private async Task <AssetRealisedPnL> CalculateAsync(TradeData tradeData, string walletId, string assetId)
{
AssetRealisedPnL prevAssetPnL = await _assetRealisedPnLRepository.GetLastAsync(walletId, assetId) ??
new AssetRealisedPnL();
bool inverted = tradeData.QuoteAsset == assetId;
string crossAssetId = inverted
? tradeData.BaseAsset
: tradeData.QuoteAsset;
Quote quote = await _quoteService.GetAsync(assetId, QuoteAssetId);
Quote crossQuote = await _quoteService.GetAsync(crossAssetId, QuoteAssetId);
RealisedPnLResult realisedPnLResult = RealisedPnLCalculator.Calculate(
tradeData.Price,
tradeData.Volume,
inverted,
tradeData.Type == TradeType.Sell ? -1 : 1,
prevAssetPnL.CumulativeVolume,
prevAssetPnL.CumulativeOppositeVolume,
quote.Mid,
prevAssetPnL.AvgPrice,
crossQuote.Mid);
return(new AssetRealisedPnL
{
WalletId = walletId,
AssetId = assetId,
Time = tradeData.Time,
Exchange = tradeData.Exchange,
TradeId = tradeData.Id,
TradeAssetPair = tradeData.AssetPair,
TradePrice = tradeData.Price,
TradeVolume = tradeData.Volume,
TradeType = tradeData.Type,
CrossAssetPair = crossQuote.AssetPair,
CrossPrice = crossQuote.Mid,
Price = realisedPnLResult.Price,
Volume = realisedPnLResult.Volume,
OppositeVolume = realisedPnLResult.OppositeVolume,
Inverted = inverted,
PrevAvgPrice = prevAssetPnL.AvgPrice,
PrevCumulativeVolume = prevAssetPnL.CumulativeVolume,
PrevCumulativeOppositeVolume = prevAssetPnL.CumulativeOppositeVolume,
OpenPrice = prevAssetPnL.AvgPrice,
ClosePrice = realisedPnLResult.Price,
CloseVolume = realisedPnLResult.ClosedVolume,
RealisedPnL = realisedPnLResult.RealisedPnL,
AvgPrice = realisedPnLResult.AvgPrice,
CumulativeVolume = realisedPnLResult.CumulativeVolume,
CumulativeOppositeVolume = realisedPnLResult.CumulativeOppositeVolume,
CumulativeRealisedPnL = prevAssetPnL.CumulativeRealisedPnL + realisedPnLResult.RealisedPnL,
Rate = quote.Mid,
UnrealisedPnL = realisedPnLResult.UnrealisedPnL,
LimitOrderId = tradeData.LimitOrderId,
OppositeClientId = tradeData.OppositeClientId,
OppositeLimitOrderId = tradeData.OppositeLimitOrderId
});
}
public static RealisedPnLResult Calculate(
decimal tradeRate,
decimal tradeVolume,
bool inverted,
int direction,
decimal currentVolume,
decimal currentOppositeVolume,
decimal rate,
decimal openRate,
decimal crossRate)
{
var pnl = new RealisedPnLResult
{
Price = inverted
? 1 / tradeRate * crossRate
: tradeRate * crossRate,
Volume = inverted
? tradeRate * tradeVolume
: tradeVolume,
OppositeVolume = inverted
? tradeVolume * crossRate
: tradeRate * tradeVolume * crossRate
};
if (inverted)
{
direction *= -1;
}
if (currentVolume >= 0 && direction > 0 || currentVolume <= 0 && direction < 0)
{
pnl.CumulativeVolume = currentVolume + pnl.Volume * direction;
pnl.CumulativeOppositeVolume = currentOppositeVolume + pnl.OppositeVolume * -1 * direction;
pnl.AvgPrice = pnl.CumulativeVolume != 0
? Math.Abs(pnl.CumulativeOppositeVolume / pnl.CumulativeVolume)
: 0;
}
else
{
if (pnl.Volume > Math.Abs(currentVolume))
{
pnl.ClosedVolume = Math.Abs(currentVolume);
decimal openVolume = pnl.Volume - pnl.ClosedVolume;
pnl.CumulativeVolume = openVolume * direction;
pnl.CumulativeOppositeVolume = openVolume * pnl.Price * -1 * direction;
pnl.AvgPrice = pnl.Price;
}
else
{
pnl.ClosedVolume = pnl.Volume;
pnl.CumulativeVolume = currentVolume + pnl.Volume * direction;
pnl.CumulativeOppositeVolume = currentOppositeVolume + pnl.Volume * openRate * -1 * direction;
pnl.AvgPrice = openRate;
}
pnl.RealisedPnL = (pnl.Price - openRate) * pnl.ClosedVolume;
}
pnl.UnrealisedPnL = (rate - pnl.AvgPrice) * pnl.CumulativeVolume;
return(pnl);
}