public void RealizedPnLValuesIncludeCommissions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o);
Assert.AreEqual(-5, pos.RealizedPnL);
var o2 = new Order
{
Quantity = -100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o2);
Assert.AreEqual(90, pos.RealizedPnL);
}
public void UnrealizedPnLReturnsDiffernceBetweenTotalAndRealizedPnL()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(11, 1);
Assert.AreEqual(50, pos.UnrealizedPnL);
}
public void AddOrderReturnsCorrectCurrentCapitalUsageWhenRemovingFromPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 100,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
var capUsage = pos.AddOrder(o2);
Assert.AreEqual(0, capUsage);
}
public void CapitalUsageWhenEnteringAndExitingNearCloseIsCounted()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 0)
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 1)
};
pos.AddOrder(o2);
pos.GetPnL(10, 1);
Assert.AreEqual(1000, pos.Capital.Gross.Last());
Assert.AreEqual(1000, pos.Capital.Long.Last());
}
public void GetPnLReturnsCorrectPnLWithBothRealizedAndUnrealizedPnL()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1,
};
pos.AddOrder(o2);
Assert.AreEqual(50 * 1 + 50 * 2, pos.GetPnL(12, 1));
Assert.AreEqual(-2 * 50, pos.GetPnL(10, 1));
}
public void AddingAnOrderForTheWrongInstrumentThrowsException()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = new Instrument {
ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock
},
FXRateToBase = 1
};
ActualValueDelegate <object> testDelegate = () => pos.AddOrder(o2);
Assert.That(testDelegate, Throws.Exception);
}
public void AddOrderTakesIntoAccountFXRate()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 100,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -200,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1.1m
};
var capUsage = pos.AddOrder(o2);
Assert.AreEqual(1100, capUsage);
}
public void ROACValueReflectsFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(10, 1.1m);
Assert.AreEqual(1.1, pos.ROAC);
}
public void RealizedPnLValuesReflectFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1.05m
};
pos.AddOrder(o2);
Assert.AreEqual(155, pos.RealizedPnL);
}
public void FifoPnLTakesIntoAccountFXRate()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1.1m
};
pos.AddOrder(o2);
Assert.AreEqual(0, o.PerTradeFIFOPnL);
Assert.AreEqual(100, o2.PerTradeFIFOPnL);
}
public void FifoPnLIsCorrectAfterAddingToPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = 100,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(0, o.PerTradeFIFOPnL);
Assert.AreEqual(0, o2.PerTradeFIFOPnL);
}
public void ROACValueIsCorrectAfterPartialExit()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(10, 1);
Assert.AreEqual(1.05, pos.ROAC);
}
public void ROACValueIsCorrectAfterReversing()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -150,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
pos.GetPnL(11, 1);
Assert.AreEqual(Math.Round(1 + (1.0 * 100) / (10 * 100 + 11 * 50), 5), Math.Round(pos.ROAC, 5));
}
public void CorrectPriceBasisUpdateWhenReversingExistingPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -150,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(11, pos.CostBasis);
}
public void CumulativeCapitalUsedHasCorrectValueWhenReversing()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -200,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
Assert.AreEqual(12 * 100 + 11 * 100, pos.Capital.TodaysCapitalGross);
Assert.AreEqual(12 * 100 - 11 * 100, pos.Capital.TodaysCapitalNet);
Assert.AreEqual(12 * 100, pos.Capital.TodaysCapitalLong);
Assert.AreEqual(11 * 100, pos.Capital.TodaysCapitalShort);
}
public void AddingAnOrderForTheWrongInstrumentThrowsException()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -50,
Price = 11,
Instrument = new Instrument {
ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock
},
FXRateToBase = 1
};
pos.AddOrder(o2);
}
public void CapitalUsageWhenEnteringAndExitingMultipleOrdersNearCloseIsCountedWithShortPosition()
{
var pos = new Position(_instrument);
decimal orderCapitalUsage = 0;
var o = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 0)
};
orderCapitalUsage = pos.AddOrder(o);
Assert.AreEqual(0, orderCapitalUsage);
var o2 = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 1)
};
orderCapitalUsage = pos.AddOrder(o2);
Assert.AreEqual(0, orderCapitalUsage);
var o3 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 2)
};
orderCapitalUsage = pos.AddOrder(o3);
Assert.AreEqual(1000, orderCapitalUsage);
var o4 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
TradeDate = new DateTime(2000, 1, 1, 15, 59, 3)
};
orderCapitalUsage = pos.AddOrder(o4);
Assert.AreEqual(1000, orderCapitalUsage);
pos.GetPnL(10, 1);
Assert.AreEqual(2000, pos.Capital.Gross.Last());
Assert.AreEqual(2000, pos.Capital.Short.Last());
}
public void PnLIsDeferredForROACCalculationsIfNoCapitalIsUsed()
{
var pos = new Position(_instrument);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
pos.GetPnL(10, 1);
Assert.AreEqual(1 + (10d / (10 * 100)), pos.ROAC);
}
public void ROACValueIsCorrectWithCashTransactions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
Assert.AreEqual(1.01, pos.ROAC);
}
public void CorrectCapitalUsageReturnedWhenAddingOrderToEmptyPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
var res = pos.AddOrder(o);
Assert.AreEqual(1200, res);
}
public void CorrectPriceBasisUpdateWhenAddingOrderToEmptyPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(12, pos.CostBasis);
}
public void AddOrderReturnsCorrectCurrentCapitalUsageWhenOpeningAPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
decimal capUsage = pos.AddOrder(o);
Assert.AreEqual(1200, capUsage);
}
public void GetPnLReturnsCorrectPnLIncludingFXRateChanges()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(45, pos.GetPnL(11, 0.95m));
}
public void CorrectCapitalUsageReturnedWhenReversingExistingPosition()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 12,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var o2 = new Order
{
Quantity = -150,
Price = 11,
Instrument = _instrument,
FXRateToBase = 1
};
var res = pos.AddOrder(o2);
Assert.AreEqual(550, res);
}
public void GetPnLReturnsCorrectPnLForShortPositions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = -100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(-100, pos.GetPnL(11, 1));
Assert.AreEqual(100, pos.GetPnL(10, 1));
}
public void GetPnLIncludesCommissions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1,
Commission = -5
};
pos.AddOrder(o);
Assert.AreEqual(100 - 5, pos.GetPnL(11, 1));
Assert.AreEqual(-100, pos.GetPnL(10, 1));
}
public void MultiPeriodCapitalUsageIsRecordedCorrectly()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
Assert.AreEqual(1000, pos.Capital.TodaysCapitalGross);
Assert.AreEqual(1000, pos.Capital.TodaysCapitalLong);
pos.GetPnL(10, 1);
var o2 = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o2);
var o3 = new Order
{
Quantity = -200,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o3);
pos.GetPnL(10, 1);
Assert.AreEqual(2000, pos.Capital.Gross.Last());
Assert.AreEqual(2000, pos.Capital.Long.Last());
pos.GetPnL(10, 1);
var o4 = new Order
{
Quantity = 150,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o4);
pos.GetPnL(10, 1);
List <decimal> expectedCapitalGross = new List <decimal> {
1000, 2000, 0, 1500
};
for (int i = 0; i < expectedCapitalGross.Count; i++)
{
Assert.AreEqual(expectedCapitalGross[i], pos.Capital.Gross[i]);
}
}