mirror of https://github.com/ghostfolio/ghostfolio
dandevaud
2 months ago
committed by
GitHub
GitHub
25 changed files with 2831 additions and 549 deletions
@ -0,0 +1,208 @@ |
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
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import { |
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activityDummyData, |
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symbolProfileDummyData, |
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userDummyData |
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} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
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import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
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import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock'; |
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import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
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import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
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import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
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import { ExchangeRateDataServiceMock } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service.mock'; |
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import { PortfolioSnapshotService } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service'; |
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import { PortfolioSnapshotServiceMock } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service.mock'; |
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import { parseDate } from '@ghostfolio/common/helper'; |
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import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
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|
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import { Big } from 'big.js'; |
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|
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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CurrentRateService: jest.fn().mockImplementation(() => { |
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return CurrentRateServiceMock; |
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}) |
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}; |
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}); |
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|
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jest.mock( |
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'@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service', |
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() => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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PortfolioSnapshotService: jest.fn().mockImplementation(() => { |
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return PortfolioSnapshotServiceMock; |
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}) |
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}; |
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} |
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); |
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|
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jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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RedisCacheService: jest.fn().mockImplementation(() => { |
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return RedisCacheServiceMock; |
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}) |
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}; |
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}); |
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|
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jest.mock( |
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'@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service', |
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() => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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ExchangeRateDataService: jest.fn().mockImplementation(() => { |
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return ExchangeRateDataServiceMock; |
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}) |
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}; |
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} |
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); |
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|
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describe('PortfolioCalculator', () => { |
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let configurationService: ConfigurationService; |
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let currentRateService: CurrentRateService; |
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let exchangeRateDataService: ExchangeRateDataService; |
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let portfolioCalculatorFactory: PortfolioCalculatorFactory; |
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let portfolioSnapshotService: PortfolioSnapshotService; |
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let redisCacheService: RedisCacheService; |
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|
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beforeEach(() => { |
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configurationService = new ConfigurationService(); |
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|
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currentRateService = new CurrentRateService(null, null, null, null); |
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|
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exchangeRateDataService = new ExchangeRateDataService( |
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null, |
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null, |
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null, |
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null |
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); |
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|
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portfolioSnapshotService = new PortfolioSnapshotService(null); |
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|
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redisCacheService = new RedisCacheService(null, null); |
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|
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portfolioCalculatorFactory = new PortfolioCalculatorFactory( |
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configurationService, |
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currentRateService, |
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exchangeRateDataService, |
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portfolioSnapshotService, |
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redisCacheService, |
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null |
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); |
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}); |
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|
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describe('get current positions', () => { |
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it.only('with GOOGL buy', async () => { |
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jest.useFakeTimers().setSystemTime(parseDate('2023-07-10').getTime()); |
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|
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const activities: Activity[] = [ |
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{ |
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...activityDummyData, |
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date: new Date('2023-01-03'), |
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feeInAssetProfileCurrency: 1, |
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quantity: 1, |
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SymbolProfile: { |
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...symbolProfileDummyData, |
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currency: 'USD', |
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dataSource: 'YAHOO', |
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name: 'Alphabet Inc.', |
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symbol: 'GOOGL' |
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}, |
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type: 'BUY', |
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unitPriceInAssetProfileCurrency: 89.12 |
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} |
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]; |
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|
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const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
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activities, |
