/// <summary>
/// Generate all of the journal entries we need for reduction / closeout of a tax lot
/// </summary>
/// <param name="env"></param>
/// <param name="lot"></param>
/// <param name="taxlotStatus"></param>
/// <param name="element"></param>
/// <param name="workingQuantity"></param>
/// <param name="fxrate"></param>
/// <param name="multiplier"></param>
private void GenerateJournals(PostingEngineEnvironment env, TaxLotDetail lot, TaxLotStatus taxlotStatus, Transaction element, double workingQuantity, double fxrate, double multiplier)
{
var buyTrade = env.FindTrade(lot.Trade.LpOrderId);
var taxlot = CommonRules.RelieveTaxLot(env, lot, element, workingQuantity, true);
// Has to happen for every day
var fxJournalsForInvestmentAtCost = FxPosting.CreateFx(
env,
CommonRules.GetFXMarkToMarketAccountType(element, "FX MARKET TO MARKET ON STOCK COST"),
"Change in unrealized due to fx on original Cost",
"daily", workingQuantity, taxlotStatus, buyTrade);
env.Journals.AddRange(fxJournalsForInvestmentAtCost);
taxlotStatus.Quantity += workingQuantity;
if (taxlotStatus.Quantity == 0)
{
taxlotStatus.Status = "Closed";
}
else
{
taxlotStatus.Status = "Partially Closed";
}
if (taxlotStatus.Quantity == 0.0)
{
// Is this really needed, as if the tax lot is zero then should not generate any additional unrealized pnl
//GenerateDailyUnrealized(env, taxlotStatus, element, workingQuantity * -1, fxrate);
}
var eodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, buyTrade).Price;
// Calculate the unrealized Backout PNL for the created Tax Lot
var unrealizedPnl = Math.Abs(taxlot.Quantity) * (eodPrice - buyTrade.SettleNetPrice) * multiplier * fxrate;
unrealizedPnl *= CommonRules.DetermineSign(element);
// Need to backout the Unrealized PNL here, as we are reducing the position of the TaxLot
CommonRules.ReverseUnrealizedPnl(
env,
buyTrade,
element,
unrealizedPnl * -1,
buyTrade.SettleNetPrice,
element.SettleNetPrice,
fxrate);
// Original FxRate
var changeDueToFx = fxrate - taxlotStatus.FxRate;
// Original Trade Price
var changeInRealizedPnlDueToFx = changeDueToFx * (taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
var changeInUnRealizedPnlDueToFx = changeDueToFx * (taxlot.CostBasis - taxlot.TradePrice) * Math.Abs(taxlot.Quantity);
CommonRules.PostRealizedPnl(
env,
buyTrade,
taxlot.RealizedPnl,
taxlot.TradePrice,
taxlot.CostBasis,
fxrate);
if (fxrate != 1.0)
{
PostRealizedFxGain(env, buyTrade, changeInRealizedPnlDueToFx, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var fxChange = new FxPosting().CreateFxUnsettled(env, buyTrade);
List <SqlParameter> sqlParams = new List <SqlParameter>();
sqlParams.Add(new SqlParameter("@busDate", env.ValueDate));
sqlParams.Add(new SqlParameter("@LpOrderId", lot.Trade.LpOrderId));
var dataTable = new SqlHelper(env.ConnectionString).GetDataTables("ClosingTaxLot", CommandType.StoredProcedure, sqlParams.ToArray());
var changeInUnRealized = 1.0;
if (dataTable[0].Rows.Count > 0)
{
changeInUnRealized = Convert.ToDouble(dataTable[0].Rows[0][2]);
}
var changeInUnRealizedFx = 0.0;
if (dataTable[1].Rows.Count > 0)
{
changeInUnRealizedFx = Convert.ToDouble(dataTable[1].Rows[0][2]);
}
if (changeInUnRealizedFx != 0.0)
{
var closeOut = changeInUnRealizedFx + fxChange;
PostUnrealizedFxGain(env, buyTrade, closeOut, taxlot.TradePrice, taxlot.CostBasis, changeDueToFx);
}
var sumFxMarkToMarket = 0.0;
if (dataTable[2].Rows.Count > 0)
{
sumFxMarkToMarket = Convert.ToDouble(dataTable[2].Rows[0][2]);
sumFxMarkToMarket += fxJournalsForInvestmentAtCost[0].Value;
