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 }); */ }