public bool Run(PostingEngineEnvironment env)
{
env.CallBack?.Invoke("Pull From BookMon Calculation Started");
using (var connection = new SqlConnection(env.ConnectionString))
{
connection.Open();
var sql = @"
declare @minDate as Date
declare @maxDate as Date
select @minDate = min(busDate), @maxDate = max(busDate) from PositionMaster..IntraDayPositionSplit
exec FundAccounting..PullDailyActivity @minDate, @maxDate
exec FundAccounting..PullDailyMarketPrices @minDate, @maxDate
exec FundAccounting..PullDailyFxPrices @minDate, @maxDate
";
var command = new SqlCommand(sql, connection);
command.CommandTimeout = 60; // 1 Mins, shoudl not take this long.
command.ExecuteNonQuery();
connection.Close();
}
return(true);
}
public static void Save(this Journal[] entries, PostingEngineEnvironment env)
{
foreach (var i in entries)
{
i.Save(env.Connection, env.Transaction);
}
}
/// <summary>
/// Relieves the passed Taxlot
/// </summary>
/// <param name="env">Environment</param>
/// <param name="lot">The Tax Lot to relieve</param>
/// <param name="trade">The current trade</param>
/// <param name="quantity">Quantity to relieve</param>
/// <param name="fxrate">Appropriate fxrate</param>
internal static TaxLot RelieveTaxLot(PostingEngineEnvironment env, TaxLotDetail lot, Transaction trade, double quantity, bool reverse = false)
{
var prevFxRate = FxRates.Find(lot.Trade.TradeDate, lot.Trade.SettleCurrency).Rate;
var investmentAtCost = quantity * lot.Trade.SettleNetPrice * prevFxRate;
if (reverse)
{
investmentAtCost = investmentAtCost * -1;
}
var tl = new TaxLot
{
Trade = trade,
TradeDate = trade.TradeDate,
InvestmentAtCost = investmentAtCost, // Needs to be the Investment Cost that we are relieving from the Tax
BusinessDate = env.ValueDate,
OpeningLotId = lot.Trade.LpOrderId,
ClosingLotId = trade.LpOrderId,
TradePrice = lot.Trade.SettleNetPrice,
CostBasis = trade.SettleNetPrice,
Quantity = quantity
};
CalculateRealizedPnl(env, tl);
tl.Save(env.Connection, env.Transaction);
return(tl);
}
internal static void ReverseUnrealizedPnl(PostingEngineEnvironment env, Transaction openTaxLot, Transaction trade, double unrealizedPnl, double start, double end, double fxrate)
{
var accountToFrom = UnRealizedPnlPostingAccounts(openTaxLot, unrealizedPnl);
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
var fromJournal = new Journal(openTaxLot)
{
When = env.ValueDate,
Event = Event.REVERSE_UNREALIZED_PNL,
FxRate = fxrate,
Fund = env.GetFund(openTaxLot),
StartPrice = start,
EndPrice = end,
Quantity = trade.Quantity,
Account = accountToFrom.To,
CreditDebit = env.DebitOrCredit(accountToFrom.To, unrealizedPnl),
Value = env.SignedValue(accountToFrom.To, accountToFrom.From, true, unrealizedPnl),
};
var toJournal = new Journal(fromJournal)
{
Account = accountToFrom.From,
CreditDebit = env.DebitOrCredit(accountToFrom.From, unrealizedPnl),
Value = env.SignedValue(accountToFrom.To, accountToFrom.From, false, unrealizedPnl),
};
env.Journals.AddRange(new[] { fromJournal, toJournal });
}
public new void TradeDateEvent(PostingEngineEnvironment env, Transaction element)
{
if (element.Symbol.StartsWith("COST"))
{
}
base.TradeDateEvent(env, element);
}
/// <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 });
}
/// <summary>
/// Calculate the Unrealized Pnl for the passed TaxLotStatus
/// </summary>
/// <param name="env"></param>
/// <param name="i"></param>
/// <param name="trade"></param>
/// <returns></returns>
private double CalculateUnrealizedPnl(PostingEngineEnvironment env, TaxLotDetail i, Transaction trade, double workingQuantity)
{
var fxrate = FxRates.Find(env.ValueDate, i.Trade.SettleCurrency).Rate;