ReversePosting(env, "Change in unrealized due to fx on original Cost", CommonRules.GetFXMarkToMarketAccountType(element, "FX MARKET TO MARKET ON STOCK COST"), buyTrade, sumFxMarkToMarket);
}
var listOfFromTags = new List <Tag>
{
Tag.Find("SecurityType"),
Tag.Find("CustodianCode")
};
/*
* var markToMarketAccount = (buyTrade.IsShort() || buyTrade.IsCover()) ? "Mark to Market Shorts" : "Mark to Market Longs";
*
* var fromTo = new AccountUtils().GetAccounts(env, "CHANGE IN UNREALIZED GAIN/(LOSS)", markToMarketAccount, listOfFromTags, element);
*
* if (fxrate == 1.0)
* {
* changeInUnRealized = Convert.ToDouble(taxlot.RealizedPnl) * -1;
* }
*
* // Now Generate Entries for the trade that is drawing down on the taxLot
* var fromJournal = new Journal(buyTrade)
* {
* Account = fromTo.From,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.From, changeInUnRealized),
* Value = env.SignedValue(fromTo.From, fromTo.To, true, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* var toJournal = new Journal(buyTrade)
* {
* Account = fromTo.To,
* When = env.ValueDate,
*
* CreditDebit = env.DebitOrCredit(fromTo.To, changeInUnRealized * -1),
* Value = env.SignedValue(fromTo.From, fromTo.To, false, changeInUnRealized),
* Event = Event.UNREALIZED_PNL,
* Fund = env.GetFund(element),
*
* StartPrice = taxlot.TradePrice,
* EndPrice = taxlot.CostBasis,
* FxRate = fxrate,
* };
*
* env.Journals.AddRange(new[] { fromJournal, toJournal });
*/
}
public void SettlementDateEvent(PostingEngineEnvironment env, Transaction element)
{
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
var taxlot = env.TaxLotStatus[element.LpOrderId];
var tradeCurrency = element.TradeCurrency;
var settleCurrency = element.SettleCurrency;
var allocations = env.FindTradeAllocations(element);
var buy = allocations.Where(i => i.SecurityType.Equals("SPOT") && i.Side.Equals("BUY")).FirstOrDefault();
var sell = allocations.Where(i => i.SecurityType.Equals("SPOT") && i.Side.Equals("SELL")).FirstOrDefault();
if (buy == null || sell == null)
{
Logger.Error($"Unable to process {element.SecurityType}::{element.LpOrderId}");
return;
}
var accountSell = new AccountUtils().CreateAccount(atSettledCash, listOfTradeTags, sell);
var accountBuy = new AccountUtils().CreateAccount(atSettledCash, listOfTradeTags, buy);
new AccountUtils().SaveAccountDetails(env, accountSell);
new AccountUtils().SaveAccountDetails(env, accountBuy);
var sellFx = FxRates.Find(env.ValueDate, sell.TradeCurrency);
var buyFx = FxRates.Find(env.ValueDate, buy.TradeCurrency);
var sellValue = sell.Quantity * sellFx.Rate;
var buyValue = buy.Quantity * buyFx.Rate;
if (element.IsBuy()) // BUY
{
var realizedPnl = buyValue + sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.TradeCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(buy.Quantity),
FxRate = buyFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue),
CreditDebit = env.DebitOrCredit(accountBuy, buy.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(sell.Quantity),
FxRate = sellFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue),
CreditDebit = env.DebitOrCredit(accountSell, sell.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
else // SELL
{
var realizedPnl = buyValue + sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.TradeCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(buy.Quantity),
FxRate = buyFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buy.Quantity * buyFx.Rate),
CreditDebit = env.DebitOrCredit(accountBuy, buy.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = element.SettleCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(sell.Quantity),
