Re: [Quickfix-developers] Calculating the profit/lost for an operation

[Oren M. <or...@qu...>]

Lidia,

Matching a specific sell order to a specific buy order doesn't make a =20=

whole lot of sense, especially when the orders are of varying sizes.  =20=

(You actually shouldn't even be concerned with orders, executions and =20=

positions are all you really need to look at). You instead need to =20
look at the number of shares executed, and calculate your realized =20
PnL for what you have matched, then calculate your unrealized PnL for =20=

what is unmatched.  Adding these up will get you the total PnL.  So =20
in your scenario (prices added for to clarify the example)

Buy 1000 @ 10 =3D Cost Basis 10,000
Buy 2000 @ 11 =3D Cost Basis 22,000
Sell 1500 @ 10.5 =3D Cost Basis 15,750
Market @ 10.75

Now, for your realized PnL, it is reasonable to take the stance that =20
the earliest shares get 'matched' first.  So we get this:

(1000 @ 10 =3D 10000) + (500 @ 11 =3D 5500 ) =3D Cost Basis 15,500

The Cost Basis is the amount of currency (we'll use dollars here) you =20=

spent in order to accumulate the first 1500 shares of your position.  =20=

This is what we will used to calculate the realized PnL.  The cost =20
basis for the second 1500 shares is 1500 @ 11 =3D 16,500.  So we see we =20=

payed $1000 more for the second hundred shares, and this is what we =20
will use to calculate the unrealized PnL.

So now we need to take the cost basis of the first 1500 shares, and =20
subtract them from the cost basis of our sold shares.  Or 1500 @ 10.5 =20=

=3D Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our =20=

first 1500 shares, and this is our realized PnL.

For the rest of it, we can use the market price to estimate what our =20
PnL might be if we liquidated the position (this is simplistic, much =20
more complicated models can be used to estimate a more realistic =20
price, but it's usually not too important to be accurate here).  So =20
the market is trading at 10.75, this means that our cost basis =20
estimate is 1500 @ 10.75 =3D 16,125.  So we have 16,125 - 16,500, =20
giving us an unrealized PnL of -375.  Now just add the two up, and =20
your total PnL is 250 - 375 =3D -125.

I didn't go over them too carefully, but I hope my calculations are =20
correct.  I hope the explanation helps.

--oren

On Aug 7, 2006, at 12:09 PM, Lidia L=F3pez Cuesta wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi all,
>
> If I have sent 2 buy orders to the market. When both has been executed
> (firtst at 1000 and the second one at 2000), I send a sell order. =20
> When the
> sell order is executed (at 1500), how do I know which the buys =20
> orders is the
> couple to close the operation?
>
> I  need to calculate the partial profit/lost, so I need to know =20
> which buy
> order corresponds to this sell order.
>
> Are there any message or field in the execution report to know =20
> which order
> is matched with the sell order?
>
> If the sell order is matched with the first one I have earned 500, =20
> but if it
> is the second one I have lost 500
>
> Lidia
>
>
>
> ----------------------------------------------------------------------=20=

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