public static void ComputeBookRisk(BookPosition pos, InstrumentPosition instruPos)
{
pos.Delta += instruPos.Delta;
pos.StickyDelta += instruPos.StickyDelta;
pos.Gamma += instruPos.Gamma;
pos.Vega += instruPos.Vega;
pos.Theta += instruPos.Theta;
}
public static void ComputeBookPosition(BookPosition pos, InstrumentPosition instruPos)
{
pos.RealisedPnl += instruPos.RealisedPnl;
pos.YtdRealisedPnl += instruPos.YtdRealisedPnl;
pos.UnrealisedPnl += instruPos.UnrealisedPnl;
pos.FairUnrealisedPnl += instruPos.FairUnrealisedPnl;
if (instruPos.InstruType == "OPTION")
{
pos.Cash += instruPos.RealisedPnl - instruPos.Value * instruPos.AvgPrice;
}
if (instruPos.InstruType == "FUTURE")
{
pos.Cash += instruPos.RealisedPnl;
}
}
public static void ComputeInstrumentPosition(InstrumentPosition pos, Deal newDeal)
{
// Check if instrument qty and new newDeal qty have the same sign (+ buy - sell)
if (newDeal.Quantity * pos.Quantity > 0)
{
// Compute harmonic mean
pos.AvgPrice = (pos.AvgPrice * pos.Quantity + newDeal.ExecPrice * newDeal.Quantity) / (pos.Quantity + newDeal.Quantity);
// sum quantity
pos.Quantity += newDeal.Quantity;
}
// case sign are different:
else
{
//Close all the long position by short newDeal
if (Math.Abs(newDeal.Quantity) == Math.Abs(pos.Quantity) && newDeal.Quantity < pos.Quantity)
{
double pnl = Math.Abs(newDeal.Quantity) * (newDeal.ExecPrice - pos.AvgPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.AvgPrice = 0;
pos.Quantity = 0;
}
// Close all the short position by long newDeal
else if (Math.Abs(newDeal.Quantity) == Math.Abs(pos.Quantity) && newDeal.Quantity > pos.Quantity)
{
double pnl = Math.Abs(newDeal.Quantity) * (pos.AvgPrice - newDeal.ExecPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.AvgPrice = 0;
pos.Quantity = 0;
}
//Close part of the long position by short newDeal
else if (Math.Abs(newDeal.Quantity) < Math.Abs(pos.Quantity) && newDeal.Quantity < pos.Quantity)
{
double pnl = Math.Abs(newDeal.Quantity) * (newDeal.ExecPrice - pos.AvgPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.Quantity = pos.Quantity + newDeal.Quantity;
}
//Close part of the short position by long newDeal
else if (Math.Abs(newDeal.Quantity) < Math.Abs(pos.Quantity) && newDeal.Quantity > pos.Quantity)
{
double pnl = Math.Abs(newDeal.Quantity) * (pos.AvgPrice - newDeal.ExecPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.Quantity = pos.Quantity + newDeal.Quantity;
}
else if (Math.Abs(newDeal.Quantity) > Math.Abs(pos.Quantity) && newDeal.Quantity < pos.Quantity)
{
double pnl = Math.Abs(pos.Quantity) * (newDeal.ExecPrice - pos.AvgPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.Quantity = pos.Quantity + newDeal.Quantity;
pos.AvgPrice = newDeal.ExecPrice;
}
//Close part of the short position by long newDeal
else if (Math.Abs(newDeal.Quantity) > Math.Abs(pos.Quantity) && newDeal.Quantity > pos.Quantity)
{
double pnl = Math.Abs(pos.Quantity) * (pos.AvgPrice - newDeal.ExecPrice) * pos.LotSize;
pos.RealisedPnl += pnl;
if (newDeal.TradeDate.Year == DateTime.Today.Year)
{
pos.YtdRealisedPnl += pnl;
}
pos.Quantity = pos.Quantity + newDeal.Quantity;
pos.AvgPrice = newDeal.ExecPrice;
}
}
}