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calculationType: PerformanceCalculationType.ROI, |
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currency: 'CHF', |
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userId: userDummyData.id |
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}); |
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|
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const portfolioSnapshot = await portfolioCalculator.computeSnapshot(); |
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|
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const investments = portfolioCalculator.getInvestments(); |
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|
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const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
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data: portfolioSnapshot.historicalData, |
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groupBy: 'month' |
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}); |
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|
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expect(portfolioSnapshot).toMatchObject({ |
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currentValueInBaseCurrency: new Big('103.10483'), |
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errors: [], |
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hasErrors: false, |
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positions: [ |
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{ |
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averagePrice: new Big('89.12'), |
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currency: 'USD', |
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dataSource: 'YAHOO', |
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dividend: new Big('0'), |
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dividendInBaseCurrency: new Big('0'), |
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fee: new Big('1'), |
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feeInBaseCurrency: new Big('0.9238'), |
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firstBuyDate: '2023-01-03', |
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grossPerformance: new Big('27.33').mul(0.8854), |
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grossPerformancePercentage: new Big('0.3066651705565529623'), |
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grossPerformancePercentageWithCurrencyEffect: new Big( |
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'0.25235044599563974109' |
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), |
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grossPerformanceWithCurrencyEffect: new Big('20.775774'), |
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investment: new Big('89.12').mul(0.8854), |
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investmentWithCurrencyEffect: new Big('82.329056'), |
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netPerformance: new Big('26.33').mul(0.8854), |
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netPerformancePercentage: new Big('0.29544434470377019749'), |
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netPerformancePercentageWithCurrencyEffectMap: { |
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max: new Big('0.24112962014285697628') |
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}, |
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netPerformanceWithCurrencyEffectMap: { max: new Big('19.851974') }, |
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marketPrice: 116.45, |
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marketPriceInBaseCurrency: 103.10483, |
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quantity: new Big('1'), |
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symbol: 'GOOGL', |
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tags: [], |
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timeWeightedInvestment: new Big('89.12').mul(0.8854), |
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timeWeightedInvestmentWithCurrencyEffect: new Big('82.329056'), |
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transactionCount: 1, |
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valueInBaseCurrency: new Big('103.10483') |
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} |
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], |
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totalFeesWithCurrencyEffect: new Big('0.9238'), |
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totalInterestWithCurrencyEffect: new Big('0'), |
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totalInvestment: new Big('89.12').mul(0.8854), |
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totalInvestmentWithCurrencyEffect: new Big('82.329056'), |
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totalLiabilitiesWithCurrencyEffect: new Big('0'), |
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totalValuablesWithCurrencyEffect: new Big('0') |
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}); |
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|
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expect(portfolioSnapshot.historicalData.at(-1)).toMatchObject( |
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expect.objectContaining({ |
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netPerformance: new Big('26.33').mul(0.8854).toNumber(), |
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netPerformanceInPercentage: 0.29544434470377019749, |
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netPerformanceInPercentageWithCurrencyEffect: 0.24112962014285697628, |
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netPerformanceWithCurrencyEffect: 19.851974, |
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totalInvestmentValueWithCurrencyEffect: 82.329056 |
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}) |
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); |
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|
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expect(investments).toEqual([ |
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{ date: '2023-01-03', investment: new Big('89.12') } |
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]); |
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|
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expect(investmentsByMonth).toEqual([ |
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{ date: '2023-01-01', investment: 82.329056 }, |
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{ date: '2023-02-01', investment: 0 }, |
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{ date: '2023-03-01', investment: 0 }, |
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{ date: '2023-04-01', investment: 0 }, |
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{ date: '2023-05-01', investment: 0 }, |
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{ date: '2023-06-01', investment: 0 }, |
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{ date: '2023-07-01', investment: 0 } |
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]); |
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}); |
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}); |
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}); |
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@ -0,0 +1,39 @@ |
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import { SymbolMetrics } from '@ghostfolio/common/interfaces'; |
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|
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import { Big } from 'big.js'; |
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|
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import { PortfolioOrderItem } from '../../interfaces/portfolio-order-item.interface'; |
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|
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export class PortfolioCalculatorSymbolMetricsHelperObject { |
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currentExchangeRate: number; |
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endDateString: string; |
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exchangeRateAtOrderDate: number; |
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fees: Big = new Big(0); |
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feesWithCurrencyEffect: Big = new Big(0); |
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feesAtStartDate: Big = new Big(0); |
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feesAtStartDateWithCurrencyEffect: Big = new Big(0); |
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grossPerformanceAtStartDate: Big = new Big(0); |
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grossPerformanceAtStartDateWithCurrencyEffect: Big = new Big(0); |
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indexOfEndOrder: number; |
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indexOfStartOrder: number; |
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initialValue: Big; |
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initialValueWithCurrencyEffect: Big; |
