public static bool IsShort(this TaxLotStatus tls)
{
if (string.IsNullOrEmpty(tls.Side))
{
return(false);
}
return(tls.Side.ToLowerInvariant().Equals(SHORT));
}
/// <summary>
/// Check to see if the Tax Lot is Still Open for this trade
/// </summary>
/// <param name="i"></param>
/// <returns></returns>
internal bool TaxLotsIsOpen(Transaction i)
{
if (TaxLotStatus.ContainsKey(i.LpOrderId))
{
return(!TaxLotStatus[i.LpOrderId].Status.Equals("closed"));
}
return(false);
}
/// <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);
}
/// <summary>
/// Creates an open tax lot and also adds it to the TaxLotStatus collection
/// </summary>
/// <param name="element">Trade to create the tax lot</param>
/// <param name="fxrate">FxRate for this trade</param>
/// <returns>Generated TaxLot</returns>
public TaxLotStatus GenerateOpenTaxLot(Transaction element, double fxrate)
{
var taxlotStatus = new TaxLotStatus
{
Trade = element,
InvestmentAtCost = element.NetMoney * fxrate,
FxRate = fxrate,
TradeDate = element.TradeDate,
BusinessDate = element.TradeDate,
Symbol = element.Symbol,
Side = element.Side,
OpenId = element.LpOrderId,
Status = "Open",
OriginalQuantity = element.Quantity,
Quantity = element.Quantity,
Fund = GetFund(element),
TradePrice = element.SettleNetPrice,
};
TaxLotStatus.Add(element.LpOrderId, taxlotStatus);
return(taxlotStatus);
}
/// <summary>
/// Create the entries for Unsettled Fx gain / loss
/// </summary>
/// <param name="env">Environment</param>
/// <param name="taxlotStatus"></param>
/// <param name="tradeEvent"></param>
/// <param name="element">Transaction</param>
/// <returns>a list of the created journal entries</returns>
internal static List <Journal> CreateFx(PostingEngineEnvironment env,
string fromAccount,
string toAccount,
string tradeEvent,
double quantity,
TaxLotStatus taxlotStatus,
Transaction element)
{
if (tradeEvent.Equals(Event.TRADE_DATE))
{
return(new List <Journal>());
}
// TBD: THIS IS FOR BOBBY
if (element.SecurityType.Equals("FORWARD"))
{
return(new List <Journal>());
}
// Check to see if the BaseCurrency == SettleCurrency because if it is then no need to do the FX translation
if (env.BaseCurrency.Equals(element.SettleCurrency))
{
return(new List <Journal>());
}
var currency = element.SettleCurrency;
var prevEodFxRate = Convert.ToDouble(FxRates.Find(env.PreviousValueDate, currency).Rate);
var eodFxRate = Convert.ToDouble(FxRates.Find(env.ValueDate, currency).Rate);
var effectiveRate = eodFxRate - prevEodFxRate;
var usdEquivalent = element.NetMoney * effectiveRate;
if (element.IsBuy())
{
usdEquivalent *= -1;
}
else if (element.IsShort())
{
}
// Get accounts
var toFrom = new AccountUtils().GetAccounts(env, fromAccount, toAccount, _TAGS, element);
var debit = new Journal(element, toFrom.From, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = env.GetFund(element),
Value = env.SignedValue(toFrom.From, toFrom.To, true, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.From, usdEquivalent),
};
var credit = new Journal(element, toFrom.To, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = env.GetFund(element),
Value = env.SignedValue(toFrom.From, toFrom.To, false, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.To, usdEquivalent),
};
return(new List <Journal>(new[] { debit, credit }));
}
internal static List <Journal> CreateFx(PostingEngineEnvironment env,
string tradeEvent,
double quantity,
TaxLotStatus taxlotStatus,
Transaction element)
{
if (tradeEvent.Equals(Event.TRADE_DATE))
{
return(new List <Journal>());
}
var riskCurrency = element.SettleCurrency;
if (element.SecurityType.Equals("FORWARD"))
{
var split = element.Symbol.Split(new char[] { '/', ' ' });
var baseCurrency = split[0];
riskCurrency = split[1];
}
// Check to see if the BaseCurrency == SettleCurrency because if it is then no need to do the FX translation
