mirror of https://github.com/ghostfolio/ghostfolio
Browse Source
* Switch to new calculation engine * Clean up old portfolio calculation engine (#815) * Rename new portfolio calculation engine (#816) * Update changelogpull/818/head
Thomas Kaul
3 years ago
committed by
GitHub
GitHub
18 changed files with 644 additions and 5696 deletions
@ -1,73 +0,0 @@ |
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import Big from 'big.js'; |
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import { CurrentRateService } from './current-rate.service'; |
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import { PortfolioCalculatorNew } from './portfolio-calculator-new'; |
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describe('PortfolioCalculatorNew', () => { |
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let currentRateService: CurrentRateService; |
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beforeEach(() => { |
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currentRateService = new CurrentRateService(null, null, null); |
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}); |
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describe('annualized performance percentage', () => { |
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const portfolioCalculatorNew = new PortfolioCalculatorNew({ |
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currentRateService, |
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currency: 'USD', |
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orders: [] |
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}); |
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it('Get annualized performance', async () => { |
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expect( |
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portfolioCalculatorNew |
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.getAnnualizedPerformancePercent({ |
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daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
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netPerformancePercent: new Big(0) |
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}) |
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.toNumber() |
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).toEqual(0); |
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expect( |
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portfolioCalculatorNew |
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.getAnnualizedPerformancePercent({ |
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daysInMarket: 0, |
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netPerformancePercent: new Big(0) |
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}) |
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.toNumber() |
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).toEqual(0); |
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/** |
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* Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
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*/ |
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expect( |
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portfolioCalculatorNew |
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.getAnnualizedPerformancePercent({ |
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daysInMarket: 65, // < 1 year
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netPerformancePercent: new Big(0.1025) |
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}) |
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.toNumber() |
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).toBeCloseTo(0.729705); |
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expect( |
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portfolioCalculatorNew |
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.getAnnualizedPerformancePercent({ |
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daysInMarket: 365, // 1 year
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netPerformancePercent: new Big(0.05) |
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}) |
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.toNumber() |
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).toBeCloseTo(0.05); |
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/** |
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* Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
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*/ |
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expect( |
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portfolioCalculatorNew |
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.getAnnualizedPerformancePercent({ |
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daysInMarket: 575, // > 1 year
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netPerformancePercent: new Big(0.2374) |
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}) |
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.toNumber() |
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).toBeCloseTo(0.145); |
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}); |
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}); |
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}); |
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@ -1,997 +0,0 @@ |
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import { TimelineInfoInterface } from '@ghostfolio/api/app/portfolio/interfaces/timeline-info.interface'; |
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import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfaces'; |
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
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import { |
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ResponseError, |
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TimelinePosition, |
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UniqueAsset |
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} from '@ghostfolio/common/interfaces'; |
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import { Logger } from '@nestjs/common'; |
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import { Type as TypeOfOrder } from '@prisma/client'; |
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import Big from 'big.js'; |
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import { |
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addDays, |
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addMilliseconds, |
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addMonths, |
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addYears, |
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endOfDay, |
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format, |
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isAfter, |
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isBefore, |
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max, |
