Profit and Loss Management

S# implements profit and loss (PnL) calculation through the PnLManager. The manager processes a stream of messages (trades, market data) and computes realized and unrealized profit.

IPnLManager Interface

The IPnLManager interface defines the base contract:

• RealizedPnL — realized profit/loss (decimal). Accumulated when positions are closed.
• UnrealizedPnL — unrealized profit/loss (decimal). Recalculated based on current market prices.
• Reset() — resets the state of the manager.
• UpdateSecurity(Level1ChangeMessage) — updates instrument parameters (price step, step price, lot multiplier).
• ProcessMessage(Message, ICollection<PortfolioPnLManager>) — processes a message; returns PnLInfo when a position is closed, otherwise null.

Architecture

The PnL system has a three-level hierarchy:

PnLManager
  └── PortfolioPnLManager (by portfolio name)
        └── PnLQueue (by SecurityId)

• PnLManager — top level, manages a dictionary of portfolio managers.
• PortfolioPnLManager — PnL manager for a specific portfolio, manages queues by instrument.
• PnLQueue — FIFO queue for matching trades on a single instrument.

PnLQueue — Calculation Queue

PnLQueue is responsible for matching opening and closing trades:

• PriceStep — instrument price step.
• StepPrice — price step cost (for futures).
• Leverage — leverage.
• LotMultiplier — lot multiplier.

The profit multiplier is calculated using the formula:

Multiplier = (StepPrice / PriceStep) * Leverage * LotMultiplier

For regular stocks (where StepPrice is not set), the multiplier equals 1 * Leverage * LotMultiplier.

PnLInfo — Trade Processing Result

The PnLInfo class contains the result of closing a position:

• ServerTime — trade time.
• ClosedVolume — volume of the closed position.
• PnL — realized profit from this trade.

For example, if the position was +2 and a trade for -5 contracts arrived, then ClosedVolume = 2 (2 contracts from the position were closed).

Configuring Data Sources

PnLManager allows you to select market data sources for unrealized profit calculation:

Integration via Adapter

The PnLMessageAdapter class wraps an inner adapter and automatically processes all messages for PnL calculation.

Integration with Strategy

The strategy (Strategy) provides:

• PnLManager property — the manager instance.
• PnL property — total profit (RealizedPnL + UnrealizedPnL).
• PnLChanged event — notification of profit changes.
• PnLReceived2 event — notification when new PnL data is received.

Usage Example

var pnlManager = new PnLManager
{
    UseTick = true,
    UseOrderBook = true,
    UseCandles = true
};

// Processing messages
var info = pnlManager.ProcessMessage(executionMsg);
if (info != null)
{
    Console.WriteLine($"Closed: {info.ClosedVolume}, PnL: {info.PnL}");
}

// Total profit/loss
var realizedPnL = pnlManager.RealizedPnL;
var unrealizedPnL = pnlManager.UnrealizedPnL;
var totalPnL = realizedPnL + unrealizedPnL;

Console.WriteLine($"Realized PnL: {realizedPnL}");
Console.WriteLine($"Unrealized PnL: {unrealizedPnL}");
Console.WriteLine($"Total PnL: {totalPnL}");

Resetting State

The Reset() method clears all portfolio managers, calculation queues, and resets realized PnL to zero:

pnlManager.Reset();