Position Calculator v3.0

This block calculates real-time position data for multiple instruments, given a feed of trades affecting the position. The output from this block—a sequence of position updates, possibly for different instruments—can be fed into the P&L Calculator block.

The Position Calculator block has one input feed, trades, which has five fields. All fields should be wired to the fields of the same names in the Order Manager’s order status or order execution output feed. Note that Position Calculator stores the average priced executed and quantity executed for every order, until the clear operation is called. This means that the memory used by the Position Calculator block will increase by a small amount for every order placed — until the clear operation is called.

Parameters	Description
Counterparty flow	If true, we are seeing the trade flow from the counterparty’s point of view; that is, a BUY means that we have sold. If false, we are seeing the flow from our point of view

Operation	Description
start	Starts the calculation of positions. Must be called before the calculator will generate any position data. Sends initial data to the position output feed with 0 as the value of numeric fields and an empty string as the value of text fields.
stop	Stops the calculation of further positions. Any subsequent input feeds are ignored.
clear	Clears the block’s state and accumulated values.

Feed	Fields	Description
trades	order identifier	The unique identifier for the order.
	symbol	The symbol of the ordered instrument.
	side	The side of the order (BUY or SELL).
	quantity executed	The total amount executed for the order.
	average price executed	The volume-weighted average price for all fills for the order.

Feed	Fields	Description
position	symbol	The symbol of the position being reported.
	money balance	The net currency made on this instrument; increases when we sell, decreases when we buy.
	position	The position in this currency; positive if we are long.
	average price	The average price at which we have traded this instrument; (BUYs and SELLs) = total money executed / total quantity executed.
	total quantity executed	The total quantity of this instrument traded; always positive.
	total money executed	The total money exchanged for this instrument; always positive.