FAILURE MAP
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FA-62041 / Currency rounding and FX conversion / Open access

Realized P&L on a short position has the wrong sign · case 01

Buying back a short below its average books a loss.

Verified by executionVariant 1 · 7 checks per implementationDownload source bundle ↓JSON ↗

ROOT CAUSE

The realized amount omits the position sign: closed * (rate - avg).

THE FAILURE

The realized amount omits the position sign: closed * (rate - avg).

Unsuccessful approach: Using the sign of the closing trade instead of the position inverts every realization.

Case contract

solve(trades, spot): trades are [qty, rate] in foreign units (buy positive, sell negative) at home-per-foreign decimal rates. Adding in the position's direction updates the weighted average rate; reducing realizes closed_qty * (rate - avg) * sign(position) without changing avg; a flip realizes the closed part and opens the remainder at the trade rate; a flat position has no average. Zero-quantity trades are ignored. Unrealized = position * (spot - avg). Return [position, avg to 6 dp or None, realized to 2 dp, unrealized to 2 dp], rounded half-even only at output with unsigned zeros.

Why this case matters

Currency amounts must be rounded at the right stage and in the right unit, or ledgers, quotes and settlements drift by minor units.

1 / The failure

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json
from decimal import Decimal, ROUND_HALF_EVEN, ROUND_HALF_UP, ROUND_FLOOR, ROUND_CEILING, ROUND_DOWN, ROUND_UP, ROUND_HALF_DOWN
from fractions import Fraction
N = 1
observations = []
def solve(trades, spot):
    def fmt(fr, e):
        d = (Decimal(fr.numerator) / Decimal(fr.denominator)).quantize(Decimal(1).scaleb(-e), rounding=ROUND_HALF_EVEN)
        return format(abs(d) if d == 0 else d, 'f')
    pos, avg, realized = 0, None, Fraction(0)
    for qty, rate in trades:
        r = Fraction(rate)
        if qty == 0: continue
        if pos == 0 or (pos > 0) == (qty > 0):
            avg = r if pos == 0 else (abs(pos) * avg + abs(qty) * r) / (abs(pos) + abs(qty))
            pos += qty
        else:
            closed = min(abs(qty), abs(pos))
            sgn = 1 if pos > 0 else -1
            realized += closed * (r - avg)
            pos += qty
            if pos == 0: avg = None
            elif (pos > 0) != (sgn > 0): avg = r
    unreal = pos * (Fraction(spot) - avg) if pos else Fraction(0)
    return [pos, None if avg is None else fmt(avg, 6), fmt(realized, 2), fmt(unreal, 2)]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
cases = [[('regression short-realized-sign 1', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('regression short-realized-sign 2', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00']),
  ('partial repair guard 2', ([[100, '1.10'], [100, '1.20'], [-50, '1.30']], '1.25'),
   [150, '1.150000', '7.50', '15.00']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: three reductions', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00'])],
 [('regression short-realized-sign 1', ([[-90, '1.0708'], [540, '1.1315']], '1.0885'),
   [450, '1.131500', '-5.46', '-19.35']),
  ('regression short-realized-sign 2', ([[-220, '1.1085'], [310, '1.1162'], [-140, '1.1499']], '1.1267'),
   [-50, '1.149900', '1.34', '1.16']),
  ('partial repair guard 1', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('partial repair guard 2', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: zero between', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('control: flip short to long', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00'])],
 [('regression short-realized-sign 1',
   ([[-540, '1.1190'], [-60, '1.0677'], [20, '1.1443'], [-240, '1.1212'], [0, '1.0908']], '1.0791'),
   [-820, '1.116015', '-0.61', '30.27']),
  ('regression short-realized-sign 2',
   ([[0, '1.0601'], [0, '1.0705'], [-110, '1.1230'], [310, '1.0559'], [400, '1.1307']], '1.1024'),
   [600, '1.105767', '7.38', '-2.02']),
  ('partial repair guard 1', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('partial repair guard 2', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00']),
  ('control: add then reduce', ([[100, '1.10'], [100, '1.20'], [-50, '1.30']], '1.25'),
   [150, '1.150000', '7.50', '15.00']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: close short', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00'])],
 [('regression short-realized-sign 1',
   ([[-450, '1.1009'], [0, '1.1001'], [230, '1.0743'], [0, '1.0884'], [-190, '1.0956'], [30, '1.0635']], '1.0627'),
   [-380, '1.098444', '7.17', '13.58']),
  ('regression short-realized-sign 2',
   ([[-40, '1.1445'], [-570, '1.0711'], [530, '1.1387'], [-450, '1.0688'], [-300, '1.1071']], '1.1211'),
   [-830, '1.083329', '-33.28', '-31.35']),
  ('partial repair guard 1',
   ([[340, '1.0922'], [380, '1.0595'], [0, '1.1288'], [220, '1.0703'], [220, '1.0901'], [-390, '1.1478']], '1.0752'),
   [770, '1.076936', '27.64', '-1.34']),
  ('partial repair guard 2', ([[270, '1.1098'], [-40, '1.1476']], '1.0552'), [230, '1.109800', '1.51', '-12.56']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: close short', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46'])],
 [('regression short-realized-sign 1',
   ([[-460, '1.1380'], [-260, '1.0732'], [-130, '1.1234'], [-300, '1.0815'], [210, '1.0636']], '1.0880'),
   [-940, '1.106960', '9.11', '17.82']),
  ('regression short-realized-sign 2',
   ([[0, '1.0983'], [-530, '1.1416'], [-170, '1.1049'], [280, '1.1333'], [-140, '1.0910'], [0, '1.0954']], '1.0893'),
   [-560, '1.122265', '-0.17', '18.46']),
  ('partial repair guard 1', ([[-90, '1.0708'], [540, '1.1315']], '1.0885'), [450, '1.131500', '-5.46', '-19.35']),
  ('partial repair guard 2', ([[-220, '1.1085'], [310, '1.1162'], [-140, '1.1499']], '1.1267'),
   [-50, '1.149900', '1.34', '1.16']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: three reductions', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00']),
  ('control: zero between', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('control: flip short to long', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00'])]]
for label, args, expected in cases[N - 1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression short-realized-sign 1[0, None, '-10.00', '0.00'][0, None, '10.00', '0.00']Failed
regression short-realized-sign 2[60, '1.100000', '-4.00', '3.00'][60, '1.100000', '4.00', '3.00']Failed
partial repair guard 2[150, '1.150000', '7.50', '15.00'][150, '1.150000', '7.50', '15.00']Passed
control: flip long to short[-50, '1.000000', '-10.00', '-2.50'][-50, '1.000000', '-10.00', '-2.50']Passed
control: zero trade only[0, None, '0.00', '0.00'][0, None, '0.00', '0.00']Passed
control: short add[-100, '1.084560', '0.00', '0.46'][-100, '1.084560', '0.00', '0.46']Passed
control: three reductions[0, None, '0.64', '0.00'][0, None, '0.64', '0.00']Passed

