40 line Python code for P&L calculation
Here is my implementation of P&L calculation for real-time marketdata and trade log streaming, as you can see from the two member functions: `def update_by_tradefeed()`

and `def update_by_marketdata()`

.

The traded quantity is a signed number: positive for buy and negative for sell. That means the net position is negative if the transactioin short sells some products.
If the trade feed takes close action, need to be careful of whether the close quantity is larger than the net position. In this case, the average open price should also be updated to the close price.
The `PnlSnapshot`

class for a product:

class PnlSnapshot :
def __init__ ( self , ticker , buy_or_sell , traded_price , traded_quantity ):
self . m_ticker = ticker
self . m_net_position = 0
self . m_avg_open_price = 0
self . m_net_investment = 0
self . m_realized_pnl = 0
self . m_unrealized_pnl = 0
self . m_total_pnl = 0
self . update_by_tradefeed ( buy_or_sell , traded_price , traded_quantity )
# buy_or_sell: 1 is buy, 2 is sell
def update_by_tradefeed ( self , buy_or_sell , traded_price , traded_quantity ):
# buy: positive position, sell: negative position
quantity_with_direction = traded_quantity if buy_or_sell == 1 else ( - 1 ) * traded_quantity
is_still_open = ( self . m_net_position * quantity_with_direction ) >= 0
# net investment
self . m_net_investment = max ( self . m_net_investment , abs ( self . m_net_position * self . m_avg_open_price ) )
# realized pnl
if not is_still_open :
# Remember to keep the sign as the net position
self . m_realized_pnl += ( traded_price - self . m_avg_open_price ) *
min (
abs ( quantity_with_direction ),
abs ( self . m_net_position )
) * ( abs ( self . m_net_position ) / self . m_net_position )
# total pnl
self . m_total_pnl = self . m_realized_pnl + self . m_unrealized_pnl
# avg open price
if is_still_open :
self . m_avg_open_price = ( ( self . m_avg_open_price * self . m_net_position ) +
( traded_price * quantity_with_direction ) ) / ( self . m_net_position + quantity_with_direction )
else :
# Check if it is close-and-open
if traded_quantity > abs ( self . m_net_position ):
self . m_avg_open_price = traded_price
# net position
self . m_net_position += quantity_with_direction
def update_by_marketdata ( self , last_price ):
self . m_unrealized_pnl = ( last_price - self . m_avg_open_price ) * self . m_net_position
self . m_total_pnl = self . m_realized_pnl + self . m_unrealized_pnl