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mikasoukhovmikasoukhov
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Merge pull request StockSharp#666 from StockSharp/claude/debug-algo-pnl-011CUM4Kzn1mECA7KNRCXUEp
Debug Algo/PnL Calculation Errors
2 parents 38ba53a + 8d2233e commit 22a6e90

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Lines changed: 250 additions & 2 deletions

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‎Tests/PnLTests.cs‎

Lines changed: 250 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -411,13 +411,261 @@ public void UnrealizedPnL_ByDataType()
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public void SaveLoad()
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{
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var manager = new PnLManager { UseLevel1 = true };
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var storage = manager.Save();
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var manager2 = new PnLManager();
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manager2.UseLevel1.AssertFalse();
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manager2.Load(storage);
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manager2.UseLevel1.AssertTrue();
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}
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[TestMethod]
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public void StalePrices_QuoteThenCandle()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseOrderBook = true,
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UseCandles = true
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
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manager.ProcessMessage(reg);
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// Open long position: buy 1 at 100
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var buy = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Buy,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(buy);
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// Market data: quote with bid=130, ask=131
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var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
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Bids = [new(130m, 1)],
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Asks = [new(131m, 1)]
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};
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manager.ProcessMessage(quote);
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manager.UnrealizedPnL.AssertEqual(30m); // (130-100)*1 = 30
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// Newer market data: candle closes at 150
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// BUG: ProcessCandle doesn't clear bid/ask prices, so UnrealizedPnL
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// continues to use stale bid=130 instead of fresh close=150
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var candle = new TimeFrameCandleMessage
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{
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SecurityId = secId,
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OpenTime = DateTimeOffset.Now,
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CloseTime = DateTimeOffset.Now,
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OpenPrice = 100,
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HighPrice = 150,
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LowPrice = 90,
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ClosePrice = 150,
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TotalVolume = 1
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};
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manager.ProcessMessage(candle);
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// Expected: (150-100)*1 = 50
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// Actual: (130-100)*1 = 30 (uses stale bid instead of fresh close price)
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manager.UnrealizedPnL.AssertEqual(50m);
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}
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[TestMethod]
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public void StalePrices_CandleThenQuote()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseOrderBook = true,
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UseCandles = true
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
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manager.ProcessMessage(reg);
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// Open short position: sell 1 at 100
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var sell = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Sell,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(sell);
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// Market data: candle closes at 90
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var candle = new TimeFrameCandleMessage
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{
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SecurityId = secId,
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OpenTime = DateTimeOffset.Now,
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CloseTime = DateTimeOffset.Now,
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OpenPrice = 100,
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HighPrice = 110,
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LowPrice = 85,
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ClosePrice = 90,
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TotalVolume = 1
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};
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manager.ProcessMessage(candle);
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manager.UnrealizedPnL.AssertEqual(10m); // (100-90)*1 = 10
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// Newer market data: quote with ask=80
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// BUG: ProcessQuotes doesn't clear lastPrice, so if ask is not available,
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// UnrealizedPnL uses stale close=90 instead of fresh ask=80
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var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
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Bids = [new(79m, 1)],
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Asks = [new(80m, 1)]
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};
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manager.ProcessMessage(quote);
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// For short position, uses ask price for UnrealizedPnL
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// Expected: (100-80)*1 = 20
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manager.UnrealizedPnL.AssertEqual(20m);
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}
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[TestMethod]
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public void StalePrices_TickThenQuote()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseTick = true,
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UseOrderBook = true,
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
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manager.ProcessMessage(reg);
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// Open long position: buy 1 at 100
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var buy = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Buy,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(buy);
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// Market data: tick at 140
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var tick = new ExecutionMessage
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{
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DataTypeEx = DataType.Ticks,
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SecurityId = secId,
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TradePrice = 140m,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(tick);
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manager.UnrealizedPnL.AssertEqual(40m); // (140-100)*1 = 40
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// Newer market data: quote with bid=130
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// BUG: ProcessQuotes doesn't clear lastPrice, so UnrealizedPnL
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// prefers bid=130 over stale lastPrice=140
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var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
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Bids = [new(130m, 1)],
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Asks = [new(131m, 1)]
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};
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manager.ProcessMessage(quote);
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// For long position, uses bid price (which is more accurate than last trade)
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// Expected: (130-100)*1 = 30
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manager.UnrealizedPnL.AssertEqual(30m);
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}
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[TestMethod]
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public void StalePrices_QuoteThenTick()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseTick = true,
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UseOrderBook = true,
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
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manager.ProcessMessage(reg);
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// Open long position: buy 1 at 100
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var buy = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Buy,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(buy);
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// Market data: quote with bid=130
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var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
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Bids = [new(130m, 1)],
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Asks = [new(131m, 1)]
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};
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manager.ProcessMessage(quote);
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manager.UnrealizedPnL.AssertEqual(30m); // (130-100)*1 = 30
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// Newer market data: tick at 150
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// BUG: ProcessExecution doesn't clear bid/ask prices, so UnrealizedPnL
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// continues to use stale bid=130 instead of fresh tick=150
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var tick = new ExecutionMessage
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{
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DataTypeEx = DataType.Ticks,
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SecurityId = secId,
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TradePrice = 150m,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(tick);
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// Expected: (150-100)*1 = 50
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// Actual: (130-100)*1 = 30 (uses stale bid instead of fresh tick)
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manager.UnrealizedPnL.AssertEqual(50m);
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}
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}

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