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investmentAtStartDate: Big; |
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investmentAtStartDateWithCurrencyEffect: Big; |
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investmentValueBeforeTransaction: Big = new Big(0); |
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investmentValueBeforeTransactionWithCurrencyEffect: Big = new Big(0); |
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ordersByDate: { [date: string]: PortfolioOrderItem[] } = {}; |
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startDateString: string; |
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symbolMetrics: SymbolMetrics; |
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totalUnits: Big = new Big(0); |
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totalInvestmentFromBuyTransactions: Big = new Big(0); |
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totalInvestmentFromBuyTransactionsWithCurrencyEffect: Big = new Big(0); |
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totalQuantityFromBuyTransactions: Big = new Big(0); |
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totalValueOfPositionsSold: Big = new Big(0); |
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totalValueOfPositionsSoldWithCurrencyEffect: Big = new Big(0); |
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unitPrice: Big; |
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unitPriceAtEndDate: Big = new Big(0); |
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unitPriceAtStartDate: Big = new Big(0); |
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valueAtStartDate: Big = new Big(0); |
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valueAtStartDateWithCurrencyEffect: Big = new Big(0); |
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} |
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@ -0,0 +1,198 @@ |
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
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import { |
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activityDummyData, |
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symbolProfileDummyData, |
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userDummyData |
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} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
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import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
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import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock'; |
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import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
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import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
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import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
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import { ExchangeRateDataServiceMock } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service.mock'; |
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import { PortfolioSnapshotService } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service'; |
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import { PortfolioSnapshotServiceMock } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service.mock'; |
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import { parseDate } from '@ghostfolio/common/helper'; |
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import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
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|
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import { Big } from 'big.js'; |
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|
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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CurrentRateService: jest.fn().mockImplementation(() => { |
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return CurrentRateServiceMock; |
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}) |
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}; |
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}); |
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|
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jest.mock( |
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'@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service', |
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() => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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PortfolioSnapshotService: jest.fn().mockImplementation(() => { |
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return PortfolioSnapshotServiceMock; |
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}) |
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}; |
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} |
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); |
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|
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jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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RedisCacheService: jest.fn().mockImplementation(() => { |
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return RedisCacheServiceMock; |
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}) |
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}; |
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}); |
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|
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jest.mock( |
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'@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service', |
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() => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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ExchangeRateDataService: jest.fn().mockImplementation(() => { |
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return ExchangeRateDataServiceMock; |
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}) |
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}; |
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} |
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); |
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|
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describe('PortfolioCalculator', () => { |
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let configurationService: ConfigurationService; |
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let currentRateService: CurrentRateService; |
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let exchangeRateDataService: ExchangeRateDataService; |
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let portfolioCalculatorFactory: PortfolioCalculatorFactory; |
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let portfolioSnapshotService: PortfolioSnapshotService; |
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let redisCacheService: RedisCacheService; |
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|
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beforeEach(() => { |
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configurationService = new ConfigurationService(); |
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|
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currentRateService = new CurrentRateService(null, null, null, null); |
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|
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exchangeRateDataService = new ExchangeRateDataService( |
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null, |
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null, |
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null, |
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null |
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); |
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|
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portfolioSnapshotService = new PortfolioSnapshotService(null); |
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|
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redisCacheService = new RedisCacheService(null, null); |
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|
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portfolioCalculatorFactory = new PortfolioCalculatorFactory( |
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configurationService, |
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currentRateService, |
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exchangeRateDataService, |
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portfolioSnapshotService, |
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redisCacheService, |
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null |
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); |
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}); |
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|
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describe('get current positions', () => { |
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it.only('with MSFT buy', async () => { |
