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);
}
public TradeTracker(Trade trade, decimal optionsCapitalUsageMultiplier)
{
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
Positions = new Dictionary<int, Position>()
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument(), _optionsCapitalUsageMultiplier)}
};
CurrencyPositions = new Dictionary<int, CurrencyPosition>();
CumulativeReturns = new SortedList<DateTime, double>();
CumulativePnL = new SortedList<DateTime, decimal>();
Capital = new AllocatedCapital();
_ordersRemaining = trade.Orders == null ? 0 : trade.Orders.Count;
_cashTransactionsRemaining = trade.CashTransactions == null ? 0 : trade.CashTransactions.Count;
Trade = trade;
_currentEquity = 1;
_totalPnL = 0;
TodaysPnL = 0;
}
public void SetUp()
{
_inst = new Instrument {ID = 1, Multiplier = 1, AssetCategory = AssetClass.Stock};
_t = new Trade
{
Orders = new List<Order>(),
CashTransactions = new List<CashTransaction>(),
FXTransactions = new List<FXTransaction>()
};
_dsMock = new Mock<IDataSourcer>();
_dsMock.Setup(x => x.GetData(It.IsAny<Instrument>(), It.IsAny<DateTime>(), It.IsAny<DateTime>(), It.IsAny<QDMS.BarSize>()))
.Returns<Instrument, DateTime, DateTime, QDMS.BarSize>((a, b, c, d) => GenerateData(b, c));
_contextMock = new Mock<IDBContext>();
_dbSetStub = new DbSetStub<EquitySummary>();
var equitySummaries = new List<EquitySummary>
{
new EquitySummary
{
Date = new DateTime(2000,1,1),
Total = 10000
}
};
_dbSetStub.AddRange(equitySummaries);
_contextMock.SetupGet(x => x.EquitySummaries).Returns(_dbSetStub);
_repository = new TradesRepository(_contextMock.Object, _dsMock.Object, 0.1m);
}
/// <summary>
/// Create a new trade with a given name.
/// Returns the created trade.
/// </summary>
protected Trade CreateTrade(string name)
{
var trade = new Trade() { Name = name, Open = true };
TradesRepository.Add(trade);
OpenTrades.Add(trade);
Logger.Log(LogLevel.Info, "User script {0} created trade {1}", this.GetType().Name, trade);
return trade;
}
/// <summary>
/// Add a tag to a trade.
/// </summary>
protected void SetTag(Trade trade, string tagName)
{
var tag = Tags.FirstOrDefault(x => x.Name == tagName);
if(tag == null)
{
Logger.Log(LogLevel.Info, "User script {0} tried to add tag {1} to trade {2}, but it was not found", this.GetType().Name, tagName, trade);
return;
}
SetTag(trade, tag);
}
/// <summary>
/// Set a trade's strategy.
/// </summary>
protected void SetStrategy(Trade trade, string strategyName)
{
var strategy = Strategies.FirstOrDefault(x => x.Name == strategyName);
if (strategy == null)
{
Logger.Log(LogLevel.Warn, "User script {0} tried to set strategy of trade {1} to {2}, but it was not found.", this.GetType().Name, trade, strategyName);
return;
}
SetStrategy(trade, strategy);
}
/// <summary>
/// Add a tag to a trade.
/// </summary>
protected void SetTag(Trade trade, Tag tag)
{
if (tag == null) return;
if (trade.Tags != null && trade.Tags.Contains(tag)) return;
if(trade.Tags == null)
{
trade.Tags = new ObservableCollection<Tag>();
}
trade.Tags.Add(tag);
Logger.Log(LogLevel.Info, "User script {0} added tag {1} to trade {2}", this.GetType().Name, tag, trade);
}
public TradeWindow(Trade trade, IDBContext context, IDataSourcer dataSourcer)
{
Trade = trade;
_context = context;
InitializeComponent();
ViewModel = new TradeViewModel(trade, dataSourcer, context);
DataContext = ViewModel;
InitializeFontSizes();
FontFamilyComboBox.ItemsSource = Fonts.SystemFontFamilies;
FontSizeComboBox.ItemsSource = FontSizes;
//load the notes
LoadNotes();
}
public TradeViewModel(Trade trade, IDataSourcer dataSourcer, IDBContext context) : base(null)
{
context.Trades
.Where(x => x.ID == trade.ID)
.Include(x => x.Strategy)
.Include(x => x.Orders)
.Include("Orders.Instrument")
.Include("Orders.Currency")
.Include(x => x.CashTransactions)
.Include("CashTransactions.Instrument")
.Include("CashTransactions.Currency")
.Include(x => x.FXTransactions)
.Include("FXTransactions.FunctionalCurrency")
.Include("FXTransactions.FXCurrency")
.Load();
Trade = trade;
Tracker = TradeSim.SimulateTrade(trade, context, dataSourcer, Properties.Settings.Default.optionsCapitalUsageMultiplier);
}
/// <summary>
/// Add an order to a trade.
