/// <summary>
/// Calcualte the Unrealized Pnl for this Tax lot
/// </summary>
/// <param name="env"></param>
/// <returns></returns>
public static double CalculateUnrealizedPnl(PostingEngineEnvironment env, TaxLotStatus taxLotStatus, double residualQuantity = 0, double endPrice = 0)
{
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(taxLotStatus.Trade.BloombergCode))
{
multiplier = env.SecurityDetails[taxLotStatus.Trade.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!taxLotStatus.Trade.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, taxLotStatus.Trade.SettleCurrency).Rate);
}
var eodPrice = 0.0;
var prevEodPrice = 0.0;
if (env.ValueDate == taxLotStatus.Trade.TradeDate)
{
prevEodPrice = taxLotStatus.Trade.SettleNetPrice;
var eodMarketPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade);
if (!eodMarketPrice.Valid)
{
env.AddMessage(eodMarketPrice.Error);
}
eodPrice = eodMarketPrice.Price;
}
else
{
prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, taxLotStatus.Trade).Price;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
eodPrice = endPrice != 0 ? endPrice : eodPrice;
// Use residual Quantity if specified
var quantity = residualQuantity != 0.0 ? residualQuantity : taxLotStatus.Quantity;
var priceDiff = (eodPrice - prevEodPrice);
var unrealizedPnl = priceDiff * quantity;
return(unrealizedPnl * fxrate * multiplier);
}
/// <summary>
/// Relieves the passed TaxLostStatus, this should only be used for FORWARDS etc that expire
/// </summary>
/// <param name="env">Environment</param>
/// <param name="lot">The Tax Lot to relieve</param>
/// <param name="trade">The current trade</param>
/// <param name="quantity">Quantity to relieve</param>
/// <param name="fxrate">Appropriate fxrate</param>
internal static TaxLot RelieveTaxLot(PostingEngineEnvironment env, Transaction taxLotToRelieve, Transaction trade, double quantity, bool reverse = false)
{
var SettleNetPrice = trade.SettleNetPrice;
if (taxLotToRelieve.LpOrderId.Equals(trade.LpOrderId))
{
// Same, so we are dealing with the same trade, so we are backing out the same trade
SettleNetPrice = MarketPrices.GetPrice(env, trade.SettleDate, trade).Price;
}
var prevFxRate = FxRates.Find(taxLotToRelieve.TradeDate, taxLotToRelieve.SettleCurrency).Rate;
var investmentAtCost = quantity * taxLotToRelieve.SettleNetPrice * prevFxRate;
if (reverse)
{
investmentAtCost = investmentAtCost * -1;
}
var tl = new TaxLot
{
Trade = trade,
TradeDate = trade.TradeDate,
InvestmentAtCost = investmentAtCost, // Needs to be the Investment Cost that we are relieving from the Tax
BusinessDate = env.ValueDate,
OpeningLotId = taxLotToRelieve.LpOrderId,
ClosingLotId = trade.LpOrderId,
TradePrice = taxLotToRelieve.SettleNetPrice,
CostBasis = SettleNetPrice,
Quantity = quantity
};
CalculateRealizedPnl(env, tl);
tl.Save(env.Connection, env.Transaction);
return(tl);
}
/// <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>
/// Generate all of the journal entries we need for reduction / closeout of a tax lot
/// </summary>
/// <param name="env"></param>
/// <param name="lot"></param>
/// <param name="taxlotStatus"></param>
/// <param name="element"></param>
/// <param name="workingQuantity"></param>
/// <param name="fxrate"></param>
/// <param name="multiplier"></param>
private void GenerateJournals(PostingEngineEnvironment env, TaxLotDetail lot, TaxLotStatus taxlotStatus, Transaction element, double workingQuantity, double fxrate, double multiplier)
{
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, workingQuantity, true);
// 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", workingQuantity, taxlotStatus, buyTrade);
env.Journals.AddRange(fxJournalsForInvestmentAtCost);
taxlotStatus.Quantity += workingQuantity;
if (taxlotStatus.Quantity == 0)
{
taxlotStatus.Status = "Closed";
}
else
{
taxlotStatus.Status = "Partially Closed";
}
if (taxlotStatus.Quantity == 0.0)
{
// Is this really needed, as if the tax lot is zero then should not generate any additional unrealized pnl
//GenerateDailyUnrealized(env, taxlotStatus, element, workingQuantity * -1, fxrate);
}
var eodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, buyTrade).Price;
// Calculate the unrealized Backout PNL for the created Tax Lot
var unrealizedPnl = Math.Abs(taxlot.Quantity) * (eodPrice - buyTrade.SettleNetPrice) * multiplier * fxrate;
unrealizedPnl *= CommonRules.DetermineSign(element);
// Need to backout the Unrealized PNL here, as we are reducing the position of the TaxLot
CommonRules.ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl * -1,
buyTrade.SettleNetPrice,
element.SettleNetPrice,
fxrate);
// Original FxRate
var changeDueToFx = fxrate - taxlotStatus.FxRate;
// Original Trade Price
