public void AddTransactions(SortedList <DateTime, Transaction> txList, FXMarketHistory fxmh)
{
PnLElements = new SortedDictionary <DateTime, PnLElement> {
};
DateTime lastDate = new DateTime(2008, 1, 1);
foreach (var item in txList)
{
Transaction tx = item.Value;
if ((tx.Date.ToOADate() - lastDate.ToOADate()) * 24 * 60 * 60 < 1)
{
lastDate = lastDate.AddSeconds(1);
}
else
{
lastDate = tx.Date;
}
bool justFees = true;
if (tx.Received.Ccy == Ccy)
{
justFees = false;
switch (tx.Type)
{
case TransactionType.Deposit:
if (Ccy.IsFiat())
{
PnLElement pnlD = GetLastPnLElement();
PnLElement newPnLD = (PnLElement)pnlD.Clone();
CurrencyPair cpD = new CurrencyPair(tx.Received.Ccy, CcyRef);
XChangeRate xrD = fxmh.GetQuote(lastDate, cpD, isArtificial: true).Item2;
double newWeightD = 1 / (1 + pnlD.Position / tx.Received.Amount);
newPnLD.AverageCost = (1 - newWeightD) * pnlD.AverageCost + newWeightD * xrD.Rate;
newPnLD.Position += tx.Received.Amount;
newPnLD.Deposit += tx.Received.Amount * xrD.Rate;
PnLElements.Add(lastDate, newPnLD);
}
else
{
PnLElement pnlDCrypto = GetLastPnLElement();
PnLElement newPnLDCrypto = (PnLElement)pnlDCrypto.Clone();
newPnLDCrypto.Position -= tx.Fees.Amount;
newPnLDCrypto.Fees += tx.Fees.Amount;
PnLElements.Add(lastDate, newPnLDCrypto);
}
break;
case TransactionType.Trade:
PnLElement pnlT = GetLastPnLElement();
PnLElement newPnLT = (PnLElement)pnlT.Clone();
CurrencyPair cpT = new CurrencyPair(tx.Received.Ccy, CcyRef);
//XChangeRate xrT = fxmh.GetQuote(lastDate, cpT, isArtificial: true).Item2;
XChangeRate xrT = GetAdjustedFXRate(lastDate, tx.XRate, fxmh);
double amount = tx.Received.Amount;
if (tx.Fees.Ccy == Ccy)
{
amount -= tx.Fees.Amount;
newPnLT.Fees += tx.Fees.Amount * xrT.Rate;
}
double newWeight = 1 / (1 + pnlT.Position / amount);
newPnLT.AverageCost = (1 - newWeight) * pnlT.AverageCost + newWeight * xrT.Rate;
newPnLT.Position += amount;
PnLElements.Add(lastDate, newPnLT);
break;
case TransactionType.Transfer:
PnLElement pnlTf = GetLastPnLElement();
PnLElement newPnLTf = (PnLElement)pnlTf.Clone();
newPnLTf.Position += tx.Received.Amount;
double newWeightTf = 1 / (1 + pnlTf.Position / tx.Received.Amount);
newPnLT.AverageCost = (1 - newWeightTf) * pnlTf.AverageCost + newWeightTf * 0;
PnLElements.Add(lastDate, newPnLTf);
break;
default:
break;
}
}
if (tx.Paid.Ccy == Ccy)
{
justFees = false;
switch (tx.Type)
{
case TransactionType.Trade:
PnLElement pnlTrade = GetLastPnLElement();
PnLElement newPnLTrade = (PnLElement)pnlTrade.Clone();
newPnLTrade.Position -= tx.Paid.Amount;
Price feesT = tx.Fees;
if (tx.Fees.Ccy == Ccy)
{
CurrencyPair cpFT = new CurrencyPair(feesT.Ccy, CcyRef);
XChangeRate xrFT = fxmh.GetQuote(lastDate, cpFT, isArtificial: true).Item2;
newPnLTrade.Fees += xrFT.ConvertPrice(feesT).Amount;
newPnLTrade.Position -= feesT.Amount;
}
CurrencyPair cpT2 = new CurrencyPair(tx.Paid.Ccy, CcyRef);
//XChangeRate xrT2 = fxmh.GetQuote(lastDate, cpT2, isArtificial: true).Item2;
XChangeRate xrT2 = GetAdjustedFXRate(lastDate, tx.XRate, fxmh);
newPnLTrade.RealizedPnL += tx.Paid.Amount * (xrT2.Rate - newPnLTrade.AverageCost);
PnLElements.Add(lastDate, newPnLTrade);
break;
case TransactionType.WithDrawal:
PnLElement pnl = GetLastPnLElement();
PnLElement newPnLW = (PnLElement)pnl.Clone();
Price feesW = tx.Fees;
CurrencyPair cpW = new CurrencyPair(feesW.Ccy, CcyRef);
XChangeRate xW = fxmh.GetQuote(lastDate, cpW, isArtificial: true).Item2;
newPnLW.Fees += xW.ConvertPrice(feesW).Amount;
newPnLW.Position -= feesW.Amount;
if (tx.Paid.Ccy.IsFiat())
{
newPnLW.Position -= tx.Paid.Amount;
newPnLW.Withdrawal += xW.ConvertPrice(tx.Paid).Amount;
newPnLW.RealizedPnL += (tx.Paid.Amount + feesW.Amount) * (xW.Rate - newPnLW.AverageCost);
}
else
{
newPnLW.RealizedPnL += feesW.Amount * (xW.Rate - newPnLW.AverageCost);
}
PnLElements.Add(lastDate, newPnLW);
break;
default:
break;
}
}
if (tx.Fees.Ccy == Ccy && justFees)
{
throw new Exception("ERROR JUST FEES!");
}
}
}
