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Integrate chart calculation into snapshot calculation

pull/3271/head
Reto Kaul 1 year ago
committed by Thomas Kaul
parent
5d4e2fba8c
commit
1d9ec794bc
6 changed files with 329 additions and 14 deletions
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  1. 3
      apps/api/src/app/order/order.service.ts
  2. 230
      apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
  3. 6
      apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
  4. 7
      apps/api/src/app/portfolio/interfaces/portfolio-snapshot.interface.ts
  5. 12
      apps/api/src/app/portfolio/portfolio.controller.ts
  6. 75
      apps/api/src/app/portfolio/portfolio.service.ts

3
apps/api/src/app/order/order.service.ts
View File

@ -223,6 +223,7 @@ export class OrderService {
userId: string;
withExcludedAccounts?: boolean;
}): Promise<Activities> {
console.time('------ OrderService.getOrders');
let orderBy: Prisma.Enumerable<Prisma.OrderOrderByWithRelationInput> = [
{ date: 'asc' }
];
@ -382,6 +383,8 @@ export class OrderService {
};
});
console.timeEnd('------ OrderService.getOrders');
return { activities, count };
}

230
apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
View File

@ -69,6 +69,8 @@ export abstract class PortfolioCalculator {
dateRange: DateRange;
exchangeRateDataService: ExchangeRateDataService;
}) {
console.time('--- PortfolioCalculator.constructor - 1');
this.currency = currency;
this.currentRateService = currentRateService;
this.exchangeRateDataService = exchangeRateDataService;
@ -95,9 +97,16 @@ export abstract class PortfolioCalculator {
this.endDate = endDate;
this.startDate = startDate;
console.timeEnd('--- PortfolioCalculator.constructor - 1');
console.time('--- PortfolioCalculator.constructor - 2');
this.computeTransactionPoints();
console.timeEnd('--- PortfolioCalculator.constructor - 2');
console.time('--- PortfolioCalculator.constructor - 3');
this.snapshotPromise = this.initialize();
console.timeEnd('--- PortfolioCalculator.constructor - 3');
}
protected abstract calculateOverallPerformance(
@ -126,6 +135,7 @@ export abstract class PortfolioCalculator {
if (!transactionPoints.length) {
return {
chartData: [],
currentValueInBaseCurrency: new Big(0),
grossPerformance: new Big(0),
grossPerformancePercentage: new Big(0),
@ -247,6 +257,26 @@ export abstract class PortfolioCalculator {
const endDateString = format(endDate, DATE_FORMAT);
const chartStartDate = this.getStartDate();
const daysInMarket = differenceInDays(endDate, chartStartDate) + 1;
const step = true /*withDataDecimation*/
? Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS))
: 1;
let chartDates = eachDayOfInterval(
{ start: chartStartDate, end },
{ step }
).map((date) => {
return resetHours(date);
});
const includesEndDate = isSameDay(last(chartDates), end);
if (!includesEndDate) {
chartDates.push(resetHours(end));
}
if (firstIndex > 0) {
firstIndex--;
}
@ -256,6 +286,34 @@ export abstract class PortfolioCalculator {
const errors: ResponseError['errors'] = [];
const accumulatedValuesByDate: {
[date: string]: {
investmentValueWithCurrencyEffect: Big;
totalCurrentValue: Big;
totalCurrentValueWithCurrencyEffect: Big;
totalInvestmentValue: Big;
totalInvestmentValueWithCurrencyEffect: Big;
totalNetPerformanceValue: Big;
totalNetPerformanceValueWithCurrencyEffect: Big;
totalTimeWeightedInvestmentValue: Big;
totalTimeWeightedInvestmentValueWithCurrencyEffect: Big;
};
} = {};
const valuesBySymbol: {
[symbol: string]: {
currentValues: { [date: string]: Big };
currentValuesWithCurrencyEffect: { [date: string]: Big };
investmentValuesAccumulated: { [date: string]: Big };
investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big };
investmentValuesWithCurrencyEffect: { [date: string]: Big };
netPerformanceValues: { [date: string]: Big };
netPerformanceValuesWithCurrencyEffect: { [date: string]: Big };
timeWeightedInvestmentValues: { [date: string]: Big };
timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big };
};
} = {};
for (const item of lastTransactionPoint.items) {
const marketPriceInBaseCurrency = (
marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice
@ -266,16 +324,25 @@ export abstract class PortfolioCalculator {
);
const {
currentValues,
currentValuesWithCurrencyEffect,
grossPerformance,
grossPerformancePercentage,
grossPerformancePercentageWithCurrencyEffect,
grossPerformanceWithCurrencyEffect,
hasErrors,
investmentValuesAccumulated,
investmentValuesAccumulatedWithCurrencyEffect,
investmentValuesWithCurrencyEffect,
netPerformance,
netPerformancePercentage,
netPerformancePercentageWithCurrencyEffect,
netPerformanceValues,
netPerformanceValuesWithCurrencyEffect,
netPerformanceWithCurrencyEffect,
timeWeightedInvestment,
timeWeightedInvestmentValues,
timeWeightedInvestmentValuesWithCurrencyEffect,
timeWeightedInvestmentWithCurrencyEffect,
totalDividend,
totalDividendInBaseCurrency,
@ -287,15 +354,29 @@ export abstract class PortfolioCalculator {
} = this.getSymbolMetrics({
marketSymbolMap,
start,
step,
dataSource: item.dataSource,
end: endDate,
exchangeRates:
exchangeRatesByCurrency[`${item.currency}${this.currency}`],
isChartMode: true,
symbol: item.symbol
});
hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
valuesBySymbol[item.symbol] = {
currentValues,
currentValuesWithCurrencyEffect,
investmentValuesAccumulated,
investmentValuesAccumulatedWithCurrencyEffect,
investmentValuesWithCurrencyEffect,
netPerformanceValues,
netPerformanceValuesWithCurrencyEffect,
timeWeightedInvestmentValues,
timeWeightedInvestmentValuesWithCurrencyEffect
};
positions.push({
dividend: totalDividend,
dividendInBaseCurrency: totalDividendInBaseCurrency,
@ -363,10 +444,143 @@ export abstract class PortfolioCalculator {
}
}
for (const currentDate of chartDates) {
const dateString = format(currentDate, DATE_FORMAT);
for (const symbol of Object.keys(valuesBySymbol)) {
const symbolValues = valuesBySymbol[symbol];
const currentValue =
symbolValues.currentValues?.[dateString] ?? new Big(0);
const currentValueWithCurrencyEffect =
symbolValues.currentValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const investmentValueAccumulated =
symbolValues.investmentValuesAccumulated?.[dateString] ?? new Big(0);
const investmentValueAccumulatedWithCurrencyEffect =
symbolValues.investmentValuesAccumulatedWithCurrencyEffect?.[
dateString
] ?? new Big(0);
const investmentValueWithCurrencyEffect =
symbolValues.investmentValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const netPerformanceValue =
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0);
const netPerformanceValueWithCurrencyEffect =
symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const timeWeightedInvestmentValue =
symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0);
const timeWeightedInvestmentValueWithCurrencyEffect =
symbolValues.timeWeightedInvestmentValuesWithCurrencyEffect?.[
dateString
] ?? new Big(0);
accumulatedValuesByDate[dateString] = {
investmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.investmentValueWithCurrencyEffect ?? new Big(0)
).add(investmentValueWithCurrencyEffect),
totalCurrentValue: (
accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0)
).add(currentValue),
totalCurrentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalCurrentValueWithCurrencyEffect ?? new Big(0)
).add(currentValueWithCurrencyEffect),
totalInvestmentValue: (
accumulatedValuesByDate[dateString]?.totalInvestmentValue ??
new Big(0)
).add(investmentValueAccumulated),
totalInvestmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalInvestmentValueWithCurrencyEffect ?? new Big(0)
).add(investmentValueAccumulatedWithCurrencyEffect),
totalNetPerformanceValue: (
accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ??
new Big(0)
).add(netPerformanceValue),
totalNetPerformanceValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0)
).add(netPerformanceValueWithCurrencyEffect),
totalTimeWeightedInvestmentValue: (
accumulatedValuesByDate[dateString]
?.totalTimeWeightedInvestmentValue ?? new Big(0)
).add(timeWeightedInvestmentValue),
totalTimeWeightedInvestmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0)
).add(timeWeightedInvestmentValueWithCurrencyEffect)
};
}
}
const chartData: HistoricalDataItem[] = Object.entries(
accumulatedValuesByDate
).map(([date, values]) => {
const {
investmentValueWithCurrencyEffect,
totalCurrentValue,
totalCurrentValueWithCurrencyEffect,
totalInvestmentValue,
totalInvestmentValueWithCurrencyEffect,
totalNetPerformanceValue,
totalNetPerformanceValueWithCurrencyEffect,
totalTimeWeightedInvestmentValue,
totalTimeWeightedInvestmentValueWithCurrencyEffect
} = values;
console.log(
'Chart: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestmentValue.toFixed()
);
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
.div(totalTimeWeightedInvestmentValue)
.mul(100)
.toNumber();
const netPerformanceInPercentageWithCurrencyEffect =
totalTimeWeightedInvestmentValueWithCurrencyEffect.eq(0)
? 0
: totalNetPerformanceValueWithCurrencyEffect
.div(totalTimeWeightedInvestmentValueWithCurrencyEffect)
.mul(100)
.toNumber();
return {
date,
netPerformanceInPercentage,
netPerformanceInPercentageWithCurrencyEffect,
investmentValueWithCurrencyEffect:
investmentValueWithCurrencyEffect.toNumber(),
netPerformance: totalNetPerformanceValue.toNumber(),
netPerformanceWithCurrencyEffect:
totalNetPerformanceValueWithCurrencyEffect.toNumber(),
totalInvestment: totalInvestmentValue.toNumber(),
totalInvestmentValueWithCurrencyEffect:
totalInvestmentValueWithCurrencyEffect.toNumber(),
value: totalCurrentValue.toNumber(),
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber()
};
});
const overall = this.calculateOverallPerformance(positions);
return {
...overall,
chartData,
errors,
positions,
totalInterestWithCurrencyEffect,
@ -383,6 +597,8 @@ export abstract class PortfolioCalculator {
dateRange?: DateRange;
withDataDecimation?: boolean;
}): Promise<HistoricalDataItem[]> {
console.time('-------- PortfolioCalculator.getChart');
if (this.getTransactionPoints().length === 0) {
return [];
}
@ -394,11 +610,15 @@ export abstract class PortfolioCalculator {
? Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS))
: 1;
return this.getChartData({
const chartData = await this.getChartData({
step,
end: endDate,
start: startDate
});
console.timeEnd('-------- PortfolioCalculator.getChart');
return chartData;
}
public async getChartData({
@ -637,6 +857,11 @@ export abstract class PortfolioCalculator {
totalTimeWeightedInvestmentValueWithCurrencyEffect
} = values;
console.log(
'Chart: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestmentValue.toFixed()
);
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
@ -743,8 +968,11 @@ export abstract class PortfolioCalculator {
}
public async getSnapshot() {
console.time('getSnapshot');
await this.snapshotPromise;
console.timeEnd('getSnapshot');
return this.snapshot;
}