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min |
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} from 'date-fns'; |
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import { first, flatten, isNumber, sortBy } from 'lodash'; |
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import { CurrentRateService } from './current-rate.service'; |
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import { CurrentPositions } from './interfaces/current-positions.interface'; |
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import { GetValueObject } from './interfaces/get-value-object.interface'; |
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import { PortfolioOrderItem } from './interfaces/portfolio-calculator.interface'; |
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import { PortfolioOrder } from './interfaces/portfolio-order.interface'; |
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import { TimelinePeriod } from './interfaces/timeline-period.interface'; |
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import { |
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Accuracy, |
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TimelineSpecification |
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} from './interfaces/timeline-specification.interface'; |
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import { TransactionPointSymbol } from './interfaces/transaction-point-symbol.interface'; |
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import { TransactionPoint } from './interfaces/transaction-point.interface'; |
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export class PortfolioCalculatorNew { |
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private static readonly CALCULATE_PERCENTAGE_PERFORMANCE_WITH_MAX_INVESTMENT = |
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true; |
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private static readonly ENABLE_LOGGING = false; |
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private currency: string; |
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private currentRateService: CurrentRateService; |
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private orders: PortfolioOrder[]; |
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private transactionPoints: TransactionPoint[]; |
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public constructor({ |
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currency, |
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currentRateService, |
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orders |
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}: { |
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currency: string; |
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currentRateService: CurrentRateService; |
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orders: PortfolioOrder[]; |
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}) { |
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this.currency = currency; |
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this.currentRateService = currentRateService; |
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this.orders = orders; |
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this.orders.sort((a, b) => a.date.localeCompare(b.date)); |
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} |
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public computeTransactionPoints() { |
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this.transactionPoints = []; |
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const symbols: { [symbol: string]: TransactionPointSymbol } = {}; |
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let lastDate: string = null; |
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let lastTransactionPoint: TransactionPoint = null; |
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for (const order of this.orders) { |
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const currentDate = order.date; |
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let currentTransactionPointItem: TransactionPointSymbol; |
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const oldAccumulatedSymbol = symbols[order.symbol]; |
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const factor = this.getFactor(order.type); |
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const unitPrice = new Big(order.unitPrice); |
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if (oldAccumulatedSymbol) { |
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const newQuantity = order.quantity |
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.mul(factor) |
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.plus(oldAccumulatedSymbol.quantity); |
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currentTransactionPointItem = { |
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currency: order.currency, |
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dataSource: order.dataSource, |
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fee: order.fee.plus(oldAccumulatedSymbol.fee), |
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firstBuyDate: oldAccumulatedSymbol.firstBuyDate, |
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investment: newQuantity.eq(0) |
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? new Big(0) |
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: unitPrice |
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.mul(order.quantity) |
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.mul(factor) |
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.plus(oldAccumulatedSymbol.investment), |
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quantity: newQuantity, |
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symbol: order.symbol, |
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transactionCount: oldAccumulatedSymbol.transactionCount + 1 |
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}; |
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} else { |
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currentTransactionPointItem = { |
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currency: order.currency, |
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dataSource: order.dataSource, |
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fee: order.fee, |
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firstBuyDate: order.date, |
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investment: unitPrice.mul(order.quantity).mul(factor), |
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quantity: order.quantity.mul(factor), |
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symbol: order.symbol, |
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transactionCount: 1 |
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}; |
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} |
