountType(element, "FX MARKET TO MARKET ON STOCK COST"), buyTrade, sumFxMarkToMarket);
}
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
/*
* var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
*
* var fromTo = new AccountUtils().GetAccounts(env, "CHANGE IN UNREALIZED GAIN/(LOSS)", markToMarketAccount, listOfFromTags, element);
*
* if (fxrate == 1.0)
* {
* changeInUnRealized = Convert.ToDouble(taxlot.RealizedPnl) * -1;
* }
*
* // Now Generate Entries for the trade that is drawing down on the taxLot
* var fromJournal = new Journal(buyTrade)
* {
* Account = fromTo.From,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.From, changeInUnRealized),
* Value = env.SignedValue(fromTo.From, fromTo.To, true, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* var toJournal = new Journal(buyTrade)
* {
* Account = fromTo.To,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.To, changeInUnRealized * -1),
* Value = env.SignedValue(fromTo.From, fromTo.To, false, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* env.Journals.AddRange(new[] { fromJournal, toJournal });
*/
}
internal static void GenerateCloseOutPostings(PostingEngineEnvironment env, TaxLotDetail lot, TaxLot taxlot, Transaction element, TaxLotStatus taxlotStatus, string fund)
{
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(element.BloombergCode))
{
multiplier = env.SecurityDetails[element.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var prevPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price;
var unrealizedPnl = Math.Abs(taxlotStatus.Quantity) * (element.SettleNetPrice - prevPrice) * multiplier;
unrealizedPnl = Math.Abs(unrealizedPnl) * CommonRules.DetermineSign(taxlotStatus.Trade);
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl,
MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price,
element.SettleNetPrice, fxrate);
var PnL = taxlot.RealizedPnl;
PostRealizedPnl(
env,
buyTrade,
PnL,
taxlot.TradePrice,
taxlot.CostBasis, fxrate);
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
Account fromAccount = null;
Account toAccount = null;
if (element.IsDerivative())
{
return;
}
else
{
var accountType = (buyTrade.IsShort() || buyTrade.IsCover()) ? "SHORT POSITIONS AT COST" : "LONG POSITIONS AT COST";
var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
fromAccount = new AccountUtils().CreateAccount(AccountType.Find(accountType), listOfFromTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find(markToMarketAccount), listOfFromTags, element);
}
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
// Now Generate Entries
var fromJournal = new Journal(element)
{
Account = fromAccount,
CreditDebit = env.DebitOrCredit(fromAccount, PnL),
When = env.ValueDate,
StartPrice = taxlot.TradePrice,
EndPrice = taxlot.CostBasis,
Value = PnL,
FxRate = 1,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var toJournal = new Journal(fromJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, PnL * -1),
Value = PnL * -1,
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}
