internal static void ReverseUnrealizedPnl(PostingEngineEnvironment env, Transaction openTaxLot, Transaction trade, double unrealizedPnl, double start, double end, double fxrate)
{
var accountToFrom = UnRealizedPnlPostingAccounts(openTaxLot, unrealizedPnl);
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
var fromJournal = new Journal(openTaxLot)
{
When = env.ValueDate,
Event = Event.REVERSE_UNREALIZED_PNL,
FxRate = fxrate,
Fund = env.GetFund(openTaxLot),
StartPrice = start,
EndPrice = end,
Quantity = trade.Quantity,
Account = accountToFrom.To,
CreditDebit = env.DebitOrCredit(accountToFrom.To, unrealizedPnl),
Value = env.SignedValue(accountToFrom.To, accountToFrom.From, true, unrealizedPnl),
};
var toJournal = new Journal(fromJournal)
{
Account = accountToFrom.From,
CreditDebit = env.DebitOrCredit(accountToFrom.From, unrealizedPnl),
Value = env.SignedValue(accountToFrom.To, accountToFrom.From, false, unrealizedPnl),
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}
/// <summary>
/// Contra Journal Entries
/// </summary>
/// <param name="env"></param>
/// <param name="element"></param>
/// <param name="tags"></param>
/// <param name="from"></param>
/// <param name="to"></param>
/// <param name="value"></param>
internal static void GenerateJournalEntries(PostingEngineEnvironment env, Transaction element, List <Tag> tags, string from, string to, double value)
{
var fromAccount = new AccountUtils().CreateAccount(AccountType.Find(from), tags, element);
var toAccount = new AccountUtils().CreateAccount(AccountType.Find(to), tags, element);
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
var debitJournal = new Journal(element)
{
Account = fromAccount,
When = env.ValueDate,
StartPrice = 0,
EndPrice = 0,
CreditDebit = env.DebitOrCredit(fromAccount, value),
Value = env.SignedValue(fromAccount, toAccount, true, value),
FxRate = element.TradePrice,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(debitJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, value),
Value = env.SignedValue(fromAccount, toAccount, false, value),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
private void AccrualPayment(PostingEngineEnvironment env, Transaction element, Accrual accrual)
{
var accountToFrom = GetFromToAccount(element);
if (accountToFrom.To == null || accountToFrom.From == null)
{
env.AddMessage($"Unable to identify From/To accounts for trade {element.OrderSource} :: {element.Side}");
return;
}
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
double fxrate = 1.0;
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var moneyUSD = element.LocalNetNotional * fxrate;
var debit = new Journal(element)
{
Account = accountToFrom.From,
When = env.ValueDate,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.From, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, moneyUSD),
Event = "prepaid-expense",
Fund = env.GetFund(element),
};
var credit = new Journal(element)
{
Account = accountToFrom.To,
When = env.ValueDate,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.To, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, moneyUSD),
Event = "prepaid-expense",
Fund = env.GetFund(element),
};
env.Journals.Add(debit);
env.Journals.Add(credit);
}
private void PostUnrealizedFxGain(PostingEngineEnvironment env, Transaction element, double realizedFxPnl, double start, double end, double fxrate)
{
var m2mtranslation = "Mark to Market longs fx translation gain or loss";
if (element.IsShort())
{
m2mtranslation = "Mark to Market shorts fx translation gain or loss";
}
var fromTo = new AccountUtils().GetAccounts(env, m2mtranslation, "change in unrealized do to fx translation", new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, true, realizedFxPnl * -1),
CreditDebit = env.DebitOrCredit(fromTo.From, realizedFxPnl),
};
var credit = new Journal(fromTo.To, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, false, realizedFxPnl * -1),
CreditDebit = env.DebitOrCredit(fromTo.To, realizedFxPnl),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
