Bugfix/fix performance calculation on date of activity when unit price differs from market price (#4650)

* Fix performance calculation on date of activity when unit price differs from market price

* Update changelog

CHANGELOG.md

@@ -11,6 +11,10 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 - Improved the language localization for Turkish (`tr`)
 
+### Fixed
+
+- Fixed an issue in the performance calculation on the date of an activity when the unit price differs from the market price
+
 ## 2.160.0 - 2025-05-04
 
 ### Added

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-baln-buy.spec.ts

@@ -193,5 +193,83 @@ describe('PortfolioCalculator', () => {
         { date: '2021-12-01', investment: 0 }
       ]);
     });
+
+    it.only('with BALN.SW buy (with unit price lower than closing price)', async () => {
+      jest.useFakeTimers().setSystemTime(parseDate('2021-12-18').getTime());
+
+      const activities: Activity[] = [
+        {
+          ...activityDummyData,
+          date: new Date('2021-11-30'),
+          feeInAssetProfileCurrency: 1.55,
+          quantity: 2,
+          SymbolProfile: {
+            ...symbolProfileDummyData,
+            currency: 'CHF',
+            dataSource: 'YAHOO',
+            name: 'Bâloise Holding AG',
+            symbol: 'BALN.SW'
+          },
+          type: 'BUY',
+          unitPriceInAssetProfileCurrency: 135.0
+        }
+      ];
+
+      const portfolioCalculator = portfolioCalculatorFactory.createCalculator({
+        activities,
+        calculationType: PerformanceCalculationType.ROAI,
+        currency: 'CHF',
+        userId: userDummyData.id
+      });
+
+      const portfolioSnapshot = await portfolioCalculator.computeSnapshot();
+      const snapshotOnBuyDate = portfolioSnapshot.historicalData.find(
+        ({ date }) => {
+          return date === '2021-11-30';
+        }
+      );
+
+      // Closing price on 2021-11-30: 136.6
+      expect(snapshotOnBuyDate?.netPerformanceWithCurrencyEffect).toEqual(1.65); // 2 * (136.6 - 135.0) - 1.55 = 1.65
+    });
+
+    it.only('with BALN.SW buy (with unit price lower than closing price), calculated on buy date', async () => {
+      jest.useFakeTimers().setSystemTime(parseDate('2021-11-30').getTime());
+
+      const activities: Activity[] = [
+        {
+          ...activityDummyData,
+          date: new Date('2021-11-30'),
+          feeInAssetProfileCurrency: 1.55,
+          quantity: 2,
+          SymbolProfile: {
+            ...symbolProfileDummyData,
+            currency: 'CHF',
+            dataSource: 'YAHOO',
+            name: 'Bâloise Holding AG',
+            symbol: 'BALN.SW'
+          },
+          type: 'BUY',
+          unitPriceInAssetProfileCurrency: 135.0
+        }
+      ];
+
+      const portfolioCalculator = portfolioCalculatorFactory.createCalculator({
+        activities,
+        calculationType: PerformanceCalculationType.ROAI,
+        currency: 'CHF',
+        userId: userDummyData.id
+      });
+
+      const portfolioSnapshot = await portfolioCalculator.computeSnapshot();
+      const snapshotOnBuyDate = portfolioSnapshot.historicalData.find(
+        ({ date }) => {
+          return date === '2021-11-30';
+        }
+      );
+
+      // Closing price on 2021-11-30: 136.6
+      expect(snapshotOnBuyDate?.netPerformanceWithCurrencyEffect).toEqual(1.65); // 2 * (136.6 - 135.0) - 1.55 = 1.65
+    });
   });
 });

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btceur.spec.ts

@@ -142,19 +142,22 @@ describe('PortfolioCalculator', () => {
         valueWithCurrencyEffect: 0
       });
 
+      /**
+       * Closing price on 2021-12-12: 50098.3
+       */
       expect(portfolioSnapshot.historicalData[1]).toEqual({
         date: '2021-12-12',
         investmentValueWithCurrencyEffect: 44558.42,
-        netPerformance: -4.46,
-        netPerformanceInPercentage: 0,
-        netPerformanceInPercentageWithCurrencyEffect: 0,
-        netPerformanceWithCurrencyEffect: -4.46,
-        netWorth: 44558.42,
+        netPerformance: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
+        netPerformanceInPercentage: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
+        netPerformanceInPercentageWithCurrencyEffect: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
+        netPerformanceWithCurrencyEffect: 5535.42,
+        netWorth: 50098.3, // 1 * 50098.3 = 50098.3
         totalAccountBalance: 0,
         totalInvestment: 44558.42,
         totalInvestmentValueWithCurrencyEffect: 44558.42,
-        value: 44558.42,
-        valueWithCurrencyEffect: 44558.42
+        value: 50098.3, // 1 * 50098.3 = 50098.3
+        valueWithCurrencyEffect: 50098.3
       });
 
       expect(

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-btcusd.spec.ts

@@ -142,19 +142,22 @@ describe('PortfolioCalculator', () => {
         valueWithCurrencyEffect: 0
       });
 
