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

[<li...@ho...>]

Hi,

I think that I haven't explained very well. I am working with futures, so I 
have to sell and buy the same number of futures at the end of the day.

For example I sell 1000 futures for the best (order type=1, market) and 
someone buy them at 10, So I have sell 1000 at 10 = 10000. After I want to 
sell 1000 futures for the best and someone buy them at 11, so I have selt 
1000 at 10 (10000) and 1000 at 11 (11000). This means that I have to buy 200 
futures before the market closes.

When I decide to buy some of my futures, for example I want to buy 1000 and 
someone sell this 1000 at 10.5 (10500).

In this case I would like to know if the market matches my last bougth with 
one of my sells to know how much money I have lost or win for a pair 
buy-sell.

Lidia

>From: Oren Miller <or...@qu...>
>To: Lidia López Cuesta <li...@ho...>
>CC: qui...@li...
>Subject: Re: [Quickfix-developers] Calculating the profit/lost for an 
>operation
>Date: Mon, 7 Aug 2006 12:53:36 -0500
>
>Lidia,
>
>Matching a specific sell order to a specific buy order doesn't make a  
>whole lot of sense, especially when the orders are of varying sizes.   (You 
>actually shouldn't even be concerned with orders, executions and  positions 
>are all you really need to look at). You instead need to  look at the 
>number of shares executed, and calculate your realized  PnL for what you 
>have matched, then calculate your unrealized PnL for  what is unmatched.  
>Adding these up will get you the total PnL.  So  in your scenario (prices 
>added for to clarify the example)
>
>Buy 1000 @ 10 = Cost Basis 10,000
>Buy 2000 @ 11 = Cost Basis 22,000
>Sell 1500 @ 10.5 = Cost Basis 15,750
>Market @ 10.75
>
>Now, for your realized PnL, it is reasonable to take the stance that  the 
>earliest shares get 'matched' first.  So we get this:
>
>(1000 @ 10 = 10000) + (500 @ 11 = 5500 ) = Cost Basis 15,500
>
>The Cost Basis is the amount of currency (we'll use dollars here) you  
>spent in order to accumulate the first 1500 shares of your position.   This 
>is what we will used to calculate the realized PnL.  The cost  basis for 
>the second 1500 shares is 1500 @ 11 = 16,500.  So we see we  payed $1000 
>more for the second hundred shares, and this is what we  will use to 
>calculate the unrealized PnL.
>
>So now we need to take the cost basis of the first 1500 shares, and  
>subtract them from the cost basis of our sold shares.  Or 1500 @ 10.5  = 
>Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our  first 
>1500 shares, and this is our realized PnL.
>
>For the rest of it, we can use the market price to estimate what our  PnL 
>might be if we liquidated the position (this is simplistic, much  more 
>complicated models can be used to estimate a more realistic  price, but 
>it's usually not too important to be accurate here).  So  the market is 
>trading at 10.75, this means that our cost basis  estimate is 1500 @ 10.75 
>= 16,125.  So we have 16,125 - 16,500,  giving us an unrealized PnL of 
>-375.  Now just add the two up, and  your total PnL is 250 - 375 = -125.
>
>I didn't go over them too carefully, but I hope my calculations are  
>correct.  I hope the explanation helps.
>
>--oren
>
>On Aug 7, 2006, at 12:09 PM, Lidia López Cuesta wrote:
>
>>QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
>>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.  When 
>>the
>>sell order is executed (at 1500), how do I know which the buys  orders is 
>>the
>>couple to close the operation?
>>
>>I  need to calculate the partial profit/lost, so I need to know  which buy
>>order corresponds to this sell order.
>>
>>Are there any message or field in the execution report to know  which 
>>order
>>is matched with the sell order?
>>
>>If the sell order is matched with the first one I have earned 500,  but if 
>>it
>>is the second one I have lost 500
>>
>>Lidia
>>
>>
>>
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>