This article will cover the following topics on Day P/L:
- What is Day P/L for positions?
- Do currency movements affect position Day P/L?
- Are trade fees or accruals included in Day P/L for a position?
- When is Day P/L reset?
- For what asset types is Day P/L supported?
What is Day P/L for positions?
Day P/L stands for Day Profit/Loss and represents the profit or loss for the day since the previous close of the instrument.
Do currency movements affect position Day P/L?
Yes, Day P/L can be affected by intraday currency fluctuations in case the position is traded in a currency different from your account currency. This can lead to a misalignment between Day P/L in instrument currency vs Day P/L in account currency.
Example (cash instrument)Let's assume that you bought 100 shares of Apple Inc. shares (which is a USD instrument) from a EUR account.
This means that:
This example shows that the P/L measured in EUR is negative, despite the fact that the stock price went up. |
Are trade fees or accruals included in Day P/L for a position?
Day P/L does NOT include any costs nor accruals like financing.
When is Day P/L reset?
Reset happens at End-of-day for all instruments.
For what asset types is Day P/L supported?
Day P/L is calculated for all asset types except for:
- FX Options
- FX Forwards
Why could there potentially be a conflict between Day P/L for Positions and 1-Day return on Account level?
Different calculation methods can cause discrepancies between the values.
The 1-day return on account level is calculated as the change in Account Value (the difference between the real-time Account Value and the previous day's Account Value), while Day P/L is the profit or loss for the day since the prior Close of the instrument you hold.
All accounts / Account group levels view
- Yesterday's Account value (used to calculate 1-Day return) - the aggregated historical Account value for All accounts / Account group levels - is sourced from our reporting system and is recalculated using the previous day's EOD Account→Base currency FX rate.
- Day P/L in Base currency - the Day P/L for All accounts / Account group levels is using the current exchange rates to convert Day P/L in instrument currency→Day P/L in Base currency.
- Cash in sub-accounts - 1-Day return (when viewed from All Accounts or Account group) includes changes in Cash in sub-accounts. In other words, when viewed from the All Accounts or Account group, the 1-day return will capture the currency effect on cash holdings for currency accounts, unlike Day P/L for Positions which covers only position price changes.
This means the sum of Day P/Ls in the Base currency of all positions does not sum up to the change in Account value when viewing from All accounts / Account group levels.
Example
A client has 2 sub-accounts - EUR and USD. The client's base currency (All accounts level) is EUR. Assume the client's EUR sub-account is empty (Account value = 0 EUR), that the client buys 100 US shares of AAPL:xnas @ $150 from their USD sub-account and that there are no other assets (cash or securities) on the USD sub-account.
- AAPL:xnas previous day close price: $150 (same as purchase price)
- Previous day EUR/USD FX rate: 1.1000
- Current AAPL:xnas price: $151 (stock price is up)
- Current EUR/USD rate: 1.12 (USD depreciated vs the EUR)
| Position's current Day P/L | 1-Day return | |
|
USD Account (Sub account view) |
100 shares x $(151– 150) = $100 |
|
|
All Accounts (Base currency view) |
$100 / 1.12 EUR/USD = €89 |
|
Other reasons that can explain discrepancies between the two values:
- Real-time and delayed prices: the account value figure (which includes the Value of positions) is a real-time value, while the Position module could be using delayed pricing based on your market data subscription;
- A different definition of current prices: some of the components in the real-time Account value might be using slightly different prices from the prices used in the Positions module. This is designed to protect clients from the risk of a stop-out as a result of spreads widening without the market actually moving;
- Different prior day's close prices: there might be a discrepancy between the close price used by our Back office to calculate the previous day's Account Value compared to the prior close price used for Day P/L calculation purposes;
- FX Options and FX Forward positions: the intraday price movements for these products will be captured on 1-Day return on Account level, but not in Day P/L for Positions;
- Accruals on account level: financing and corporate actions accruals changes are reflected in the Account value (1-day return), while they are not included in Day P/L for positions.