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symbols[order.symbol] = currentTransactionPointItem; |
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const items = lastTransactionPoint?.items ?? []; |
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const newItems = items.filter( |
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(transactionPointItem) => transactionPointItem.symbol !== order.symbol |
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); |
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newItems.push(currentTransactionPointItem); |
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newItems.sort((a, b) => a.symbol.localeCompare(b.symbol)); |
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if (lastDate !== currentDate || lastTransactionPoint === null) { |
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lastTransactionPoint = { |
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date: currentDate, |
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items: newItems |
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}; |
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this.transactionPoints.push(lastTransactionPoint); |
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} else { |
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lastTransactionPoint.items = newItems; |
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} |
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lastDate = currentDate; |
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} |
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} |
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public getAnnualizedPerformancePercent({ |
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daysInMarket, |
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netPerformancePercent |
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}: { |
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daysInMarket: number; |
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netPerformancePercent: Big; |
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}): Big { |
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if (isNumber(daysInMarket) && daysInMarket > 0) { |
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const exponent = new Big(365).div(daysInMarket).toNumber(); |
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return new Big( |
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Math.pow(netPerformancePercent.plus(1).toNumber(), exponent) |
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).minus(1); |
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} |
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return new Big(0); |
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} |
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public getTransactionPoints(): TransactionPoint[] { |
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return this.transactionPoints; |
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} |
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public setTransactionPoints(transactionPoints: TransactionPoint[]) { |
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this.transactionPoints = transactionPoints; |
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} |
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public async getCurrentPositions(start: Date): Promise<CurrentPositions> { |
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if (!this.transactionPoints?.length) { |
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return { |
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currentValue: new Big(0), |
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hasErrors: false, |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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positions: [], |
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totalInvestment: new Big(0) |
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}; |
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} |
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const lastTransactionPoint = |
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this.transactionPoints[this.transactionPoints.length - 1]; |
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// use Date.now() to use the mock for today
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const today = new Date(Date.now()); |
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let firstTransactionPoint: TransactionPoint = null; |
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let firstIndex = this.transactionPoints.length; |
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const dates = []; |
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const dataGatheringItems: IDataGatheringItem[] = []; |
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const currencies: { [symbol: string]: string } = {}; |
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dates.push(resetHours(start)); |
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for (const item of this.transactionPoints[firstIndex - 1].items) { |
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dataGatheringItems.push({ |
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dataSource: item.dataSource, |
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symbol: item.symbol |
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}); |
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currencies[item.symbol] = item.currency; |
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} |
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for (let i = 0; i < this.transactionPoints.length; i++) { |
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if ( |
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!isBefore(parseDate(this.transactionPoints[i].date), start) && |
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firstTransactionPoint === null |
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) { |
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firstTransactionPoint = this.transactionPoints[i]; |
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firstIndex = i; |
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} |
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if (firstTransactionPoint !== null) { |
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dates.push(resetHours(parseDate(this.transactionPoints[i].date))); |
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} |
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} |
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dates.push(resetHours(today)); |
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const marketSymbols = await this.currentRateService.getValues({ |
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currencies, |
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dataGatheringItems, |
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dateQuery: { |
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in: dates |
