public static double calculateRealizedPnL(
Position position, Map<Instrument, HistoryDataKBar> currentPrices, Currency baseCurrency) {
Double amount = position.getAmount();
Direction direction = position.getDirection();
Double openPrice = position.getOpenPrice();
Double closePrice = position.getClosePrice();
HistoryDataKBar instrumentPriceBar = currentPrices.get(position.getInstrument());
HistoryDataKBar conversionPriceBar = null;
if (baseCurrency != position.getInstrument().getCurrency1()
&& baseCurrency != position.getInstrument().getCurrency2()) {
Instrument conversionInstrument =
new Instrument(baseCurrency, position.getInstrument().getCurrency2());
conversionPriceBar = currentPrices.get(conversionInstrument);
}
Double realizedPnL;
// Standard PnL calculation. This is in the second currency of the instrument
if (direction == Direction.Long) {
realizedPnL = amount * TradingUtils.getGolbalAmountUnit() * (closePrice - openPrice);
} else {
realizedPnL = amount * TradingUtils.getGolbalAmountUnit() * (openPrice - closePrice);
}
// simple case -- pips is already in base currency
if (baseCurrency == instrumentPriceBar.getInstrument().getCurrency2()) return realizedPnL;
// if the base currency is the first currency of the instrument, we need to
// divide pips by ask price to get pips in base currency
if (instrumentPriceBar.getInstrument().getCurrency1() == baseCurrency) {
realizedPnL = realizedPnL / instrumentPriceBar.getOhlc().getAskClose();
return realizedPnL;
}
if (conversionPriceBar == null)
throw new IllegalArgumentException(
"need a conversion price when computing instrument "
+ conversionPriceBar.getInstrument()
+ " into P/L of base currency "
+ baseCurrency);
if (baseCurrency == conversionPriceBar.getInstrument().getCurrency1()) {
// use the 'ask'
realizedPnL = realizedPnL / conversionPriceBar.getOhlc().getAskClose();
} else {
// use the 'bid'
realizedPnL = realizedPnL * conversionPriceBar.getOhlc().getBidClose();
}
return realizedPnL;
}
private static double calculateOpenPnL(
Double amount,
Direction direction,
Double openPrice,
HistoryDataKBar instrumentPriceBar,
HistoryDataKBar conversionPriceBar,
Currency baseCurrency) {
Double openPnL;
// Standard PnL calculation. This is in the second currency of the instrument
if (direction == Direction.Long) {
openPnL =
amount
* TradingUtils.getGolbalAmountUnit()
* (instrumentPriceBar.getOhlc().getBidClose() - openPrice);
} else {
openPnL =
amount
* TradingUtils.getGolbalAmountUnit()
* (openPrice - instrumentPriceBar.getOhlc().getAskClose());
}
// simple case -- pips is already in base currency
if (baseCurrency == instrumentPriceBar.getInstrument().getCurrency2()) return openPnL;
// if the base currency is the first currency of the instrument, we need to
// divide pips by ask price to get pips in base currency
if (instrumentPriceBar.getInstrument().getCurrency1() == baseCurrency) {
openPnL = openPnL / instrumentPriceBar.getOhlc().getAskClose();
return openPnL;
}
if (conversionPriceBar == null)
throw new IllegalArgumentException(
"need a conversion price when computing instrument "
+ conversionPriceBar.getInstrument()
+ " into P/L of base currency "
+ baseCurrency);
if (baseCurrency == conversionPriceBar.getInstrument().getCurrency1()) {
// use the 'ask'
openPnL = openPnL / conversionPriceBar.getOhlc().getAskClose();
} else {
// use the 'bid'
openPnL = openPnL * conversionPriceBar.getOhlc().getBidClose();
}
return openPnL;
}
/**
* Assumption is the account base currency is USD
*
* @param accountLeverage accountLeverage
* @param closePrice closePrice
* @param p p
* @param baseCurrency Now Assumption is the account base currency is USD
* @return position margin
*/
public static Double calculateMargin(
Double accountLeverage, Double closePrice, Position p, Currency baseCurrency) {
TradingUtils.assertStat(baseCurrency == Currency.USD, "\"The baseCurrency is not USD!\"");
if (p.getInstrument().getCurrency1() != baseCurrency) {
if (!getInterestInstrumentList()
.contains(new Instrument(p.getInstrument().getCurrency1(), baseCurrency))) {
throw new RuntimeException(
"No related instrument data found! ("
+ new Instrument(p.getInstrument().getCurrency1(), baseCurrency)
+ ")");
}
return closePrice * p.getAmount() * TradingUtils.getGolbalAmountUnit() / accountLeverage;
} else {
return p.getAmount() * TradingUtils.getGolbalAmountUnit() / accountLeverage;
}
}