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@ -1,7 +1,7 @@ |
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
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import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface'; |
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import { PortfolioOrder } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order.interface'; |
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import { PortfolioSnapshot } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-snapshot.interface'; |
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import { TransactionPointSymbol } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point-symbol.interface'; |
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import { TransactionPoint } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point.interface'; |
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import { |
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@ -11,7 +11,12 @@ import { |
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
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import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfaces'; |
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import { MAX_CHART_ITEMS } from '@ghostfolio/common/config'; |
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
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import { |
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DATE_FORMAT, |
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getSum, |
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parseDate, |
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resetHours |
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} from '@ghostfolio/common/helper'; |
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import { |
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DataProviderInfo, |
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HistoricalDataItem, |
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@ -44,18 +49,24 @@ export abstract class PortfolioCalculator { |
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private currency: string; |
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private currentRateService: CurrentRateService; |
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private dataProviderInfos: DataProviderInfo[]; |
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private endDate: Date; |
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private exchangeRateDataService: ExchangeRateDataService; |
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private snapshot: PortfolioSnapshot; |
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private snapshotPromise: Promise<void>; |
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private startDate: Date; |
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private transactionPoints: TransactionPoint[]; |
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public constructor({ |
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activities, |
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currency, |
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currentRateService, |
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dateRange, |
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exchangeRateDataService |
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}: { |
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activities: Activity[]; |
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currency: string; |
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currentRateService: CurrentRateService; |
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dateRange: DateRange; |
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exchangeRateDataService: ExchangeRateDataService; |
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}) { |
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this.currency = currency; |
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@ -79,12 +90,270 @@ export abstract class PortfolioCalculator { |
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return a.date?.localeCompare(b.date); |
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}); |
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const { endDate, startDate } = getInterval(dateRange); |
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this.endDate = endDate; |
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this.startDate = startDate; |
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this.computeTransactionPoints(); |
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this.snapshotPromise = this.initialize(); |
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} |
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protected abstract calculateOverallPerformance( |
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positions: TimelinePosition[] |
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): CurrentPositions; |
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): PortfolioSnapshot; |
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public async computeSnapshot( |
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start: Date, |
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end?: Date |
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): Promise<PortfolioSnapshot> { |
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const lastTransactionPoint = last(this.transactionPoints); |
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let endDate = end; |
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if (!endDate) { |
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endDate = new Date(Date.now()); |
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if (lastTransactionPoint) { |
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endDate = max([endDate, parseDate(lastTransactionPoint.date)]); |
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} |
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} |
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const transactionPoints = this.transactionPoints?.filter(({ date }) => { |
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return isBefore(parseDate(date), endDate); |
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}); |
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if (!transactionPoints.length) { |
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return { |
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currentValueInBaseCurrency: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: false, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffect: new Big(0), |
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netPerformanceWithCurrencyEffect: new Big(0), |
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positions: [], |
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totalFeesWithCurrencyEffect: new Big(0), |
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totalInterestWithCurrencyEffect: new Big(0), |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0) |
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}; |
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} |
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const currencies: { [symbol: string]: string } = {}; |
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const dataGatheringItems: IDataGatheringItem[] = []; |
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let dates: Date[] = []; |
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let firstIndex = transactionPoints.length; |
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let firstTransactionPoint: TransactionPoint = null; |
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dates.push(resetHours(start)); |
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for (const { currency, dataSource, symbol } of transactionPoints[ |
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firstIndex - 1 |
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].items) { |
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dataGatheringItems.push({ |
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dataSource, |
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symbol |
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}); |
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currencies[symbol] = currency; |
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} |
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for (let i = 0; i < transactionPoints.length; i++) { |
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if ( |
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!isBefore(parseDate(transactionPoints[i].date), start) && |
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firstTransactionPoint === null |
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) { |
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firstTransactionPoint = 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(transactionPoints[i].date))); |
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} |
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} |
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dates.push(resetHours(endDate)); |
