/// <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);
}
}
}
}