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}, |
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userCurrency: this.currency |
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}); |
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const marketSymbolMap: { |
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[date: string]: { [symbol: string]: Big }; |
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} = {}; |
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for (const marketSymbol of marketSymbols) { |
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const date = format(marketSymbol.date, DATE_FORMAT); |
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if (!marketSymbolMap[date]) { |
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marketSymbolMap[date] = {}; |
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} |
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if (marketSymbol.marketPrice) { |
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marketSymbolMap[date][marketSymbol.symbol] = new Big( |
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marketSymbol.marketPrice |
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); |
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} |
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} |
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const todayString = format(today, DATE_FORMAT); |
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if (firstIndex > 0) { |
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firstIndex--; |
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} |
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const initialValues: { [symbol: string]: Big } = {}; |
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const positions: TimelinePosition[] = []; |
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let hasAnySymbolMetricsErrors = false; |
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const errors: ResponseError['errors'] = []; |
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for (const item of lastTransactionPoint.items) { |
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const marketValue = marketSymbolMap[todayString]?.[item.symbol]; |
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const { |
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grossPerformance, |
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grossPerformancePercentage, |
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hasErrors, |
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initialValue, |
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netPerformance, |
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netPerformancePercentage |
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} = this.getSymbolMetrics({ |
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marketSymbolMap, |
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start, |
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symbol: item.symbol |
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}); |
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hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors; |
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initialValues[item.symbol] = initialValue; |
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positions.push({ |
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averagePrice: item.quantity.eq(0) |
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? new Big(0) |
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: item.investment.div(item.quantity), |
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currency: item.currency, |
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dataSource: item.dataSource, |
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firstBuyDate: item.firstBuyDate, |
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grossPerformance: !hasErrors ? grossPerformance ?? null : null, |
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grossPerformancePercentage: !hasErrors |
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? grossPerformancePercentage ?? null |
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: null, |
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investment: item.investment, |
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marketPrice: marketValue?.toNumber() ?? null, |
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netPerformance: !hasErrors ? netPerformance ?? null : null, |
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netPerformancePercentage: !hasErrors |
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? netPerformancePercentage ?? null |
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: null, |
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quantity: item.quantity, |
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symbol: item.symbol, |
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transactionCount: item.transactionCount |
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}); |
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if (hasErrors) { |
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errors.push({ dataSource: item.dataSource, symbol: item.symbol }); |
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} |
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} |
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const overall = this.calculateOverallPerformance(positions, initialValues); |
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return { |
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...overall, |
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errors, |
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positions, |
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hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors |
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}; |
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} |
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public getInvestments(): { date: string; investment: Big }[] { |
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if (this.transactionPoints.length === 0) { |
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return []; |
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} |
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return this.transactionPoints.map((transactionPoint) => { |
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return { |
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date: transactionPoint.date, |
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investment: transactionPoint.items.reduce( |
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(investment, transactionPointSymbol) => |
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investment.plus(transactionPointSymbol.investment), |
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new Big(0) |
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) |
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}; |
