SettlementType

Author: rbeeli

CHANGELOG.md

@@ -8,6 +8,7 @@ All notable changes to this project will be documented in this file.
 
 - Support for optional Instrument `multiplier` value
 - `Position.value_local` and `update_valuation! = update_pnl!` functions
+- `SettlementType` enum for specifying settlement types of instruments (Asset vs. Cash)
 
 ### Changed
 

src/Fastback.jl

@@ -23,6 +23,7 @@ export Fastback,
     Price,
     Quantity,
     TradeDir,
+    SettlementStyle,
     Cash,
     Instrument,
     Order,

src/enums.jl

@@ -2,6 +2,7 @@ import Base: *, sign
 using EnumX
 
 @enumx TradeDir::Int8 Null = 0 Buy = 1 Sell = -1
+@enumx SettlementStyle::Int8 Asset = 1 Cash = 2
 
 @inline sign(x::TradeDir.T) = Quantity(Int8(x))
 @inline is_long(dir::TradeDir.T) = dir == TradeDir.Buy

src/instrument.jl

@@ -13,8 +13,10 @@ mutable struct Instrument{IData}
     const quote_symbol::Symbol
     const quote_tick::Price       # minimum price increment of base asset
     const quote_digits::Int       # number of digits after the decimal point for display
+
+    const settlement::SettlementStyle.T
     quote_cash_index::Int
- 
+
     const multiplier::Float64
     const metadata::IData
 
@@ -29,6 +31,7 @@ mutable struct Instrument{IData}
         base_digits=2,
         quote_tick::Price=0.01,
         quote_digits=2,
+        settlement::SettlementStyle.T=SettlementStyle.Cash,
         multiplier::Float64=1.0,
         metadata::IData=nothing
     ) where {IData}
@@ -43,6 +46,7 @@ mutable struct Instrument{IData}
             quote_symbol,
             quote_tick,
             quote_digits,
+            settlement,
             0, # quote_cash_index
             multiplier,
             metadata

src/logic.jl

@@ -1,9 +1,14 @@
 @inline function update_valuation!(acc::Account, pos::Position, close_price)
     # update position valuation and account equity using delta of old and new value
+    inst = pos.inst
     new_pnl = calc_pnl_local(pos, close_price)
-    new_value = new_pnl
+    if inst.settlement == SettlementStyle.Asset
+        new_value = pos.quantity * close_price * inst.multiplier
+    else
+        new_value = new_pnl
+    end
     value_delta = new_value - pos.value_local
-    quote_cash_index = pos.inst.quote_cash_index
+    quote_cash_index = inst.quote_cash_index
     @inbounds acc.equities[quote_cash_index] += value_delta
     pos.pnl_local = new_pnl
     pos.value_local = new_value
@@ -30,37 +35,41 @@ end
     commission::Price=0.0,       # fixed commission in quote (local) currency
     commission_pct::Price=0.0,   # percentage commission of nominal order value, e.g. 0.001 = 0.1%
 )::Trade{TTime,OData,IData} where {TTime<:Dates.AbstractTime,OData,IData,CData}
+    inst = order.inst
     # get quote asset index
-    quote_cash_index = order.inst.quote_cash_index
+    quote_cash_index = inst.quote_cash_index
 
     # positions are netted using weighted average price,
     # hence only one static position per instrument is maintained
-    pos = get_position(acc, order.inst)
+    pos = get_position(acc, inst)
     pos_qty = pos.quantity
 
     # set fill quantity if not provided
     fill_qty = fill_qty > 0 ? fill_qty : order.quantity
     remaining_qty = order.quantity - fill_qty
 
     # calculate absolute paid commissions in quote currency
-    nominal_value = fill_price * abs(fill_qty) * order.inst.multiplier
+    nominal_value = fill_price * abs(fill_qty) * inst.multiplier
     commission += commission_pct * nominal_value
 
     # realized P&L
     realized_qty = calc_realized_qty(pos_qty, fill_qty)
-    realized_pnl = 0.0
+    realized_pnl_gross = 0.0
     if realized_qty != 0.0
         # order is reducing exposure (covering), calculate realized P&L
-        realized_pnl = (fill_price - pos.avg_price) * realized_qty
-
-        # add realized P&L to account balance
-        @inbounds acc.balances[quote_cash_index] += realized_pnl
+        realized_pnl_gross = (fill_price - pos.avg_price) * realized_qty * inst.multiplier
+    end
 