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// Add dates of last week for fallback
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dates.push(subDays(resetHours(new Date()), 7)); |
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dates.push(subDays(resetHours(new Date()), 6)); |
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dates.push(subDays(resetHours(new Date()), 5)); |
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dates.push(subDays(resetHours(new Date()), 4)); |
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dates.push(subDays(resetHours(new Date()), 3)); |
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dates.push(subDays(resetHours(new Date()), 2)); |
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dates.push(subDays(resetHours(new Date()), 1)); |
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dates.push(resetHours(new Date())); |
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dates = uniq( |
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dates.map((date) => { |
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return date.getTime(); |
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}) |
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) |
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.map((timestamp) => { |
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return new Date(timestamp); |
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}) |
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.sort((a, b) => { |
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return a.getTime() - b.getTime(); |
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}); |
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let exchangeRatesByCurrency = |
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await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
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currencies: uniq(Object.values(currencies)), |
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endDate: endOfDay(endDate), |
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startDate: this.getStartDate(), |
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targetCurrency: this.currency |
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}); |
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const { |
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dataProviderInfos, |
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errors: currentRateErrors, |
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values: marketSymbols |
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} = await this.currentRateService.getValues({ |
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dataGatheringItems, |
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dateQuery: { |
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in: dates |
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} |
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}); |
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this.dataProviderInfos = dataProviderInfos; |
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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 endDateString = format(endDate, DATE_FORMAT); |
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if (firstIndex > 0) { |
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firstIndex--; |
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} |
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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 marketPriceInBaseCurrency = ( |
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marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice |
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).mul( |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[ |
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endDateString |
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] |
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); |
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const { |
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grossPerformance, |
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grossPerformancePercentage, |
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grossPerformancePercentageWithCurrencyEffect, |
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grossPerformanceWithCurrencyEffect, |
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hasErrors, |
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netPerformance, |
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netPerformancePercentage, |
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netPerformancePercentageWithCurrencyEffect, |
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netPerformanceWithCurrencyEffect, |
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timeWeightedInvestment, |
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timeWeightedInvestmentWithCurrencyEffect, |
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totalDividend, |
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totalDividendInBaseCurrency, |
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totalInvestment, |
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totalInvestmentWithCurrencyEffect |
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} = this.getSymbolMetrics({ |
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marketSymbolMap, |
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start, |
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dataSource: item.dataSource, |
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end: endDate, |
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exchangeRates: |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`], |
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symbol: item.symbol |
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}); |
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hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors; |
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positions.push({ |
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dividend: totalDividend, |
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dividendInBaseCurrency: totalDividendInBaseCurrency, |
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timeWeightedInvestment, |
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timeWeightedInvestmentWithCurrencyEffect, |
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averagePrice: item.averagePrice, |
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currency: item.currency, |
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dataSource: item.dataSource, |
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fee: item.fee, |
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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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grossPerformancePercentageWithCurrencyEffect: !hasErrors |
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? grossPerformancePercentageWithCurrencyEffect ?? null |
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: null, |
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grossPerformanceWithCurrencyEffect: !hasErrors |
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? grossPerformanceWithCurrencyEffect ?? null |
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: null, |
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investment: totalInvestment, |
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investmentWithCurrencyEffect: totalInvestmentWithCurrencyEffect, |
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marketPrice: |
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marketSymbolMap[endDateString]?.[item.symbol]?.toNumber() ?? null, |
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marketPriceInBaseCurrency: |
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marketPriceInBaseCurrency?.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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netPerformancePercentageWithCurrencyEffect: !hasErrors |
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? netPerformancePercentageWithCurrencyEffect ?? null |
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: null, |
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netPerformanceWithCurrencyEffect: !hasErrors |
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? netPerformanceWithCurrencyEffect ?? null |
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: null, |
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quantity: item.quantity, |
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symbol: item.symbol, |
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tags: item.tags, |
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transactionCount: item.transactionCount, |
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valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul( |
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item.quantity |
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) |
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}); |
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if ( |
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(hasErrors || |
