internal Account CreateDerivativeAccount(int accountType, string typename, string accountname)
{
var acType = AccountType.Find(accountType, typename);
var account = CreateAccount(acType, accountname);
return(account);
}
internal Account CreateAccount(string typename, string accountname)
{
var acType = AccountType.Find(typename);
var account = CreateAccount(acType, accountname);
return(account);
}
/// <summary>
/// Contra Journal Entries
/// </summary>
/// <param name="env"></param>
/// <param name="element"></param>
/// <param name="tags"></param>
/// <param name="from"></param>
/// <param name="to"></param>
/// <param name="value"></param>
internal static void GenerateJournalEntries(PostingEngineEnvironment env, Transaction element, List <Tag> tags, string from, string to, double value)
{
var fromAccount = new AccountUtils().CreateAccount(AccountType.Find(from), tags, element);
var toAccount = new AccountUtils().CreateAccount(AccountType.Find(to), tags, element);
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
var debitJournal = new Journal(element)
{
Account = fromAccount,
When = env.ValueDate,
StartPrice = 0,
EndPrice = 0,
CreditDebit = env.DebitOrCredit(fromAccount, value),
Value = env.SignedValue(fromAccount, toAccount, true, value),
FxRate = element.TradePrice,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(debitJournal)
{
Account = toAccount,
CreditDebit = env.DebitOrCredit(toAccount, value),
Value = env.SignedValue(fromAccount, toAccount, false, value),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
public Account GetAccount(PostingEngineEnvironment env, string accountType, List <string> tags)
{
var account = CreateAccount(AccountType.Find(accountType), tags);
SaveAccountDetails(env, account);
return(account);
}
public AccountToFrom GetAccounts(PostingEngineEnvironment env, string fromType, string toType, List <string> tags)
{
var fromAccount = CreateAccount(AccountType.Find(fromType), tags);
var toAccount = CreateAccount(AccountType.Find(toType), tags);
SaveAccountDetails(env, fromAccount);
SaveAccountDetails(env, toAccount);
return(new AccountToFrom {
From = fromAccount, To = toAccount
});
}
internal Account DeriveMTMCorrectAccount(Account from, Transaction element, List <Tag> tags, double unrealizedPnl)
{
Account account = from;
var accountCategoryId = unrealizedPnl > 0 ? AccountCategory.AC_ASSET : AccountCategory.AC_LIABILITY;
switch (element.SecurityType)
{
case "CROSS":
case "FORWARD":
case "Physical index future.":
case "Equity Swap":
account = CreateAccount(AccountType.Find(accountCategoryId, "Derivative contracts, at fair value"), tags, element);
break;
}
return(account);
}
private AccountToFrom GetSettlementFromToAccount(Transaction element)
{
var listOfFromTags = new List <Tag>
{
Tag.Find("CustodianCode"),
Tag.Find("Symbol")
};
var listOfToTags = new List <Tag>
{
Tag.Find("CustodianCode"),
Tag.Find("Symbol")
};
Account fromAccount = null; // Debiting Account
Account toAccount = null; // Crediting Account
switch (element.Side.ToLowerInvariant())
{
case "credit":
// Contribution
if (element.Symbol.Equals("ZZ_CASH_DIVIDENDS"))
{
fromAccount = new AccountUtils().CreateAccount(AccountType.Find("Settled Cash"), listOfToTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find("DIVIDENDS RECEIVABLE"), listOfFromTags, element);
}
else // Default Action
{
fromAccount = new AccountUtils().CreateAccount(AccountType.Find("DUE FROM/(TO) PRIME BROKERS ( Unsettled Activity )"), listOfToTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find("SHORT POSITIONS AT COST"), listOfFromTags, element);
}
break;
}
return(new AccountToFrom
{
From = fromAccount,
To = toAccount
});
}
internal static void PostRealizedPnl(PostingEngineEnvironment env, Transaction element, double realizedPnl, string from, string to)
{
var listOfTags = new List <Tag> {
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
var fromAccount = new AccountUtils().CreateAccount(AccountType.Find(from), listOfTags, element);
var toAccount = new AccountUtils().CreateAccount(AccountType.Find(to), listOfTags, element);
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
var debitJournal = new Journal(element)
{
Account = fromAccount,
When = env.ValueDate,
StartPrice = 0,
EndPrice = 0,
CreditDebit = env.DebitOrCredit(fromAccount, realizedPnl),
Value = env.SignedValue(fromAccount, toAccount, true, realizedPnl),
FxRate = element.TradePrice,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(element, toAccount, Event.REALIZED_PNL, env.ValueDate)
