/// <summary>
/// Take realised profits and then for any remaining amount use virtual profits
/// </summary>
public async Task <RevenueMoney> CalculateRevenueOfPosition(
IList <Order> activeFulfilledTradeOrders,
DateTime universeDateTime,
ISystemProcessOperationRunRuleContext ctx,
IMarketDataCacheStrategy cacheStrategy)
{
if (activeFulfilledTradeOrders == null ||
!activeFulfilledTradeOrders.Any())
{
Logger.LogInformation($"RevenueCurrencyConvertingCalculator CalculateRevenueOfPosition had a null or empty active fulfilled trade orders. Returning.");
return(null);
}
var realisedRevenue = await CalculateRealisedRevenue(activeFulfilledTradeOrders, _targetCurrency, universeDateTime, ctx);
var totalPurchaseVolume = CalculateTotalPurchaseVolume(activeFulfilledTradeOrders);
var totalSaleVolume = CalculateTotalSalesVolume(activeFulfilledTradeOrders);
var sizeOfVirtualPosition = totalPurchaseVolume - totalSaleVolume;
if (sizeOfVirtualPosition <= 0)
{
Logger.LogInformation($"RevenueCurrencyConvertingCalculator CalculateRevenueOfPosition had no virtual position. Total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Returning the realised revenue only.");
// fully traded out position; return its value
return(new RevenueMoney(false, realisedRevenue, HighProfitComponents.Realised));
}
// has a virtual position; calculate its value
var security = activeFulfilledTradeOrders.FirstOrDefault()?.Instrument;
if (security == null)
{
Logger.LogInformation($"RevenueCurrencyConvertingCalculator CalculateRevenueOfPosition had no virtual position. Total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Could not find a security so just returning the realised revenue.");
return(new RevenueMoney(false, realisedRevenue, HighProfitComponents.Realised));
}
var marketDataRequest =
MarketDataRequest(
activeFulfilledTradeOrders.FirstOrDefault()?.Market?.MarketIdentifierCode,
security.Identifiers,
universeDateTime,
ctx,
cacheStrategy.DataSource);
if (marketDataRequest == null)
{
Logger.LogInformation($"RevenueCurrencyConvertingCalculator CalculateRevenueOfPosition had no virtual position. Total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Returning the realised revenue only.");
return(new RevenueMoney(false, null, HighProfitComponents.Realised));
}
var marketResponse = cacheStrategy.Query(marketDataRequest);
if (marketResponse.HadMissingData())
{
Logger.LogInformation($"Revenue currency converting calculator calculating for inferred virtual profits due to missing market data");
return(new RevenueMoney(true, null, HighProfitComponents.Virtual));
}
var virtualRevenue = (marketResponse.PriceOrClose()?.Value ?? 0) * sizeOfVirtualPosition;
var money = new Money(virtualRevenue, marketResponse.PriceOrClose()?.Currency.Code ?? string.Empty);
var convertedVirtualRevenues = await _currencyConverterService.Convert(new[] { money }, _targetCurrency, universeDateTime, ctx);
if (realisedRevenue == null &&
convertedVirtualRevenues == null)
{
Logger.LogInformation($"Revenue currency converting calculator could not calculate converted virtual revenues, returning null.");
return(null);
}
if (realisedRevenue == null)
{
Logger.LogInformation($"Revenue currency converting calculator could not calculate realised revenues, returning unrealised revenues.");
return(new RevenueMoney(false, convertedVirtualRevenues, HighProfitComponents.Virtual));
}
if (convertedVirtualRevenues == null)
{
Logger.LogInformation($"Revenue currency converting calculator could not calculate virtual revenues. Returning realised revenues.");
return(new RevenueMoney(false, realisedRevenue, HighProfitComponents.Realised));
}
if (!realisedRevenue.Value.DenominatedInCommonCurrency(convertedVirtualRevenues.Value))
{
var convertedMoney =
await this._currencyConverterService.Convert(
new[] { convertedVirtualRevenues.Value },
realisedRevenue.Value.Currency,
universeDateTime,
ctx);
if (convertedMoney == null)
{
this.Logger.LogError($"CalculateRevenueOfPosition at {universeDateTime} was unable to convert ({convertedVirtualRevenues.Value.Currency}) {convertedVirtualRevenues.Value.Value} to the realised revenue currency of {realisedRevenue.Value.Currency} due to missing currency conversion data.");
return(new RevenueMoney(true, realisedRevenue, HighProfitComponents.Realised));
}
convertedVirtualRevenues = convertedMoney.Value;
}
var totalMoneys = realisedRevenue + convertedVirtualRevenues;
var component =
realisedRevenue.HasValue && realisedRevenue.Value.Value > 0
? HighProfitComponents.Hybrid
: HighProfitComponents.Virtual;
return(new RevenueMoney(false, totalMoneys, component));
}
/// <summary>
/// The calculate revenue of position.
