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Futures Positions

RealizeAlpha now enriches futures positions with contract & product metadata, real-time quotes, and settlement prices, exposing Open P&L, Day P&L, and Realized P&L calculations per contract.

Overview

Futures data is aggregated client-side from brokerage APIs, then augmented with metadata (contract + product), live quotes, and previous close prices before being displayed. The implementation provides transparent Open P&L, Day P&L, and Realized P&L; margin analytics and roll logic are planned.

Data Sources

• Aggregated Positions: Base quantity and average trade price.
• Contract Metadata (arsenal): Root symbol, expiration, currency, multiplier.
• Product Metadata (arsenal): Product-level details (e.g., category/class if available).
• Quotes (marketdata futures): Last trade price (used for Open P&L and Day P&L).
• Closes (marketdata futures): Previous close price (used for Day P&L calculation).

Enrichment Fields (per position)

| Field | Description | |——-|————-| | symbol | Full futures symbol (e.g., ESZ25). | | rootSymbol | Root (e.g., ES). | | expiration | Contract expiration date. | | currency | Pricing currency. | | multiplier | Contract price multiplier (e.g., 50 for ES). | | avgTradePrice | Average execution price of current open position. | | lastTradePrice | Latest trade price from quote feed. | | previousClosePrice | Previous close (settlement) price from closes endpoint. | | quantity | Number of contracts held (signed). | | startOfDayPnl | P&L since the start of the trading day. | | realizedPnl | Realized P&L for the day. | | openPnlCalc | Computed Open P&L value (see formula). | | dayPnlCalc | Computed Day P&L value (see formula). | | notionalValue | Computed Notional Value (Last Price * |Quantity| * Multiplier). |

P&L Formulas

Open P&L

The Open P&L is derived directly from the last trade price vs the average trade price, scaled by contract quantity and multiplier.

$Open\ P\&L = (Last\ Price - Avg\ Price) \times Quantity \times Multiplier$

Example:

AvgTradePrice = 4520.00
LastTradePrice = 4527.25
Quantity = 3
Multiplier = 50
OpenPnlCalc = (4527.25 - 4520.00) * 3 * 50 = 1087.50

Day P&L

The Day P&L compares the last trade price against the previous close price, scaled by contract quantity and multiplier.

$Day\ P\&L = (Last\ Price - Previous\ Close\ Price) \times Quantity \times Multiplier$

Example:

PreviousClosePrice = 4518.50
LastTradePrice = 4527.25
Quantity = 3
Multiplier = 50
DayPnlCalc = (4527.25 - 4518.50) * 3 * 50 = 1312.50

Realized P&L

Realized P&L is calculated based on closed positions during the current session, factoring in execution prices and quantities.

Risk Metrics

Basic risk metrics are provided to monitor exposure.

Notional Value Represents the total value of the assets controlled by the futures position.

$Notional\ Value = Last\ Price \times

Quantity

\times Multiplier$

Example:

LastTradePrice = 4527.25
Quantity = -3 (Short)
Multiplier = 50
NotionalValue = 4527.25 * 3 * 50 = 679,087.50

Risk Distribution

A pie chart visualizes the distribution of Notional Value across different futures products (e.g., /ES, /NQ), highlighting concentration risk.

UI Integration

• Summary Header: Displays aggregated Total Notional, Total Open P&L, and Total Day P&L.
• Risk Chart: Interactive pie chart showing notional exposure by root symbol.
• Position List:
  • Day P&L and Open P&L with color-coded values.
  • Notional Value per position.
  • Contract details and multipliers.

Futures Auto-Trading

Futures Auto-Trading adds automated strategy execution on futures contracts with configurable rules, activity logging, and safety controls.

Key Elements

• Provider: FuturesAutoTradingProvider manages config, countdown timers, and trade history.
• Settings UI: FuturesTradingSettingsWidget exposes strategy templates, risk controls, and save state.
• Performance UI: FuturesTradingPerformanceWidget summarizes P&L, win rate, and recent trades.
• Home Cards: Quick visibility into daily trades, total P&L, and active contracts.
• Backend: agentic-futures-trading.ts and cron jobs generate futures signals and execution flow.

Technical Implementation

• Service layer method (streamFuturePositions) fetches aggregated positions, then sequentially:
  1. Fetches contract & product metadata via getFuturesContractsByIds and getFuturesProductsByIds.
  2. Fetches quotes for all distinct symbols via quotes endpoint.
  3. Fetches previous close prices via getFuturesClosesByIds.
  4. Computes openPnlCalc and dayPnlCalc per position.
• Enriched positions exposed as a stream for reactive UI updates.
• No secrets: all sensitive logic (if any future brokerage write operations are needed) should move to Firebase Functions.

  Limitations

• Margin impact / maintenance requirement not shown.
• No contract roll detection or calendar spread awareness.
• No Greeks or implied volatility surface metrics.
• Assumes multiplier is available and non-null; positions without multiplier may show openPnlCalc = null and dayPnlCalc = null.
• Day P&L calculation depends on availability of previous close price; if unavailable, dayPnlCalc will be null.

Planned Enhancements

• Margin metrics & risk layer (SPAN-style summary).
• Realized P&L tracking using trade history.
• Contract roll assistant (alerts near expiration, auto-suggest roll strikes/months).
• Greeks and term structure analytics for rate-sensitive products.
• Volatility overlays and seasonal tendencies.
• Aggregated portfolio risk (VaR / expected shortfall) including futures.

Developer Notes

• Keep enrichment client-side unless broker rate limits require caching; move heavy logic to functions/ if needed.
• Avoid persisting enriched documents until a server reconciliation workflow is defined.
• Extend tests when adding calculation complexity (e.g., margin formulas).

Safety Checklist

Before extending futures logic:

1. No API keys or secrets in Dart; use Firebase Functions for secure calls.
2. Add unit tests for new calculations (especially margin, realized P&L).
3. Maintain consistent naming (snake_case files, UpperCamelCase classes).

   Summary

   Futures support now delivers enriched contract context with transparent Open P&L and Day P&L calculations, and futures auto-trading extends the platform with configurable automated execution.