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currentRateErrors.find(({ dataSource, symbol }) => { |
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return dataSource === item.dataSource && symbol === item.symbol; |
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})) && |
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item.investment.gt(0) |
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) { |
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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); |
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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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totalInterestWithCurrencyEffect: lastTransactionPoint.interest |
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}; |
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} |
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public async getChart({ |
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dateRange = 'max', |
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@ -380,256 +649,30 @@ export abstract class PortfolioCalculator { |
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}); |
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} |
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public async getCurrentPositions( |
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start: Date, |
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end?: Date |
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): Promise<CurrentPositions> { |
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const lastTransactionPoint = last(this.transactionPoints); |
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let endDate = end; |
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if (!endDate) { |
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endDate = new Date(Date.now()); |
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if (lastTransactionPoint) { |
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endDate = max([endDate, parseDate(lastTransactionPoint.date)]); |
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} |
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} |
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const transactionPoints = this.transactionPoints?.filter(({ date }) => { |
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return isBefore(parseDate(date), endDate); |
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}); |
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if (!transactionPoints.length) { |
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return { |
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currentValueInBaseCurrency: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: false, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffect: new Big(0), |
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netPerformanceWithCurrencyEffect: new Big(0), |
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positions: [], |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0) |
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}; |
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} |
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const currencies: { [symbol: string]: string } = {}; |
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const dataGatheringItems: IDataGatheringItem[] = []; |
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let dates: Date[] = []; |
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let firstIndex = transactionPoints.length; |
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let firstTransactionPoint: TransactionPoint = null; |
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dates.push(resetHours(start)); |
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for (const { currency, dataSource, symbol } of transactionPoints[ |
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firstIndex - 1 |
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].items) { |
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dataGatheringItems.push({ |
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dataSource, |
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symbol |
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}); |
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currencies[symbol] = currency; |
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} |
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for (let i = 0; i < transactionPoints.length; i++) { |
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if ( |
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!isBefore(parseDate(transactionPoints[i].date), start) && |
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firstTransactionPoint === null |
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) { |
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firstTransactionPoint = 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(transactionPoints[i].date))); |
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} |
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} |
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dates.push(resetHours(endDate)); |
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public getDataProviderInfos() { |
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return this.dataProviderInfos; |
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} |
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// Add dates of last week for fallback
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dates.push(subDays(resetHours(new Date()), 7)); |
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dates.push(subDays(resetHours(new Date()), 6)); |
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dates.push(subDays(resetHours(new Date()), 5)); |
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dates.push(subDays(resetHours(new Date()), 4)); |
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dates.push(subDays(resetHours(new Date()), 3)); |
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dates.push(subDays(resetHours(new Date()), 2)); |
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dates.push(subDays(resetHours(new Date()), 1)); |
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dates.push(resetHours(new Date())); |
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public async getDividendInBaseCurrency() { |
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await this.snapshotPromise; |
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dates = uniq( |
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dates.map((date) => { |
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return date.getTime(); |
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}) |
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) |
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.map((timestamp) => { |
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return new Date(timestamp); |
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return getSum( |
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this.snapshot.positions.map(({ dividendInBaseCurrency }) => { |
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return dividendInBaseCurrency; |
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}) |
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.sort((a, b) => { |
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return a.getTime() - b.getTime(); |
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}); |
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let exchangeRatesByCurrency = |
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await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
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currencies: uniq(Object.values(currencies)), |
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endDate: endOfDay(endDate), |
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startDate: this.getStartDate(), |
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targetCurrency: this.currency |
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}); |
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const { |
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dataProviderInfos, |
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errors: currentRateErrors, |
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values: marketSymbols |
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} = await this.currentRateService.getValues({ |
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dataGatheringItems, |
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dateQuery: { |
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in: dates |
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} |
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}); |
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this.dataProviderInfos = dataProviderInfos; |
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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 endDateString = format(endDate, DATE_FORMAT); |
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if (firstIndex > 0) { |
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firstIndex--; |
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} |