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}); |
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} |
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public async calculateTimeline( |
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timelineSpecification: TimelineSpecification[], |
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endDate: string |
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): Promise<TimelineInfoInterface> { |
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if (timelineSpecification.length === 0) { |
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return { |
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maxNetPerformance: new Big(0), |
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minNetPerformance: new Big(0), |
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timelinePeriods: [] |
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}; |
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} |
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const startDate = timelineSpecification[0].start; |
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const start = parseDate(startDate); |
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const end = parseDate(endDate); |
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const timelinePeriodPromises: Promise<TimelineInfoInterface>[] = []; |
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let i = 0; |
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let j = -1; |
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for ( |
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let currentDate = start; |
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!isAfter(currentDate, end); |
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currentDate = this.addToDate( |
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currentDate, |
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timelineSpecification[i].accuracy |
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) |
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) { |
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if (this.isNextItemActive(timelineSpecification, currentDate, i)) { |
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i++; |
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} |
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while ( |
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j + 1 < this.transactionPoints.length && |
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!isAfter(parseDate(this.transactionPoints[j + 1].date), currentDate) |
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) { |
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j++; |
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} |
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let periodEndDate = currentDate; |
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if (timelineSpecification[i].accuracy === 'day') { |
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let nextEndDate = end; |
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if (j + 1 < this.transactionPoints.length) { |
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nextEndDate = parseDate(this.transactionPoints[j + 1].date); |
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} |
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periodEndDate = min([ |
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addMonths(currentDate, 3), |
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max([currentDate, nextEndDate]) |
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]); |
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} |
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const timePeriodForDates = this.getTimePeriodForDate( |
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j, |
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currentDate, |
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endOfDay(periodEndDate) |
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); |
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currentDate = periodEndDate; |
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if (timePeriodForDates != null) { |
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timelinePeriodPromises.push(timePeriodForDates); |
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} |
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} |
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|
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const timelineInfoInterfaces: TimelineInfoInterface[] = await Promise.all( |
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timelinePeriodPromises |
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); |
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const minNetPerformance = timelineInfoInterfaces |
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.map((timelineInfo) => timelineInfo.minNetPerformance) |
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.filter((performance) => performance !== null) |
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.reduce((minPerformance, current) => { |
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if (minPerformance.lt(current)) { |
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return minPerformance; |
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} else { |
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return current; |
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} |
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}); |
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|
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const maxNetPerformance = timelineInfoInterfaces |
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.map((timelineInfo) => timelineInfo.maxNetPerformance) |
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.filter((performance) => performance !== null) |
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.reduce((maxPerformance, current) => { |
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if (maxPerformance.gt(current)) { |
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return maxPerformance; |
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} else { |
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return current; |
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} |
|
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}); |
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|
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const timelinePeriods = timelineInfoInterfaces.map( |
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(timelineInfo) => timelineInfo.timelinePeriods |
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); |
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|
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return { |
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maxNetPerformance, |
|
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minNetPerformance, |