internal static void PostRealizedPnl(PostingEngineEnvironment env, Transaction element, double pnL, double start, double end, double fxrate = 1.0)
{
var accountToFrom = RealizedPnlPostingAccounts(element, pnL);
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
if (element.IsDerivative())
{
// Need to Credit the From and Debit the to
pnL *= -1;
}
else
{
if (element.IsShort() || element.IsCover())
{
pnL *= -1;
}
}
var debitJournal = new Journal(element)
{
Account = accountToFrom.From,
When = env.ValueDate,
StartPrice = start,
EndPrice = end,
CreditDebit = env.DebitOrCredit(accountToFrom.From, pnL),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, pnL),
FxRate = fxrate,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(element, accountToFrom.To, Event.REALIZED_PNL, env.ValueDate)
{
StartPrice = start,
EndPrice = end,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.To, pnL * -1),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, pnL),
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
private void PostRealizedFxGain(PostingEngineEnvironment env, Transaction element, double realizedFxPnl, double start, double end, double fxrate)
{
var accountType = (element.IsShort() || element.IsCover()) ? "SHORT POSITIONS AT COST" : "LONG POSITIONS AT COST";
var fromTo = new AccountUtils().GetAccounts(env, accountType, "REALIZED GAIN/(LOSS) DUE TO FX", new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, "realized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, true, realizedFxPnl),
CreditDebit = env.DebitOrCredit(fromTo.From, realizedFxPnl),
};
var credit = new Journal(fromTo.To, "realized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, false, realizedFxPnl),
CreditDebit = env.DebitOrCredit(fromTo.To, realizedFxPnl),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
private void ReversePosting(PostingEngineEnvironment env, string fromAccount, string toAccount, Transaction element, double reversalAmount)
{
var fromTo = new AccountUtils().GetAccounts(env, fromAccount, toAccount, new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, "reversal-unrealized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(fromTo.From, fromTo.To, true, reversalAmount * -1),
CreditDebit = env.DebitOrCredit(fromTo.From, reversalAmount),
};
var credit = new Journal(fromTo.To, "reversal-unrealized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(fromTo.From, fromTo.To, false, reversalAmount * -1),
CreditDebit = env.DebitOrCredit(fromTo.To, reversalAmount),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
internal static void PostRealizedPnl(PostingEngineEnvironment env, Transaction element, double realizedPnl, string from, string to)
{
var listOfTags = new List <Tag> {
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
var fromAccount = new AccountUtils().CreateAccount(AccountType.Find(from), listOfTags, element);
var toAccount = new AccountUtils().CreateAccount(AccountType.Find(to), listOfTags, element);
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
var debitJournal = new Journal(element)
{
Account = fromAccount,
When = env.ValueDate,
StartPrice = 0,
EndPrice = 0,
CreditDebit = env.DebitOrCredit(fromAccount, realizedPnl),
Value = env.SignedValue(fromAccount, toAccount, true, realizedPnl),
FxRate = element.TradePrice,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(element, toAccount, Event.REALIZED_PNL, env.ValueDate)
{
StartPrice = 0,
EndPrice = 0,
FxRate = element.TradePrice,
CreditDebit = env.DebitOrCredit(toAccount, realizedPnl),
Value = env.SignedValue(fromAccount, toAccount, false, realizedPnl),
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
/// <summary>
/// Run for each day that the Tax Lot remains open / partially closed
/// </summary>
/// <param name="env"></param>
/// <param name="element">Trade we aee interested in</param>
public void DailyEvent(PostingEngineEnvironment env, Transaction element)
{
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);
}
// Calculate the unrealized PNL
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