-        # remove realized P&L from position P&L
-        pos.pnl_local -= realized_pnl
-        pos.value_local -= realized_pnl
+    if inst.settlement == SettlementStyle.Asset
+        cash_delta = -(fill_price * fill_qty * inst.multiplier) - commission
+    else
+        cash_delta = realized_pnl_gross - commission
     end
-    realized_pnl -= commission
+    @inbounds begin
+        acc.balances[quote_cash_index] += cash_delta
+        acc.equities[quote_cash_index] += cash_delta
+    end
+    realized_pnl = realized_pnl_gross - commission
 
     # generate trade sequence number
     tid = tid!(acc)
@@ -104,11 +113,7 @@ end
     # update position quantity
     pos.quantity = new_exposure
 
-    # subtract paid commissions from account balance and equity
-    @inbounds acc.balances[quote_cash_index] -= commission
-    @inbounds acc.equities[quote_cash_index] -= commission
-
-    # update P&L of position and account equity (w/o commissions, already accounted for)
+    # update P&L of position and account equity
     update_pnl!(acc, pos, fill_price)
 
     push!(acc.trades, trade)

src/position.jl

@@ -33,8 +33,8 @@ end
 """
 Calculates the P&L of a position in local currency.
 
-The P&L is based on the weighted average price of the position
-and the current closing price, without considering commissions.
+The P&L is based on the weighted average price of the position,
+the current closing price, and the contract multiplier, without considering commissions.
 Fees are accounted for in the account equity calculation and execution P&L.
 
 # Arguments
@@ -43,7 +43,7 @@ Fees are accounted for in the account equity calculation and execution P&L.
 """
 @inline function calc_pnl_local(pos::Position, close_price)
     # quantity negative for shorts, thus works for both long and short
-    pos.quantity * (close_price - pos.avg_price)
+    pos.quantity * (close_price - pos.avg_price) * pos.inst.multiplier
 end
 
 

test/account.jl

@@ -168,6 +168,54 @@ end
     @test trade.commission == commission_pct * expected_nominal
 end
 
+@testitem "Spot long asset-settled valuation" begin
+    using Test, Fastback, Dates
+
+    acc = Account()
+    deposit!(acc, Cash(:USD), 10_000.0)
+
+    inst = register_instrument!(acc, Instrument(Symbol("SPOT/USD"), :SPOT, :USD; settlement=SettlementStyle.Asset))
+    pos = get_position(acc, inst)
+
+    dt = DateTime(2021, 1, 1)
+    price = 50.0
+    qty = 100.0
+    order = Order(oid!(acc), inst, dt, price, qty)
+    fill_order!(acc, order, dt, price)
+
+    @test cash_balance(acc, :USD) ≈ 5_000.0
+    @test pos.value_local ≈ 5_000.0
+    @test equity(acc, :USD) ≈ 10_000.0
+
+    update_pnl!(acc, pos, 60.0)
+    @test pos.value_local ≈ 6_000.0
+    @test equity(acc, :USD) ≈ 11_000.0
+end
+
+@testitem "Spot short asset-settled valuation" begin
+    using Test, Fastback, Dates
+
+    acc = Account()
+    deposit!(acc, Cash(:USD), 10_000.0)
+
+    inst = register_instrument!(acc, Instrument(Symbol("SPOT/USD"), :SPOT, :USD; settlement=SettlementStyle.Asset))
+    pos = get_position(acc, inst)
+
+    dt = DateTime(2021, 1, 1)
+    price = 50.0
+    qty = -100.0
+    order = Order(oid!(acc), inst, dt, price, qty)
+    fill_order!(acc, order, dt, price)
+
+    @test cash_balance(acc, :USD) ≈ 15_000.0
+    @test pos.value_local ≈ -5_000.0
+    @test equity(acc, :USD) ≈ 10_000.0
+
+    update_pnl!(acc, pos, 60.0)
+    @test pos.value_local ≈ -6_000.0
+    @test equity(acc, :USD) ≈ 9_000.0
+end
+
 
 @testitem "Account with Date timestamps" begin
     using Test, Fastback, Dates, Tables