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timelinePeriods: flatten(timelinePeriods) |
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}; |
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} |
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|
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private calculateOverallPerformance( |
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positions: TimelinePosition[], |
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initialValues: { [symbol: string]: Big } |
|
||||
) { |
|
||||
let currentValue = new Big(0); |
|
||||
let grossPerformance = new Big(0); |
|
||||
let grossPerformancePercentage = new Big(0); |
|
||||
let hasErrors = false; |
|
||||
let netPerformance = new Big(0); |
|
||||
let netPerformancePercentage = new Big(0); |
|
||||
let sumOfWeights = new Big(0); |
|
||||
let totalInvestment = new Big(0); |
|
||||
|
|
||||
for (const currentPosition of positions) { |
|
||||
if (currentPosition.marketPrice) { |
|
||||
currentValue = currentValue.plus( |
|
||||
new Big(currentPosition.marketPrice).mul(currentPosition.quantity) |
|
||||
); |
|
||||
} else { |
|
||||
hasErrors = true; |
|
||||
} |
|
||||
|
|
||||
totalInvestment = totalInvestment.plus(currentPosition.investment); |
|
||||
|
|
||||
if (currentPosition.grossPerformance) { |
|
||||
grossPerformance = grossPerformance.plus( |
|
||||
currentPosition.grossPerformance |
|
||||
); |
|
||||
|
|
||||
netPerformance = netPerformance.plus(currentPosition.netPerformance); |
|
||||
} else if (!currentPosition.quantity.eq(0)) { |
|
||||
hasErrors = true; |
|
||||
} |
|
||||
|
|
||||
if (currentPosition.grossPerformancePercentage) { |
|
||||
// Use the average from the initial value and the current investment as
|
|
||||
// a weight
|
|
||||
const weight = (initialValues[currentPosition.symbol] ?? new Big(0)) |
|
||||
.plus(currentPosition.investment) |
|
||||
.div(2); |
|
||||
|
|
||||
sumOfWeights = sumOfWeights.plus(weight); |
|
||||
|
|
||||
grossPerformancePercentage = grossPerformancePercentage.plus( |
|
||||
currentPosition.grossPerformancePercentage.mul(weight) |
|
||||
); |
|
||||
|
|
||||
netPerformancePercentage = netPerformancePercentage.plus( |
|
||||
currentPosition.netPerformancePercentage.mul(weight) |
|
||||
); |
|
||||
} else if (!currentPosition.quantity.eq(0)) { |
|
||||
Logger.warn( |
|
||||
`Missing initial value for symbol ${currentPosition.symbol} at ${currentPosition.firstBuyDate}`, |
|
||||
'PortfolioCalculatorNew' |
|
||||
); |
|
||||
hasErrors = true; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
if (sumOfWeights.gt(0)) { |
|
||||
grossPerformancePercentage = grossPerformancePercentage.div(sumOfWeights); |
|
||||
netPerformancePercentage = netPerformancePercentage.div(sumOfWeights); |
|
||||
} else { |
|
||||
grossPerformancePercentage = new Big(0); |
|
||||
netPerformancePercentage = new Big(0); |
|
||||
} |
|
||||
|
|
||||
return { |
|
||||
currentValue, |
|
||||
grossPerformance, |
|
||||
grossPerformancePercentage, |
|
||||
hasErrors, |
|
||||
netPerformance, |
|
||||
netPerformancePercentage, |
|
||||
totalInvestment |
|
||||
}; |
|
||||
} |
|
||||
|
|
||||
private async getTimePeriodForDate( |
|
||||
j: number, |
|
||||
startDate: Date, |
|
||||
endDate: Date |
|
||||
): Promise<TimelineInfoInterface> { |
|
||||
let investment: Big = new Big(0); |
|
||||
let fees: Big = new Big(0); |
|
||||
|
|
||||
const marketSymbolMap: { |
|
||||
[date: string]: { [symbol: string]: Big }; |
|
||||
} = {}; |
|
||||
if (j >= 0) { |
|
||||
const currencies: { [name: string]: string } = {}; |
|
||||
const dataGatheringItems: IDataGatheringItem[] = []; |
|
||||
|
|
||||
for (const item of this.transactionPoints[j].items) { |
|
||||
currencies[item.symbol] = item.currency; |
|
||||
dataGatheringItems.push({ |
|
||||
dataSource: item.dataSource, |
|
||||
symbol: item.symbol |
|
||||
}); |
|
||||
investment = investment.plus(item.investment); |
|
||||
fees = fees.plus(item.fee); |
|
||||
} |
|
||||
|
|
||||
let marketSymbols: GetValueObject[] = []; |
|
||||
if (dataGatheringItems.length > 0) { |
|
||||
try { |
|
||||
marketSymbols = await this.currentRateService.getValues({ |
|
||||
currencies, |
|
||||
dataGatheringItems, |
|
||||
dateQuery: { |
|
||||
gte: startDate, |
|
||||
lt: endOfDay(endDate) |
|
||||
}, |
|
||||
userCurrency: this.currency |
|
||||
}); |
|
||||
} catch (error) { |
|
||||
Logger.error( |
|
||||
`Failed to fetch info for date ${startDate} with exception`, |
|
||||
error, |
|
||||
'PortfolioCalculatorNew' |
|
||||
); |
|
||||
return null; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
for (const marketSymbol of marketSymbols) { |
|
||||
const date = format(marketSymbol.date, DATE_FORMAT); |
|
||||
if (!marketSymbolMap[date]) { |
|
||||
marketSymbolMap[date] = {}; |
|
||||
} |
|
||||
if (marketSymbol.marketPrice) { |
|
||||
marketSymbolMap[date][marketSymbol.symbol] = new Big( |
|
||||
marketSymbol.marketPrice |
|
||||
); |
|
||||
} |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
const results: TimelinePeriod[] = []; |
|
||||
let maxNetPerformance: Big = null; |
|
||||
let minNetPerformance: Big = null; |
|
||||
for ( |
|
||||
let currentDate = startDate; |
|
||||
isBefore(currentDate, endDate); |
|
||||
currentDate = addDays(currentDate, 1) |
|
||||
) { |
|
||||
let value = new Big(0); |
|
||||
const currentDateAsString = format(currentDate, DATE_FORMAT); |
|
||||
let invalid = false; |
|
||||
if (j >= 0) { |
|
||||
for (const item of this.transactionPoints[j].items) { |
|
||||
if ( |
|
||||
!marketSymbolMap[currentDateAsString]?.hasOwnProperty(item.symbol) |
|
||||
) { |
|
||||
invalid = true; |
|
||||
break; |
|
||||
} |
|
||||
value = value.plus( |
|
||||
item.quantity.mul(marketSymbolMap[currentDateAsString][item.symbol]) |
|
||||
); |
|
||||
} |
|
||||
} |
|
||||
if (!invalid) { |
|
||||
const grossPerformance = value.minus(investment); |
|
||||
const netPerformance = grossPerformance.minus(fees); |
|
||||
if ( |
|
||||
minNetPerformance === null || |
|
||||
minNetPerformance.gt(netPerformance) |
|
||||
) { |
|
||||
minNetPerformance = netPerformance; |
|
||||
} |
|
||||
if ( |
|
||||
maxNetPerformance === null || |
|
||||
maxNetPerformance.lt(netPerformance) |
|
||||
) { |
|
||||
maxNetPerformance = netPerformance; |
|
||||
} |
|
||||
|
|
||||
const result = { |
|
||||
grossPerformance, |
|
||||
investment, |
|
||||
netPerformance, |
|
||||
value, |
|
||||
date: currentDateAsString |
|
||||
}; |
|
||||
results.push(result); |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
return { |
|
||||
maxNetPerformance, |
|
||||
minNetPerformance, |
|
||||
timelinePeriods: results |
|
||||
}; |
|
||||
} |
|
||||
|
|
||||
private getFactor(type: TypeOfOrder) { |
|
||||
let factor: number; |
|
||||
|
|
||||
switch (type) { |
|
||||
case 'BUY': |
|
||||
factor = 1; |
|
||||
break; |
|
||||
case 'SELL': |
|
||||
factor = -1; |
|
||||
break; |
|
||||
default: |
|
||||
factor = 0; |
|
||||
break; |
|
||||
} |
|
||||
|
|
||||
return factor; |
|
||||
} |
|
||||