// Determine if we need to accumulate unrealized PNL
var taxlot = env.TaxLotStatus[element.LpOrderId];
// Check to see if the TaxLot is still open and it has a non zero Quantity
if (!taxlot.Status.ToLowerInvariant().Equals("closed") && Math.Abs(taxlot.Quantity) > 0)
{
var listOfTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
// We have an open / partially closed tax lot so now need to calculate unrealized Pnl
var quantity = taxlot.Quantity;
var prevEodPrice = 0.0;
var eodPrice = 0.0;
if (env.ValueDate == element.TradeDate)
{
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
prevEodPrice = element.SettleNetPrice;
}
else
{
prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, element).Price;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
}
var unrealizedPnl = CommonRules.CalculateUnrealizedPnl(env, taxlot);
AccountToFrom fromToAccounts = null;
if (element.IsDerivative())
{
var originalAccount = AccountUtils.GetDerivativeAccountType(unrealizedPnl);
if (originalAccount.Contains("(Liabilities)"))
{
// This needs to be registered as a Credit to the Libabilities
unrealizedPnl *= -1;
}
fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", listOfTags, taxlot.Trade);
}
else
{
var originalAccount = taxlot.Side == "SHORT" ? "Mark to Market Shorts" : "Mark to Market Longs";
fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "CHANGE IN UNREALIZED GAIN/(LOSS)", listOfTags, taxlot.Trade);
}
var fund = env.GetFund(element);
var debit = new Journal(element)
{
Account = fromToAccounts.From,
When = env.ValueDate,
Symbol = taxlot.Symbol,
Quantity = quantity,
FxRate = fxrate,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, true, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.From, unrealizedPnl),
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Event = Event.DAILY_UNREALIZED_PNL,
Fund = fund,
};
var credit = new Journal(element)
{
Account = fromToAccounts.To,
When = env.ValueDate,
FxRate = fxrate,
Quantity = quantity,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.To, env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl)),
Event = Event.DAILY_UNREALIZED_PNL,
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Fund = fund,
};
Logger.Info($"[Journals] ==> From : {debit.CreditDebit}::{debit.Value}::{debit.Account.Type.Category.Name} --> To : {credit.CreditDebit}::{credit.Value}::{credit.Account.Type.Category.Name} ({unrealizedPnl})");
env.Journals.AddRange(new[] { debit, credit });
// For Derivatives this is un-necessary as we do not have an investment at cost, but we do have Fx on unsettled
if (taxlot.Quantity != 0.0)
{
if (element.TradeDate != env.ValueDate)
{
new FxPosting().CreateFxUnsettled(env, element);
}
}
}
}
else
{
if (fxrate != 1.0)
{
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
/*
* var fxJournals = FxPosting.CreateFx(
* env,
* "DUE FROM/(TO) PRIME BROKERS ( Unsettled Activity )",
* "fx gain or loss on unsettled balance",
* "daily",
* element.Quantity, null, element);
* env.Journals.AddRange(fxJournals);
*/
}
}
}
}
private void GenerateDailyUnrealized(PostingEngineEnvironment env, TaxLotStatus taxLotStatus, Transaction element, double quantity, double fxRate)
{
var prevEodPrice = 0.0;
var eodPrice = 0.0;
if (env.ValueDate == taxLotStatus.Trade.TradeDate)
{
prevEodPrice = taxLotStatus.Trade.SettleNetPrice;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
else
{
prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, taxLotStatus.Trade).Price;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
var endPrice = element.SettleNetPrice;
if (taxLotStatus.Quantity == 0.0)
{
eodPrice = endPrice;
}
var unrealizedPnl = CommonRules.CalculateUnrealizedPnl(env, taxLotStatus, quantity, eodPrice);
var originalAccount = taxLotStatus.Side == "SHORT" ? "Mark to Market Shorts" : "Mark to Market Longs";
var fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "CHANGE IN UNREALIZED GAIN/(LOSS)", listOfTags, taxLotStatus.Trade);
if (taxLotStatus.Side == "SHORT")
{
unrealizedPnl *= -1;
}
var fund = env.GetFund(taxLotStatus.Trade);
var debit = new Journal(taxLotStatus.Trade)
