/**
* @param position - the ForexPosition that Open PnL should be calculated for
* @param currentPrices - a map of current PriceQuotes by Instrument. Required for cases in which
* the base currency of the account is not part of the instrument.
* @param baseCurrency - a Currency object representing the base currency of the account the trade
* is occurring under - required for when the base currency of the account is not involved in
* the position.
* @return a double representing the unrealized gain/loss (aka Open Profit/Loss).
*/
public static double calculateOpenPnL(
Position position, Map<Instrument, HistoryDataKBar> currentPrices, Currency baseCurrency) {
double openPnL = 0.0d;
// Check to see that the instrument of the ForexPosition
// contains the base currency of the brokerage account... If not - locate the intermediary
// instrument.
// For example: the position instrument is AUD/NZD and the account base currency is in USD.
// This means in order to calculate the PnL on the position, an intermediate position
// of USD/AUD will have to be calculated.
if (position.getInstrument() == null) {
logger.warn(
"Unable to calculate Open PnL for position: "
+ position.getId()
+ " Instrument is null!");
return openPnL;
}
if (position.getAmount() == null) {
logger.warn(
"Unable to calculate Open PnL for position: " + position.getId() + " Size is null!");
return openPnL;
}
if (position.getDirection() == null) {
logger.warn(
"Unable to calculate Open PnL for position: " + position.getId() + " Direction is null!");
return openPnL;
}
if (position.getOpenPrice() == null) {
logger.warn(
"Unable to calculate Open PnL for position: "
+ position.getId()
+ " Open Price is null!");
return openPnL;
}
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);
}
return calculateOpenPnL(
position.getAmount(),
position.getDirection(),
position.getOpenPrice(),
instrumentPriceBar,
conversionPriceBar,
baseCurrency);
}
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;
}
/**
* 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;
}
}