public void TestEnumToInt()
{
TradeActionBuySell enum1 = TradeActionBuySell.Buy;
PositionDirection enum2 = PositionDirection.LongPosition;
Assert.AreEqual(enum1.ToInt(), enum2.ToInt());
}
/// <summary>
/// Calculates the average basis cost of a sequence of trades
/// </summary>
/// <param name="trades">Ordered list of trades. Reordered in ascending date order upon entry.</param>
/// <param name="direction">Calculates for a long position or short. Throws an exception if the first trade in the sequence does not match</param>
/// <returns>The average cost per share of remaining shares at the end of the trade sequence. Throws an exception if the position ever flips long/short</returns>
public static decimal AverageCost(this List <Trade> trades, PositionDirection direction)
{
// Order the trades
trades = new List <Trade>(trades).OrderBy(x => x.TradeDate).ToList();
// Check direction
if ((int)trades.FirstOrDefault().TradeActionBuySell != (int)direction)
{
throw new InvalidTradeForPositionException();
}
// Iterate through the trades and compute average cost
int sharesOpen = 0;
decimal averageCost = 0;
foreach (var trd in trades)
{
// Buy trades increase position and update average price
// Sell trades reduce position
if (trd.TradeActionBuySell.ToInt() == direction.ToInt())
{
averageCost = ((averageCost * sharesOpen) + (trd.TotalCashImpactAbsolute)) / (sharesOpen += trd.Quantity);
}
else if (trd.TradeActionBuySell.ToInt() == -direction.ToInt())
{
sharesOpen -= trd.Quantity;
}
// sharesOpen should always be positive, otherwise we have flipped long/short
if (sharesOpen < 0)
{
throw new InvalidTradeForPositionException();
}
}
return(Math.Round(averageCost, 3));
}