{
Account = fromToAccounts.From,
When = env.ValueDate,
Symbol = taxLotStatus.Symbol,
Quantity = quantity,
FxRate = fxRate,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, true, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.From, unrealizedPnl),
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Event = Event.DAILY_UNREALIZED_PNL,
Fund = fund,
};
var credit = new Journal(debit)
{
Account = fromToAccounts.To,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.To, unrealizedPnl),
};
env.Journals.AddRange(new[] { debit, credit });
if (fxRate != 1.0)
{
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"DUE FROM/(TO) PRIME BROKERS ( Unsettled Activity )",
"fx gain or loss on unsettled balance",
"daily",
quantity, null, element);
env.Journals.AddRange(fxJournals);
}
if (taxLotStatus.Quantity != 0.0)
{
if (env.ValueDate.Equals(new DateTime(2019, 12, 17)))
{
}
if (element.TradeDate != env.ValueDate)
{
// 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", quantity, taxLotStatus, element);
env.Journals.AddRange(fxJournalsForInvestmentAtCost);
new FxPosting().CreateFxUnsettled(env, element);
}
}
}
}
/// <summary>
/// Run for each day that the Tax Lot remains open / partially closed
/// </summary>
/// <param name="env"></param>
/// <param name="element">Trade we aee interested in</param>
public void DailyEvent(PostingEngineEnvironment env, Transaction element)
{
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);
}
// Calculate the unrealized PNL
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
// Determine if we need to accumulate unrealized PNL
var taxlot = env.TaxLotStatus[element.LpOrderId];
// Check to see if the TaxLot is still open and it has a non zero Quantity
if (!taxlot.Status.ToLowerInvariant().Equals("closed") && Math.Abs(taxlot.Quantity) > 0)
{
var listOfTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
var split = element.Symbol.Split(new char[] { '/', ' ' });
var baseCurrency = split[0];
var riskCurrency = split[1];
var eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
var prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, element).Price;
if (baseCurrency.Equals(env.BaseCurrency))
{
if (env.ValueDate == element.TradeDate)
{
prevEodPrice = element.SettleNetPrice;
}
}
else
{
if (env.ValueDate == element.TradeDate)
{
prevEodPrice = element.SettleNetPrice;
}
}
// we need to do this when there is no price for the trade from market data
if (prevEodPrice == 0.0)
{
prevEodPrice = element.SettleNetPrice;
}
if (eodPrice == 0.0)
{
eodPrice = element.SettleNetPrice;
}
// We have an open / partially closed tax lot so now need to calculate unrealized Pnl
var quantity = taxlot.Quantity;
var rateDiff = (eodPrice - prevEodPrice);
var unrealizedPnl = (rateDiff * quantity);
if (baseCurrency.Equals(env.BaseCurrency))
{
unrealizedPnl = unrealizedPnl / eodPrice;
}
var originalAccount = AccountUtils.GetDerivativeAccountType(unrealizedPnl);
var fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", listOfTags, taxlot.Trade);
var fund = env.GetFund(element);
var debit = new Journal(element)
{
Account = fromToAccounts.From,
When = env.ValueDate,
Symbol = taxlot.Symbol,
Quantity = quantity,
FxRate = rateDiff,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.From, unrealizedPnl),
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Event = Event.DAILY_UNREALIZED_PNL,
Fund = fund,
};
var credit = new Journal(debit)
{
Account = fromToAccounts.To,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, true, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.To, unrealizedPnl),
};
env.Journals.AddRange(new[] { debit, credit });
if (element.LpOrderId.Equals("3bbf9793-d01a-4a08-b25c-448fd1777ef1"))
{
}
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"daily",
quantity, null, element);
env.Journals.AddRange(fxJournals);
}
}
}
else
{
if (fxrate != 1.0)
{
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"daily",
element.Quantity, null, element);
env.Journals.AddRange(fxJournals);
}
}
}
}
internal void CreateFxUnsettled(PostingEngineEnvironment env)