FxRate = sellFx.Rate,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sell.Quantity * sellFx.Rate),
CreditDebit = env.DebitOrCredit(accountSell, sell.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
if (taxlot.Quantity != 0)
{
var buyTrade = env.FindTrade(taxlot.OpenId);
CommonRules.RelieveTaxLot(env, buyTrade, element, taxlot.Quantity * -1, true);
taxlot.Quantity = 0;
taxlot.Status = "Closed";
//Now we have Realized Pnl
}
}
}
public void SettlementDateEvent(PostingEngineEnvironment env, Transaction element)
{
// On Settlement Date we backout the Tax Lot for FORWARDS
if (env.TaxLotStatus.ContainsKey(element.LpOrderId))
{
var taxlotStatus = env.TaxLotStatus[element.LpOrderId];
var split = element.Symbol.Split(new char[] { '/', ' ' });
var baseCurrency = split[0];
var riskCurrency = split[1];
var accountBuy = new AccountUtils().CreateAccount(atSettledCash, new List <string> {
element.SecurityType, element.CustodianCode, baseCurrency
});
var accountSell = new AccountUtils().CreateAccount(atSettledCash, new List <string> {
element.SecurityType, element.CustodianCode, riskCurrency
});
new AccountUtils().SaveAccountDetails(env, accountBuy);
new AccountUtils().SaveAccountDetails(env, accountSell);
var fxCurrency = riskCurrency;
var tradePrice = taxlotStatus.TradePrice;
var baseQuantity = element.Quantity;
var eodPrice = MarketPrices.GetPrice(env, env.ValueDate, element).Price;
var fxRate = FxRates.Find(env.ValueDate, fxCurrency).Rate;
var buyValue = baseQuantity * tradePrice * fxRate;
var sellValue = baseQuantity * eodPrice * fxRate;
if (element.IsBuy()) // BUY
{
var realizedPnl = sellValue - buyValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = baseCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = tradePrice,
EndPrice = eodPrice,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue),
CreditDebit = env.DebitOrCredit(accountBuy, buyValue),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = riskCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue * -1),
CreditDebit = env.DebitOrCredit(accountSell, sellValue),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
else // SELL
{
var realizedPnl = buyValue - sellValue;
var debit = new Journal(accountBuy, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = baseCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, sellValue),
CreditDebit = env.DebitOrCredit(accountBuy, element.Quantity),
};
var credit = new Journal(accountSell, Event.SETTLED_CASH, env.ValueDate)
{
Source = element.LpOrderId,
Fund = env.GetFund(element),
FxCurrency = riskCurrency,
Symbol = element.Symbol,
SecurityId = element.SecurityId,
Quantity = Convert.ToDouble(element.Quantity),
FxRate = tradePrice,
StartPrice = 0,
EndPrice = 0,
Value = env.SignedValue(accountBuy, accountSell, true, buyValue * -1),
CreditDebit = env.DebitOrCredit(accountSell, element.Quantity),
};
env.Journals.AddRange(new[] { credit, debit });
var originalAccount = AccountUtils.GetDerivativeAccountType(realizedPnl);
// Realized Pnl to go along with the Settled Cash
CommonRules.GenerateJournalEntry(env, element, listOfTags, realizedAccountType, Event.REALIZED_PNL, realizedPnl);
CommonRules.GenerateJournalEntries(env, element, listOfTags, originalAccount, "Change in Unrealized Derivatives Contracts at Fair Value", realizedPnl * -1);
}
if (taxlotStatus.Quantity != 0)
{
var buyTrade = env.FindTrade(taxlotStatus.OpenId);
var taxlot = CommonRules.RelieveTaxLot(env, buyTrade, element, taxlotStatus.Quantity * -1, true);
taxlotStatus.Quantity = 0;
taxlotStatus.Status = "Closed";
}
}
}
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 });
}