SHA-256 / 056dc6c4e5c76802ae39ecfce8b4b1ecd65f18ed6fd255c0bb29651995de8e63

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json
from decimal import Decimal, ROUND_HALF_EVEN, ROUND_HALF_UP, ROUND_FLOOR, ROUND_CEILING, ROUND_DOWN, ROUND_UP, ROUND_HALF_DOWN
from fractions import Fraction
N = 1
observations = []
def solve(trades, spot):
    def fmt(fr, e):
        d = (Decimal(fr.numerator) / Decimal(fr.denominator)).quantize(Decimal(1).scaleb(-e), rounding=ROUND_HALF_EVEN)
        return format(abs(d) if d == 0 else d, 'f')
    pos, avg, realized = 0, None, Fraction(0)
    for qty, rate in trades:
        r = Fraction(rate)
        if qty == 0: continue
        if pos == 0 or (pos > 0) == (qty > 0):
            avg = r if pos == 0 else (abs(pos) * avg + abs(qty) * r) / (abs(pos) + abs(qty))
            pos += qty
        else:
            closed = min(abs(qty), abs(pos))
            sgn = 1 if pos > 0 else -1
            realized += closed * (r - avg) * (1 if qty > 0 else -1)
            pos += qty
            if pos == 0: avg = None
            elif (pos > 0) != (sgn > 0): avg = r
    unreal = pos * (Fraction(spot) - avg) if pos else Fraction(0)
    return [pos, None if avg is None else fmt(avg, 6), fmt(realized, 2), fmt(unreal, 2)]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
cases = [[('regression short-realized-sign 1', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('regression short-realized-sign 2', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00']),
  ('partial repair guard 2', ([[100, '1.10'], [100, '1.20'], [-50, '1.30']], '1.25'),
   [150, '1.150000', '7.50', '15.00']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: three reductions', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00'])],
 [('regression short-realized-sign 1', ([[-90, '1.0708'], [540, '1.1315']], '1.0885'),
   [450, '1.131500', '-5.46', '-19.35']),
  ('regression short-realized-sign 2', ([[-220, '1.1085'], [310, '1.1162'], [-140, '1.1499']], '1.1267'),
   [-50, '1.149900', '1.34', '1.16']),
  ('partial repair guard 1', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('partial repair guard 2', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: zero between', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('control: flip short to long', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00'])],
 [('regression short-realized-sign 1',
   ([[-540, '1.1190'], [-60, '1.0677'], [20, '1.1443'], [-240, '1.1212'], [0, '1.0908']], '1.0791'),
   [-820, '1.116015', '-0.61', '30.27']),
  ('regression short-realized-sign 2',
   ([[0, '1.0601'], [0, '1.0705'], [-110, '1.1230'], [310, '1.0559'], [400, '1.1307']], '1.1024'),
   [600, '1.105767', '7.38', '-2.02']),
  ('partial repair guard 1', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('partial repair guard 2', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00']),
  ('control: add then reduce', ([[100, '1.10'], [100, '1.20'], [-50, '1.30']], '1.25'),
   [150, '1.150000', '7.50', '15.00']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: close short', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00'])],
 [('regression short-realized-sign 1',
   ([[-450, '1.1009'], [0, '1.1001'], [230, '1.0743'], [0, '1.0884'], [-190, '1.0956'], [30, '1.0635']], '1.0627'),
   [-380, '1.098444', '7.17', '13.58']),
  ('regression short-realized-sign 2',
   ([[-40, '1.1445'], [-570, '1.0711'], [530, '1.1387'], [-450, '1.0688'], [-300, '1.1071']], '1.1211'),
   [-830, '1.083329', '-33.28', '-31.35']),
  ('partial repair guard 1',
   ([[340, '1.0922'], [380, '1.0595'], [0, '1.1288'], [220, '1.0703'], [220, '1.0901'], [-390, '1.1478']], '1.0752'),