{
var sql = $@"select credit, debit, symbol, quantity, fx_currency, fund, source, fxrate, security_id, side from vwWorkingJournals
where [event] = 'unrealizedpnl'
and AccountType in ('CHANGE IN UNREALIZED GAIN/(LOSS)', 'Change in Unrealized Derivatives Contracts at Fair Value')
and fx_currency != '{env.BaseCurrency}'
and [when] < '{env.ValueDate.ToString("MM-dd-yyyy")}'";
env.CallBack?.Invoke("FX for Mark to Market Calculation Started");
var connection = new SqlConnection(env.ConnectionString);
connection.Open();
var command = new SqlCommand(sql, connection);
command.Transaction = env.Transaction;
var reader = command.ExecuteReader(System.Data.CommandBehavior.SingleResult);
while (reader.Read())
{
var unsettledPnl = new
{
Credit = Convert.ToDouble(reader.GetFieldValue <decimal>(0)),
Debit = Convert.ToDouble(reader.GetFieldValue <decimal>(1)),
Symbol = reader.GetFieldValue <string>(2),
Quantity = Convert.ToDouble(reader.GetFieldValue <decimal>(3)),
Currency = reader.GetFieldValue <string>(4),
Fund = reader.GetFieldValue <string>(5),
Source = reader.GetFieldValue <string>(6),
FxRate = Convert.ToDouble(reader.GetFieldValue <decimal>(7)),
SecurityId = reader.GetFieldValue <int>(8),
Side = reader.GetFieldValue <string>(9),
};
if (unsettledPnl.Currency.Equals(env.BaseCurrency))
{
continue;
}
var prevRate = FxRates.Find(env.PreviousValueDate, unsettledPnl.Currency).Rate;
var eodRate = FxRates.Find(env.ValueDate, unsettledPnl.Currency).Rate;
var change = eodRate - prevRate;
var fxCashCredit = change * (unsettledPnl.Credit / unsettledPnl.FxRate);
var fxCashDebit = change * (unsettledPnl.Debit / unsettledPnl.FxRate);
var fxCash = fxCashCredit - fxCashDebit;
var m2mtranslation = "Mark to Market longs fx translation gain or loss";
if (unsettledPnl.Side.ToLowerInvariant().Equals("short") || unsettledPnl.Side.ToLowerInvariant().Equals("cover"))
{
m2mtranslation = "Mark to Market shorts fx translation gain or loss";
}
// Get accounts
var fromTo = new AccountUtils().GetAccounts(env, m2mtranslation, "change in unrealized do to fx translation", new string[] { unsettledPnl.Currency }.ToList());
var debit = new Journal(fromTo.From, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = unsettledPnl.Source,
Fund = unsettledPnl.Fund,
FxCurrency = unsettledPnl.Currency,
Symbol = unsettledPnl.Symbol,
SecurityId = unsettledPnl.SecurityId,
Quantity = Convert.ToDouble(unsettledPnl.Quantity),
FxRate = change,
StartPrice = prevRate,
EndPrice = eodRate,
Value = env.SignedValue(fromTo.From, fromTo.To, true, fxCash),
CreditDebit = env.DebitOrCredit(fromTo.From, fxCash),
};
var credit = new Journal(fromTo.To, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = unsettledPnl.Source,
Fund = unsettledPnl.Fund,
FxCurrency = unsettledPnl.Currency,
Symbol = unsettledPnl.Symbol,
SecurityId = unsettledPnl.SecurityId,
Quantity = Convert.ToDouble(unsettledPnl.Quantity),
FxRate = change,
StartPrice = prevRate,
EndPrice = eodRate,
Value = env.SignedValue(fromTo.From, fromTo.To, false, fxCash),
CreditDebit = env.DebitOrCredit(fromTo.To, fxCash),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
connection.Close();
}
internal static List <Journal> CreateFx(PostingEngineEnvironment env,
string tradeEvent,
double quantity,
TaxLotStatus taxlotStatus,
Transaction element)
{
if (tradeEvent.Equals(Event.TRADE_DATE))
{
return(new List <Journal>());
}
var riskCurrency = element.SettleCurrency;
if (element.SecurityType.Equals("FORWARD"))
{
var split = element.Symbol.Split(new char[] { '/', ' ' });
var baseCurrency = split[0];
riskCurrency = split[1];
}
// Check to see if the BaseCurrency == SettleCurrency because if it is then no need to do the FX translation
if (env.BaseCurrency.Equals(riskCurrency))
{
return(new List <Journal>());
}
var prevEodFxRate = Convert.ToDouble(FxRates.Find(env.PreviousValueDate, riskCurrency).Rate);
var eodFxRate = Convert.ToDouble(FxRates.Find(env.ValueDate, riskCurrency).Rate);
var effectiveRate = eodFxRate - prevEodFxRate;
var usdEquivalent = element.Quantity * effectiveRate;
