public void AddingCashTransactionInForeignCurrencyResultsInFxPositionAddition()
{
var trade = new Trade();
var date = new DateTime(2000, 1, 1);
var eur = new Currency { ID = 2, Name = "EUR" };
var ct = new CashTransaction { InstrumentID = 1, Currency = eur, CurrencyID = 2, Amount = 50, FXRateToBase = 1.5m, Instrument = _inst, TransactionDate = date, AssetCategory = AssetClass.Stock };
trade.CashTransactions = new List<CashTransaction> { ct };
var tracker = new TradeTracker(trade, 1);
foreach (CashTransaction c in trade.CashTransactions)
{
tracker.AddCashTransaction(c);
}
Assert.IsTrue(tracker.CurrencyPositions.ContainsKey(2));
Assert.IsTrue(tracker.CurrencyPositions[2].Quantity == 50);
Assert.IsTrue(tracker.CurrencyPositions[2].CostBasis == 1.5m);
}
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);
}
/// <summary>
/// Add a cash transaction to this position.
/// </summary>
public void AddCashTransaction(CashTransaction ct)
{
if (Currency == null)
{
Currency = ct.Currency;
}
decimal amt = ct.Amount * ct.FXRateToBase;
if (Quantity < 0)
{
_unrecognizedPnLShort += amt;
RealizedPnLShort += amt;
}
else
{
_unrecognizedPnLLong += amt;
RealizedPnLLong += amt;
}
}
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 AddCashTransaction(CashTransaction ct)
{
Open = true;
if (ct.InstrumentID.HasValue)
{
if (Positions.ContainsKey(ct.Instrument.ID))
Positions[ct.Instrument.ID].AddCashTransaction(ct);
}
else
{
//InstrumentID is null. This happens frequently
//as many cash transactions are not related to a particular instrument
Positions[NullInstrumentId].AddCashTransaction(ct);
}
if(ct.CurrencyID > 1)
{
var ft = new FXTransaction
{
FXCurrency = ct.Currency,
FXCurrencyID = ct.CurrencyID,
Quantity = ct.Amount,
Proceeds = ct.Amount * ct.FXRateToBase,
Cost = -ct.Amount * ct.FXRateToBase,
DateTime = ct.TransactionDate
};
AddFXTransaction(ft);
}
_cashTransactionsRemaining--;
}