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jest.useFakeTimers().setSystemTime(parseDate('2023-07-10').getTime()); |
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|
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const activities: Activity[] = [ |
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{ |
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...activityDummyData, |
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date: new Date('2021-09-16'), |
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feeInAssetProfileCurrency: 19, |
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quantity: 1, |
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SymbolProfile: { |
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...symbolProfileDummyData, |
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currency: 'USD', |
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dataSource: 'YAHOO', |
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name: 'Microsoft Inc.', |
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symbol: 'MSFT' |
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}, |
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type: 'BUY', |
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unitPriceInAssetProfileCurrency: 298.58 |
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}, |
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{ |
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...activityDummyData, |
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date: new Date('2021-11-16'), |
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feeInAssetProfileCurrency: 0, |
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quantity: 1, |
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SymbolProfile: { |
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...symbolProfileDummyData, |
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currency: 'USD', |
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dataSource: 'YAHOO', |
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name: 'Microsoft Inc.', |
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symbol: 'MSFT' |
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}, |
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type: 'DIVIDEND', |
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unitPriceInAssetProfileCurrency: 0.62 |
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} |
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]; |
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|
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const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
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activities, |
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calculationType: PerformanceCalculationType.ROI, |
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currency: 'USD', |
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userId: userDummyData.id |
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}); |
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|
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const portfolioSnapshot = await portfolioCalculator.computeSnapshot(); |
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|
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expect(portfolioSnapshot).toMatchObject({ |
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errors: [], |
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hasErrors: false, |
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positions: [ |
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{ |
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averagePrice: new Big('298.58'), |
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currency: 'USD', |
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dataSource: 'YAHOO', |
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dividend: new Big('0.62'), |
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dividendInBaseCurrency: new Big('0.62'), |
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fee: new Big('19'), |
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firstBuyDate: '2021-09-16', |
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grossPerformance: new Big('33.87'), |
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grossPerformancePercentage: new Big('0.11343693482483756447'), |
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grossPerformancePercentageWithCurrencyEffect: new Big( |
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'0.11343693482483756447' |
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), |
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grossPerformanceWithCurrencyEffect: new Big('33.87'), |
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investment: new Big('298.58'), |
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investmentWithCurrencyEffect: new Big('298.58'), |
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marketPrice: 331.83, |
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marketPriceInBaseCurrency: 331.83, |
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netPerformance: new Big('14.87'), |
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netPerformancePercentage: new Big('0.04980239801728180052'), |
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netPerformancePercentageWithCurrencyEffectMap: { |
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max: new Big('0.04980239801728180052') |
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}, |
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netPerformanceWithCurrencyEffectMap: { |
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'1d': new Big('-5.39'), |
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'5y': new Big('14.87'), |
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max: new Big('14.87'), |
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wtd: new Big('-5.39') |
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}, |
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quantity: new Big('1'), |
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symbol: 'MSFT', |
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tags: [], |
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transactionCount: 2 |
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} |
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], |
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totalFeesWithCurrencyEffect: new Big('19'), |
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totalInterestWithCurrencyEffect: new Big('0'), |
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totalInvestment: new Big('298.58'), |
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totalInvestmentWithCurrencyEffect: new Big('298.58'), |
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totalLiabilitiesWithCurrencyEffect: new Big('0'), |
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totalValuablesWithCurrencyEffect: new Big('0') |
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}); |
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|
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expect(portfolioSnapshot.historicalData.at(-1)).toMatchObject( |
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expect.objectContaining({ |
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totalInvestmentValueWithCurrencyEffect: 298.58 |
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}) |
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); |
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}); |
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}); |
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}); |
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@ -0,0 +1,202 @@ |
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import { CreateOrderDto } from '@ghostfolio/api/app/order/create-order.dto'; |
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
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import { |
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activityDummyData, |
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loadActivityExportFile, |
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symbolProfileDummyData, |
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userDummyData |
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} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
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import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
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import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock'; |
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import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
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import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
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import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
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import { PortfolioSnapshotService } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service'; |