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(trade.BloombergCode))
{
multiplier = env.SecurityDetails[trade.BloombergCode].Multiplier;
}
if (env.TaxLotStatus.ContainsKey(i.Trade.LpOrderId))
{
var lot = i.TaxLotStatus;
var quantity = lot.Quantity;
var unrealizedPnl = (trade.SettleNetPrice - i.Trade.SettleNetPrice) * quantity * fxrate * multiplier;
return(unrealizedPnl);
}
return(0);
}
public List <TaxLotDetail> GetOpenLots(PostingEngineEnvironment env, Transaction element, double workingQuantity)
{
Logger.Info($"Getting Open Tax Lots for {element.Symbol}::{element.Side}::{workingQuantity}::{element.TradeDate.ToString("MM-dd-yyyy")}");
var minTaxLots = new List <TaxLotDetail>();
var openlots = BaseTaxLotMethodology.OpenTaxLots(env, element, workingQuantity).ToList();
var results = openlots.Select(i => new {
trade = i.Trade,
taxRate = i.TaxRate,
taxLotStatus = i.TaxLotStatus,
potentialPnl = CalculateUnrealizedPnl(env, i, element, workingQuantity),
taxAmount = CalculateTaxImplication(env, i, element, workingQuantity)
}).ToList();
minTaxLots = results.Where(i => i.taxLotStatus.Quantity != 0).OrderBy(i => Math.Abs(i.taxAmount)).Select(i => new TaxLotDetail {
TaxRate = i.taxRate,
Trade = i.trade,
TaxLotStatus = i.taxLotStatus,
PotentialPnl = i.potentialPnl,
TaxLiability = i.taxAmount
}).ToList();
BaseTaxLotMethodology.Log(Logger, minTaxLots);
return(minTaxLots);
}
/// <summary>
/// Dealing with the settlement event
/// </summary>
/// <param name="element"></param>
/// <param name="debit"></param>
/// <param name="credit"></param>
/// <returns></returns>
internal AccountToFrom GetFromToAccountOnSettlement(PostingEngineEnvironment env, Transaction element)
{
var accountTypes = AccountType.All;
var listOfTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
if (_settledCash == null)
{
_settledCash = accountTypes.Where(i => i.Name.Equals("Settled Cash")).FirstOrDefault();
_pbUnsettledActivity = accountTypes.Where(i => i.Name.Equals("DUE FROM/(TO) PRIME BROKERS ( Unsettled Activity )")).FirstOrDefault();
}
Account fromAccount = null; // Debiting Account
Account toAccount = null; // Crediting Account
switch (element.Side.ToLowerInvariant())
{
case "buy":
fromAccount = new AccountUtils()
.CreateAccount(_pbUnsettledActivity, listOfTags, element);
toAccount = new AccountUtils()
.CreateAccount(_settledCash, listOfTags, element);
break;
case "sell":
fromAccount = new AccountUtils()
.CreateAccount(_pbUnsettledActivity, listOfTags, element);
toAccount = new AccountUtils()
.CreateAccount(_settledCash, listOfTags, element);
break;
case "short":
fromAccount = new AccountUtils()
.CreateAccount(_pbUnsettledActivity, listOfTags, element);
toAccount = new AccountUtils()
.CreateAccount(_settledCash, listOfTags, element);
break;
case "cover":
fromAccount = new AccountUtils()
.CreateAccount(_pbUnsettledActivity, listOfTags, element);
toAccount = new AccountUtils()
.CreateAccount(_settledCash, listOfTags, element);
break;
}
new AccountUtils().SaveAccountDetails(env, fromAccount);
new AccountUtils().SaveAccountDetails(env, toAccount);
return(new AccountToFrom
{
From = fromAccount,
To = toAccount
});
}
public Account GetAccount(PostingEngineEnvironment env, string accountType, List <string> tags)
{
var account = CreateAccount(AccountType.Find(accountType), tags);
SaveAccountDetails(env, account);
return(account);
}
private double CalculateTaxImplication(PostingEngineEnvironment env, TaxLotDetail i, Transaction trade, double workingQuantity)
{
var unrealizedPnl = CalculateUnrealizedPnl(env, i, trade, workingQuantity);
var taxrate = Convert.ToDouble(i.TaxRate.Rate);