   [770, '1.076936', '27.64', '-1.34']),
  ('partial repair guard 2', ([[270, '1.1098'], [-40, '1.1476']], '1.0552'), [230, '1.109800', '1.51', '-12.56']),
  ('control: flip long to short', ([[100, '1.10'], [-150, '1.00']], '1.05'), [-50, '1.000000', '-10.00', '-2.50']),
  ('control: close short', ([[-100, '1.10'], [100, '1.00']], '1.05'), [0, None, '10.00', '0.00']),
  ('control: zero trade only', ([[0, '1.10']], '1.05'), [0, None, '0.00', '0.00']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46'])],
 [('regression short-realized-sign 1',
   ([[-460, '1.1380'], [-260, '1.0732'], [-130, '1.1234'], [-300, '1.0815'], [210, '1.0636']], '1.0880'),
   [-940, '1.106960', '9.11', '17.82']),
  ('regression short-realized-sign 2',
   ([[0, '1.0983'], [-530, '1.1416'], [-170, '1.1049'], [280, '1.1333'], [-140, '1.0910'], [0, '1.0954']], '1.0893'),
   [-560, '1.122265', '-0.17', '18.46']),
  ('partial repair guard 1', ([[-90, '1.0708'], [540, '1.1315']], '1.0885'), [450, '1.131500', '-5.46', '-19.35']),
  ('partial repair guard 2', ([[-220, '1.1085'], [310, '1.1162'], [-140, '1.1499']], '1.1267'),
   [-50, '1.149900', '1.34', '1.16']),
  ('control: short add', ([[-30, '1.0833'], [-70, '1.0851']], '1.0800'), [-100, '1.084560', '0.00', '0.46']),
  ('control: three reductions', ([[300, '1.0711'], [-100, '1.0733'], [-100, '1.0745'], [-100, '1.0719']], '1.07'),
   [0, None, '0.64', '0.00']),
  ('control: zero between', ([[50, '1.1'], [-50, '1.2'], [0, '1.3'], [20, '1.4']], '1.5'),
   [20, '1.400000', '5.00', '2.00']),
  ('control: flip short to long', ([[-40, '1.2'], [100, '1.1']], '1.15'), [60, '1.100000', '4.00', '3.00'])]]
for label, args, expected in cases[N - 1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression short-realized-sign 1[0, None, '-10.00', '0.00'][0, None, '10.00', '0.00']Failed
regression short-realized-sign 2[60, '1.100000', '-4.00', '3.00'][60, '1.100000', '4.00', '3.00']Failed
partial repair guard 2[150, '1.150000', '-7.50', '15.00'][150, '1.150000', '7.50', '15.00']Failed
control: flip long to short[-50, '1.000000', '10.00', '-2.50'][-50, '1.000000', '-10.00', '-2.50']Failed
control: zero trade only[0, None, '0.00', '0.00'][0, None, '0.00', '0.00']Passed
control: short add[-100, '1.084560', '0.00', '0.46'][-100, '1.084560', '0.00', '0.46']Passed
control: three reductions[0, None, '-0.64', '0.00'][0, None, '0.64', '0.00']Failed

SHA-256 / 40b6129fabc37a0077b3fa2f5068289e8825781df4105add439d184ba161ba0f

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The verified repair and its recorded checks are member-only.

This mechanism has 7 recorded checks per implementation. The open-access tier publishes the failure and the unsuccessful fix; the repaired source that passes every check, and the observations that prove it, are available to members.

Every case sharing this mechanism uses the same contract and the same repair, so this one record is held back for all of them.

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Verification & scope

A deterministic, bounded teaching model with a stipulated toy contract; it makes no claim of conformance to any real regulation, standard, or institution's rules. This reproducer isolates one failure mechanism. Results cover the supplied fixtures. Variants within a family share a test contract and should remain grouped when constructing evaluation splits. Related mechanisms with a shared evaluation_group must also remain together; these controlled models are not independent production incidents.

Observations recorded using Python 3.12.14 at 2026-09-29T14:47:00.848447+00:00.

Case digest / 5b2fe92fb5ff344d5fb0c57e1c7d7b07531e26784f3703ad7117c5debc484b5b