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import { PortfolioSnapshotServiceMock } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service.mock'; |
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import { parseDate } from '@ghostfolio/common/helper'; |
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import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
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|
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import { Big } from 'big.js'; |
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import { join } from 'path'; |
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|
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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CurrentRateService: jest.fn().mockImplementation(() => { |
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return CurrentRateServiceMock; |
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}) |
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}; |
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}); |
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|
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jest.mock( |
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'@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service', |
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() => { |
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return { |
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// eslint-disable-next-line @typescript-eslint/naming-convention
|
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PortfolioSnapshotService: jest.fn().mockImplementation(() => { |
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return PortfolioSnapshotServiceMock; |
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}) |
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}; |
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} |
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); |
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|
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jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
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return { |
|||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
|||
RedisCacheService: jest.fn().mockImplementation(() => { |
|||
return RedisCacheServiceMock; |
|||
}) |
|||
}; |
|||
}); |
|||
|
|||
describe('PortfolioCalculator', () => { |
|||
let activityDtos: CreateOrderDto[]; |
|||
|
|||
let configurationService: ConfigurationService; |
|||
let currentRateService: CurrentRateService; |
|||
let exchangeRateDataService: ExchangeRateDataService; |
|||
let portfolioCalculatorFactory: PortfolioCalculatorFactory; |
|||
let portfolioSnapshotService: PortfolioSnapshotService; |
|||
let redisCacheService: RedisCacheService; |
|||
|
|||
beforeAll(() => { |
|||
activityDtos = loadActivityExportFile( |
|||
join( |
|||
__dirname, |
|||
'../../../../../../../test/import/ok-novn-buy-and-sell-partially.json' |
|||
) |
|||
); |
|||
}); |
|||
|
|||
beforeEach(() => { |
|||
configurationService = new ConfigurationService(); |
|||
|
|||
currentRateService = new CurrentRateService(null, null, null, null); |
|||
|
|||
exchangeRateDataService = new ExchangeRateDataService( |
|||
null, |
|||
null, |
|||
null, |
|||
null |
|||
); |
|||
|
|||
portfolioSnapshotService = new PortfolioSnapshotService(null); |
|||
|
|||
redisCacheService = new RedisCacheService(null, null); |
|||
|
|||
portfolioCalculatorFactory = new PortfolioCalculatorFactory( |
|||
configurationService, |
|||
currentRateService, |
|||
exchangeRateDataService, |
|||
portfolioSnapshotService, |
|||
redisCacheService, |
|||
null |
|||
); |
|||
}); |
|||
|
|||
describe('get current positions', () => { |
|||
it.only('with NOVN.SW buy and sell partially', async () => { |
|||
jest.useFakeTimers().setSystemTime(parseDate('2022-04-11').getTime()); |
|||
|
|||
const activities: Activity[] = activityDtos.map((activity) => ({ |
|||
...activityDummyData, |
|||
...activity, |
|||
date: parseDate(activity.date), |
|||
feeInAssetProfileCurrency: activity.fee, |
|||
SymbolProfile: { |
|||
...symbolProfileDummyData, |
|||
currency: activity.currency, |
|||
dataSource: activity.dataSource, |
|||
name: 'Novartis AG', |
|||
symbol: activity.symbol |
|||
}, |
|||
unitPriceInAssetProfileCurrency: activity.unitPrice |
|||
})); |
|||
|
|||
const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
|||
activities, |
|||
calculationType: PerformanceCalculationType.ROI, |
|||
currency: 'CHF', |
|||
userId: userDummyData.id |
|||
}); |
|||
|
|||
const portfolioSnapshot = await portfolioCalculator.computeSnapshot(); |
|||
|
|||
const investments = portfolioCalculator.getInvestments(); |
|||
|
|||
const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
|||
data: portfolioSnapshot.historicalData, |
|||
groupBy: 'month' |
|||
}); |
|||
|
|||
expect(portfolioSnapshot).toMatchObject({ |
|||
currentValueInBaseCurrency: new Big('87.8'), |
|||
errors: [], |
|||
hasErrors: false, |
|||
positions: [ |
|||
{ |
|||
averagePrice: new Big('75.80'), |
|||
currency: 'CHF', |
|||
dataSource: 'YAHOO', |
|||
dividend: new Big('0'), |
|||
dividendInBaseCurrency: new Big('0'), |
|||
fee: new Big('4.25'), |
|||
feeInBaseCurrency: new Big('4.25'), |
|||
firstBuyDate: '2022-03-07', |
|||
grossPerformance: new Big('21.93'), |
|||
grossPerformancePercentage: new Big('0.14465699208443271768'), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big( |
|||
'0.14465699208443271768' |
|||
), |
|||
grossPerformanceWithCurrencyEffect: new Big('21.93'), |
|||
investment: new Big('75.80'), |
|||
investmentWithCurrencyEffect: new Big('75.80'), |
|||
netPerformance: new Big('17.68'), |
|||
netPerformancePercentage: new Big('0.11662269129287598945'), |
|||
netPerformancePercentageWithCurrencyEffectMap: { |
|||
max: new Big('0.11662269129287598945') |
|||
}, |
|||
netPerformanceWithCurrencyEffectMap: { max: new Big('17.68') }, |
|||
marketPrice: 87.8, |
|||
marketPriceInBaseCurrency: 87.8, |
|||
quantity: new Big('1'), |
|||
symbol: 'NOVN.SW', |
|||
tags: [], |
|||
timeWeightedInvestment: new Big('151.6'), |
|||
timeWeightedInvestmentWithCurrencyEffect: new Big('151.6'), |
|||
transactionCount: 2, |
|||
valueInBaseCurrency: new Big('87.8') |
|||
} |
|||
], |
|||
totalFeesWithCurrencyEffect: new Big('4.25'), |
|||
totalInterestWithCurrencyEffect: new Big('0'), |
|||
totalInvestment: new Big('75.80'), |
|||
totalInvestmentWithCurrencyEffect: new Big('75.80'), |
|||
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
|||
totalValuablesWithCurrencyEffect: new Big('0') |
|||
}); |
|||
|
|||
expect(portfolioSnapshot.historicalData.at(-1)).toMatchObject( |
|||
expect.objectContaining({ |
|||
netPerformance: 17.68, |
|||
netPerformanceInPercentage: 0.11662269129287598945, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0.11662269129287598945, |
|||
netPerformanceWithCurrencyEffect: 17.68, |
|||
totalInvestmentValueWithCurrencyEffect: 75.8 |
|||
}) |
|||
); |
|||
|
|||
expect(investments).toEqual([ |
|||
{ date: '2022-03-07', investment: new Big('151.6') }, |
|||
{ date: '2022-04-08', investment: new Big('75.8') } |
|||
]); |
|||
|
|||
expect(investmentsByMonth).toEqual([ |
|||
{ date: '2022-03-01', investment: 151.6 }, |
|||
{ date: '2022-04-01', investment: -75.8 } |
|||
]); |
|||
}); |
|||
}); |
|||
}); |
|||
@ -0,0 +1,259 @@ |
|||
import { CreateOrderDto } from '@ghostfolio/api/app/order/create-order.dto'; |
|||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
|||
import { |
|||
activityDummyData, |
|||
loadActivityExportFile, |
|||
symbolProfileDummyData, |
|||
userDummyData |
|||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
|||
import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
|||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
|||
import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock'; |
|||
import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
|||
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
|||
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
|||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
|||
import { PortfolioSnapshotService } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service'; |
|||
import { PortfolioSnapshotServiceMock } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service.mock'; |
|||
import { parseDate } from '@ghostfolio/common/helper'; |
|||
import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
|||
|
|||
import { Big } from 'big.js'; |
|||
import { join } from 'path'; |
|||
|
|||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => { |
|||
return { |
|||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
|||
CurrentRateService: jest.fn().mockImplementation(() => { |
|||
return CurrentRateServiceMock; |
|||
}) |
|||
}; |
|||
}); |
|||
|
|||
jest.mock( |
|||
'@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.service', |
|||
() => { |
|||
return { |
|||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
|||
PortfolioSnapshotService: jest.fn().mockImplementation(() => { |
|||
return PortfolioSnapshotServiceMock; |
|||
}) |
|||
}; |
|||
} |
|||
); |
|||
|
|||
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
|||
return { |
|||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
