public void TradeDateEvent(PostingEngineEnvironment env, Transaction element)
{
double fxrate = 1.0;
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(element.BloombergCode))
{
multiplier = env.SecurityDetails[element.BloombergCode].Multiplier;
}
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var tradeAllocations = env.Allocations.Where(i => i.LpOrderId == element.LpOrderId).ToList();
if (element.IsBuy() || element.IsShort())
{
var t1 = env.GenerateOpenTaxLot(element, fxrate);
if (element.Quantity == 0)
{
// TODO: Need to review this as we need to see if there is a parent, and what the parents actuall is
return;
}
//tl.Save(env.Connection, env.Transaction);
}
else if (element.IsSell() || element.IsCover())
{
// Get Matching Lots
var openLots = env.Methodology.GetOpenLots(env, element, element.Quantity);
if (openLots.Count() == 0)
{
var t1 = env.GenerateOpenTaxLot(element, fxrate);
// Whats going on here?
// We are skipping anything that does not get an OpenLot
env.AddMessage($"There should be for a sell {element.Symbol} have at least one open lot, non found");
}
else
{
var workingQuantity = element.Quantity;
foreach (var lot in openLots)
{
if (workingQuantity == 0)
{
break;
}
if (!env.TaxLotStatus.ContainsKey(lot.Trade.LpOrderId))
{
// TODO: For this open lot there should be a corresponding open to
continue;
}
var taxlotStatus = env.TaxLotStatus[lot.Trade.LpOrderId];
if (taxlotStatus != null && taxlotStatus.Quantity != 0 && !taxlotStatus.Status.ToLowerInvariant().Equals("closed"))
{
// Does the open Lot fully fullfill the quantity ?
if (Math.Abs(taxlotStatus.Quantity) >= Math.Abs(workingQuantity))
{
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, workingQuantity, true);
taxlotStatus.Quantity += workingQuantity;
if (taxlotStatus.Quantity == 0)
{
taxlotStatus.Status = "Closed";
}
else
{
taxlotStatus.Status = "Partially Closed";
}
CommonRules.GenerateCloseOutPostings(env, lot, taxlot, element, taxlotStatus, tradeAllocations[0].Fund);
break;
}
else
{
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, taxlotStatus.Quantity * -1);
workingQuantity -= Math.Abs(taxlotStatus.Quantity);
CommonRules.PostRealizedPnl(env, element, taxlot.RealizedPnl, taxlot.TradePrice, taxlot.CostBasis);
taxlotStatus.Quantity = 0;
taxlotStatus.Status = "Closed";
}
}
}
}
}
else
{
// We have a Debit / Credit Dividends
}
}
public void TradeDateEvent(PostingEngineEnvironment env, Transaction element)
{
double fxrate = 1.0;
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(element.BloombergCode))
{
multiplier = env.SecurityDetails[element.BloombergCode].Multiplier;
}
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
if (element.IsBuy() || element.IsShort())
{
var t1 = env.GenerateOpenTaxLot(element, fxrate);
if (element.Quantity == 0)
{
// TODO: Need to review this as we need to see if there is a parent, and what the parents actuall is
return;
}
}
else if (element.IsSell() || element.IsCover())
{
// Get Matching Lots
var openLots = env.Methodology.GetOpenLots(env, element, element.Quantity);
if (openLots.Count() == 0)
{
var t1 = env.GenerateOpenTaxLot(element, fxrate);
// Whats going on here?
// We are skipping anything that does not get an OpenLot
env.AddMessage($"There should be for a sell {element.Symbol} have at least one open lot, non found");
}
else
{
var workingQuantity = element.Quantity;
foreach (var lot in openLots)
{
if (workingQuantity == 0)
{
break;
}
if (!env.TaxLotStatus.ContainsKey(lot.Trade.LpOrderId))
{
// TODO: For this open lot there should be a corresponding open to
continue;
}
var taxlotStatus = env.TaxLotStatus[lot.Trade.LpOrderId];
if (taxlotStatus != null && taxlotStatus.Quantity != 0 && !taxlotStatus.Status.ToLowerInvariant().Equals("closed"))
{
// Does the open Lot fully fullfill the quantity ?
if (Math.Abs(taxlotStatus.Quantity) >= Math.Abs(workingQuantity))
{
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, workingQuantity, true);
taxlotStatus.Quantity += workingQuantity;
if (taxlotStatus.Quantity == 0)
{
taxlotStatus.Status = "Closed";
}
else
{
taxlotStatus.Status = "Partially Closed";
}
CommonRules.GenerateCloseOutPostings(env, lot, taxlot, element, taxlotStatus, env.GetFund(element));
break;
}
else
{
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, taxlotStatus.Quantity * -1);
workingQuantity -= Math.Abs(taxlotStatus.Quantity);
var accountTypes = AccountType.All;
var listOfTags = new List <Tag> {
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
Account fromAccount = null; // Debiting Account
Account toAccount = null; // Crediting Account
var realizedPnl = taxlot.RealizedPnl;
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
if (originalAccount.Contains("(Liabilities)"))
{
// This needs to be registered as a Credit to the Libabilities
realizedPnl *= -1;
}
var fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "REALIZED GAIN/(LOSS)", listOfTags, taxlot.Trade);
fromAccount = fromToAccounts.From;
toAccount = fromToAccounts.To;
var debitJournal = new Journal(element)
{
Account = fromAccount,
When = env.ValueDate,
StartPrice = taxlot.TradePrice,
EndPrice = taxlot.CostBasis,
CreditDebit = env.DebitOrCredit(fromAccount, taxlot.RealizedPnl),
Value = env.SignedValue(fromAccount, toAccount, true, taxlot.RealizedPnl),
FxRate = fxrate,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(debitJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, taxlot.RealizedPnl * -1),
Value = env.SignedValue(fromAccount, toAccount, false, taxlot.RealizedPnl),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
taxlotStatus.Quantity = 0;
taxlotStatus.Status = "Closed";
}
}
}
}
}
else
{
// We have a Debit / Credit Dividends
}
}