Sunday, August 5, 2012

daily PnL of a trading account, basics

Typically, for a given Book, EOD "daily-pnl" is defined as

   closing-MV - open-MV.

Open-MV could be yesterday's closing-MV. I think yesterday's closing MV could be negative -- if you short-sold IBM before IBM doubled. If you buy some IBM today but  closing price is the same as your trade price, then this new trade has zero impact on PnL. The cash you spent was part of yesterday's closing total book value.

All the PnL numbers are total PnL i.e. unrealized + realized.

To see how daily-pnl adds up, suppose today is Day 8.

Day 8 daily PnL = Day8 closing MV - Day7 closing MV.
Day 7 daily PnL = Day7 closing MV - Day6 closing MV.

Day 7 pnl could be a loss, but it doesn't affect Day 8 PnL.



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