var taxImplication = unrealizedPnl * taxrate;
return(taxImplication);
}
public static MarketPrice GetPrice(PostingEngineEnvironment env, DateTime valueDate, Transaction element)
{
var eodMarketPrice = Find(valueDate, element);
if (!eodMarketPrice.Valid)
{
env.AddMessage(eodMarketPrice.Error);
}
return(eodMarketPrice);
}
public void SettlementDateEvent(PostingEngineEnvironment env, Transaction element)
{
// Entry has already been processed
if (element.TradeDate.Date.Equals(element.SettleDate.Date) && element.SecurityType.ToLowerInvariant().Equals("cash"))
{
CommonRules.GenerateSettlementDateJournals(env, element);
return;
}
return;
}
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
});
}
public bool Run(PostingEngineEnvironment env)
{
env.CallBack?.Invoke($"{Module} Calculation Started");
var dates = "select minDate = min([when]), maxDate = max([when]) from vwJournal";
var table = new DataTable();
using (var connection = new SqlConnection(env.ConnectionString))
{
connection.Open();
// read the table structure from the database
using (var adapter = new SqlDataAdapter(dates, connection))
{
adapter.Fill(table);
};
var valueDate = Convert.ToDateTime(table.Rows[0]["minDate"]);
var endDate = Convert.ToDateTime(table.Rows[0]["maxDate"]);
var rowsCompleted = 1;
var numberOfDays = (endDate - valueDate).Days;
while (valueDate <= endDate)
{
if (!valueDate.IsBusinessDate())
{
valueDate = valueDate.AddDays(1);
rowsCompleted++;
continue;
}
try
{
var transaction = connection.BeginTransaction();
CostBasisDto.Calculate(connection, transaction, valueDate);
transaction.Commit();
}
catch (Exception ex)
{
env.CallBack?.Invoke($"{Module} Exception on {valueDate.ToString("MM-dd-yyyy")}, {ex.Message}");
}
env.CallBack?.Invoke($"Completed {Module} for {valueDate.ToString("MM-dd-yyyy")}", numberOfDays, rowsCompleted++);
valueDate = valueDate.AddDays(1);
}
connection.Close();
}
env.CallBack?.Invoke($"{Module} Calculation Finished");
return(true);
}
/// <summary>
/// TradeCurrency == Base
/// SettleCurrency == Risk
/// </summary>
/// <param name="env"></param>
/// <param name="element"></param>
public void TradeDateEvent(PostingEngineEnvironment env, Transaction element)
{
double fxrate = 1.0;
// Lets get fx rate if needed
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var t1 = env.GenerateOpenTaxLot(element, fxrate);
Logger.Info($"Generated Open TaxLot {t1.Symbol}::{t1.Side}::{element.SecurityType}");
}
private IEnumerable <Journal> ReverseCredit(PostingEngineEnvironment env, DateTime valueDate, dynamic yearEndResult, string fromAccount, string toAccount, string accountName, double balance)
{
var debitAccount = new AccountUtils().CreateAccount(fromAccount, accountName);
var creditAccount = new AccountUtils().CreateAccount(toAccount, accountName);
new AccountUtils().SaveAccountDetails(env, debitAccount);
new AccountUtils().SaveAccountDetails(env, creditAccount);
if (yearEndResult.AccountCategory.Equals("Expenses"))
{
balance *= -1;
}
var debitJournal = new Journal(debitAccount, Event.YEAR_END, valueDate)
{
Source = "year-closeout",
Fund = yearEndResult.Fund,
Quantity = balance,
FxCurrency = env.BaseCurrency,
Symbol = env.BaseCurrency,
SecurityId = -1,
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = balance * -1,
CreditDebit = env.DebitOrCredit(debitAccount, balance),
};
var creditJournal = new Journal(creditAccount, Event.YEAR_END, valueDate)
{
Source = "year-closeout",
Fund = yearEndResult.Fund,
Quantity = balance,
FxCurrency = env.BaseCurrency,
Symbol = env.BaseCurrency,
SecurityId = -1,
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = balance,