var fromAccount = "Mark to Market Derivatives Contracts due to FX (Liabilities)";
var toAccount = "Change in Unrealized Derivatives Contracts due to FX";
if (usdEquivalent > 0)
{
fromAccount = "Mark to Market Derivatives Contracts due to FX (Assets)";
}
// Get accounts
var toFrom = new AccountUtils().GetAccounts(env, fromAccount, toAccount, _TAGS, element);
var fund = env.GetFund(element);
var debit = new Journal(element, toFrom.From, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
FxCurrency = riskCurrency,
EndPrice = eodFxRate,
Fund = fund,
Value = env.SignedValue(toFrom.From, toFrom.To, true, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.From, usdEquivalent),
};
var credit = new Journal(element, toFrom.To, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
FxCurrency = riskCurrency,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = fund,
Value = env.SignedValue(toFrom.From, toFrom.To, false, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.To, usdEquivalent),
};
return(new List <Journal>(new[] { debit, credit }));
}
/// <summary>
/// Run for each day that the Tax Lot remains open / partially closed
/// </summary>
/// <param name="env"></param>
/// <param name="element">Trade we aee interested in</param>
public void DailyEvent(PostingEngineEnvironment env, Transaction element)
{
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);
}
// Calculate the unrealized PNL
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
// Determine if we need to accumulate unrealized PNL
var taxlot = env.TaxLotStatus[element.LpOrderId];
// Check to see if the TaxLot is still open and it has a non zero Quantity
if (!taxlot.Status.ToLowerInvariant().Equals("closed") && Math.Abs(taxlot.Quantity) > 0)
{
var prevEodPrice = 0.0;
var eodPrice = 0.0;
var fxRate = 0.0;
if (element.TradeCurrency.Equals(env.BaseCurrency))
{
if (env.ValueDate == element.TradeDate)
{
prevEodPrice = 1 / element.SettleNetPrice;
fxRate = FxRates.Find(env.ValueDate, element.SettleCurrency).Rate;
eodPrice = fxRate;
}
else
{
prevEodPrice = FxRates.Find(env.PreviousValueDate, element.SettleCurrency).Rate;
fxRate = FxRates.Find(env.PreviousValueDate, element.SettleCurrency).Rate;
eodPrice = fxRate;
}
}
else
{
if (env.ValueDate == element.TradeDate)
{
prevEodPrice = element.SettleNetPrice;
fxRate = FxRates.Find(env.ValueDate, element.TradeCurrency).Rate;
eodPrice = fxRate;
}
else
{
prevEodPrice = FxRates.Find(env.PreviousValueDate, element.TradeCurrency).Rate;
fxRate = FxRates.Find(env.ValueDate, element.TradeCurrency).Rate;
eodPrice = fxRate;
}
}
var unrealizedPnl = 0.0;
var quantity = taxlot.Quantity;
var rateDiff = (eodPrice - prevEodPrice);
if (element.SettleCurrency.Equals(env.BaseCurrency))
{
unrealizedPnl = (rateDiff * quantity);
}
else
{
unrealizedPnl = (rateDiff * quantity) * fxRate;
}
var originalAccount = AccountUtils.GetDerivativeAccountType(unrealizedPnl);
var fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", listOfTags, taxlot.Trade);
var fund = env.GetFund(element);
var debit = new Journal(element)
{
Account = fromToAccounts.From,
When = env.ValueDate,
Symbol = taxlot.Symbol,
Quantity = quantity,
FxRate = rateDiff,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.From, unrealizedPnl),
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Event = Event.DAILY_UNREALIZED_PNL,
Fund = fund,
};
var credit = new Journal(debit)
{
Account = fromToAccounts.To,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, true, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.To, unrealizedPnl),
};
env.Journals.AddRange(new[] { debit, credit });
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"daily",
quantity, null, element);
env.Journals.AddRange(fxJournals);
}
}
}
else
{
if (fxrate != 1.0)
{
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"daily",
element.Quantity, null, element);
env.Journals.AddRange(fxJournals);
}
}
}
}
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
}
}
}
internal static void GenerateSettlementDateJournals(PostingEngineEnvironment env, Transaction element)
{
