85 lines
5.5 KiB
Markdown
85 lines
5.5 KiB
Markdown
## Trader PnL calculation
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This doc describes how you can calculate a trader’s total P&L
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| Term | Definition |
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| ------------------ | ------------------------------------------------------------ |
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| PnL currency | The currency into which the entries are converted to. |
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| Currency | Trader income or outcome currency |
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| Total Credit | Sum of incomes of the trader in the currency (without fees) |
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| Total Credit Fees | Sum of fees applied to incomes of the trader in the currency |
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| Total Credit Value | (Total Credit + Total Credit Fees) estimated in pnl currency using the latest market price |
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| Total Debit | Sum of outcomes of the trader in the currency (without fees) |
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| Total Debit Fees | Sum of fees applied to outcomes of the trader in the currency |
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| Total Debit Value | (Total Debit + Total Debit Fees) estimated in pnl currency |
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| Average Buy Price | Total Credit Value / (Total Credit + Total Credit Fees) |
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| Average Sell Price | Total Debit Value / (Total Debit + Total Debit Fees) |
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### Configuration
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To enable the PnL calculation for traders you need to setup at least one destination currency in the PNL_CURRENCIES variable.
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| Environment Variable | Example | Description |
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| -------------------- | ------------------------------------------------------------ | ------------------------------------------------------------ |
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| PNL_CURRENCIES | usd,btc | List of pnl currencies |
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| CONVERSION_PATHS | usd/krw:_usdt/usd,usdt/krw this will convert usd to krw using the last price of markets usd/usdt (reversed) and usd/krw | By default conversions are made using the direct market (BTC to USD use latest market price of btc/usd). If a direct conversion market is missing you can specify a conversion path setting this variable. Several paths can be defined with semi-colon (;) separation. |
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| PNL_EXCLUDE_ROLES | maker,broker | Skip PnL calculation for users with the following roles |
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### Formulas
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#### Calculate user Realized PNL
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##### For one currency
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-----
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###### Realized PNL Value = Total Debit Value * (Average Sell Price - Average Buy Price) / Average Sell Price
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-----
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#### Calculate user Unrealized PNL
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##### For one currency
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-----
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###### Asset Current Value = Balance * Last Market Price
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###### Asset Average Buy Value = Balance * Average Buy Price
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###### Unrealized PNL Value = Asset Current Value - Asset Average Buy Value
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###### Unrealized PNL Percentage = (100 * Unrealized PNL Value) / Asset Average Buy Value
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-----
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#### Calculate user Total PNL
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##### For one currency
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-----
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###### Total PNL = Realized PNL + Unrealized PNL
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-----
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#### Total user assets PNL
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-----
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###### Total Asset Average Value = SUM(Asset Average Buy Value)
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###### Total Asset Current Value = SUM(Asset Current Value)
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###### Total PNL Value = Total Asset Current Value - Total Asset Average Value
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###### Total PNL Percentage = (100 * Total PNL Value) / Total Asset Average Value
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-----
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#### 1) Initial State
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|Currency| Balance |Total Credit | Total Credit Fees | Total Credit Value | Total Debit | Total Debit Fees | Total Debit Value | Average Buy Price | Average Sell Price | Realized PNL | Unrealized PNL| Total PNL | Average PNL Price |Total PNL Value|
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|---|---|---|---|---|---|---| ---|---|---|---|---|---|---|---|
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| BTC | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0| 0| 0| 0| 0 | 0|
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#### 2) Deposit 3 BTC, Portfolio Currency = ETH, Last Market Price (BTC/ETH) = 10 000
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|Currency| Balance |Total Credit | Total Credit Fees | Total Credit Value | Total Debit | Total Debit Fees | Total Debit Value | Average Buy Price | Average Sell Price | Realized PNL | Unrealized PNL| Total PNL | Average PNL Price |Total PNL Value|
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|---|---|---|---|---|---|---| ---|---|---|---|---|---|---|---|
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| BTC | 2.994000 | 2.994000 | 0.006000 | 30 000 | 0 | 0 | 0 | 10 000| 0| 0| 0| 0| 10000 | 29940 |
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-------
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###### Average Buy Price = 30000 / (2.994000 + 0.006000) = 10000
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###### Total PNL Value = Total Credit * Average Buy Price -Total Debit Value = 2.994000 * 10 000 - 0 = 29940
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###### Average PNL Price = Total PNL Value / Balance = 29940 / 2.994000 = 10000
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------
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#### 3) Sell 1 BTC, Portfolio Currency = ETH, Last Market Price (BTC/ETH) = 9000
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|Currency| Balance |Total Credit | Total Credit Fees | Total Credit Value | Total Debit | Total Debit Fees | Total Debit Value | Average Buy Price | Average Sell Price | Realized PNL | Unrealized PNL| Total PNL | Average PNL Price |Total PNL Value|
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|---|---|---|---|---|---|---| ---|---|---|---|---|---|---|---|
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| BTC| 1.994000 | 2.994000 | 0.006000| 30 000 | 1 | 0 | 9000 | 10 000 | 9000 | -1000| -1994| -2994 | 10501.5045135 | 20940 |
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------
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###### Average Sell Price = 9000 / (1 + 0.006000) = 9000
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###### Realized PNL = Total Debit Value * (Average Sell Price - Average Buy Price) / Average Sell Price = 9000 * (9000 - 10 000) / 9000 = -1000
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###### Unrealized PNL = Balance * Last Market Price (BTC/ETH) - Balance * Average Buy Price = 1.994000 * 9000 - 1.994000 * 10 000 = - 1994
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###### Total PNL = Realized PNL + Unrealized PNL = -1000 + (-1994) = -2994
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###### Total PNL Value = Total Credit * Average Buy Price - Total Debit Value = 2.994000 * 10 000 - 9000 = 20940
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###### Average PNL Price = Total PNL Value / Balance = 20940 / 1.994000 = 10501.5045135
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