CreditDebit = env.DebitOrCredit(creditAccount, balance),
};
return(new Journal[] { creditJournal, debitJournal });
}
/// <summary>
/// Calcualte the Unrealized Pnl for this Tax lot
/// </summary>
/// <param name="env"></param>
/// <returns></returns>
public static double CalculateUnrealizedPnl(PostingEngineEnvironment env, TaxLotStatus taxLotStatus, double residualQuantity = 0, double endPrice = 0)
{
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(taxLotStatus.Trade.BloombergCode))
{
multiplier = env.SecurityDetails[taxLotStatus.Trade.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!taxLotStatus.Trade.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, taxLotStatus.Trade.SettleCurrency).Rate);
}
var eodPrice = 0.0;
var prevEodPrice = 0.0;
if (env.ValueDate == taxLotStatus.Trade.TradeDate)
{
prevEodPrice = taxLotStatus.Trade.SettleNetPrice;
var eodMarketPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade);
if (!eodMarketPrice.Valid)
{
env.AddMessage(eodMarketPrice.Error);
}
eodPrice = eodMarketPrice.Price;
}
else
{
prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, taxLotStatus.Trade).Price;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
eodPrice = endPrice != 0 ? endPrice : eodPrice;
// Use residual Quantity if specified
var quantity = residualQuantity != 0.0 ? residualQuantity : taxLotStatus.Quantity;
var priceDiff = (eodPrice - prevEodPrice);
var unrealizedPnl = priceDiff * quantity;
return(unrealizedPnl * fxrate * multiplier);
}
public bool IsValid(PostingEngineEnvironment env, Transaction element)
{
if (element.AccrualId == null)
{
return(true);
}
var validAccrual = env.IsValidAccrual(element.AccrualId);
if (!validAccrual)
{
env.AddMessage($"trade does not tie back to a valid accrual {element.AccrualId}");
}
return(validAccrual);
}
private void PostUnrealizedFxGain(PostingEngineEnvironment env, Transaction element, double realizedFxPnl, double start, double end, double fxrate)
{
var m2mtranslation = "Mark to Market longs fx translation gain or loss";
if (element.IsShort())
{
m2mtranslation = "Mark to Market shorts fx translation gain or loss";
}
var fromTo = new AccountUtils().GetAccounts(env, m2mtranslation, "change in unrealized do to fx translation", new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, true, realizedFxPnl * -1),
CreditDebit = env.DebitOrCredit(fromTo.From, realizedFxPnl),
};
var credit = new Journal(fromTo.To, Event.UNREALIZED_FX_TRANSLATION, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, false, realizedFxPnl * -1),
CreditDebit = env.DebitOrCredit(fromTo.To, realizedFxPnl),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
private void AccrualPayment(PostingEngineEnvironment env, Transaction element, Accrual accrual)
{
var accountToFrom = GetFromToAccount(element);
if (accountToFrom.To == null || accountToFrom.From == null)
{
env.AddMessage($"Unable to identify From/To accounts for trade {element.OrderSource} :: {element.Side}");
return;
}
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
double fxrate = 1.0;
if (!element.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, element.SettleCurrency).Rate);
}
var moneyUSD = element.LocalNetNotional * fxrate;
var debit = new Journal(element)
{
Account = accountToFrom.From,
When = env.ValueDate,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.From, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, moneyUSD),
Event = "prepaid-expense",
Fund = env.GetFund(element),
};
var credit = new Journal(element)
{
Account = accountToFrom.To,
When = env.ValueDate,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.To, moneyUSD),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, moneyUSD),