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 accountToFrom = new AccountingRules().GetFromToAccountOnSettlement(env, element);
if (accountToFrom.To == null || accountToFrom.From == null)
{
env.AddMessage($"Unable to identify From/To accounts for trade {element.OrderSource} :: {element.Side}");
return;
}
// This is the fully loaded value to tbe posting
if (element.NetMoney != 0.0)
{
var moneyUSD = Math.Abs(element.NetMoney) * fxrate;
// BUY -- Debit
// SELL -- Credit
if (element.IsShort() || element.IsSell())
{
moneyUSD = moneyUSD * -1;
}
var debit = new Journal
{
Source = element.LpOrderId,
Account = accountToFrom.From,
When = env.ValueDate,
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = element.Quantity,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.From, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, moneyUSD),
Event = Event.SETTLEMENT,
Fund = env.GetFund(element)
};
var credit = new Journal
{
Source = element.LpOrderId,
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = element.Quantity,
FxRate = fxrate,
When = env.ValueDate,
Account = accountToFrom.To,
CreditDebit = env.DebitOrCredit(accountToFrom.To, moneyUSD * -1),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, moneyUSD),
Event = Event.SETTLEMENT,
Fund = env.GetFund(element)
};
env.Journals.AddRange(new[] { debit, credit });
}
}
internal static void GenerateTradeDateJournals(PostingEngineEnvironment env, Transaction element)
{
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(element.BloombergCode))
{
multiplier = env.SecurityDetails[element.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var tradeAllocations = env.Allocations.Where(i => i.LpOrderId == element.LpOrderId).ToList();
// Retrieve Allocation Objects for this trade
if (tradeAllocations.Count() > 2)
{
env.AddMessage($"#of allocations > 2 please investigate {element.LpOrderId}");
return;
}
if (tradeAllocations.Count() == 2)
{
var debitEntry = tradeAllocations[0].Side == element.Side ? tradeAllocations[0] : tradeAllocations[1];
if (debitEntry.Symbol.Equals("@CASHUSD"))
{
env.AddMessage($"Unexpected Cash allocation please investigate {element.LpOrderId}");
return;
}
}
var accountToFrom = GetFromToAccount(env, element);
if (accountToFrom.To == null || accountToFrom.From == null)
{
env.AddMessage($"Unable to identify From/To accounts for trade {element.OrderSource} :: {element.Side}");
return;
}
if (element.NetMoney != 0.0)
{
var moneyUSD = Math.Abs(element.NetMoney) * fxrate;
// BUY -- Debit
// SELL -- Credit
if (element.IsSell() || element.IsCover())
{
moneyUSD = moneyUSD * -1;
}
var eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
var fromJournal = new Journal(element, accountToFrom.From, Event.TRADE_DATE, env.ValueDate)
{
CreditDebit = env.DebitOrCredit(accountToFrom.From, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, moneyUSD),
FxRate = fxrate,
StartPrice = element.SettleNetPrice,
EndPrice = eodPrice,
Fund = env.GetFund(element),
};
var toJournal = new Journal(element, accountToFrom.To, Event.TRADE_DATE, env.ValueDate)
{
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.To, moneyUSD * -1),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, moneyUSD),
StartPrice = element.SettleNetPrice,
EndPrice = eodPrice,
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}
}
internal double CreateFxUnsettled(PostingEngineEnvironment env, Transaction element)
{
var journals = new List <Journal>();
// TBD: Needs to be optimized, get all data upfront for a ValueDate and drop into the env
//env.CallBack?.Invoke($"Create Fx Unsettled {element.SettleCurrency} -- {element.LpOrderId}");
var unsettledPnls = env.UnsettledPnl.Where(i => i.Source.Equals(element.LpOrderId)).ToList();
var fxChange = 0.0;
if (unsettledPnls.Count() == 0)
{
return(0.0);
}
var prevRate = FxRates.Find(env.PreviousValueDate, unsettledPnls[0].Currency).Rate;
var eodRate = FxRates.Find(env.ValueDate, unsettledPnls[0].Currency).Rate;
unsettledPnls.ForEach(unsettledPnl => {
var change = eodRate - prevRate;
var fxCashCredit = change * (unsettledPnl.Credit / unsettledPnl.FxRate);
