void Portfolio::TransactionCollection::append(const Instrument & instrument, Timestamp t, long quantity, numeric price, numeric fees)
{
if (container_.size() == 0)
{
// Add an all-zeroes transaction as origin
container_.emplace_back(t - Poco::Timespan(1));
}
// Transactions must be added in chronological order!
poco_assert(t > container_.back().timestamp);
// Get the previous quantity for this position
long ppq = container_.back().positionQuantity;
Transaction transaction(t, quantity, price, fees);
if (ppq != 0 && ppq != -transaction.quantity && sign(ppq + transaction.quantity) != sign(ppq))
{
// Split the transaction into two, first add the zero-ing transaction
numeric perUnitFee = transaction.fees / abs(transaction.quantity);
append(instrument, transaction.timestamp, -ppq, transaction.price, perUnitFee*abs(ppq));
// ajdust the inputs to reflect what's left to transact, increase the
// date time by a bit to keep the uniqueness in the transaction set
transaction.incrementTimestamp();
transaction.quantity += ppq;
ppq = 0;
transaction.fees = perUnitFee*std::abs(transaction.quantity);
}
// Transaction value, gross of fees
// transaction.value = transaction.quantity*transaction.price*instrument.bpv() - transaction.fees;
transaction.value = transaction.quantity*transaction.price*instrument.bpv();
// Transaction average cost
transaction.averageCost = transaction.value / (transaction.quantity*instrument.bpv());
// Calculate the new quantity for this position
transaction.positionQuantity = ppq + transaction.quantity;
// Previous position average cost
numeric ppac = container_.back().positionAverageCost;
// Calculate position average cost
if (transaction.positionQuantity == 0) transaction.positionAverageCost = 0.0;
else if (abs(ppq) > abs(transaction.positionQuantity)) transaction.positionAverageCost = ppac;
else transaction.positionAverageCost = ((ppq*ppac*instrument.bpv() + transaction.value) / (transaction.positionQuantity*instrument.bpv()));
// Calculate PnL
if (abs(ppq) < abs(transaction.positionQuantity) || ppq == 0) transaction.grossPnl = 0.0;
else transaction.grossPnl = transaction.quantity*instrument.bpv()*(ppac - transaction.averageCost);
transaction.netPnl = transaction.grossPnl + transaction.fees;
container_.push_back(transaction);
}
/**
* @brief Computes the PnL for the current position
*
* Computes the PnL for the current position and the specified price. Undefined
* behaviour if a position doesn't exist.
*
* A position starts with the first transaction which sets a quantity different than 0.
*
* Uses the gross PnL for all transactions part of this trade.
*
* @param[in] instrument the instrument
* @param[in] price the price to compute the PnL
* @param[out] realized the realized PnL
* @param[out] unrealized the unrealized PnL
*/
void Portfolio::TransactionCollection::getPositionPnl(const Instrument & instrument, numeric price, numeric & realized, numeric & unrealized) const
{
auto it = container_.rbegin();
// Must not be called without a position
poco_assert(it->positionQuantity != 0);
unrealized = instrument.bpv()*it->positionQuantity*(price - it->positionAverageCost);
// Add all realized pnl
realized = 0.0;
while (it->positionQuantity != 0)
{
realized += it->grossPnl;
++it;
}
}
/**
* @brief Computes statistics for each trade and a summary
*
* @param[in] instrument the instrument
* @param[out] tradeStats the per-trade statistics
* @param[out] summary the totals
*/
void Portfolio::TransactionCollection::getTradeStats(const Instrument & instrument, TradeStatsVector & tradeStats) const
{
tradeStats.resize(0);
ContainerType::const_iterator beginIt = container_.begin();
// Positiont at the first non-zero quantity
while (true)
{
if (beginIt == container_.end()) return; // No meaningful transactions
if (beginIt->positionQuantity != 0) break; // Found a real transaction
++beginIt;
}
ContainerType::const_iterator endIt = beginIt;
for (++endIt; endIt != container_.end() && endIt->positionQuantity != 0; ++endIt)
{
}
if (endIt != container_.end()) ++endIt;
// [beginIt, endIt) contains all transactions participating in the current trade
while (true)