6
apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
View File

@ -102,6 +102,11 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
}
}
console.log(
'Overall: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestment.toFixed()
);
return {
currentValueInBaseCurrency,
grossPerformance,
@ -114,6 +119,7 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
totalInterestWithCurrencyEffect,
totalInvestment,
totalInvestmentWithCurrencyEffect,
chartData: [],
netPerformancePercentage: totalTimeWeightedInvestment.eq(0)
? new Big(0)
: netPerformance.div(totalTimeWeightedInvestment),

7
apps/api/src/app/portfolio/interfaces/portfolio-snapshot.interface.ts
View File

@ -1,8 +1,13 @@
import { ResponseError, TimelinePosition } from '@ghostfolio/common/interfaces';
import {
HistoricalDataItem,
ResponseError,
TimelinePosition
} from '@ghostfolio/common/interfaces';
import { Big } from 'big.js';
export interface PortfolioSnapshot extends ResponseError {
chartData: HistoricalDataItem[];
currentValueInBaseCurrency: Big;
grossPerformance: Big;
grossPerformanceWithCurrencyEffect: Big;

12
apps/api/src/app/portfolio/portfolio.controller.ts
View File

@ -80,6 +80,8 @@ export class PortfolioController {
@Query('tags') filterByTags?: string,
@Query('withMarkets') withMarketsParam = 'false'
): Promise<PortfolioDetails & { hasError: boolean }> {
console.time('TOTAL');
const withMarkets = withMarketsParam === 'true';
let hasDetails = true;
@ -100,6 +102,8 @@ export class PortfolioController {
filterByTags
});
console.time('- PortfolioController.getDetails - 1');
const { accounts, hasErrors, holdings, platforms, summary } =
await this.portfolioService.getDetails({
dateRange,
@ -110,6 +114,10 @@ export class PortfolioController {
withSummary: true
});
console.timeEnd('- PortfolioController.getDetails - 1');
console.time('- PortfolioController.getDetails - 2');
if (hasErrors || hasNotDefinedValuesInObject(holdings)) {
hasError = true;
}
@ -202,6 +210,10 @@ export class PortfolioController {
};
}
console.timeEnd('- PortfolioController.getDetails - 2');
console.timeEnd('TOTAL');
return {
accounts,
hasError,

