Fixing PNL for both crypto and non crypto

src/client/spark/Risk/PNL/PNLTradeLogRow.cs

@@ -4,6 +4,9 @@ using bts.api;
 
 using BCG;
 using mbts.co2;
+using System.Xml.Serialization;
+using ZstdSharp.Unsafe;
+using bts.proto;
 
 namespace mbts.analytics {
    // Pairs ITradeLogRow along with the data (theo, md) that is needed to compute
@@ -18,20 +21,87 @@ namespace mbts.analytics {
 
       public SecurityImmutable security { get { return md.security; } }
 
-      private double _option_pnl(double trade_price, double now_price) {
-         double coin_terms = (now_price - trade_price) * tl_row.size;
-         double usd_terms = coin_terms * driver;
-         return usd_terms;
+      // private double _option_pnl(double trade_price, double now_price) {
+      //    double coin_terms = (now_price - trade_price) * tl_row.size;
+      //    double usd_terms = coin_terms * driver;
+      //    return usd_terms;
+      // }
+
+      private bool _is_notional {
+         get {
+            return false;
+         }
       }
 
-      private double _future_pnl(double trade_price, double now_price) {
-         // the qty is in USD, so this is the initial cash flow
-         double init_asset_value = tl_row.size;
-         double asset_size = init_asset_value / tl_row.price;
-         double now_asset_value = asset_size * now_price;
-         return now_asset_value - init_asset_value;
+      private bool _is_inverse_option_contract {
+         get {
+            return false;
+         }
       }
 
+      private double _cpp {
+         get {
+            return 1.0;
+         }
+      }
+
+      private bool _is_reverse_option_contract {
+         get {
+            // check for Deribit options
+            return false;
+         }
+      }
+
+      private double _option_pnl {
+         get {
+            if (_is_notional) {
+               var now_price = theo;
+               double coin_terms = (now_price - tl_row.price) * tl_row.size;
+               double usd_terms = coin_terms * driver;
+               return usd_terms;
+            } else {
+               return _cpp * tl_row.size * (theo - tl_row.price);
+            }
+         }
+      }
+
+      private double _spot_pnl {
+         get {
+            // both are computed the same way
+            return _future_pnl;
+         }
+      }
+
+      private double _future_pnl {
+         get {
+            if (_is_notional) {
+               // TODO:
+               // let it fall through right now
+               // the qty is in USD, so this is the initial cash flow
+               var now_price = theo;
+               double init_asset_value = tl_row.size;
+               double asset_size = init_asset_value / tl_row.price;
+               double now_asset_value = asset_size * now_price;
+               return now_asset_value - init_asset_value;
+            } else {
+               // TODO: is position pnl, compute it wrt settlement price?
+               return tl_row.size * (theo - tl_row.price);
+            }
+         }
+      }
+
+      // private double _future_pnl(double trade_price, double now_price) {
+      //    if (_is_notional) {
+      //       // the qty is in USD, so this is the initial cash flow
+      //       double init_asset_value = tl_row.size;
+      //       double asset_size = init_asset_value / tl_row.price;
+      //       double now_asset_value = asset_size * now_price;
+      //       return now_asset_value - init_asset_value;
+      //    } else {
+      //       return tl_row.size * (theo - tl_row.price);
+      //    }
+      // }
+
 
       public double driver {
          get {
@@ -46,9 +116,16 @@ namespace mbts.analytics {
       public double theo {
          get {
             switch (tl_row.security_type) {
+               // TODO:
                case SecurityType.Option:
-                  return tl_row.call_put == PutOrCall.Call ?
-                     opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
+                  if (_is_inverse_option_contract) {
+                     return tl_row.call_put == PutOrCall.Call ?
+                        opt_theo.fwd_normalized_call : opt_theo.fwd_normalized_put;
+                  } else {
+                     return tl_row.call_put == PutOrCall.Call ?
+                        opt_theo.call : opt_theo.put;
+                  }
+               // future and options, just get mid market
                case SecurityType.Future:
                //return fut_theo.theo;
                case SecurityType.Spot:
@@ -62,28 +139,22 @@ namespace mbts.analytics {
       public double pnl {
          get {
             double rv = Double.NaN;
-            if (is_day_trade) {
-               if (tl_row.security_type == SecurityType.Future) {
-                  rv = _future_pnl(tl_row.price, theo);
-               } else if (tl_row.security_type == SecurityType.Option) {
-                  rv = _option_pnl(tl_row.price, theo);
-               } else if (tl_row.security_type == SecurityType.Spot) {
-                  rv = tl_row.size * (theo - tl_row.price);
-               }
-               return rv;
+            switch (tl_row.security_type) {
+               case SecurityType.Option:
+                  rv = _option_pnl;
+                  break;
+               case SecurityType.Future:
+                  rv = _future_pnl;
+                  break;
+               case SecurityType.Spot:
+                  // = tl_row.size * (theo - tl_row.price);
+                  rv = _spot_pnl;
+                  break;
             }
-            // use settle price ?
-            if (tl_row.security_type == SecurityType.Future) {
-               rv = _future_pnl(tl_row.price, theo);
-            } else if (tl_row.security_type == SecurityType.Option) {
-               rv = _option_pnl(tl_row.price, theo);
-            } else if (tl_row.security_type == SecurityType.Spot) {
-               rv = tl_row.size * tl_row.price - settle_price;
-            }
-
             return rv;
          }
       }
+
       public double settle_price {
          get {
             return md.md == null ? Double.NaN : md.md.settlement_price;