Event = "prepaid-expense",
Fund = env.GetFund(element),
};
env.Journals.Add(debit);
env.Journals.Add(credit);
}
internal static void PostRealizedPnl(PostingEngineEnvironment env, Transaction element, double pnL, double start, double end, double fxrate = 1.0)
{
var accountToFrom = RealizedPnlPostingAccounts(element, pnL);
new AccountUtils().SaveAccountDetails(env, accountToFrom.From);
new AccountUtils().SaveAccountDetails(env, accountToFrom.To);
if (element.IsDerivative())
{
// Need to Credit the From and Debit the to
pnL *= -1;
}
else
{
if (element.IsShort() || element.IsCover())
{
pnL *= -1;
}
}
var debitJournal = new Journal(element)
{
Account = accountToFrom.From,
When = env.ValueDate,
StartPrice = start,
EndPrice = end,
CreditDebit = env.DebitOrCredit(accountToFrom.From, pnL),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, true, pnL),
FxRate = fxrate,
Event = Event.REALIZED_PNL,
Fund = env.GetFund(element),
};
var creditJournal = new Journal(element, accountToFrom.To, Event.REALIZED_PNL, env.ValueDate)
{
StartPrice = start,
EndPrice = end,
FxRate = fxrate,
CreditDebit = env.DebitOrCredit(accountToFrom.To, pnL * -1),
Value = env.SignedValue(accountToFrom.From, accountToFrom.To, false, pnL),
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { debitJournal, creditJournal });
}
public bool Run(PostingEngineEnvironment env)
{
env.CallBack?.Invoke($"{Module} Started");
env.CallBack?.Invoke("Getting Daily Pnl Data");
var performanceRecords = DailyPnL.GetList(env.ConnectionString);
env.CallBack?.Invoke($"{Module} Running the calculation");
var dailyPerformanceResult = new DailyPnlCalculator().CalculateDailyPerformance(performanceRecords);
var dailyPerformance = dailyPerformanceResult.GetType().GetProperty("payload")
?.GetValue(dailyPerformanceResult, null);
bool insertDailyPnl = UpdateDailyPnl((List <DailyPnL>)dailyPerformance, env.ConnectionString);
env.CallBack?.Invoke($"{Module} Finished");
return(true);
}
public void TradeDateEvent(PostingEngineEnvironment env, Transaction element)
{
if (element.AccrualId == null)
{
// We have just cash here so what do we do ?
CommonRules.GenerateTradeDateJournals(env, element);
return;
}
var accrual = env.Accruals.ContainsKey(element.AccrualId) ? env.Accruals[element.AccrualId] : null;
if (accrual != null)
{
AccrualPayment(env, element, accrual);
return;
}
return;
}
private void PostRealizedFxGain(PostingEngineEnvironment env, Transaction element, double realizedFxPnl, double start, double end, double fxrate)
{
var accountType = (element.IsShort() || element.IsCover()) ? "SHORT POSITIONS AT COST" : "LONG POSITIONS AT COST";
var fromTo = new AccountUtils().GetAccounts(env, accountType, "REALIZED GAIN/(LOSS) DUE TO FX", new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, "realized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, true, realizedFxPnl),
CreditDebit = env.DebitOrCredit(fromTo.From, realizedFxPnl),
};
var credit = new Journal(fromTo.To, "realized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = fxrate,
StartPrice = start,
EndPrice = end,
Value = env.SignedValue(fromTo.From, fromTo.To, false, realizedFxPnl),
CreditDebit = env.DebitOrCredit(fromTo.To, realizedFxPnl),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
/// <summary>
/// Calculate the Realized Pnl based on the relieved Tax Lot
/// </summary>
/// <param name="createdTaxLot">The Relief</param>
/// <param name="taxLotToRelieve">The target taxlot</param>
public static double CalculateRealizedPnl(PostingEngineEnvironment env, TaxLot createdTaxLot)
{
