IBKR Trade/Transfer Realised Profit/Loss Calculator

Suppose an internal transfer of trades between two accounts. In a hypothetical accounting scenario, this can be considered a sale between two private parties, provided that the account ownership is different. This script aims to determine the Realised Profit/Loss of closed trades relative to a given transfer price.

The Mathematics

Ultimately, we're trying to calculate a Post-Transfer Realised P/L:

$$ \text{Post-Transfer Realised P/L} = \text{Realised P/L} + \text{Value at Purchase} - \text{Value at Transfer} $$

• For IBKR, $\text{Value at Purchase} = \text{Cost Basis}$ for a given lot.
• Also, $\text{Value at Transfer} = \text{Lot Quantity} \times \text{Transfer Price}$.

A lot is a quantity of trades purchased at the same timestamp for the same trade price.

Note: Transferred lots will not necessarily match closed lots in quantities. This means that the value of the transferred lots cannot be used in the above equation. Instead, joining on lot dates and prices will allow for a closed lot to determine what price it was transferred at (as part of a transferred lot). Unfortunately, if part of a closed lot is transferred at one price, and another is transferred at a different price, then this method becomes unreliable and a new formula will need to be developed.

This modifies some of the terms of the above equations.

$$ \begin{aligned} \text{Post-Transfer Realised P/L} &= \text{Realised P/L} + \text{Value at Purchase} - \text{Value at Transfer} \\ \implies \text{Post-Transfer Realised P/L} &= \text{Realised P/L} + \text{Cost Basis} - \text{Transfer Price} \times \text{Quantity Sold} \end{aligned} $$

The Technology

Made with Pandas and Jupyter Notebooks.