+      /**
+       * Closing price on 2021-12-12: 50098.3
+       */
       expect(portfolioSnapshot.historicalData[1]).toEqual({
         date: '2021-12-12',
         investmentValueWithCurrencyEffect: 44558.42,
-        netPerformance: -4.46,
-        netPerformanceInPercentage: 0,
-        netPerformanceInPercentageWithCurrencyEffect: 0,
-        netPerformanceWithCurrencyEffect: -4.46,
-        netWorth: 44558.42,
+        netPerformance: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
+        netPerformanceInPercentage: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
+        netPerformanceInPercentageWithCurrencyEffect: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
+        netPerformanceWithCurrencyEffect: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
+        netWorth: 50098.3, // 1 * 50098.3 = 50098.3
         totalAccountBalance: 0,
         totalInvestment: 44558.42,
         totalInvestmentValueWithCurrencyEffect: 44558.42,
-        value: 44558.42,
-        valueWithCurrencyEffect: 44558.42
+        value: 50098.3, // 1 * 50098.3 = 50098.3
+        valueWithCurrencyEffect: 50098.3
       });
 
       expect(

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-novn-buy-and-sell.spec.ts

@@ -145,19 +145,23 @@ describe('PortfolioCalculator', () => {
         valueWithCurrencyEffect: 0
       });
 
+      /**
+       * Closing price on 2022-03-07 is unknown,
+       * hence it uses the last unit price (2022-04-11): 87.8
+       */
       expect(portfolioSnapshot.historicalData[1]).toEqual({
         date: '2022-03-07',
         investmentValueWithCurrencyEffect: 151.6,
-        netPerformance: 0,
-        netPerformanceInPercentage: 0,
-        netPerformanceInPercentageWithCurrencyEffect: 0,
-        netPerformanceWithCurrencyEffect: 0,
-        netWorth: 151.6,
+        netPerformance: 24, // 2 * (87.8 - 75.8) = 24
+        netPerformanceInPercentage: 0.158311345646438, // 24 ÷ 151.6 = 0.158311345646438
+        netPerformanceInPercentageWithCurrencyEffect: 0.158311345646438, // 24 ÷ 151.6 = 0.158311345646438
+        netPerformanceWithCurrencyEffect: 24,
+        netWorth: 175.6, // 2 * 87.8 = 175.6
         totalAccountBalance: 0,
         totalInvestment: 151.6,
         totalInvestmentValueWithCurrencyEffect: 151.6,
-        value: 151.6,
-        valueWithCurrencyEffect: 151.6
+        value: 175.6, // 2 * 87.8 = 175.6
+        valueWithCurrencyEffect: 175.6
       });
 
       expect(

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts

@@ -456,12 +456,19 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
         );
       }
 
+      const marketPriceInBaseCurrency =
+        order.unitPriceFromMarketData?.mul(currentExchangeRate ?? 1) ??
+        new Big(0);
+      const marketPriceInBaseCurrencyWithCurrencyEffect =
+        order.unitPriceFromMarketData?.mul(exchangeRateAtOrderDate ?? 1) ??
+        new Big(0);
+
       const valueOfInvestmentBeforeTransaction = totalUnits.mul(
-        order.unitPriceInBaseCurrency
+        marketPriceInBaseCurrency
       );
 
       const valueOfInvestmentBeforeTransactionWithCurrencyEffect =
-        totalUnits.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect);
+        totalUnits.mul(marketPriceInBaseCurrencyWithCurrencyEffect);
 
       if (!investmentAtStartDate && i >= indexOfStartOrder) {
         investmentAtStartDate = totalInvestment ?? new Big(0);
@@ -558,10 +565,10 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
 
       totalUnits = totalUnits.plus(order.quantity.mul(getFactor(order.type)));
 
-      const valueOfInvestment = totalUnits.mul(order.unitPriceInBaseCurrency);
+      const valueOfInvestment = totalUnits.mul(marketPriceInBaseCurrency);
 
       const valueOfInvestmentWithCurrencyEffect = totalUnits.mul(
-        order.unitPriceInBaseCurrencyWithCurrencyEffect
+        marketPriceInBaseCurrencyWithCurrencyEffect
       );
 
       const grossPerformanceFromSell =
@@ -701,17 +708,23 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
           investmentValuesWithCurrencyEffect[order.date] ?? new Big(0)
         ).add(transactionInvestmentWithCurrencyEffect);
 
+        // If duration is effectively zero (first day), use the actual investment as the base.
+        // Otherwise, use the calculated time-weighted average.
         timeWeightedInvestmentValues[order.date] =
-          totalInvestmentDays > 0
+          totalInvestmentDays > Number.EPSILON
             ? sumOfTimeWeightedInvestments.div(totalInvestmentDays)
-            : new Big(0);
+            : totalInvestment.gt(0)
+              ? totalInvestment
+              : new Big(0);
 
         timeWeightedInvestmentValuesWithCurrencyEffect[order.date] =
-          totalInvestmentDays > 0
+          totalInvestmentDays > Number.EPSILON
             ? sumOfTimeWeightedInvestmentsWithCurrencyEffect.div(
                 totalInvestmentDays
               )
-            : new Big(0);
+            : totalInvestmentWithCurrencyEffect.gt(0)
+              ? totalInvestmentWithCurrencyEffect
+              : new Big(0);
       }
 
       if (PortfolioCalculator.ENABLE_LOGGING) {