Documentation
#Trader PnL calculation
This doc describes how you can calculate a trader’s total P&L
| Term | Definition |
|---|---|
| PnL currency | The currency into which the entries are converted to. |
| Currency | Trader income or outcome currency |
| Total Credit | Sum of incomes of the trader in the currency (without fees) |
| Total Credit Fees | Sum of fees applied to incomes of the trader in the currency |
| Total Credit Value | (Total Credit + Total Credit Fees) estimated in pnl currency using the latest market price |
| Total Debit | Sum of outcomes of the trader in the currency (without fees) |
| Total Debit Fees | Sum of fees applied to outcomes of the trader in the currency |
| Total Debit Value | (Total Debit + Total Debit Fees) estimated in pnl currency |
| Average Buy Price | Total Credit Value / (Total Credit + Total Credit Fees) |
| Average Sell Price | Total Debit Value / (Total Debit + Total Debit Fees) |
Configuration
To enable the PnL calculation for traders you need to setup at least one destination currency in the PNL_CURRENCIES variable.
| Environment Variable | Example | Description |
|---|---|---|
| PNL_CURRENCIES | usd,btc | List of pnl currencies |
| 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. |
| PNL_EXCLUDE_ROLES | maker,broker | Skip PnL calculation for users with the following roles |
Formulas
Calculate user Realized PNL
For one currency
Realized PNL Value = Total Debit Value * (Average Sell Price - Average Buy Price) / Average Sell Price
Calculate user Unrealized PNL
For one currency
Asset Current Value = Balance * Last Market Price
Asset Average Buy Value = Balance * Average Buy Price
Unrealized PNL Value = Asset Current Value - Asset Average Buy Value
Unrealized PNL Percentage = (100 * Unrealized PNL Value) / Asset Average Buy Value
Calculate user Total PNL
For one currency
Total PNL = Realized PNL + Unrealized PNL
Total user assets PNL
Total Asset Average Value = SUM(Asset Average Buy Value)
Total Asset Current Value = SUM(Asset Current Value)
Total PNL Value = Total Asset Current Value - Total Asset Average Value
Total PNL Percentage = (100 * Total PNL Value) / Total Asset Average Value
1) Initial State
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
2) Deposit 3 BTC, Portfolio Currency = ETH, Last Market Price (BTC/ETH) = 10 000
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC | 2.994000 | 2.994000 | 0.006000 | 30 000 | 0 | 0 | 0 | 10 000 | 0 | 0 | 0 | 0 | 10000 | 29940 |
Average Buy Price = 30000 / (2.994000 + 0.006000) = 10000
Total PNL Value = Total Credit Average Buy Price -Total Debit Value = 2.994000 10 000 - 0 = 29940
Average PNL Price = Total PNL Value / Balance = 29940 / 2.994000 = 10000
3) Sell 1 BTC, Portfolio Currency = ETH, Last Market Price (BTC/ETH) = 9000
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC | 1.994000 | 2.994000 | 0.006000 | 30 000 | 1 | 0 | 9000 | 10 000 | 9000 | -1000 | -1994 | -2994 | 10501.5045135 | 20940 |