|||
RedisCacheService: jest.fn().mockImplementation(() => { |
|||
return RedisCacheServiceMock; |
|||
}) |
|||
}; |
|||
}); |
|||
|
|||
describe('PortfolioCalculator', () => { |
|||
let activityDtos: CreateOrderDto[]; |
|||
|
|||
let configurationService: ConfigurationService; |
|||
let currentRateService: CurrentRateService; |
|||
let exchangeRateDataService: ExchangeRateDataService; |
|||
let portfolioCalculatorFactory: PortfolioCalculatorFactory; |
|||
let portfolioSnapshotService: PortfolioSnapshotService; |
|||
let redisCacheService: RedisCacheService; |
|||
|
|||
beforeAll(() => { |
|||
activityDtos = loadActivityExportFile( |
|||
join( |
|||
__dirname, |
|||
'../../../../../../../test/import/ok-novn-buy-and-sell.json' |
|||
) |
|||
); |
|||
}); |
|||
|
|||
beforeEach(() => { |
|||
configurationService = new ConfigurationService(); |
|||
|
|||
currentRateService = new CurrentRateService(null, null, null, null); |
|||
|
|||
exchangeRateDataService = new ExchangeRateDataService( |
|||
null, |
|||
null, |
|||
null, |
|||
null |
|||
); |
|||
|
|||
portfolioSnapshotService = new PortfolioSnapshotService(null); |
|||
|
|||
redisCacheService = new RedisCacheService(null, null); |
|||
|
|||
portfolioCalculatorFactory = new PortfolioCalculatorFactory( |
|||
configurationService, |
|||
currentRateService, |
|||
exchangeRateDataService, |
|||
portfolioSnapshotService, |
|||
redisCacheService, |
|||
null |
|||
); |
|||
}); |
|||
|
|||
describe('get current positions', () => { |
|||
it.only('with NOVN.SW buy and sell', async () => { |
|||
jest.useFakeTimers().setSystemTime(parseDate('2022-04-11').getTime()); |
|||
|
|||
const activities: Activity[] = activityDtos.map((activity) => ({ |
|||
...activityDummyData, |
|||
...activity, |
|||
date: parseDate(activity.date), |
|||
feeInAssetProfileCurrency: activity.fee, |
|||
SymbolProfile: { |
|||
...symbolProfileDummyData, |
|||
currency: activity.currency, |
|||
dataSource: activity.dataSource, |
|||
name: 'Novartis AG', |
|||
symbol: activity.symbol |
|||
}, |
|||
unitPriceInAssetProfileCurrency: activity.unitPrice |
|||
})); |
|||
|
|||
const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
|||
activities, |
|||
calculationType: PerformanceCalculationType.ROI, |
|||
currency: 'CHF', |
|||
userId: userDummyData.id |
|||
}); |
|||
|
|||
const portfolioSnapshot = await portfolioCalculator.computeSnapshot(); |
|||
|
|||
const investments = portfolioCalculator.getInvestments(); |
|||
|
|||
const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
|||
data: portfolioSnapshot.historicalData, |
|||
groupBy: 'month' |
|||
}); |
|||
|
|||
expect(portfolioSnapshot.historicalData[0]).toEqual({ |
|||
date: '2022-03-06', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: 0, |
|||
netPerformanceInPercentage: 0, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0, |
|||
netPerformanceWithCurrencyEffect: 0, |
|||
netWorth: 0, |
|||
timeWeightedPerformanceInPercentage: 0, |
|||
timeWeightedPerformanceInPercentageWithCurrencyEffect: 0, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 0, |
|||
totalInvestmentValueWithCurrencyEffect: 0, |
|||
value: 0, |
|||
valueWithCurrencyEffect: 0 |
|||
}); |
|||
|
|||
expect(portfolioSnapshot.historicalData[1]).toEqual({ |
|||
date: '2022-03-07', |
|||
investmentValueWithCurrencyEffect: 151.6, |
|||
netPerformance: 0, |
|||
netPerformanceInPercentage: 0, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0, |
|||
netPerformanceWithCurrencyEffect: 0, |
|||
timeWeightedPerformanceInPercentage: 0, |
|||
timeWeightedPerformanceInPercentageWithCurrencyEffect: 0, |
|||
netWorth: 151.6, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 151.6, |
|||
totalInvestmentValueWithCurrencyEffect: 151.6, |
|||
value: 151.6, |
|||
valueWithCurrencyEffect: 151.6 |
|||
}); |
|||
|
|||
expect( |
|||
portfolioSnapshot.historicalData[ |
|||
portfolioSnapshot.historicalData.length - 1 |
|||
] |
|||
).toEqual({ |
|||
date: '2022-04-11', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: 19.86, |
|||
netPerformanceInPercentage: 0.13100263852242744, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0.13100263852242744, |
|||
timeWeightedPerformanceInPercentage: 0.13100263852242744, |
|||
timeWeightedPerformanceInPercentageWithCurrencyEffect: 0.13100263852242744, |
|||
netPerformanceWithCurrencyEffect: 19.86, |
|||
netWorth: 0, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 0, |
|||
totalInvestmentValueWithCurrencyEffect: 0, |
|||
value: 0, |
|||
valueWithCurrencyEffect: 0 |
|||
}); |
|||
|
|||
expect(portfolioSnapshot).toMatchObject({ |
|||
currentValueInBaseCurrency: new Big('0'), |
|||
errors: [], |
|||
hasErrors: false, |
|||
positions: [ |
|||
{ |
|||
averagePrice: new Big('0'), |
|||
currency: 'CHF', |
|||
dataSource: 'YAHOO', |
|||
dividend: new Big('0'), |
|||
dividendInBaseCurrency: new Big('0'), |
|||
fee: new Big('0'), |
|||
feeInBaseCurrency: new Big('0'), |
|||
firstBuyDate: '2022-03-07', |
|||
grossPerformance: new Big('19.86'), |
|||
grossPerformancePercentage: new Big('0.13100263852242744063'), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big( |
|||
'0.13100263852242744063' |
|||
), |
|||
grossPerformanceWithCurrencyEffect: new Big('19.86'), |
|||
investment: new Big('0'), |
|||
investmentWithCurrencyEffect: new Big('0'), |
|||
netPerformance: new Big('19.86'), |
|||
netPerformancePercentage: new Big('0.13100263852242744063'), |
|||
netPerformancePercentageWithCurrencyEffectMap: { |
|||
max: new Big('0.13100263852242744063') |
|||
}, |
|||
netPerformanceWithCurrencyEffectMap: { |
|||
max: new Big('19.86') |
|||
}, |
|||
marketPrice: 87.8, |
|||
marketPriceInBaseCurrency: 87.8, |
|||
quantity: new Big('0'), |
|||
symbol: 'NOVN.SW', |
|||
tags: [], |
|||
timeWeightedInvestment: new Big('151.6'), |
|||
timeWeightedInvestmentWithCurrencyEffect: new Big('151.6'), |
|||
transactionCount: 2, |
|||
valueInBaseCurrency: new Big('0') |
|||
} |
|||
], |
|||
totalFeesWithCurrencyEffect: new Big('0'), |
|||
totalInterestWithCurrencyEffect: new Big('0'), |
|||
totalInvestment: new Big('0'), |
|||
totalInvestmentWithCurrencyEffect: new Big('0'), |
|||
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
|||
totalValuablesWithCurrencyEffect: new Big('0') |
|||
}); |
|||
|
|||
expect(portfolioSnapshot.historicalData.at(-1)).toMatchObject( |
|||
expect.objectContaining({ |
|||
netPerformance: 19.86, |
|||
netPerformanceInPercentage: 0.13100263852242744063, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0.13100263852242744063, |
|||
netPerformanceWithCurrencyEffect: 19.86, |
|||
totalInvestmentValueWithCurrencyEffect: 0 |
|||
}) |
|||
); |
|||
|
|||
expect(investments).toEqual([ |
|||
{ date: '2022-03-07', investment: new Big('151.6') }, |
|||
{ date: '2022-04-08', investment: new Big('0') } |
|||
]); |
|||
|
|||
expect(investmentsByMonth).toEqual([ |
|||
{ date: '2022-03-01', investment: 151.6 }, |
|||
{ date: '2022-04-01', investment: -151.6 } |
|||
]); |
|||
}); |
|||
}); |
|||
}); |
|||
@ -0,0 +1,868 @@ |
|||
import { getIntervalFromDateRange } from '@ghostfolio/common/calculation-helper'; |
|||
import { DATE_FORMAT } from '@ghostfolio/common/helper'; |
|||
import { SymbolMetrics } from '@ghostfolio/common/interfaces'; |
|||
import { DateRangeTypes } from '@ghostfolio/common/types/date-range.type'; |
|||
|
|||
import { DataSource } from '@prisma/client'; |
|||
import { Big } from 'big.js'; |
|||
import { isBefore, addMilliseconds, format } from 'date-fns'; |
|||
import { sortBy } from 'lodash'; |
|||
|
|||
import { getFactor } from '../../../../helper/portfolio.helper'; |
|||
import { PortfolioOrderItem } from '../../interfaces/portfolio-order-item.interface'; |
|||
import { PortfolioCalculatorSymbolMetricsHelperObject } from './portfolio-calculator-helper-object'; |
|||
|
|||
export class RoiPortfolioCalculatorSymbolMetricsHelper { |
|||
private ENABLE_LOGGING: boolean; |
|||
private baseCurrencySuffix = 'InBaseCurrency'; |
|||
private chartDates: string[]; |
|||
private marketSymbolMap: { [date: string]: { [symbol: string]: Big } }; |
|||
public constructor( |
|||
ENABLE_LOGGING: boolean, |
|||
marketSymbolMap: { [date: string]: { [symbol: string]: Big } }, |
|||
chartDates: string[] |
|||
) { |
|||
this.ENABLE_LOGGING = ENABLE_LOGGING; |
|||
this.marketSymbolMap = marketSymbolMap; |
|||
this.chartDates = chartDates; |
|||
} |
|||
|
|||
public calculateNetPerformanceByDateRange( |
|||
start: Date, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
for (const dateRange of DateRangeTypes) { |
|||
const dateInterval = getIntervalFromDateRange(dateRange); |
|||
const endDate = dateInterval.endDate; |
|||
let startDate = dateInterval.startDate; |
|||
|
|||
if (isBefore(startDate, start)) { |
|||
startDate = start; |
|||
} |
|||
|
|||
const rangeEndDateString = format(endDate, DATE_FORMAT); |
|||
const rangeStartDateString = format(startDate, DATE_FORMAT); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.netPerformanceWithCurrencyEffectMap[ |
|||
dateRange |
|||
] = |
|||
symbolMetricsHelper.symbolMetrics.netPerformanceValuesWithCurrencyEffect[ |
|||
rangeEndDateString |
|||
]?.minus( |
|||
// If the date range is 'max', take 0 as a start value. Otherwise,
|
|||
// the value of the end of the day of the start date is taken which
|
|||
// differs from the buying price.