{
numeric quantity = 0.0;
numeric positionCostBasis = 0.0;
numeric pnl = 0.0;
TradeStats ts;
ContainerType::const_iterator lastIt = std::prev(endIt);
ts.start = beginIt->timestamp;
ts.end = lastIt->timestamp;
ts.initialPosition = beginIt->quantity;
ts.maxPosition = 0;
ts.numTransacations = 0;
ts.maxNotionalCost = 0.0;
ts.fees = 0;
for (ContainerType::const_iterator it = beginIt; it != endIt; ++it)
{
if (it->value != 0) ++ts.numTransacations;
positionCostBasis += it->value;
ts.fees += it->fees;
if (std::abs(it->positionQuantity) > std::abs(ts.maxPosition))
{
ts.maxPosition = it->positionQuantity;
ts.maxNotionalCost = positionCostBasis;
}
}
numeric positionValue = lastIt->positionQuantity*instrument.bpv()*lastIt->price;
ts.pnl = positionValue - positionCostBasis;
ts.pctPnl = ts.pnl / std::abs(ts.maxNotionalCost);
tradeStats.push_back(ts);
// Advance to the next trade
if (endIt == container_.end()) break;
beginIt = endIt;
for (++endIt; endIt != container_.end() && endIt->positionQuantity != 0; ++endIt)
{
}
if (endIt != container_.end()) ++endIt;
}
}
void Portfolio::TransactionCollection::getPnl(const Instrument & instrument, const NumericIndexer & prices, NumericIndexer & pnl) const
{
pnl.resize(0);
// Handle the trivial case of no transactions
if (container_.size() <= 1)
{
pnl.append(std::begin(prices.index), std::end(prices.index));
return;
}
// Find the start
sint currentTransaction = 1;
sint ii = 0;
while (ii < prices.size() && prices.index[ii] < container_[currentTransaction].timestamp) ++ii;
// Set the pnl to 0 from beginning of time to the first transaction
pnl.append(std::begin(prices.index), std::begin(prices.index) + ii);
if (ii == prices.size()) return;
numeric previousPositionValue = 0.0;
while (ii < prices.size() && currentTransaction < container_.size())
{
if (prices.index[ii] == container_[currentTransaction].timestamp)
{
// The current time is both in the price list and in the transaction list
numeric transactionValue = container_[currentTransaction].value;
numeric positionValue = container_[currentTransaction].positionQuantity*instrument.bpv()*prices.container[ii];
pnl.push_back(prices.index[ii], positionValue - previousPositionValue - transactionValue);
++ii;
++currentTransaction;
previousPositionValue = positionValue;
}
else if (prices.index[ii] < container_[currentTransaction].timestamp)
{
// Only in the price list - use the previous position
numeric positionValue = container_[currentTransaction - 1].positionQuantity*instrument.bpv()*prices.container[ii];
pnl.push_back(prices.index[ii], positionValue - previousPositionValue);
++ii;
previousPositionValue = positionValue;
}
else
{
if (ii > 0)
{
// Only in the transaction list - use the previous price
numeric positionValue = container_[currentTransaction].positionQuantity*instrument.bpv()*prices.container[ii - 1];
pnl.push_back(container_[currentTransaction].timestamp, positionValue - previousPositionValue - container_[currentTransaction].value);
previousPositionValue = positionValue;
}
else
{
// No "previous" price - no pnl
pnl.push_back(container_[currentTransaction].timestamp, 0.0);
}
++currentTransaction;
}
}
while (ii < prices.size())
{
numeric positionValue = container_[currentTransaction - 1].positionQuantity*instrument.bpv()*prices.container[ii];
pnl.push_back(prices.index[ii], positionValue - previousPositionValue);
++ii;
previousPositionValue = positionValue;
}
/*
while (ii < time.size())
{
numeric transactionValue = 0.0;
if (next_transaction < container_.size())
{
std::cout << time[ii] << " " << container_[next_transaction].time() << std::endl;
BOOST_ASSERT_MSG(time[ii] <= container_[next_transaction].time(), "all transactions must be present in the price list");
if (time[ii] == container_[next_transaction].time())
{
++currentTransaction;
++next_transaction;
transactionValue = container_[currentTransaction].value();
}
}
numeric positionValue = container_[currentTransaction].position_quantity()*instrument.bpv()*prices[ii];
pnl[ii] = positionValue - previousPositionValue - transactionValue;
previousPositionValue = positionValue;
// advance to the next date
++ii;
}
*/
}