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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 marketPriceInBaseCurrency = ( |
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marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice |
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).mul( |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[ |
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endDateString |
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] |
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); |
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const { |
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grossPerformance, |
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grossPerformancePercentage, |
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grossPerformancePercentageWithCurrencyEffect, |
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grossPerformanceWithCurrencyEffect, |
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hasErrors, |
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netPerformance, |
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netPerformancePercentage, |
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netPerformancePercentageWithCurrencyEffect, |
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netPerformanceWithCurrencyEffect, |
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timeWeightedInvestment, |
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timeWeightedInvestmentWithCurrencyEffect, |
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totalDividend, |
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totalDividendInBaseCurrency, |
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totalInvestment, |
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totalInvestmentWithCurrencyEffect |
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} = this.getSymbolMetrics({ |
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marketSymbolMap, |
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start, |
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dataSource: item.dataSource, |
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end: endDate, |
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exchangeRates: |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`], |
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symbol: item.symbol |
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}); |
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hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors; |
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positions.push({ |
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dividend: totalDividend, |
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dividendInBaseCurrency: totalDividendInBaseCurrency, |
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timeWeightedInvestment, |
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|
timeWeightedInvestmentWithCurrencyEffect, |
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averagePrice: item.averagePrice, |
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|
currency: item.currency, |
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|
dataSource: item.dataSource, |
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|
fee: item.fee, |
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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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|
grossPerformancePercentageWithCurrencyEffect: !hasErrors |
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|
? grossPerformancePercentageWithCurrencyEffect ?? null |
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|
: null, |
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|
grossPerformanceWithCurrencyEffect: !hasErrors |
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|
? grossPerformanceWithCurrencyEffect ?? null |
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: null, |
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investment: totalInvestment, |
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|
investmentWithCurrencyEffect: totalInvestmentWithCurrencyEffect, |
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|
marketPrice: |
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|
marketSymbolMap[endDateString]?.[item.symbol]?.toNumber() ?? null, |
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|
|
marketPriceInBaseCurrency: |
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|
|
marketPriceInBaseCurrency?.toNumber() ?? null, |
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|
|
netPerformance: !hasErrors ? netPerformance ?? null : null, |
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|
|
netPerformancePercentage: !hasErrors |
|
|
|
? netPerformancePercentage ?? null |
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|
|
: null, |
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|
|
netPerformancePercentageWithCurrencyEffect: !hasErrors |
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|
|
? netPerformancePercentageWithCurrencyEffect ?? null |
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|
|
: null, |
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|
|
netPerformanceWithCurrencyEffect: !hasErrors |
|
|
|
? netPerformanceWithCurrencyEffect ?? null |
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|
|
: null, |
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|
|
quantity: item.quantity, |
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|
|
symbol: item.symbol, |
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|
|
tags: item.tags, |
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|
|
transactionCount: item.transactionCount, |
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|
|
valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul( |
|
|
|
item.quantity |
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|
|
) |
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|
|
}); |
|
|
|
|
|
|
|
if ( |
|
|
|
(hasErrors || |
|
|
|
currentRateErrors.find(({ dataSource, symbol }) => { |
|
|
|
return dataSource === item.dataSource && symbol === item.symbol; |
|
|
|
})) && |
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|
|
item.investment.gt(0) |
|
|
|
) { |
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|
|
errors.push({ dataSource: item.dataSource, symbol: item.symbol }); |
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|
|
} |
|
|
|
} |
|
|
|
); |
|
|
|
} |
|
|
|
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|
|
|
const overall = this.calculateOverallPerformance(positions); |
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|
|
public async getFeesInBaseCurrency() { |
|
|
|
await this.snapshotPromise; |
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|
|
|
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|
|
return { |
|
|
|
...overall, |
|
|
|
errors, |
|
|
|
positions, |
|
|
|
hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors |
|
|
|
}; |
|
|
|
return this.snapshot.totalFeesWithCurrencyEffect; |
|
|
|
} |
|
|
|
|
|
|
|
public getDataProviderInfos() { |
|
|
|
return this.dataProviderInfos; |
|
|
|
public async getInterestInBaseCurrency() { |
|
|
|
await this.snapshotPromise; |
|
|
|
|
|
|
|
return this.snapshot.totalInterestWithCurrencyEffect; |
|
|
|
} |
|
|
|
|
|
|
|
public getInvestments(): { date: string; investment: Big }[] { |
|
|
|
@ -672,6 +715,12 @@ export abstract class PortfolioCalculator { |
|
|
|
})); |
|
|
|
} |
|
|
|
|
|
|
|
public async getSnapshot() { |
|
|
|
await this.snapshotPromise; |
|
|
|
|
|
|
|
return this.snapshot; |
|
|
|
} |
|
|
|
|
|
|
|
public getStartDate() { |
|
|
|
return this.transactionPoints.length > 0 |
|
|
|
? parseDate(this.transactionPoints[0].date) |
|
|
|
@ -718,6 +767,13 @@ export abstract class PortfolioCalculator { |
|
|
|
type, |
|
|
|
unitPrice |
|
|
|
} of this.orders) { |
|
|
|
if ( |
|
|
|
// TODO
|
|
|
|
['ITEM', 'LIABILITY'].includes(type) |
|
|
|
) { |
|
|
|
continue; |
|
|
|
} |
|
|
|
|
|
|
|
let currentTransactionPointItem: TransactionPointSymbol; |
|
|
|
const oldAccumulatedSymbol = symbols[SymbolProfile.symbol]; |
|
|
|
|
|
|
|
@ -790,18 +846,39 @@ export abstract class PortfolioCalculator { |
|
|
|
return a.symbol?.localeCompare(b.symbol); |
|
|
|
}); |
|
|
|
|
|
|
|
let fees = new Big(0); |
|
|
|
|
|
|
|
if (type === 'FEE') { |
|
|
|
fees = fee; |
|
|
|
} |
|
|
|
|
|
|
|
let interest = new Big(0); |
|
|
|
|
|
|
|
if (type === 'INTEREST') { |
|
|
|
interest = quantity.mul(unitPrice); |
|
|
|
} |
|
|
|
|
|
|
|
if (lastDate !== date || lastTransactionPoint === null) { |
|
|
|
lastTransactionPoint = { |
|
|
|
date, |
|
|
|
fees, |
|
|
|
interest, |
|
|
|
items: newItems |
|
|
|
}; |
|
|
|
|
|
|
|
this.transactionPoints.push(lastTransactionPoint); |
|
|
|
} else { |
|
|
|
lastTransactionPoint.fees = lastTransactionPoint.fees.plus(fees); |
|
|
|
lastTransactionPoint.interest = |
|
|
|
lastTransactionPoint.interest.plus(interest); |
|
|
|
lastTransactionPoint.items = newItems; |
|
|
|
} |
|
|
|
|
|
|
|
lastDate = date; |
|
|
|
} |
|
|
|
} |
|
|
|
|
|
|
|
private async initialize() { |
|
|
|
this.snapshot = await this.computeSnapshot(this.startDate, this.endDate); |
|
|
|
} |
|
|
|
} |
|
|
|
|
Thomas Kaul
2 years ago
GitHub