if (env.BaseCurrency.Equals(riskCurrency))
{
return(new List <Journal>());
}
var prevEodFxRate = Convert.ToDouble(FxRates.Find(env.PreviousValueDate, riskCurrency).Rate);
var eodFxRate = Convert.ToDouble(FxRates.Find(env.ValueDate, riskCurrency).Rate);
var effectiveRate = eodFxRate - prevEodFxRate;
var usdEquivalent = element.Quantity * effectiveRate;
var fromAccount = "Mark to Market Derivatives Contracts due to FX (Liabilities)";
var toAccount = "Change in Unrealized Derivatives Contracts due to FX";
if (usdEquivalent > 0)
{
fromAccount = "Mark to Market Derivatives Contracts due to FX (Assets)";
}
// Get accounts
var toFrom = new AccountUtils().GetAccounts(env, fromAccount, toAccount, _TAGS, element);
var fund = env.GetFund(element);
var debit = new Journal(element, toFrom.From, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
StartPrice = prevEodFxRate,
FxCurrency = riskCurrency,
EndPrice = eodFxRate,
Fund = fund,
Value = env.SignedValue(toFrom.From, toFrom.To, true, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.From, usdEquivalent),
};
var credit = new Journal(element, toFrom.To, $"{tradeEvent}-unrealizedpnl-fx", env.ValueDate)
{
Quantity = quantity,
FxRate = effectiveRate,
FxCurrency = riskCurrency,
StartPrice = prevEodFxRate,
EndPrice = eodFxRate,
Fund = fund,
Value = env.SignedValue(toFrom.From, toFrom.To, false, usdEquivalent),
CreditDebit = env.DebitOrCredit(toFrom.To, usdEquivalent),
};
return(new List <Journal>(new[] { debit, credit }));
}
private void GenerateDailyUnrealized(PostingEngineEnvironment env, TaxLotStatus taxLotStatus, Transaction element, double quantity, double fxRate)
{
var prevEodPrice = 0.0;
var eodPrice = 0.0;
if (env.ValueDate == taxLotStatus.Trade.TradeDate)
{
prevEodPrice = taxLotStatus.Trade.SettleNetPrice;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
else
{
prevEodPrice = MarketPrices.GetPrice(env, env.PreviousValueDate, taxLotStatus.Trade).Price;
eodPrice = MarketPrices.GetPrice(env, env.ValueDate, taxLotStatus.Trade).Price;
}
var endPrice = element.SettleNetPrice;
if (taxLotStatus.Quantity == 0.0)
{
eodPrice = endPrice;
}
var unrealizedPnl = CommonRules.CalculateUnrealizedPnl(env, taxLotStatus, quantity, eodPrice);
var originalAccount = taxLotStatus.Side == "SHORT" ? "Mark to Market Shorts" : "Mark to Market Longs";
var fromToAccounts = new AccountUtils().GetAccounts(env, originalAccount, "CHANGE IN UNREALIZED GAIN/(LOSS)", listOfTags, taxLotStatus.Trade);
if (taxLotStatus.Side == "SHORT")
{
unrealizedPnl *= -1;
}
var fund = env.GetFund(taxLotStatus.Trade);
var debit = new Journal(taxLotStatus.Trade)
{
Account = fromToAccounts.From,
When = env.ValueDate,
Symbol = taxLotStatus.Symbol,
Quantity = quantity,
FxRate = fxRate,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, true, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.From, unrealizedPnl),
StartPrice = prevEodPrice,
EndPrice = eodPrice,
Event = Event.DAILY_UNREALIZED_PNL,
Fund = fund,
};
var credit = new Journal(debit)
{
Account = fromToAccounts.To,
Value = env.SignedValue(fromToAccounts.From, fromToAccounts.To, false, unrealizedPnl),
CreditDebit = env.DebitOrCredit(fromToAccounts.To, unrealizedPnl),
};
env.Journals.AddRange(new[] { debit, credit });
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",
quantity, null, element);
env.Journals.AddRange(fxJournals);
}
if (taxLotStatus.Quantity != 0.0)
{
if (env.ValueDate.Equals(new DateTime(2019, 12, 17)))
{
}
if (element.TradeDate != env.ValueDate)
{
// 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", quantity, taxLotStatus, element);
env.Journals.AddRange(fxJournalsForInvestmentAtCost);
new FxPosting().CreateFxUnsettled(env, element);
}
}
}
}
/// <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 });
*/
}
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 });
}