/// </summary>
/// <param name="activeFulfilledTradeOrders">
/// The active fulfilled trade orders.
/// </param>
/// <param name="universeDateTime">
/// The universe date time.
/// </param>
/// <param name="ruleRunContext">
/// The rule run context.
/// </param>
/// <param name="marketCacheStrategy">
/// The market cache strategy.
/// </param>
/// <returns>
/// The <see cref="Task"/>.
/// </returns>
public async Task <RevenueMoney> CalculateRevenueOfPosition(
IList <Order> activeFulfilledTradeOrders,
DateTime universeDateTime,
ISystemProcessOperationRunRuleContext ruleRunContext,
IMarketDataCacheStrategy marketCacheStrategy)
{
if (activeFulfilledTradeOrders == null || !activeFulfilledTradeOrders.Any())
{
this.Logger.LogInformation(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had null or empty active fulfilled trade orders.");
return(null);
}
var realisedRevenue = this.CalculateRealisedRevenue(activeFulfilledTradeOrders);
var totalPurchaseVolume = this.CalculateTotalPurchaseVolume(activeFulfilledTradeOrders);
var totalSaleVolume = this.CalculateTotalSalesVolume(activeFulfilledTradeOrders);
var sizeOfVirtualPosition = totalPurchaseVolume - totalSaleVolume;
if (sizeOfVirtualPosition <= 0)
{
this.Logger.LogInformation(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had a fully traded out position with a total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Returning realised profits only.");
// fully traded out position; return its value
return(new RevenueMoney(false, realisedRevenue, HighProfitComponents.Realised));
}
// has a virtual position; calculate its value
var security = activeFulfilledTradeOrders.FirstOrDefault()?.Instrument;
if (security == null)
{
this.Logger.LogWarning(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had a fully traded out position with a total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Was going to calculate a virtual position but could not find security information from the active fulfilled trade orders.");
return(new RevenueMoney(false, realisedRevenue, HighProfitComponents.Realised));
}
var marketDataRequest = this.MarketDataRequest(
activeFulfilledTradeOrders.First().Market.MarketIdentifierCode,
security.Identifiers,
universeDateTime,
ruleRunContext,
marketCacheStrategy.DataSource);
if (marketDataRequest == null)
{
this.Logger.LogWarning(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had a fully traded out position with a total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Had a null market data request. Returning null.");
return(new RevenueMoney(false, null, HighProfitComponents.Realised));
}
var marketDataResult = marketCacheStrategy.Query(marketDataRequest);
if (marketDataResult.HadMissingData())
{
this.Logger.LogWarning(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had a fully traded out position with a total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Had missing market data so will be calculating the inferred virtual profits instead.");
return(new RevenueMoney(true, null, HighProfitComponents.Realised));
}
var virtualRevenue = (marketDataResult.PriceOrClose()?.Value ?? 0) * sizeOfVirtualPosition;
var money = new Money(virtualRevenue, marketDataResult.PriceOrClose()?.Currency.Code ?? string.Empty);
if (realisedRevenue == null)
{
this.Logger.LogWarning(
$"RevenueCalculator CalculateRevenueOfPosition at {universeDateTime} had a fully traded out position with a total purchase volume of {totalPurchaseVolume} and total sale volume of {totalSaleVolume}. Had a null value for realised revenue so returning virtual revenue only of ({money.Currency}) {money.Value}.");
return(new RevenueMoney(false, money, HighProfitComponents.Virtual));
}
if (!realisedRevenue.Value.DenominatedInCommonCurrency(money))
{
var convertedMoney =
await this.CurrencyConverterService.Convert(
new[] { money },
realisedRevenue.Value.Currency,
universeDateTime,
ruleRunContext);
if (convertedMoney == null)
{
this.Logger.LogError($"CalculateRevenueOfPosition at {universeDateTime} was unable to convert ({money.Currency}) {money.Value} to the realised revenue currency of {realisedRevenue.Value.Currency} due to missing currency conversion data.");
return(new RevenueMoney(true, realisedRevenue, HighProfitComponents.Realised));
}
money = convertedMoney.Value;
}
var totalMoneys = realisedRevenue + money;
var component =
(realisedRevenue.HasValue && realisedRevenue.Value.Value > 0)
? HighProfitComponents.Hybrid
: HighProfitComponents.Virtual;
return(await Task.FromResult(new RevenueMoney(false, totalMoneys, component)));
}