|
|||
dateRange === 'max' |
|||
? new Big(0) |
|||
: (symbolMetricsHelper.symbolMetrics |
|||
.netPerformanceValuesWithCurrencyEffect[rangeStartDateString] ?? |
|||
new Big(0)) |
|||
) ?? new Big(0); |
|||
|
|||
let investmentBasis = |
|||
symbolMetricsHelper.symbolMetrics.currentValuesWithCurrencyEffect[ |
|||
rangeStartDateString |
|||
]; |
|||
|
|||
if ( |
|||
!symbolMetricsHelper.symbolMetrics.currentValuesWithCurrencyEffect[ |
|||
rangeStartDateString |
|||
]?.gt(0) |
|||
) { |
|||
investmentBasis = |
|||
symbolMetricsHelper.symbolMetrics |
|||
.timeWeightedInvestmentValuesWithCurrencyEffect[rangeEndDateString]; |
|||
} |
|||
|
|||
symbolMetricsHelper.symbolMetrics.netPerformancePercentageWithCurrencyEffectMap[ |
|||
dateRange |
|||
] = investmentBasis.gt(0) |
|||
? symbolMetricsHelper.symbolMetrics.netPerformanceWithCurrencyEffectMap[ |
|||
dateRange |
|||
].div(investmentBasis) |
|||
: new Big(0); |
|||
} |
|||
} |
|||
|
|||
public handleOverallPerformanceCalculation( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance.minus( |
|||
symbolMetricsHelper.grossPerformanceAtStartDate |
|||
); |
|||
symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect.minus( |
|||
symbolMetricsHelper.grossPerformanceAtStartDateWithCurrencyEffect |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.netPerformance = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance.minus( |
|||
symbolMetricsHelper.fees.minus(symbolMetricsHelper.feesAtStartDate) |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestment = new Big( |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactions |
|||
); |
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestmentWithCurrencyEffect = |
|||
new Big( |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactionsWithCurrencyEffect |
|||
); |
|||
|
|||
if (symbolMetricsHelper.symbolMetrics.timeWeightedInvestment.gt(0)) { |
|||
symbolMetricsHelper.symbolMetrics.netPerformancePercentage = |
|||
symbolMetricsHelper.symbolMetrics.netPerformance.div( |
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestment |
|||
); |
|||
symbolMetricsHelper.symbolMetrics.grossPerformancePercentage = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance.div( |
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestment |
|||
); |
|||
symbolMetricsHelper.symbolMetrics.grossPerformancePercentageWithCurrencyEffect = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect.div( |
|||
symbolMetricsHelper.symbolMetrics |
|||
.timeWeightedInvestmentWithCurrencyEffect |
|||
); |
|||
} |
|||
} |
|||
|
|||
public processOrderMetrics( |
|||
orders: PortfolioOrderItem[], |
|||
i: number, |
|||
exchangeRates: { [dateString: string]: number }, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
const order = orders[i]; |
|||
this.writeOrderToLogIfNecessary(i, order); |
|||
|
|||
symbolMetricsHelper.exchangeRateAtOrderDate = exchangeRates[order.date]; |
|||
const value = order.quantity.gt(0) |
|||
? order.quantity.mul(order.unitPrice) |
|||
: new Big(0); |
|||
|
|||
this.handleNoneBuyAndSellOrders(order, value, symbolMetricsHelper); |
|||
this.handleStartOrder( |
|||
order, |
|||
i, |
|||
orders, |
|||
symbolMetricsHelper.unitPriceAtStartDate |
|||
); |
|||
this.handleOrderFee(order, symbolMetricsHelper); |
|||
symbolMetricsHelper.unitPrice = this.getUnitPriceAndFillCurrencyDeviations( |
|||
order, |
|||
symbolMetricsHelper |
|||
); |
|||
|
|||
if (order.unitPriceInBaseCurrency) { |
|||
symbolMetricsHelper.investmentValueBeforeTransaction = |
|||
symbolMetricsHelper.totalUnits.mul(order.unitPriceInBaseCurrency); |
|||
symbolMetricsHelper.investmentValueBeforeTransactionWithCurrencyEffect = |
|||
symbolMetricsHelper.totalUnits.mul( |
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect |
|||
); |
|||
} |
|||
|
|||
this.handleInitialInvestmentValues(symbolMetricsHelper, i, order); |
|||
|
|||
const { transactionInvestment, transactionInvestmentWithCurrencyEffect } = |
|||
this.handleBuyAndSellTranscation(order, symbolMetricsHelper); |
|||
|
|||
this.logTransactionValuesIfRequested( |
|||
order, |
|||
transactionInvestment, |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
this.updateTotalInvestments( |
|||
symbolMetricsHelper, |
|||
transactionInvestment, |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
this.setInitialValueIfNecessary( |
|||
symbolMetricsHelper, |
|||
transactionInvestment, |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
this.accumulateFees(symbolMetricsHelper, order); |
|||
|
|||
symbolMetricsHelper.totalUnits = symbolMetricsHelper.totalUnits.plus( |
|||
order.quantity.mul(getFactor(order.type)) |
|||
); |
|||
|
|||
this.fillOrderUnitPricesIfMissing(order, symbolMetricsHelper); |
|||
|
|||
const valueOfInvestment = symbolMetricsHelper.totalUnits.mul( |
|||
order.unitPriceInBaseCurrency |
|||
); |
|||
|
|||
const valueOfInvestmentWithCurrencyEffect = |
|||
symbolMetricsHelper.totalUnits.mul( |
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect |
|||
); |
|||
|
|||
const valueOfPositionsSold = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrency.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
const valueOfPositionsSoldWithCurrencyEffect = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrencyWithCurrencyEffect.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
symbolMetricsHelper.totalValueOfPositionsSold = |
|||
symbolMetricsHelper.totalValueOfPositionsSold.plus(valueOfPositionsSold); |
|||
symbolMetricsHelper.totalValueOfPositionsSoldWithCurrencyEffect = |
|||
symbolMetricsHelper.totalValueOfPositionsSoldWithCurrencyEffect.plus( |
|||
valueOfPositionsSoldWithCurrencyEffect |
|||
); |
|||
|
|||
this.handlePerformanceCalculation( |
|||
valueOfInvestment, |
|||
symbolMetricsHelper, |
|||
valueOfInvestmentWithCurrencyEffect, |
|||
order |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.investmentValuesAccumulated[order.date] = |