var changeInRealizedPnlDueToFx = changeDueToFx * (taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
var changeInUnRealizedPnlDueToFx = changeDueToFx * (taxlot.CostBasis - taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
CommonRules.PostRealizedPnl(
env,
buyTrade,
taxlot.RealizedPnl,
taxlot.TradePrice,
taxlot.CostBasis,
fxrate);
if (fxrate != 1.0)
{
PostRealizedFxGain(env, buyTrade, changeInRealizedPnlDueToFx, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var fxChange = new FxPosting().CreateFxUnsettled(env, buyTrade);
List <SqlParameter> sqlParams = new List <SqlParameter>();
sqlParams.Add(new SqlParameter("@busDate", env.ValueDate));
sqlParams.Add(new SqlParameter("@LpOrderId", lot.Trade.LpOrderId));
var dataTable = new SqlHelper(env.ConnectionString).GetDataTables("ClosingTaxLot", CommandType.StoredProcedure, sqlParams.ToArray());
var changeInUnRealized = 1.0;
if (dataTable[0].Rows.Count > 0)
{
changeInUnRealized = Convert.ToDouble(dataTable[0].Rows[0][2]);
}
var changeInUnRealizedFx = 0.0;
if (dataTable[1].Rows.Count > 0)
{
changeInUnRealizedFx = Convert.ToDouble(dataTable[1].Rows[0][2]);
}
if (changeInUnRealizedFx != 0.0)
{
var closeOut = changeInUnRealizedFx + fxChange;
PostUnrealizedFxGain(env, buyTrade, closeOut, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var sumFxMarkToMarket = 0.0;
if (dataTable[2].Rows.Count > 0)
{
sumFxMarkToMarket = Convert.ToDouble(dataTable[2].Rows[0][2]);
sumFxMarkToMarket += fxJournalsForInvestmentAtCost[0].Value;
ReversePosting(env, "Change in unrealized due to fx on original Cost", CommonRules.GetFXMarkToMarketAccountType(element, "FX MARKET TO MARKET ON STOCK COST"), buyTrade, sumFxMarkToMarket);
}
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
/*
* var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
*
* var fromTo = new AccountUtils().GetAccounts(env, "CHANGE IN UNREALIZED GAIN/(LOSS)", markToMarketAccount, listOfFromTags, element);
*
* if (fxrate == 1.0)
* {
* changeInUnRealized = Convert.ToDouble(taxlot.RealizedPnl) * -1;
* }
*
* // Now Generate Entries for the trade that is drawing down on the taxLot
* var fromJournal = new Journal(buyTrade)
* {
* Account = fromTo.From,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.From, changeInUnRealized),
* Value = env.SignedValue(fromTo.From, fromTo.To, true, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* var toJournal = new Journal(buyTrade)
* {
* Account = fromTo.To,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.To, changeInUnRealized * -1),
* Value = env.SignedValue(fromTo.From, fromTo.To, false, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* env.Journals.AddRange(new[] { fromJournal, toJournal });
*/
}
/// <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);
}
}
}
}
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";
}
}
}
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 static void GenerateCloseOutPostings(PostingEngineEnvironment env, TaxLotDetail lot, TaxLot taxlot, Transaction element, TaxLotStatus taxlotStatus, string fund)
{
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 prevPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price;
var unrealizedPnl = Math.Abs(taxlotStatus.Quantity) * (element.SettleNetPrice - prevPrice) * multiplier;
unrealizedPnl = Math.Abs(unrealizedPnl) * CommonRules.DetermineSign(taxlotStatus.Trade);
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl,
MarketPrices.GetPrice(env, env.PreviousValueDate, lot.Trade).Price,
element.SettleNetPrice, fxrate);
var PnL = taxlot.RealizedPnl;
PostRealizedPnl(
env,
buyTrade,
PnL,
taxlot.TradePrice,
taxlot.CostBasis, fxrate);
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
Account fromAccount = null;
Account toAccount = null;
if (element.IsDerivative())
{
return;
}
else
{
var accountType = (buyTrade.IsShort() || buyTrade.IsCover()) ? "SHORT POSITIONS AT COST" : "LONG POSITIONS AT COST";
var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
fromAccount = new AccountUtils().CreateAccount(AccountType.Find(accountType), listOfFromTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find(markToMarketAccount), listOfFromTags, element);
}
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
// Now Generate Entries
var fromJournal = new Journal(element)
{
Account = fromAccount,
CreditDebit = env.DebitOrCredit(fromAccount, PnL),
When = env.ValueDate,
StartPrice = taxlot.TradePrice,
EndPrice = taxlot.CostBasis,
Value = PnL,
FxRate = 1,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var toJournal = new Journal(fromJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, PnL * -1),
Value = PnL * -1,
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}