/// Returns true if the trade is found and the order successfully added.
/// </summary>
protected bool SetTrade(Order order, Trade trade)
{
if(trade == null)
{
Logger.Log(LogLevel.Warn, "User script {0} tried to add order {1} to a null trade", this.GetType().Name, order);
return false;
}
if(!trade.Open)
{
Logger.Log(LogLevel.Warn, "User script {0} tried to add order {1} to a closed trade: {2}", this.GetType().Name, order, trade);
return false;
}
TradesRepository.AddOrder(trade, order);
Logger.Log(LogLevel.Info, "User script {0} added order {1} to trade {2}", this.GetType().Name, order, trade);
return true;
}
public static TradeTracker SimulateTrade(Trade trade, IDBContext context, IDataSourcer dataSourcer, decimal optionsCapitalUsageMultiplier)
{
var tracker = new TradeTracker(trade, optionsCapitalUsageMultiplier);
//starting and ending dates
DateTime startDate = trade.DateOpened;
DateTime endDate;
if(!trade.Open && trade.DateClosed != null)
{
endDate = trade.DateClosed.Value.Date;
}
else
{
var lastSummary = context.EquitySummaries.OrderByDescending(x => x.Date).First();
endDate = lastSummary.Date.Date;
}
var orders = trade.Orders == null
? new List<Order>()
: trade.Orders.OrderBy(x => x.TradeDate).ToList();
var cashTransactions = trade.CashTransactions == null
? new List<CashTransaction>()
: trade.CashTransactions.OrderBy(x => x.TransactionDate).ToList();
var fxTransactions = trade.FXTransactions == null
? new List<FXTransaction>()
: trade.FXTransactions.OrderBy(x => x.DateTime).ToList();
//Grab the data
Dictionary<int, TimeSeries> data = GetInstrumentData(trade, dataSourcer, startDate, endDate);
Dictionary<int, TimeSeries> fxData = GetFXData(trade, context);
DateTime currentDate = startDate.Date;
//Loop through the dates
while (currentDate <= endDate)
{
//Progress time series to current date
foreach (TimeSeries ts in data.Values)
{
ts.ProgressTo(currentDate);
}
foreach (TimeSeries ts in fxData.Values)
{
ts.ProgressTo(currentDate);
}
//Add orders
while (orders.Count > 0 && orders[0].TradeDate.Date <= currentDate)
{
tracker.AddOrder(orders[0]);
orders.RemoveAt(0);
}
//Add cash transactions
while (cashTransactions.Count > 0 && cashTransactions[0].TransactionDate.Date <= currentDate)
{
tracker.AddCashTransaction(cashTransactions[0]);
cashTransactions.RemoveAt(0);
}
//add fx transactions
while (fxTransactions.Count > 0 && fxTransactions[0].DateTime.Date <= currentDate)
{
tracker.AddFXTransaction(fxTransactions[0]);
fxTransactions.RemoveAt(0);
}
tracker.Update(currentDate, data, fxData);
if (orders.Count == 0 && cashTransactions.Count == 0 && fxTransactions.Count == 0 && !tracker.Open) break;
currentDate = currentDate.AddDays(1);
}
return tracker;
}
public TradeViewModel() : base(null)
{
Trade = new Trade();
}
/// <summary>
/// Close a trade.
/// </summary>
protected void CloseTrade(Trade trade)
{
if(!trade.Open)
{
Logger.Log(LogLevel.Info, "User script {0} tried to close trade {1} but it was already closed", this.GetType().Name, trade);
return;
}
if(!trade.IsClosable())
{
Logger.Log(LogLevel.Info, "User script {0} tried to close trade {1} but the trade can not be closed", this.GetType().Name, trade);
return;
}
trade.Open = false;
TradesRepository.UpdateStats(trade);
Logger.Log(LogLevel.Info, "User script {0} closed trade {1}", this.GetType().Name, trade);
}
/// <summary>
/// Set a trade's strategy.