{
StartPrice = 0,
EndPrice = 0,
FxRate = element.TradePrice,
CreditDebit = env.DebitOrCredit(toAccount, realizedPnl),
Value = env.SignedValue(fromAccount, toAccount, false, realizedPnl),
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
private AccountToFrom GetFromToAccount(Transaction element)
{
Account fromAccount = null; // Debiting Account
Account toAccount = null; // Crediting Account
var symbol = element.Symbol;
symbol = FakeJournals._codeMap.ContainsKey(symbol) ? FakeJournals._codeMap[symbol] : symbol;
var fromAccountType = AccountType.Find("PREPAID EXPENSES");
var toTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
switch (element.Side.ToLowerInvariant())
{
case "debit":
fromAccount = new AccountUtils().CreateAccount(AccountType.Find("Settled Cash"), toTags, element);
toAccount = new AccountUtils().CreateAccount(fromAccountType, symbol + " Paid", element);
break;
case "credit":
break;
default:
break;
}
return(new AccountToFrom
{
From = fromAccount,
To = toAccount
});
}
public bool Run(PostingEngineEnvironment env)
{
var sqlHelper = new SqlHelper(env.ConnectionString);
var sqlParams = new SqlParameter[]
{
new SqlParameter("@year", env.ValueDate.Year - 1),
};
var journals = new List <Journal>();
var dataTable = sqlHelper.GetDataTables("EndOfYear", CommandType.StoredProcedure, sqlParams);
var valueDate = env.ValueDate;
var prevValueDate = env.PreviousValueDate;
foreach (DataRow row in dataTable[0].Rows)
{
int offset = 0;
var yearEndResult = new
{
AccountCategory = Convert.ToString(row[offset++]),
AccountType = Convert.ToString(row[offset++]),
Fund = Convert.ToString(row[offset++]),
Debit = Convert.ToDecimal(row[offset++]),
Credit = Convert.ToDecimal(row[offset++]),
};
var credit = Convert.ToDouble(yearEndResult.Credit);
var debit = Convert.ToDouble(yearEndResult.Debit);
var balance = Convert.ToDouble(yearEndResult.Debit - yearEndResult.Credit);
var netIncomePrev = $"Retained Earnings {(valueDate.Year - 1)}";
var netIncomeCurrent = $"Net Income Current Year";
if (AccountType.Find(AccountCategory.AC_EQUITY, netIncomePrev, false) == null)
{
// Need to create the Account Type
var createdAccountType = AccountType.FindOrCreate(AccountCategory.AC_EQUITY, netIncomePrev);
new AccountUtils().Save(env, createdAccountType);
}
if (AccountType.Find(AccountCategory.AC_EQUITY, netIncomeCurrent, false) == null)
{
// Need to create the Account Type
var createdAccountType = AccountType.FindOrCreate(AccountCategory.AC_EQUITY, netIncomeCurrent);
new AccountUtils().Save(env, createdAccountType);
}
var accountName = $"[{yearEndResult.AccountCategory}]{yearEndResult.AccountType}";
journals.AddRange(ReverseCredit(env, valueDate, yearEndResult, yearEndResult.AccountType, netIncomePrev, accountName, credit));
journals.AddRange(ReverseDebit(env, valueDate, yearEndResult, yearEndResult.AccountType, netIncomePrev, accountName, debit));
}
if (journals.Count() > 0)
{
env.CollectData(journals);
journals.Clear();
}
return(true);
}
private AccountToFrom GetFromToAccount(Transaction element)
{
Account fromAccount = null; // Debiting Account
Account toAccount = null; // Crediting Account
var au = new AccountUtils();
switch (element.Side.ToLowerInvariant())
{
case "debit":
{
if (element.Symbol.Equals("ZZ_INVESTOR_WITHDRAWALS"))
{
var fromTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
var toTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
fromAccount = au.CreateAccount(AccountType.Find("CONTRIBUTED CAPITAL"), fromTags, element);
toAccount = au.CreateAccount(AccountType.Find("Settled Cash"), toTags, element);
}
else if (element.Symbol.Equals("ZZ_CASH_DIVIDENDS"))
{
var fromTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
var toTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
fromAccount = au.CreateAccount(AccountType.Find("DIVIDENDS RECEIVABLE"), fromTags, element);
toAccount = au.CreateAccount(AccountType.Find("DIVIDEND INCOME"), toTags, element);
}
else
{
var symbol = element.Symbol;
symbol = _codeMap.ContainsKey(symbol) ? _codeMap[symbol] : symbol;
var paidAccount = AccountType.Find("Expenses Paid");
var payableAccount = AccountType.Find("ACCRUED EXPENSES");
fromAccount = new AccountUtils().CreateAccount(paidAccount, symbol, element);
toAccount = new AccountUtils().CreateAccount(payableAccount, symbol + " Payable", element);
}
break;
}
case "credit":
// Contribution
if (element.Symbol.Equals("ZZ_INVESTOR_CONTRIBUTIONS"))
{
var fromTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
var toTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
fromAccount = new AccountUtils().CreateAccount(AccountType.Find("Settled Cash"), fromTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find("CONTRIBUTED CAPITAL"), toTags, element);
}
else if (element.Symbol.Equals("ZZ_CASH_DIVIDENDS"))
{
var fromTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
var toTags = new List <Tag>
{
Tag.Find("CustodianCode")
};
fromAccount = new AccountUtils().CreateAccount(AccountType.Find("DIVIDENDS RECEIVABLE"), fromTags, element);
toAccount = new AccountUtils().CreateAccount(AccountType.Find("DIVIDEND INCOME"), toTags, element);
}
else // Default Action
{
var symbol = element.Symbol;
symbol = _codeMap.ContainsKey(symbol) ? _codeMap[symbol] : symbol;
var paidAccount = AccountType.Find("Expenses Paid");
var payableAccount = AccountType.Find("ACCRUED EXPENSES");
fromAccount = new AccountUtils().CreateAccount(paidAccount, symbol, element);
toAccount = new AccountUtils().CreateAccount(payableAccount, symbol + " Payable", element);
}
break;
}
return(new AccountToFrom
{
From = fromAccount,
To = toAccount
});
}
public bool Run(PostingEngineEnvironment env)
{
var dates = "select minDate = min([when]), maxDate = max([when]) from vwJournal";
env.CallBack?.Invoke("ExpencesAndRevenues Calculation Started");
var table = new DataTable();
// read the table structure from the database
using (var adapter = new SqlDataAdapter(dates, new SqlConnection(env.ConnectionString)))
{
adapter.Fill(table);
adapter.Dispose();
};
var valueDate = Convert.ToDateTime(table.Rows[0]["minDate"]);
var endDate = Convert.ToDateTime(table.Rows[0]["maxDate"]);
using (var cc = new SqlConnection(env.ConnectionString))
{
cc.Open();
SetupEnvironment.Setup(cc);
cc.Close();
}
var journals = new List <Journal>();
var connection = new SqlConnection(env.ConnectionString);
connection.Open();
var transaction = connection.BeginTransaction();
var sqlHelper = new SqlHelper(env.ConnectionString);
var rowsCompleted = 1;
var numberOfDays = (endDate - valueDate).Days;
while (valueDate <= endDate)
{
if (!valueDate.IsBusinessDate())
{
valueDate = valueDate.AddDays(1);
rowsCompleted++;
continue;
}
try
{
var sqlParams = new SqlParameter[]
{
new SqlParameter("@startDate", new DateTime(valueDate.Year, 1, 1)),
new SqlParameter("@businessDate", valueDate),
new SqlParameter("@prevbusinessDate", valueDate.PrevBusinessDate()),
};
var dataTable = sqlHelper.GetDataTables("DayOverDayIncome", CommandType.StoredProcedure, sqlParams.ToArray());
foreach (DataRow row in dataTable[0].Rows)
{
int offset = 0;
var expencesAndRevenues = new
{
Fund = Convert.ToString(row[offset++]),
Credit = Convert.ToDecimal(row[offset++]),
Debit = Convert.ToDecimal(row[offset++]),
Balance = Convert.ToDecimal(row[offset++]),
};
var accountType = $"Net Income Current Year";
if (AccountType.Find(AccountCategory.AC_EQUITY, accountType, false) == null)
{
// Need to create the Account Type
var createdAccountType = AccountType.FindOrCreate(AccountCategory.AC_EQUITY, accountType);
new AccountUtils().Save(env, createdAccountType);
}
var balance = Convert.ToDouble(expencesAndRevenues.Balance);
var account = new AccountUtils().GetAccount(env, accountType, new string[] { env.BaseCurrency }.ToList());
var debit = new Journal(account, "expences-revenues", valueDate)
{
Source = "calculated-data",
Fund = expencesAndRevenues.Fund,
Quantity = balance,
FxCurrency = env.BaseCurrency,
Symbol = env.BaseCurrency,
SecurityId = -1,
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
// If this number is +ve then its actually a Debit and this is going into a Equity account which needs to be -ve and not +ve
Value = balance * -1,
CreditDebit = env.DebitOrCredit(account, balance * -1),
};
journals.AddRange(new List <Journal>(new[] { debit }));
}
}
catch (Exception ex)
{
env.CallBack?.Invoke($"Exception on {valueDate.ToString("MM-dd-yyyy")}, {ex.Message}");
}
env.CallBack?.Invoke($"Completed ExpencesAndRevenues for {valueDate.ToString("MM-dd-yyyy")}", numberOfDays, rowsCompleted++);
valueDate = valueDate.AddDays(1);
}
if (journals.Count() > 0)
{
env.CollectData(journals);
journals.Clear();
}
transaction.Commit();
connection.Close();
return(true);
}
public Forward()
{
atSettledCash = AccountType.Find("Settled Cash");
unrealizedAccountType = AccountType.Find("Change in Unrealized Derivatives Contracts at Fair Value");
realizedAccountType = AccountType.Find("REALIZED GAIN/(LOSS)");
}
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 });
}