var fxCashDebit = change * (unsettledPnl.Debit / unsettledPnl.FxRate);
var fxCash = fxCashCredit - fxCashDebit;
var from = "";
var to = "";
if (element.IsDerivative())
{
from = fxCash > 0 ? "Mark to Market Derivatives Contracts due to FX Translation (Assets)" : "Mark to Market Derivatives Contracts due to FX Translation (Liabilities)";
if (from.Contains("(Liabilities)"))
{
fxCash *= -1;
}
to = "Change in Unrealized Derivatives Contracts due to FX Translation";
}
else
{
var m2mtranslation = "Mark to Market longs fx translation gain or loss";
if (element.IsShort() || element.IsCover())
{
m2mtranslation = "Mark to Market shorts fx translation gain or loss";
}
from = m2mtranslation;
to = "change in unrealized do to fx translation";
}
// Get accounts
var fromTo = new AccountUtils().GetAccounts(env, from, to, new string[] { unsettledPnl.Currency }.ToList());
var debit = new Journal(fromTo.From, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = unsettledPnl.Source,
Fund = unsettledPnl.Fund,
FxCurrency = unsettledPnl.Currency,
Symbol = unsettledPnl.Symbol,
SecurityId = unsettledPnl.SecurityId,
Quantity = Convert.ToDouble(unsettledPnl.Quantity),
FxRate = change,
StartPrice = prevRate,
EndPrice = eodRate,
Value = env.SignedValue(fromTo.From, fromTo.To, true, fxCash),
CreditDebit = env.DebitOrCredit(fromTo.From, fxCash),
};
fxChange += debit.Value;
var credit = new Journal(fromTo.To, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = unsettledPnl.Source,
Fund = unsettledPnl.Fund,
FxCurrency = unsettledPnl.Currency,
Symbol = unsettledPnl.Symbol,
SecurityId = unsettledPnl.SecurityId,
Quantity = Convert.ToDouble(unsettledPnl.Quantity),
FxRate = change,
StartPrice = prevRate,
EndPrice = eodRate,
Value = env.SignedValue(fromTo.From, fromTo.To, false, fxCash),
CreditDebit = env.DebitOrCredit(fromTo.To, fxCash),
};
journals.AddRange(new List <Journal>(new[] { debit, credit }));
});
//connection.Close();
env.Journals.AddRange(journals);
return(fxChange);
}
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
}
}
/// <summary>
/// Create the entries for Unsettled Fx gain / loss
/// </summary>
/// <param name="env">Environment</param>
/// <param name="taxlotStatus"></param>
/// <param name="tradeEvent"></param>
/// <param name="element">Transaction</param>
/// <returns>a list of the created journal entries</returns>
internal static List <Journal> CreateFx(PostingEngineEnvironment env,
string fromAccount,
string toAccount,
string tradeEvent,
double quantity,
TaxLotStatus taxlotStatus,
Transaction element)
{
if (tradeEvent.Equals(Event.TRADE_DATE))
{
return(new List <Journal>());
}
// TBD: THIS IS FOR BOBBY
if (element.SecurityType.Equals("FORWARD"))
{
return(new List <Journal>());
}
// Check to see if the BaseCurrency == SettleCurrency because if it is then no need to do the FX translation
if (env.BaseCurrency.Equals(element.SettleCurrency))
{
return(new List <Journal>());
}
var currency = element.SettleCurrency;
var prevEodFxRate = Convert.ToDouble(FxRates.Find(env.PreviousValueDate, currency).Rate);
var eodFxRate = Convert.ToDouble(FxRates.Find(env.ValueDate, currency).Rate);
var effectiveRate = eodFxRate - prevEodFxRate;
var usdEquivalent = element.NetMoney * effectiveRate;
if (element.IsBuy())
{
usdEquivalent *= -1;
}
else if (element.IsShort())
{
}
// Get accounts
var toFrom = new AccountUtils().GetAccounts(env, fromAccount, toAccount, _TAGS, element);
var debit = new Journal(element, toFrom.From, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = env.GetFund(element),
Value = env.SignedValue(toFrom.From, toFrom.To, true, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.From, usdEquivalent),
};
var credit = new Journal(element, toFrom.To, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = env.GetFund(element),
Value = env.SignedValue(toFrom.From, toFrom.To, false, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.To, usdEquivalent),
};
return(new List <Journal>(new[] { debit, credit }));
}
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";
}
}
}