|
|
||||
private addToDate(date: Date, accuracy: Accuracy): Date { |
|
||||
switch (accuracy) { |
|
||||
case 'day': |
|
||||
return addDays(date, 1); |
|
||||
case 'month': |
|
||||
return addMonths(date, 1); |
|
||||
case 'year': |
|
||||
return addYears(date, 1); |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
private getSymbolMetrics({ |
|
||||
marketSymbolMap, |
|
||||
start, |
|
||||
symbol |
|
||||
}: { |
|
||||
marketSymbolMap: { |
|
||||
[date: string]: { [symbol: string]: Big }; |
|
||||
}; |
|
||||
start: Date; |
|
||||
symbol: string; |
|
||||
}) { |
|
||||
let orders: PortfolioOrderItem[] = this.orders.filter((order) => { |
|
||||
return order.symbol === symbol; |
|
||||
}); |
|
||||
|
|
||||
if (orders.length <= 0) { |
|
||||
return { |
|
||||
hasErrors: false, |
|
||||
initialValue: new Big(0), |
|
||||
netPerformance: new Big(0), |
|
||||
netPerformancePercentage: new Big(0), |
|
||||
grossPerformance: new Big(0), |
|
||||
grossPerformancePercentage: new Big(0) |
|
||||
}; |
|
||||
} |
|
||||
|
|
||||
const dateOfFirstTransaction = new Date(first(orders).date); |
|
||||
const endDate = new Date(Date.now()); |
|
||||
|
|
||||
const unitPriceAtStartDate = |
|
||||
marketSymbolMap[format(start, DATE_FORMAT)]?.[symbol]; |
|
||||
|
|
||||
const unitPriceAtEndDate = |
|
||||
marketSymbolMap[format(endDate, DATE_FORMAT)]?.[symbol]; |
|
||||
|
|
||||
if ( |
|
||||
!unitPriceAtEndDate || |
|
||||
(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
|
||||
) { |
|
||||
return { |
|
||||
hasErrors: true, |
|
||||
initialValue: new Big(0), |
|
||||
netPerformance: new Big(0), |
|
||||
netPerformancePercentage: new Big(0), |
|
||||
grossPerformance: new Big(0), |
|
||||
grossPerformancePercentage: new Big(0) |
|
||||
}; |
|
||||
} |
|
||||
|
|
||||
let averagePriceAtEndDate = new Big(0); |
|
||||
let averagePriceAtStartDate = new Big(0); |
|
||||
let feesAtStartDate = new Big(0); |
|
||||
let fees = new Big(0); |
|
||||
let grossPerformance = new Big(0); |
|
||||
let grossPerformanceAtStartDate = new Big(0); |
|
||||
let grossPerformanceFromSells = new Big(0); |
|
||||
let initialValue: Big; |
|
||||
let investmentAtStartDate: Big; |
|
||||
let lastAveragePrice = new Big(0); |
|
||||
let lastTransactionInvestment = new Big(0); |
|
||||
let lastValueOfInvestmentBeforeTransaction = new Big(0); |
|
||||
let maxTotalInvestment = new Big(0); |
|
||||
let timeWeightedGrossPerformancePercentage = new Big(1); |
|
||||
let timeWeightedNetPerformancePercentage = new Big(1); |
|
||||
let totalInvestment = new Big(0); |
|
||||
let totalInvestmentWithGrossPerformanceFromSell = new Big(0); |
|
||||
let totalUnits = new Big(0); |
|
||||
let valueAtStartDate: Big; |
|
||||
|
|
||||
// Add a synthetic order at the start and the end date
|
|
||||
orders.push({ |
|
||||
symbol, |
|
||||
currency: null, |
|
||||
date: format(start, DATE_FORMAT), |
|
||||
dataSource: null, |
|
||||
fee: new Big(0), |
|
||||
itemType: 'start', |
|
||||
name: '', |
|
||||
quantity: new Big(0), |
|
||||
type: TypeOfOrder.BUY, |
|
||||
unitPrice: unitPriceAtStartDate |
|
||||
}); |
|
||||
|
|
||||
orders.push({ |
|
||||
symbol, |
|
||||
currency: null, |
|
||||
date: format(endDate, DATE_FORMAT), |
|
||||
dataSource: null, |
|
||||
fee: new Big(0), |
|
||||
itemType: 'end', |
|
||||
name: '', |
|
||||
quantity: new Big(0), |
|
||||
type: TypeOfOrder.BUY, |
|
||||
unitPrice: unitPriceAtEndDate |
|
||||
}); |
|
||||
|
|
||||
// Sort orders so that the start and end placeholder order are at the right
|
|
||||
// position
|
|
||||
orders = sortBy(orders, (order) => { |
|
||||
let sortIndex = new Date(order.date); |
|
||||
|
|
||||
if (order.itemType === 'start') { |
|
||||
sortIndex = addMilliseconds(sortIndex, -1); |
|
||||
} |
|
||||
|
|
||||
if (order.itemType === 'end') { |
|
||||
sortIndex = addMilliseconds(sortIndex, 1); |
|
||||
} |
|
||||
|
|
||||
return sortIndex.getTime(); |
|
||||
}); |
|
||||
|
|
||||
const indexOfStartOrder = orders.findIndex((order) => { |
|
||||
return order.itemType === 'start'; |
|
||||
}); |
|
||||
|
|
||||
const indexOfEndOrder = orders.findIndex((order) => { |
|
||||
return order.itemType === 'end'; |
|
||||
}); |
|
||||
|
|
||||
for (let i = 0; i < orders.length; i += 1) { |
|
||||
const order = orders[i]; |
|
||||
|
|
||||
if (order.itemType === 'start') { |
|
||||
// Take the unit price of the order as the market price if there are no
|
|
||||
// orders of this symbol before the start date
|
|
||||
order.unitPrice = |
|
||||
indexOfStartOrder === 0 |
|
||||
? orders[i + 1]?.unitPrice |
|
||||
: unitPriceAtStartDate; |
|
||||
} |
|
||||
|
|
||||
// Calculate the average start price as soon as any units are held
|
|
||||
if ( |
|
||||
averagePriceAtStartDate.eq(0) && |
|
||||
i >= indexOfStartOrder && |
|
||||
totalUnits.gt(0) |
|
||||
) { |
|
||||
averagePriceAtStartDate = totalInvestment.div(totalUnits); |
|
||||
} |
|
||||
|
|
||||
const valueOfInvestmentBeforeTransaction = totalUnits.mul( |
|
||||
order.unitPrice |
|
||||
); |
|
||||
|
|
||||
if (!investmentAtStartDate && i >= indexOfStartOrder) { |
|
||||
investmentAtStartDate = totalInvestment ?? new Big(0); |
|
||||
valueAtStartDate = valueOfInvestmentBeforeTransaction; |
|
||||
} |
|
||||
|
|
||||
const transactionInvestment = order.quantity |
|
||||
.mul(order.unitPrice) |
|
||||
.mul(this.getFactor(order.type)); |
|
||||
|
|
||||
totalInvestment = totalInvestment.plus(transactionInvestment); |
|
||||
|
|
||||
if (i >= indexOfStartOrder && totalInvestment.gt(maxTotalInvestment)) { |
|
||||
maxTotalInvestment = totalInvestment; |
|
||||
} |
|
||||
|
|
||||
if (i === indexOfEndOrder && totalUnits.gt(0)) { |
|
||||
averagePriceAtEndDate = totalInvestment.div(totalUnits); |
|
||||
} |
|
||||
|
|
||||
if (i >= indexOfStartOrder && !initialValue) { |
|
||||
if ( |
|
||||
i === indexOfStartOrder && |
|
||||
!valueOfInvestmentBeforeTransaction.eq(0) |
|
||||
) { |
|
||||
initialValue = valueOfInvestmentBeforeTransaction; |
|
||||
} else if (transactionInvestment.gt(0)) { |
|
||||
initialValue = transactionInvestment; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
fees = fees.plus(order.fee); |
|
||||
|
|
||||
totalUnits = totalUnits.plus( |
|
||||
order.quantity.mul(this.getFactor(order.type)) |
|
||||
); |
|
||||
|
|
||||
const valueOfInvestment = totalUnits.mul(order.unitPrice); |
|
||||
|
|
||||
const grossPerformanceFromSell = |
|
||||
order.type === TypeOfOrder.SELL |
|
||||
? order.unitPrice.minus(lastAveragePrice).mul(order.quantity) |
|
||||
: new Big(0); |
|
||||
|
|
||||
grossPerformanceFromSells = grossPerformanceFromSells.plus( |
|
||||
grossPerformanceFromSell |
|
||||
); |
|
||||
|
|
||||
totalInvestmentWithGrossPerformanceFromSell = |
|
||||
totalInvestmentWithGrossPerformanceFromSell |
|
||||
.plus(transactionInvestment) |
|
||||
.plus(grossPerformanceFromSell); |
|
||||
|
|
||||
lastAveragePrice = totalUnits.eq(0) |
|
||||
? new Big(0) |
|
||||
: totalInvestmentWithGrossPerformanceFromSell.div(totalUnits); |
|
||||
|
|
||||
const newGrossPerformance = valueOfInvestment |
|
||||