75
apps/api/src/app/portfolio/portfolio.service.ts
View File

@ -334,6 +334,8 @@ export class PortfolioService {
withMarkets?: boolean;
withSummary?: boolean;
}): Promise<PortfolioDetails & { hasErrors: boolean }> {
console.time('-- PortfolioService.getDetails - 1');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
const userCurrency = this.getUserCurrency(user);
@ -356,9 +358,16 @@ export class PortfolioService {
currency: userCurrency
});
console.timeEnd('-- PortfolioService.getDetails - 1');
console.time('-- PortfolioService.getDetails - 2');
const { currentValueInBaseCurrency, hasErrors, positions } =
await portfolioCalculator.getSnapshot();
console.timeEnd('-- PortfolioService.getDetails - 2');
console.time('-- PortfolioService.getDetails - 3');
const cashDetails = await this.accountService.getCashDetails({
filters,
userId,
@ -407,6 +416,9 @@ export class PortfolioService {
};
});
console.timeEnd('-- PortfolioService.getDetails - 3');
console.time('-- PortfolioService.getDetails - 4');
const [dataProviderResponses, symbolProfiles] = await Promise.all([
this.dataProviderService.getQuotes({ user, items: dataGatheringItems }),
this.symbolProfileService.getSymbolProfiles(dataGatheringItems)
@ -422,6 +434,9 @@ export class PortfolioService {
portfolioItemsNow[position.symbol] = position;
}
console.timeEnd('-- PortfolioService.getDetails - 4');
console.time('-- PortfolioService.getDetails - 5');
for (const {
currency,
dividend,
@ -562,6 +577,10 @@ export class PortfolioService {
};
}
console.timeEnd('-- PortfolioService.getDetails - 5');
console.time('-- PortfolioService.getDetails - 6');
let summary: PortfolioSummary;
if (withSummary) {
@ -580,6 +599,8 @@ export class PortfolioService {
});
}
console.timeEnd('-- PortfolioService.getDetails - 6');
return {
accounts,
hasErrors,
@ -1022,15 +1043,20 @@ export class PortfolioService {
dateRange = 'max',
filters,
impersonationId,
portfolioCalculator,
userId,
withExcludedAccounts = false
}: {
dateRange?: DateRange;
filters?: Filter[];
impersonationId: string;
portfolioCalculator?: PortfolioCalculator;
userId: string;
withExcludedAccounts?: boolean;
}): Promise<PortfolioPerformanceResponse> {
// OPTIMIZE (1.34s)
console.time('------ PortfolioService.getPerformance');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
const userCurrency = this.getUserCurrency(user);
@ -1062,6 +1088,8 @@ export class PortfolioService {
const { endDate, startDate } = getInterval(dateRange);
console.time('------- PortfolioService.getPerformance - 2');
const { activities } = await this.orderService.getOrders({
endDate,
filters,
@ -1070,6 +1098,9 @@ export class PortfolioService {
withExcludedAccounts
});
console.timeEnd('------- PortfolioService.getPerformance - 2');
console.time('------- PortfolioService.getPerformance - 3');
if (accountBalanceItems?.length <= 0 && activities?.length <= 0) {
return {
chart: [],
@ -1091,7 +1122,9 @@ export class PortfolioService {
};
}
const portfolioCalculator = this.calculatorFactory.createCalculator({
portfolioCalculator =
portfolioCalculator ??
this.calculatorFactory.createCalculator({
activities,
dateRange,
calculationType: PerformanceCalculationType.TWR,
@ -1099,6 +1132,7 @@ export class PortfolioService {
});
const {
chartData,
currentValueInBaseCurrency,
errors,
grossPerformance,
@ -1113,6 +1147,9 @@ export class PortfolioService {
totalInvestment
} = await portfolioCalculator.getSnapshot();
console.timeEnd('------- PortfolioService.getPerformance - 3');
console.time('------- PortfolioService.getPerformance - 4');
let currentNetPerformance = netPerformance;
let currentNetPerformancePercent = netPerformancePercentage;
@ -1123,11 +1160,10 @@ export class PortfolioService {
let currentNetPerformanceWithCurrencyEffect =
netPerformanceWithCurrencyEffect;
const items = await portfolioCalculator.getChart({
dateRange
});
console.timeEnd('------- PortfolioService.getPerformance - 4');
console.time('------- PortfolioService.getPerformance - 5');
const itemOfToday = items.find(({ date }) => {
const itemOfToday = chartData.find(({ date }) => {
return date === format(new Date(), DATE_FORMAT);
});
@ -1162,19 +1198,25 @@ export class PortfolioService {
});
}
console.timeEnd('------- PortfolioService.getPerformance - 5');
console.time('------- PortfolioService.getPerformance - 6');
const mergedHistoricalDataItems = this.mergeHistoricalDataItems(
accountBalanceItems,
items
chartData
);
const currentHistoricalDataItem = last(mergedHistoricalDataItems);
const currentNetWorth = currentHistoricalDataItem?.netWorth ?? 0;
console.timeEnd('------- PortfolioService.getPerformance - 6');
console.timeEnd('------ PortfolioService.getPerformance');
return {
errors,
hasErrors,
chart: mergedHistoricalDataItems,
firstOrderDate: parseDate(items[0]?.date),
firstOrderDate: parseDate(chartData[0]?.date),
performance: {
currentNetWorth,
currentGrossPerformance: grossPerformance.toNumber(),
@ -1579,11 +1621,17 @@ export class PortfolioService {
userCurrency: string;
userId: string;
}): Promise<PortfolioSummary> {
// OPTIMIZE (1.1 s)
console.time('---- PortfolioService.getSummary');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
console.time('----- PortfolioService.getSummary - 1');
const performanceInformation = await this.getPerformance({
impersonationId,
portfolioCalculator,
userId
});
@ -1593,6 +1641,9 @@ export class PortfolioService {
withExcludedAccounts: true
});
console.timeEnd('----- PortfolioService.getSummary - 1');
console.time('----- PortfolioService.getSummary - 2');
const excludedActivities: Activity[] = [];
const nonExcludedActivities: Activity[] = [];
@ -1620,6 +1671,9 @@ export class PortfolioService {
const interest = await portfolioCalculator.getInterestInBaseCurrency();
console.timeEnd('----- PortfolioService.getSummary - 2');
console.time('----- PortfolioService.getSummary - 3');
const liabilities =
await portfolioCalculator.getLiabilitiesInBaseCurrency();
@ -1656,6 +1710,9 @@ export class PortfolioService {
})
);
console.timeEnd('----- PortfolioService.getSummary - 3');
console.time('----- PortfolioService.getSummary - 4');
const cashDetailsWithExcludedAccounts =
await this.accountService.getCashDetails({
userId,
@ -1695,6 +1752,10 @@ export class PortfolioService {
)
})?.toNumber();
console.timeEnd('----- PortfolioService.getSummary - 4');
console.timeEnd('---- PortfolioService.getSummary');
return {
...performanceInformation.performance,
annualizedPerformancePercent,

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