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Fix FutureSettlementModel cash adjustment for non-USD account currency #9852

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Fix FutureSettlementModel cash adjustment for non-USD account currency #9852

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10 changes: 8 additions & 2 deletions Common/Securities/Future/FutureSettlementModel.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,10 @@ public override void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsPa
var removedSettledProfit = factor * futureHolding.SettledProfit;
futureHolding.SettledProfit -= removedSettledProfit;

applyFundsParameters.CashAmount = new CashAmount(applyFundsParameters.CashAmount.Amount - removedSettledProfit, applyFundsParameters.CashAmount.Currency);
var conversionRate = security.QuoteCurrency.ConversionRate;
var removedSettledProfitInQuoteCurrency = conversionRate != 0 ? removedSettledProfit / conversionRate : removedSettledProfit;

applyFundsParameters.CashAmount = new CashAmount(applyFundsParameters.CashAmount.Amount - removedSettledProfitInQuoteCurrency, applyFundsParameters.CashAmount.Currency);
}

base.ApplyFunds(applyFundsParameters);
Expand Down Expand Up @@ -82,7 +85,10 @@ public override void Scan(ScanSettlementModelParameters settlementParameters)
{
futureHolding.SettledProfit += dailyProfitLoss;

settlementParameters.Portfolio.CashBook[security.QuoteCurrency.Symbol].AddAmount(dailyProfitLoss);
var conversionRate = security.QuoteCurrency.ConversionRate;
var dailyProfitLossInQuoteCurrency = conversionRate != 0 ? dailyProfitLoss / conversionRate : dailyProfitLoss;

settlementParameters.Portfolio.CashBook[security.QuoteCurrency.Symbol].AddAmount(dailyProfitLossInQuoteCurrency);
Log.Trace($"FutureSettlementModel.Scan({security.Symbol}): {security.LocalTime} Daily P&L: {dailyProfitLoss} " +
$"Quantity: {_settledFutureQuantity} Settlement: {_settlementPrice} UnrealizedProfit: {futureHolding.UnrealizedProfit}");
}
Expand Down
129 changes: 129 additions & 0 deletions Tests/Common/Securities/Futures/FutureSettlementModelTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -245,5 +245,134 @@ private static void SetPrice(Security security, decimal price)
{
security.SetMarketPrice(new Tick(Noon, security.Symbol, string.Empty, Exchange.UNKNOWN, quantity: 1, price));
}

[TestCase(1400, 10, 1300, 1200, 1.35)]
[TestCase(1400, -10, 1300, 1200, 1.35)]
[TestCase(1300, 10, 1400, 1500, 1.35)]
[TestCase(1300, -10, 1400, 1500, 1.35)]
[TestCase(1400, 10, 1300, 1500, 1.35)]
[TestCase(1400, -10, 1300, 1500, 1.35)]
[TestCase(1300, 10, 1400, 1200, 1.35)]
[TestCase(1300, -10, 1400, 1200, 1.35)]
public void DailySettlementNonAccountCurrency(decimal averagePrice, decimal quantity, decimal futurePriceStep1, decimal futurePriceStep2, decimal conversionRate)
{
_portfolio.CashBook[Currencies.USD].ConversionRate = conversionRate;

_future.Holdings.SetHoldings(averagePrice, quantity);
SetPrice(_future, futurePriceStep1);
_portfolio.InvalidateTotalPortfolioValue();

var expectedTpv = _portfolio.TotalPortfolioValue;
var startCash = _portfolio.CashBook[Currencies.USD].Amount;
Assert.AreEqual(0, _futureHoldings.SettledProfit);

// advance time
_timeKeeper.UpdateTime(_timeKeeper.LocalTime.AddDays(1));
_model.Scan(new ScanSettlementModelParameters(_portfolio, _future, _timeKeeper.LocalTime));
_portfolio.InvalidateTotalPortfolioValue();

Assert.AreEqual(_portfolio.TotalPortfolioValue, expectedTpv);
var expectedCash = startCash + (_future.Holdings.UnrealizedProfit / conversionRate);
Assert.AreEqual(expectedCash, _portfolio.CashBook[Currencies.USD].Amount);
Assert.AreEqual(_future.Holdings.UnrealizedProfit, _futureHoldings.SettledProfit);
Assert.AreEqual(0, _futureHoldings.UnsettledProfit);

// we call it again, nothing should change
SetPrice(_future, futurePriceStep2);
_portfolio.InvalidateTotalPortfolioValue();
_model.Scan(new ScanSettlementModelParameters(_portfolio, _future, _timeKeeper.LocalTime));

// price movement does affect TPV not cash
expectedTpv = expectedTpv + (futurePriceStep2 - futurePriceStep1) * quantity * conversionRate;
Assert.AreEqual(expectedTpv, _portfolio.TotalPortfolioValue);
Assert.AreEqual(expectedCash, _portfolio.CashBook[Currencies.USD].Amount);
Assert.AreNotEqual(0, _futureHoldings.UnsettledProfit);