.minus(totalInvestmentWithGrossPerformanceFromSell) |
|
||||
.plus(grossPerformanceFromSells); |
|
||||
|
|
||||
if ( |
|
||||
i > indexOfStartOrder && |
|
||||
!lastValueOfInvestmentBeforeTransaction |
|
||||
.plus(lastTransactionInvestment) |
|
||||
.eq(0) |
|
||||
) { |
|
||||
const grossHoldingPeriodReturn = valueOfInvestmentBeforeTransaction |
|
||||
.minus( |
|
||||
lastValueOfInvestmentBeforeTransaction.plus( |
|
||||
lastTransactionInvestment |
|
||||
) |
|
||||
) |
|
||||
.div( |
|
||||
lastValueOfInvestmentBeforeTransaction.plus( |
|
||||
lastTransactionInvestment |
|
||||
) |
|
||||
); |
|
||||
|
|
||||
timeWeightedGrossPerformancePercentage = |
|
||||
timeWeightedGrossPerformancePercentage.mul( |
|
||||
new Big(1).plus(grossHoldingPeriodReturn) |
|
||||
); |
|
||||
|
|
||||
const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction |
|
||||
.minus(fees.minus(feesAtStartDate)) |
|
||||
.minus( |
|
||||
lastValueOfInvestmentBeforeTransaction.plus( |
|
||||
lastTransactionInvestment |
|
||||
) |
|
||||
) |
|
||||
.div( |
|
||||
lastValueOfInvestmentBeforeTransaction.plus( |
|
||||
lastTransactionInvestment |
|
||||
) |
|
||||
); |
|
||||
|
|
||||
timeWeightedNetPerformancePercentage = |
|
||||
timeWeightedNetPerformancePercentage.mul( |
|
||||
new Big(1).plus(netHoldingPeriodReturn) |
|
||||
); |
|
||||
} |
|
||||
|
|
||||
grossPerformance = newGrossPerformance; |
|
||||
|
|
||||
lastTransactionInvestment = transactionInvestment; |
|
||||
|
|
||||
lastValueOfInvestmentBeforeTransaction = |
|
||||
valueOfInvestmentBeforeTransaction; |
|
||||
|
|
||||
if (order.itemType === 'start') { |
|
||||
feesAtStartDate = fees; |
|
||||
grossPerformanceAtStartDate = grossPerformance; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
timeWeightedGrossPerformancePercentage = |
|
||||
timeWeightedGrossPerformancePercentage.minus(1); |
|
||||
|
|
||||
timeWeightedNetPerformancePercentage = |
|
||||
timeWeightedNetPerformancePercentage.minus(1); |
|
||||
|
|
||||
const totalGrossPerformance = grossPerformance.minus( |
|
||||
grossPerformanceAtStartDate |
|
||||
); |
|
||||
|
|
||||
const totalNetPerformance = grossPerformance |
|
||||
.minus(grossPerformanceAtStartDate) |
|
||||
.minus(fees.minus(feesAtStartDate)); |
|
||||
|
|
||||
const maxInvestmentBetweenStartAndEndDate = valueAtStartDate.plus( |
|
||||
maxTotalInvestment.minus(investmentAtStartDate) |
|
||||
); |
|
||||
|
|
||||
const grossPerformancePercentage = |
|
||||
PortfolioCalculatorNew.CALCULATE_PERCENTAGE_PERFORMANCE_WITH_MAX_INVESTMENT || |
|
||||
averagePriceAtStartDate.eq(0) || |
|
||||
averagePriceAtEndDate.eq(0) || |
|
||||
orders[indexOfStartOrder].unitPrice.eq(0) |
|
||||
? maxInvestmentBetweenStartAndEndDate.gt(0) |
|
||||
? totalGrossPerformance.div(maxInvestmentBetweenStartAndEndDate) |
|
||||
: new Big(0) |
|
||||
: // This formula has the issue that buying more units with a price
|
|
||||
// lower than the average buying price results in a positive
|
|
||||
// performance even if the market price stays constant
|
|
||||
unitPriceAtEndDate |
|
||||
.div(averagePriceAtEndDate) |
|
||||
.div( |
|
||||
orders[indexOfStartOrder].unitPrice.div(averagePriceAtStartDate) |
|
||||
) |
|
||||
.minus(1); |
|
||||
|
|
||||
const feesPerUnit = totalUnits.gt(0) |
|
||||
? fees.minus(feesAtStartDate).div(totalUnits) |
|
||||
: new Big(0); |
|
||||
|
|
||||
const netPerformancePercentage = |
|
||||
PortfolioCalculatorNew.CALCULATE_PERCENTAGE_PERFORMANCE_WITH_MAX_INVESTMENT || |
|
||||
averagePriceAtStartDate.eq(0) || |
|
||||
averagePriceAtEndDate.eq(0) || |
|
||||
orders[indexOfStartOrder].unitPrice.eq(0) |
|
||||
? maxInvestmentBetweenStartAndEndDate.gt(0) |
|
||||
? totalNetPerformance.div(maxInvestmentBetweenStartAndEndDate) |
|
||||
: new Big(0) |
|
||||
: // This formula has the issue that buying more units with a price
|
|
||||
// lower than the average buying price results in a positive
|
|
||||
// performance even if the market price stays constant
|
|
||||
unitPriceAtEndDate |
|
||||
.minus(feesPerUnit) |
|
||||
.div(averagePriceAtEndDate) |
|
||||
.div( |
|
||||
orders[indexOfStartOrder].unitPrice.div(averagePriceAtStartDate) |
|
||||
) |
|
||||
.minus(1); |
|
||||
|
|
||||
if (PortfolioCalculatorNew.ENABLE_LOGGING) { |
|
||||
console.log( |
|
||||
` |
|
||||
${symbol} |
|
||||
Unit price: ${orders[indexOfStartOrder].unitPrice.toFixed( |
|
||||
2 |
|
||||
)} -> ${unitPriceAtEndDate.toFixed(2)} |
|
||||
Average price: ${averagePriceAtStartDate.toFixed( |
|
||||
2 |
|
||||
)} -> ${averagePriceAtEndDate.toFixed(2)} |
|
||||
Max. total investment: ${maxTotalInvestment.toFixed(2)} |
|
||||
Gross performance: ${totalGrossPerformance.toFixed( |
|
||||
2 |
|
||||
)} / ${grossPerformancePercentage.mul(100).toFixed(2)}% |
|
||||
Fees per unit: ${feesPerUnit.toFixed(2)} |
|
||||
Net performance: ${totalNetPerformance.toFixed( |
|
||||
2 |
|
||||
)} / ${netPerformancePercentage.mul(100).toFixed(2)}%` |
|
||||
); |
|
||||
} |
|
||||
|
|
||||
return { |
|
||||
initialValue, |
|
||||
grossPerformancePercentage, |
|
||||
netPerformancePercentage, |
|
||||
hasErrors: totalUnits.gt(0) && (!initialValue || !unitPriceAtEndDate), |
|
||||
netPerformance: totalNetPerformance, |
|
||||
grossPerformance: totalGrossPerformance |
|
||||
}; |
|
||||
} |
|
||||
|
|
||||
private isNextItemActive( |
|
||||
timelineSpecification: TimelineSpecification[], |
|
||||
currentDate: Date, |
|
||||
i: number |
|
||||
) { |
|
||||
return ( |
|
||||
i + 1 < timelineSpecification.length && |
|
||||
!isBefore(currentDate, parseDate(timelineSpecification[i + 1].start)) |
|
||||
); |
|
||||
} |
|
||||
} |
|
||||
File diff suppressed because it is too large
@ -1,26 +0,0 @@ |
|||||
import type { RequestWithUser } from '@ghostfolio/common/types'; |
|
||||
import { Inject, Injectable } from '@nestjs/common'; |
|
||||
import { REQUEST } from '@nestjs/core'; |
|
||||
|
|
||||
import { PortfolioService } from './portfolio.service'; |
|
||||
import { PortfolioServiceNew } from './portfolio.service-new'; |
|
||||
|
|
||||
@Injectable() |
|
||||
export class PortfolioServiceStrategy { |
|
||||
public constructor( |
|
||||
private readonly portfolioService: PortfolioService, |
|
||||
private readonly portfolioServiceNew: PortfolioServiceNew, |
|
||||
@Inject(REQUEST) private readonly request: RequestWithUser |
|
||||
) {} |
|
||||
|
|
||||
public get(newCalculationEngine?: boolean) { |
|
||||
if ( |
|
||||
newCalculationEngine || |
|
||||
this.request.user?.Settings?.settings?.['isNewCalculationEngine'] === true |
|
||||
) { |
|
||||
return this.portfolioServiceNew; |
|
||||
} |
|
||||
|
|
||||
return this.portfolioService; |
|
||||
} |
|
||||
} |
|
||||
File diff suppressed because it is too large
@ -1,6 +1,5 @@ |
|||||
export interface UserSettings { |
export interface UserSettings { |
||||
emergencyFund?: number; |
emergencyFund?: number; |
||||
locale?: string; |
locale?: string; |
||||
isNewCalculationEngine?: boolean; |
|
||||
isRestrictedView?: boolean; |
isRestrictedView?: boolean; |
||||
} |
} |
||||
|
|||||
Loading…
Reference in new issue