/// </summary>
protected void SetStrategy(Trade trade, Strategy strategy)
{
trade.Strategy = strategy;
Logger.Log(LogLevel.Info, "User script {0} set strategy of trade {1} to {2}", this.GetType().Name, trade, strategy);
}
private void TradePickerNewTradeTextBox_KeyDown(object sender, KeyEventArgs e)
{
if(e.Key == Key.Enter && !String.IsNullOrEmpty(TradePickerNewTradeTextBox.Text))
{
var selectedOrder = (Order)OrdersGrid.SelectedItem;
var newTrade = new Trade { Name = TradePickerNewTradeTextBox.Text, Open = true };
Context.Trades.Add(newTrade);
newTrade.Tags = new List<Tag>();
Task.Run(() =>
{
TradesRepository.AddOrder(newTrade, selectedOrder);
TradesRepository.Save();
});
TradePickerNewTradeTextBox.Text = "";
OrdersGridTradePickerPopup.IsOpen = false;
OrdersGrid.CommitEdit();
}
}
public void AddingOrderInForeignCurrencyResultsInFxPositionAddition()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var eur = new Currency { ID = 2, Name = "EUR" };
trade.Orders = new List<Order>
{
new Order { Instrument = _inst, Quantity = 10, FXRateToBase = 1.5m, Multiplier = 1, Price = 100, BuySell = "BUY", TradeDate = date, Currency = eur, CurrencyID = 2 },
};
var tracker = new TradeTracker(trade, 1);
foreach (Order o in trade.Orders)
{
tracker.AddOrder(o);
}
Assert.IsTrue(tracker.CurrencyPositions.ContainsKey(2));
Assert.IsTrue(tracker.CurrencyPositions[2].Quantity == -10 * 100);
Assert.IsTrue(tracker.CurrencyPositions[2].CostBasis == 1.5m);
}
private static List<int> GetNeededFXIDs(Trade trade)
{
var currencyIDs = new List<int>();
if (trade.Orders != null)
{
currencyIDs.AddRange(trade.Orders.Select(x => x.CurrencyID));
}
if (trade.CashTransactions != null)
{
currencyIDs.AddRange(trade.CashTransactions.Select(x => x.CurrencyID));
}
if (trade.FXTransactions != null)
{
currencyIDs.AddRange(trade.FXTransactions.Select(x => x.FXCurrencyID));
}
return currencyIDs.Distinct().ToList();
}
private static Dictionary<int, TimeSeries> GetFXData(Trade trade, IDBContext context)
{
List<int> neededFXIDs = GetNeededFXIDs(trade);
var fxData = new Dictionary<int, TimeSeries>();
foreach (int id in neededFXIDs)
{
if (id <= 1) continue;
int id1 = id;
fxData.Add(id, TimeSeriesFromFXRates(context.FXRates.Where(x => x.FromCurrencyID == id1).OrderBy(x => x.Date)));
}
return fxData;
}
public void SetTradeStats(Trade trade)
{
var positions = Positions.Values;
//Capital usage stats
trade.CapitalTotal =
Capital.Gross.Count(x => x > 0) > 0
? Capital.Gross.Where(x => x > 0).Average()
: 0;
trade.CapitalLong =
Capital.Long.Count(x => x > 0) > 0
? Capital.Long.Where(x => x > 0).Average()
: 0;
trade.CapitalShort =
Capital.Short.Count(x => x > 0) > 0
? Capital.Short.Where(x => x > 0).Average()
: 0;
trade.CapitalNet = trade.CapitalLong - trade.CapitalShort;
//Realized dollar result stats
trade.ResultDollars = RealizedPnL;
trade.ResultDollarsLong = RealizedPnLLong;
trade.ResultDollarsShort = RealizedPnLShort;
//Realized percent result stats
trade.ResultPct = trade.CapitalTotal > 0
? (double)(trade.ResultDollars / trade.CapitalTotal)
: 0;
trade.ResultPctLong = trade.CapitalLong > 0
? (double)(trade.ResultDollarsLong / trade.CapitalLong)
: 0;
trade.ResultPctShort = trade.CapitalShort > 0
? (double)(trade.ResultDollarsShort / trade.CapitalShort)
: 0;
//Commissions
if (trade.Orders != null)
{
trade.Commissions = trade.Orders.Sum(x => x.CommissionInBase);
}
//Unrealized result stats
trade.UnrealizedResultDollars = TotalPnL - RealizedPnL;
trade.UnrealizedResultDollarsLong = positions.Sum(x => x.PnLLong - x.RealizedPnLLong);
trade.UnrealizedResultDollarsShort = positions.Sum(x => x.PnLShort - x.RealizedPnLShort);
//Unrealized percent result stats
trade.UnrealizedResultPct = trade.CapitalTotal > 0
? (double)(trade.UnrealizedResultDollars / trade.CapitalTotal)
: 0;
trade.UnrealizedResultPctLong = trade.CapitalLong > 0
