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

[Scott R. <sri...@fo...>]

For simplicity's sake, you can pair each executed quantity with the =
other side in the order they come in, but it doesn't really matter which =
sell you pair the buy off with.  Since you are clearing back to a zero =
position, whichever you pair off with, the other will pair off with the =
trade you will inevitably do later.  Any gain you show with the first =
pair off is going to detract from potential gains from subsequent pairs =
(you are left holding a worse price), and vice versa with loses.  =
Regardless of which you pair off with, at the end of the day, you are =
going to end up with the same PnL.  Hope this helps.
										-Scott

-----Original Message-----
From: qui...@li... =
[mailto:qui...@li...] On Behalf Of =
Lidia L=F3pez Cuesta
Sent: Monday, August 07, 2006 2:10 PM
To: or...@qu...
Cc: qui...@li...
Subject: Re: [Quickfix-developers] Calculating the profit/lost for =
anoperation

QuickFIX Documentation: =
http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Hi,

I think that I haven't explained very well. I am working with futures, =
so I=20
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=3D1, market) =
and=20
someone buy them at 10, So I have sell 1000 at 10 =3D 10000. After I =
want to=20
sell 1000 futures for the best and someone buy them at 11, so I have =
selt=20
1000 at 10 (10000) and 1000 at 11 (11000). This means that I have to buy =
200=20
futures before the market closes.

When I decide to buy some of my futures, for example I want to buy 1000 =
and=20
someone sell this 1000 at 10.5 (10500).

In this case I would like to know if the market matches my last bougth =
with=20
one of my sells to know how much money I have lost or win for a pair=20
buy-sell.

Lidia

>From: Oren Miller <or...@qu...>
>To: Lidia L=F3pez Cuesta <li...@ho...>
>CC: qui...@li...
>Subject: Re: [Quickfix-developers] Calculating the profit/lost for an=20
>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 =20
>whole lot of sense, especially when the orders are of varying sizes.   =
(You=20
>actually shouldn't even be concerned with orders, executions and  =
positions=20
>are all you really need to look at). You instead need to  look at the=20
>number of shares executed, and calculate your realized  PnL for what =
you=20
>have matched, then calculate your unrealized PnL for  what is =
unmatched. =20
>Adding these up will get you the total PnL.  So  in your scenario =
(prices=20
>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  =
the=20
>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.   =
This=20
>is what we will used to calculate the realized PnL.  The cost  basis =
for=20
>the second 1500 shares is 1500 @ 11 =3D 16,500.  So we see we  payed =
$1000=20
>more for the second hundred shares, and this is what we  will use to=20
>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  =
=3D=20
>Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our  =
first=20
>1500 shares, and this is our realized PnL.
>
>For the rest of it, we can use the market price to estimate what our  =
PnL=20
>might be if we liquidated the position (this is simplistic, much  more=20
>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=20
>=3D 16,125.  So we have 16,125 - 16,500,  giving us an unrealized PnL =
of=20
>-375.  Now just add the two up, and  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.  =
When=20
>>the
>>sell order is executed (at 1500), how do I know which the buys  orders =
is=20
>>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=20
>>order
>>is matched with the sell order?
>>
>>If the sell order is matched with the first one I have earned 500,  =
but if=20
>>it
>>is the second one I have lost 500
>>
>>Lidia
>>
>>
>>
>>---------------------------------------------------------------------- =
---
>>Using Tomcat but need to do more? Need to support web services,  =
security?
>>Get stuff done quickly with pre-integrated technology to make your  =
job=20
>>easier
>>Download IBM WebSphere Application Server v.1.0.1 based on Apache =20
>>Geronimo
>>http://sel.as-us.falkag.net/sel? =
cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642
>>_______________________________________________
>>Quickfix-developers mailing list
>>Qui...@li...
>>https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>>
>



-------------------------------------------------------------------------=

Using Tomcat but need to do more? Need to support web services, =
security?
Get stuff done quickly with pre-integrated technology to make your job =
easier
Download IBM WebSphere Application Server v.1.0.1 based on Apache =
Geronimo
http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D=
121642
_______________________________________________
Quickfix-developers mailing list
Qui...@li...
https://lists.sourceforge.net/lists/listinfo/quickfix-developers