var priceDiff = (createdTaxLot.CostBasis - createdTaxLot.TradePrice);
var realizedPnl = 0.0;
double multiplier = 1.0;
if (env.SecurityDetails.ContainsKey(createdTaxLot.Trade.BloombergCode))
{
multiplier = env.SecurityDetails[createdTaxLot.Trade.BloombergCode].Multiplier;
}
double fxrate = 1.0;
// Lets get fx rate if needed
if (!createdTaxLot.Trade.SettleCurrency.Equals(env.BaseCurrency))
{
fxrate = Convert.ToDouble(FxRates.Find(env.ValueDate, createdTaxLot.Trade.SettleCurrency).Rate);
}
if (createdTaxLot.Trade.IsBuy())
{
realizedPnl = priceDiff * createdTaxLot.Quantity;
}
else if (createdTaxLot.Trade.IsSell())
{
realizedPnl = priceDiff * Math.Abs(createdTaxLot.Quantity);
}
else if (createdTaxLot.Trade.IsShort())
{
realizedPnl = priceDiff * createdTaxLot.Quantity;
}
else if (createdTaxLot.Trade.IsCover())
{
realizedPnl = priceDiff * createdTaxLot.Quantity * -1;
}
createdTaxLot.RealizedPnl = realizedPnl * fxrate * multiplier;
return(createdTaxLot.RealizedPnl);
}
/// <summary>
/// Single Sided Entry Journal
/// </summary>
/// <param name="env"></param>
/// <param name="element"></param>
/// <param name="tags"></param>
/// <param name="accountType"></param>
/// <param name="value"></param>
internal static void GenerateJournalEntry(PostingEngineEnvironment env, Transaction element, List <Tag> tags, AccountType accountType, string eventName, double value)
{
var account = new AccountUtils().CreateAccount(accountType, tags, element);
new AccountUtils().SaveAccountDetails(env, account);
var journal = new Journal(element)
{
Account = account,
When = env.ValueDate,
StartPrice = 0,
EndPrice = 0,
CreditDebit = env.DebitOrCredit(account, value),
Value = value,
FxRate = element.TradePrice,
Event = eventName,
Fund = env.GetFund(element),
};
env.Journals.AddRange(new[] { journal });
}
internal void DailyEvent(PostingEngineEnvironment env, Transaction element)
{
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);
}
// Calculate the unrealized PNL
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
// Determine if we need to accumulate unrealized PNL
var taxLotStatus = env.TaxLotStatus[element.LpOrderId];
// Check to see if the TaxLot is still open and it has a non zero Quantity
if (!taxLotStatus.Status.ToLowerInvariant().Equals("closed") && Math.Abs(taxLotStatus.Quantity) > 0)
{
GenerateDailyUnrealized(env, taxLotStatus, element, taxLotStatus.Quantity, fxrate);
}
}
else
{
if (fxrate != 1.0)
{
if (element.TradeDate != env.ValueDate && element.SettleDate >= env.ValueDate)
{
var fxJournals = FxPosting.CreateFx(
env,
"DUE FROM/(TO) PRIME BROKERS ( Unsettled Activity )",
"fx gain or loss on unsettled balance",
"daily",
element.Quantity, null, element);
env.Journals.AddRange(fxJournals);
}
}
}
}
private void ReversePosting(PostingEngineEnvironment env, string fromAccount, string toAccount, Transaction element, double reversalAmount)
{
var fromTo = new AccountUtils().GetAccounts(env, fromAccount, toAccount, new string[] { element.SettleCurrency }.ToList());
var debit = new Journal(fromTo.From, "reversal-unrealized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(fromTo.From, fromTo.To, true, reversalAmount * -1),
CreditDebit = env.DebitOrCredit(fromTo.From, reversalAmount),
};
var credit = new Journal(fromTo.To, "reversal-unrealized-cash-fx", env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = 0,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(fromTo.From, fromTo.To, false, reversalAmount * -1),
CreditDebit = env.DebitOrCredit(fromTo.To, reversalAmount),
};
env.Journals.AddRange(new List <Journal>(new[] { debit, credit }));
}
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 });
}