? (double)(trade.UnrealizedResultDollarsLong / trade.CapitalLong)
: 0;
trade.UnrealizedResultPctShort = trade.CapitalShort > 0
? (double)(trade.UnrealizedResultDollarsShort / trade.CapitalShort)
: 0;
}
public void AddingCashTransactionInForeignCurrencyResultsInFxPositionAddition()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var eur = new Currency { ID = 2, Name = "EUR" };
var ct = new CashTransaction { InstrumentID = 1, Currency = eur, CurrencyID = 2, Amount = 50, FXRateToBase = 1.5m, Instrument = _inst, TransactionDate = date, AssetCategory = AssetClass.Stock };
trade.CashTransactions = new List<CashTransaction> { ct };
var tracker = new TradeTracker(trade, 1);
foreach (CashTransaction c in trade.CashTransactions)
{
tracker.AddCashTransaction(c);
}
Assert.IsTrue(tracker.CurrencyPositions.ContainsKey(2));
Assert.IsTrue(tracker.CurrencyPositions[2].Quantity == 50);
Assert.IsTrue(tracker.CurrencyPositions[2].CostBasis == 1.5m);
}
private static Dictionary<int, TimeSeries> GetInstrumentData(Trade trade, IDataSourcer dataSourcer, DateTime startDate, DateTime endDate)
{
var data = new Dictionary<int, TimeSeries>();
if (trade.Orders == null) return data;
foreach (EntityModel.Instrument inst in trade.Orders.Select(x => x.Instrument).Distinct(x => x.ID))
{
data.Add(inst.ID, new TimeSeries(dataSourcer.GetData(inst, startDate, endDate)));
}
return data;
}
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 CapitalUsageCorrectlyTracked()
{
var inst2 = new Instrument { ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock };
var order1 = new Order
{
Instrument = _inst,
InstrumentID = _inst.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 10,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 2)
};
var order2 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 20,
Quantity = -100,
CurrencyID = 1,
BuySell = "SELL",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 12, 0, 0)
};
var order3 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 19,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 13, 0, 0)
};
var trade = new Trade
{
Orders = new List<Order> { order1, order2, order3 }
};
var trades = new List<Trade> { trade };
_data = new Dictionary<int, TimeSeries>
{
{ 1, TimeSeriesGenerator.GenerateData(new DateTime(2000,1,1), new DateTime(2000,2,1), 11) },
{ 2, TimeSeriesGenerator.GenerateData(new DateTime(2000,1,1), new DateTime(2000,2,1), 20) }
};
var tracker = new PortfolioTracker(_data, _fxData, trades, "test", new DateTime(2000, 1, 1), 1);
var date = new DateTime(2000, 1, 1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(0, tracker.Capital.Gross.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(10 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(10 * 100, tracker.Capital.Long.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(11 * 100 + 20 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(11 * 100, tracker.Capital.Long.Last());
Assert.AreEqual(20 * 100, tracker.Capital.Short.Last());
}
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);
}
private void OrdersContextMenuNewTradeTextBox_KeyDown(object sender, KeyEventArgs e)
{
if (e.Key == Key.Enter)
{
//close the context menu
var ordersGridContextMenu = (ContextMenu)Resources["OrdersGridContextMenu"];
var ordersContextMenuNewTradeTextBox = (TextBox)sender;
ordersGridContextMenu.IsOpen = false;
//only add a trade if there's a name in the box
if (String.IsNullOrEmpty(ordersContextMenuNewTradeTextBox.Text)) return;
List<Order> selectedOrders = OrdersGrid.SelectedItems.Cast<Order>().ToList();
var newTrade = new Trade { Name = ordersContextMenuNewTradeTextBox.Text, Open = true };
Context.Trades.Add(newTrade);
newTrade.Tags = new List<Tag>();
Task.Run(() =>
{
foreach (Order o in selectedOrders)
{
TradesRepository.AddOrder(newTrade, o);
}
TradesRepository.Save();
});
ordersContextMenuNewTradeTextBox.Text = "";
}
}