Tapaas Calculations

  • Which amounts are included in the DayPnL figure?

    The DayPnL figure includes all components that affect the customer balance. The current cash balance of a customer is computed from the following equation:
    Cash Now = Yesterday Cash + Realised PnL + Deposits – Withdrawals
    DayPnL is computed from the following equation:
    DayPnL = Unrealised PnL Now + Realised PnL – Yesterday Unrealised
    Commission and SWAP amounts are also included in DayPnL, as these are part of Realised PnL. However, IB Rebate is not included as it does not affect customer balance.

  • Does Tapaas PnL figure include commission and SWAP?

    Yes, as it includes all amounts that affect the customer cash balance. Please refer to previous section for a detailed explanation of what constitutes DayPnL.

  • How is SWAP rate being computed?

    SWAP Rate is calculated in USD per unit of symbol.

    For MT4 and cTrader, swaps are included in Realised PnL incrementally each day as they are incurred. For MT5, swaps are included in Realised PnL only when the position is closed.

  • How is Commission being calculated and what happens if a trader is switched between books?

    Commission is included in the Realised PnL at the time a trade opens. So, it will hit the book where the trade was originally opened. It will not be moved when an open position is moved between books. 

  • What is Day VWAP and how is it calculated?

    Day VWAP is the average price achieved by the trades done on the date in question.
    Day VWAP =abscost/absvolume ( sum of the absolute value of the costs divided by the sum of the absolute value of the volumes traded.)

  • What do you mean by Cost?

    Each non-zero position has a cost which is the price times the volume on the trade. We aggregate positions by cparty, book, symbol so for each such combination, there will be a current net volume in the symbol (i.e. the size of the current position) and the net cost (which the volume weighted cost of that position)

  • Can VWAP be Negative Or Zero (blank)?

    * VWAP can be negative if a client has simultaneous long and short positions, where the cost  of the short positions exceeds the cost of the long positions.

    * VWAP can be blank for clients that have no traded volume. This is visible when cparty is selected in the breakdown

  • What do Tapaas Volume and Market Value (exposure) figures display?

    Tapaas takes the number of lots per trade and information as to how many units are in a lot, for each instrument, directly from the Trading Platforms.

    Volume figures display the volume in units and these are further used for calculating the Market Value USD (Exposure). 

    Market Value USD is the Net Open Position in units, which is revalued with the ask price if the Broker is long, or with bid price if the broker is short and convert it to USD from term currency. 

  • How is PPM ( Profit Per Million) calculated?

    PPM= 1,000,000 * ( DayPnL/Volume Traded USD)

  • How is “Average Profit per Million 30 seconds post execution” calculated?

    Avg ppm @ 30s is calculated by comparing the price of the trade vs the price that would have been achieved if the trade happened 30s later (ie same side of the spread).

    Example: if you buy 1,000,000 at 1.002 and 30s later the spread is 1.003-1.005 then

    ppm =  1,000,000 * (1.005 – 1.002) / 1.002= 2,994

    We only compute ppm at pre-defined  intervals (typically -10s, -5s, +1s, +2s, +3s, +5s, +10s, +30s)

  • Why doesn’t total commission MT4 Manager GUI shows on a specific day match with the commission Tapaas shows?

    Tapaas posts the commission when the trade is opened (which incidentally is when MT4 charges commission as well). However when MT4 Manager GUI is used to view trades for a particular day, it also shows commission associated with any trade active that day, including commission which was incurred on previous days.

    On Tapaas Alpha Lite EOD Snapshot History dashboard for example, when a specific day is selected, Tapaas will show the commission which was earned on that specific day only, whereas if the same day was selected on MT4 Manager GUI Report, the total commission displayed will include commission associated with trades that are active on that day as well (if any).

  • How does Tapaas calculate maker side A-Book PnL?

    Tapaas calculates the maker side A-book P&L using an average cost model. When existing broker positions against LPs are closed, the daypnl uses the cost (i.e. price times volume) as the average cost of the overall closed position which in turn is impacted by the price when they were opened. When there have been large movements in prices, this results in PnL being generated against the maker.

    In the general case, Tapaas does know which maker trade corresponds to which specific taker position. For the taker side, Tapaas receives cfd records that record each transaction as an individual open which is later closed. On the maker side, Tapaas just sees a single aggregate bucket of positions, so Tapaas cannot say how much the particular position that is being closed was opened at. When Tapaas sees a maker trade that is effectively closing a position, Tapaas does not know the exact price at which the specific position was opened at. So the average cost price is used.

    In other words, when an A-book client closes a position, the corresponding maker trade will generate some daypnl, but the cost of that position against the maker is the average cost of all A-book client positions rather than the cost of that particular client’s position.

  • How does Tapaas calculate the rebate?
    The rebate is only calculated per closed trade, not the total traded volume.
  • What are the Tapaas calculation formulas for GLV, PnL?

    Below are the formulas Tapaas uses to calculate PnL and GLV:

    DayPnl = Realised + Unrealised – Unrealised yesterday 
    (the concept of daypnl only applies to A & B books)

    GLV in USD = Realised + Unrealised (in A & B books) + Realised in T book 
    (T book holds the balance)

    Example application:
    Let’s say we want to calculate GLVToday – GLVYesterday. If we use the “GLV in USD” formula from above we get the following:

    GLVToday – GLVYesterday = (Realised Today + Unrealised Today)  (Realised Yesterday + Unrealised Yesterday [on A & B books] ) + (Realised Today T Book – Realised Yesterday T Book)

    With the DayPnl formula, we can see that:

    Realised Today + Unrealised Today – Unrealised Yesterday will be equal to DayPnl Today.

    Thus, we can take out the 3 values (realised today + unrealised today – unrealised yesterday) above and substitute with DayPnL Today instead and the formula becomes:

    GLVToday – GLVYesterday = Daypnl Today – Realised Yesterday + (Realised Today T Book – Realised Yesterday T book)

    So, when you are expecting  “GLVToday – GLVYesterday = Daypnl Today“,
    we can see that the difference we get is actually the rest of the formula, which is: i.e. – Realised Yesterday + (Realised Today T book – Realised Yesterday T book)

  • How are colours displayed in Tapaas?

    Currently, most dashboards in Tapaas use a continuous colouring scheme based on DayPnL.

    The scheme finds the minimum and maximum PnL, assigns pure green colour to values that are close to the maximum PnL and pure red colour to the rows that are close to the minimum PnL.

    Values in between are gradually changed from green to red, with black being the colour assigned to central values.

How Tapaas Works

  • How and when does Tapaas import new Symbols?

    New Symbols are imported from the Trading Platforms and the Bridge by Tapaas on the weekend. So, it’s always best to set them up a week before you actually want to offer them.