public void TodaysPnlResetsEvenWhenTrackerIsNotOpen() { var trade = new Trade(); var date = new DateTime(2000, 1, 1); trade.Orders = new List <Order> { new Order { Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date }, new Order { Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date } }; var tracker = new TradeTracker(trade, 1); foreach (Order o in trade.Orders) { tracker.AddOrder(o); } var data = new Dictionary <int, TimeSeries> { { 1, TimeSeriesGenerator.GenerateData(date, date.AddDays(1), 90) } }; foreach (TimeSeries ts in data.Values) { ts.ProgressTo(date); } tracker.Update(date, data, null); Assert.AreEqual(5 * 5 + 10 * 5, tracker.TodaysPnL); data[1].ProgressTo(date.AddDays(1)); tracker.Update(date.AddDays(1), data, null); Assert.AreEqual(0, tracker.TodaysPnL); }
public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForCurrencyPositions() { var trade = new Trade(); var date = new DateTime(2000, 1, 1); var fxCurrency = new Currency { ID = 2, Name = "CAD" }; trade.FXTransactions = new List <FXTransaction> { new FXTransaction { FXCurrency = fxCurrency, Quantity = 1000, Proceeds = 1500, Cost = -1500 }, new FXTransaction { FXCurrency = fxCurrency, Quantity = -500, Proceeds = -850, Cost = 850 }, }; var tracker = new TradeTracker(trade, 1); foreach (FXTransaction fxt in trade.FXTransactions) { tracker.AddFXTransaction(fxt); } var data = new Dictionary <int, TimeSeries> { { 2, TimeSeriesGenerator.GenerateData(date, date, 1.55m) } }; foreach (TimeSeries ts in data.Values) { ts.ProgressTo(date); } tracker.Update(date, new Dictionary <int, TimeSeries>(), data); Assert.AreEqual(100 + 500 * (1.55m - 1.5m), tracker.TotalPnL); }
public void TotalPnlLongIsTheSumOfRealizedAndUnrealizedPnlForShortPositions() { var trade = new Trade(); var date = new DateTime(2000, 1, 1); trade.Orders = new List <Order> { new Order { Instrument = _inst, Quantity = -10, FXRateToBase = 1, Price = 100, BuySell = "BUY", TradeDate = date }, new Order { Instrument = _inst, Quantity = 5, FXRateToBase = 1, Price = 95, BuySell = "SELL", TradeDate = date } }; var tracker = new TradeTracker(trade, 1); foreach (Order o in trade.Orders) { tracker.AddOrder(o); } var data = new Dictionary <int, TimeSeries> { { 1, TimeSeriesGenerator.GenerateData(date, date, 90) } }; foreach (TimeSeries ts in data.Values) { ts.ProgressTo(date); } tracker.Update(date, data, null); Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnL); Assert.AreEqual(5 * 5 + 10 * 5, tracker.TotalPnlShort); }