public void SettlementDateEvent(PostingEngineEnvironment env, Transaction element)
{
// On Settlement Date we backout the Tax Lot for FORWARDS
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
var taxlotStatus = env.TaxLotStatus[element.LpOrderId];
var split = element.Symbol.Split(new char[] { '/', ' ' });
var baseCurrency = split[0];
var riskCurrency = split[1];
var accountBuy = new AccountUtils().CreateAccount(atSettledCash, new List <string> {
element.SecurityType, element.CustodianCode, baseCurrency
});
var accountSell = new AccountUtils().CreateAccount(atSettledCash, new List <string> {
element.SecurityType, element.CustodianCode, riskCurrency
});
new AccountUtils().SaveAccountDetails(env, accountBuy);
new AccountUtils().SaveAccountDetails(env, accountSell);
var fxCurrency = riskCurrency;
var tradePrice = taxlotStatus.TradePrice;
var baseQuantity = element.Quantity;
var eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
var fxRate = FxRates.Find(env.ValueDate, fxCurrency).Rate;
var buyValue = baseQuantity * tradePrice * fxRate;
var sellValue = baseQuantity * eodPrice * fxRate;
if (element.IsBuy()) // BUY
{
var realizedPnl = sellValue - buyValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = baseCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = tradePrice,
EndPrice = eodPrice,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue),
CreditDebit = env.DebitOrCredit(accountBuy, buyValue),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = riskCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue * -1),
CreditDebit = env.DebitOrCredit(accountSell, sellValue),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
else // SELL
{
var realizedPnl = buyValue - sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = baseCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue),
CreditDebit = env.DebitOrCredit(accountBuy, element.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = riskCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue * -1),
CreditDebit = env.DebitOrCredit(accountSell, element.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
if (taxlotStatus.Quantity != 0)
{
var buyTrade = env.FindTrade(taxlotStatus.OpenId);
var taxlot = CommonRules.RelieveTaxLot(env, buyTrade, element, taxlotStatus.Quantity * -1, true);
taxlotStatus.Quantity = 0;
taxlotStatus.Status = "Closed";
}
}
}
public void SettlementDateEvent(PostingEngineEnvironment env, Transaction element)
{
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
var taxlot = env.TaxLotStatus[element.LpOrderId];
var tradeCurrency = element.TradeCurrency;
var settleCurrency = element.SettleCurrency;
var allocations = env.FindTradeAllocations(element);
var buy = allocations.Where(i => i.SecurityType.Equals("SPOT") && i.Side.Equals("BUY")).FirstOrDefault();
var sell = allocations.Where(i => i.SecurityType.Equals("SPOT") && i.Side.Equals("SELL")).FirstOrDefault();
if (buy == null || sell == null)
{
Logger.Error($"Unable to process {element.SecurityType}::{element.LpOrderId}");
return;
}
var accountSell = new AccountUtils().CreateAccount(atSettledCash, listOfTradeTags, sell);
var accountBuy = new AccountUtils().CreateAccount(atSettledCash, listOfTradeTags, buy);
new AccountUtils().SaveAccountDetails(env, accountSell);
new AccountUtils().SaveAccountDetails(env, accountBuy);
var sellFx = FxRates.Find(env.ValueDate, sell.TradeCurrency);
var buyFx = FxRates.Find(env.ValueDate, buy.TradeCurrency);
var sellValue = sell.Quantity * sellFx.Rate;
var buyValue = buy.Quantity * buyFx.Rate;
if (element.IsBuy()) // BUY
{
var realizedPnl = buyValue + sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.TradeCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(buy.Quantity),
FxRate = buyFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue),
CreditDebit = env.DebitOrCredit(accountBuy, buy.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(sell.Quantity),
FxRate = sellFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue),
CreditDebit = env.DebitOrCredit(accountSell, sell.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
else // SELL
{
var realizedPnl = buyValue + sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.TradeCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(buy.Quantity),
FxRate = buyFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buy.Quantity * buyFx.Rate),
CreditDebit = env.DebitOrCredit(accountBuy, buy.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(sell.Quantity),
FxRate = sellFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sell.Quantity * sellFx.Rate),
CreditDebit = env.DebitOrCredit(accountSell, sell.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
if (taxlot.Quantity != 0)
{
var buyTrade = env.FindTrade(taxlot.OpenId);
CommonRules.RelieveTaxLot(env, buyTrade, element, taxlot.Quantity * -1, true);
taxlot.Quantity = 0;
taxlot.Status = "Closed";
//Now we have Realized Pnl
}
}
}