// advance time
_timeKeeper.UpdateTime(_timeKeeper.LocalTime.AddDays(1));
_model.Scan(new ScanSettlementModelParameters(_portfolio, _future, _timeKeeper.LocalTime));
_portfolio.InvalidateTotalPortfolioValue();

Assert.AreEqual(expectedTpv, _portfolio.TotalPortfolioValue);
Assert.AreEqual(startCash + (_future.Holdings.UnrealizedProfit / conversionRate), _portfolio.CashBook[Currencies.USD].Amount);
Assert.AreEqual(_future.Holdings.UnrealizedProfit, _futureHoldings.SettledProfit);
Assert.AreEqual(0, _futureHoldings.UnsettledProfit);
}

[TestCase(1400, 10, 1300, 0, 1.35)]
[TestCase(1400, -10, 1300, 0, 1.35)]
[TestCase(1300, 10, 1400, 0, 1.35)]
[TestCase(1300, -10, 1400, 0, 1.35)]
[TestCase(1400, 10, 1300, 1, 1.35)]
[TestCase(1400, -10, 1300, 1, 1.35)]
[TestCase(1300, 10, 1400, 1, 1.35)]
[TestCase(1300, -10, 1400, 1, 1.35)]
[TestCase(1400, 10, 1300, -1, 1.35)]
[TestCase(1400, -10, 1300, -1, 1.35)]
[TestCase(1300, 10, 1400, -1, 1.35)]
[TestCase(1300, -10, 1400, -1, 1.35)]
[TestCase(1400, 10, 1300, -20, 1.35)]
[TestCase(1300, 10, 1400, -20, 1.35)]
[TestCase(1400, -10, 1300, 20, 1.35)]
[TestCase(1300, -10, 1400, 20, 1.35)]
public void HoldingsQuantityChangeNonAccountCurrency(decimal averagePrice, decimal quantity, decimal futurePrice, decimal newQuantity, decimal conversionRate)
{
_portfolio.CashBook[Currencies.USD].ConversionRate = conversionRate;

_future.Holdings.SetHoldings(averagePrice, quantity);
SetPrice(_future, futurePrice);
_portfolio.InvalidateTotalPortfolioValue();

var expectedTpv = _portfolio.TotalPortfolioValue;
var startCash = _portfolio.CashBook[Currencies.USD].Amount;
// advance time
_timeKeeper.UpdateTime(_timeKeeper.LocalTime.AddDays(1));
_model.Scan(new ScanSettlementModelParameters(_portfolio, _future, _timeKeeper.LocalTime));
_portfolio.InvalidateTotalPortfolioValue();

var expectedSettledProfitInAccountCurrency = _future.Holdings.UnrealizedProfit;
var expectedSettledCashInQuoteCurrency = expectedSettledProfitInAccountCurrency / conversionRate;
var expectedCash = startCash + expectedSettledCashInQuoteCurrency;
Assert.AreEqual(_portfolio.TotalPortfolioValue, expectedTpv);
Assert.AreEqual(expectedCash, _portfolio.CashBook[Currencies.USD].Amount);

// we change the holdings quantity
var fillPrice = futurePrice * 0.9m;
var fillQuantity = -(quantity - newQuantity);
var absoluteQuantityClosed = Math.Min(Math.Abs(fillQuantity), _future.Holdings.AbsoluteQuantity);
var closedQuantity = Math.Sign(-fillQuantity) * absoluteQuantityClosed;

Assert.AreEqual(Math.Sign(closedQuantity), Math.Sign(quantity));
var fundsInQuoteCurrency = (_future.Holdings.TotalCloseProfit(includeFees: false, exitPrice: fillPrice, _future.Holdings.AveragePrice, closedQuantity)) / conversionRate;
var funds = new CashAmount(fundsInQuoteCurrency, Currencies.USD);
var fill = new OrderEvent(1, _future.Symbol, _timeKeeper.LocalTime, OrderStatus.Filled, Extensions.GetOrderDirection(fillQuantity), fillPrice, fillQuantity, OrderFee.Zero);
_future.SettlementModel.ApplyFunds(new ApplyFundsSettlementModelParameters(_portfolio, _future, _timeKeeper.LocalTime.ConvertToUtc(_timeKeeper.TimeZone), funds, fill));

// if we change side the cash adjustment will go to 0, until we scan again
var settledProfit = 0m;
expectedCash = startCash + funds.Amount;
if (Math.Sign(newQuantity) == Math.Sign(quantity))
{
// if we increase the position the cash adjustment will remain the same, until we scan again
if (newQuantity < 0 && newQuantity < quantity)
{
settledProfit = expectedSettledProfitInAccountCurrency;
}
else if (newQuantity > 0 && newQuantity > quantity)
{
settledProfit = expectedSettledProfitInAccountCurrency;
}
else
{
// we reduced the position
settledProfit = expectedSettledProfitInAccountCurrency * (newQuantity / quantity);
expectedCash = startCash + funds.Amount + (settledProfit / conversionRate);
}
}

var futureHoldings = (FutureHolding)_future.Holdings;
Assert.AreEqual(settledProfit, futureHoldings.SettledProfit);
Assert.AreEqual(expectedCash, _portfolio.CashBook[Currencies.USD].Amount);
}
}
}