|||
new Big(symbolMetricsHelper.symbolMetrics.totalInvestment.toNumber()); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.investmentValuesAccumulatedWithCurrencyEffect[ |
|||
order.date |
|||
] = new Big( |
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.investmentValuesWithCurrencyEffect[ |
|||
order.date |
|||
] = ( |
|||
symbolMetricsHelper.symbolMetrics.investmentValuesWithCurrencyEffect[ |
|||
order.date |
|||
] ?? new Big(0) |
|||
).add(transactionInvestmentWithCurrencyEffect); |
|||
} |
|||
|
|||
public handlePerformanceCalculation( |
|||
valueOfInvestment: Big, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
valueOfInvestmentWithCurrencyEffect: Big, |
|||
order: PortfolioOrderItem |
|||
) { |
|||
this.calculateGrossPerformance( |
|||
valueOfInvestment, |
|||
symbolMetricsHelper, |
|||
valueOfInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
this.calculateNetPerformance( |
|||
symbolMetricsHelper, |
|||
order, |
|||
valueOfInvestment, |
|||
valueOfInvestmentWithCurrencyEffect |
|||
); |
|||
} |
|||
|
|||
public calculateNetPerformance( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
order: PortfolioOrderItem, |
|||
valueOfInvestment: Big, |
|||
valueOfInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
symbolMetricsHelper.symbolMetrics.currentValues[order.date] = new Big( |
|||
valueOfInvestment |
|||
); |
|||
symbolMetricsHelper.symbolMetrics.currentValuesWithCurrencyEffect[ |
|||
order.date |
|||
] = new Big(valueOfInvestmentWithCurrencyEffect); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestmentValues[order.date] = |
|||
new Big(symbolMetricsHelper.totalInvestmentFromBuyTransactions); |
|||
symbolMetricsHelper.symbolMetrics.timeWeightedInvestmentValuesWithCurrencyEffect[ |
|||
order.date |
|||
] = new Big( |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactionsWithCurrencyEffect |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.netPerformanceValues[order.date] = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance |
|||
.minus(symbolMetricsHelper.grossPerformanceAtStartDate) |
|||
.minus( |
|||
symbolMetricsHelper.fees.minus(symbolMetricsHelper.feesAtStartDate) |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.netPerformanceValuesWithCurrencyEffect[ |
|||
order.date |
|||
] = symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect |
|||
.minus(symbolMetricsHelper.grossPerformanceAtStartDateWithCurrencyEffect) |
|||
.minus( |
|||
symbolMetricsHelper.feesWithCurrencyEffect.minus( |
|||
symbolMetricsHelper.feesAtStartDateWithCurrencyEffect |
|||
) |
|||
); |
|||
} |
|||
|
|||
public calculateGrossPerformance( |
|||
valueOfInvestment: Big, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
valueOfInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
const newGrossPerformance = valueOfInvestment |
|||
.minus(symbolMetricsHelper.totalInvestmentFromBuyTransactions) |
|||
.plus(symbolMetricsHelper.totalValueOfPositionsSold) |
|||
.plus( |
|||
symbolMetricsHelper.symbolMetrics.totalDividend.mul( |
|||
symbolMetricsHelper.currentExchangeRate |
|||
) |
|||
) |
|||
.plus( |
|||
symbolMetricsHelper.symbolMetrics.totalInterest.mul( |
|||
symbolMetricsHelper.currentExchangeRate |
|||
) |
|||
); |
|||
|
|||
const newGrossPerformanceWithCurrencyEffect = |
|||
valueOfInvestmentWithCurrencyEffect |
|||
.minus( |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactionsWithCurrencyEffect |
|||
) |
|||
.plus(symbolMetricsHelper.totalValueOfPositionsSoldWithCurrencyEffect) |
|||
.plus(symbolMetricsHelper.symbolMetrics.totalDividendInBaseCurrency) |
|||
.plus(symbolMetricsHelper.symbolMetrics.totalInterestInBaseCurrency); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.grossPerformance = newGrossPerformance; |
|||
symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect = |
|||
newGrossPerformanceWithCurrencyEffect; |
|||
} |
|||
|
|||
public accumulateFees( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
order: PortfolioOrderItem |
|||
) { |
|||
symbolMetricsHelper.fees = symbolMetricsHelper.fees.plus( |
|||
order.feeInBaseCurrency ?? 0 |
|||
); |
|||
|
|||
symbolMetricsHelper.feesWithCurrencyEffect = |
|||
symbolMetricsHelper.feesWithCurrencyEffect.plus( |
|||
order.feeInBaseCurrencyWithCurrencyEffect ?? 0 |
|||
); |
|||
} |
|||
|
|||
public updateTotalInvestments( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
transactionInvestment: Big, |
|||
transactionInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
symbolMetricsHelper.symbolMetrics.totalInvestment = |
|||
symbolMetricsHelper.symbolMetrics.totalInvestment.plus( |
|||
transactionInvestment |
|||
); |
|||
|
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect = |
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
} |
|||
|
|||
public setInitialValueIfNecessary( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
transactionInvestment: Big, |
|||
transactionInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
if (!symbolMetricsHelper.initialValue && transactionInvestment.gt(0)) { |
|||
symbolMetricsHelper.initialValue = transactionInvestment; |
|||
symbolMetricsHelper.initialValueWithCurrencyEffect = |
|||
transactionInvestmentWithCurrencyEffect; |
|||
} |
|||
} |
|||
|
|||
public logTransactionValuesIfRequested( |
|||
order: PortfolioOrderItem, |
|||
transactionInvestment: Big, |
|||
transactionInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
if (this.ENABLE_LOGGING) { |
|||
console.log('order.quantity', order.quantity.toNumber()); |
|||
console.log('transactionInvestment', transactionInvestment.toNumber()); |
|||
|
|||
console.log( |
|||
'transactionInvestmentWithCurrencyEffect', |
|||
transactionInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
} |
|||
|
|||
public handleBuyAndSellTranscation( |
|||
order: PortfolioOrderItem, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
switch (order.type) { |
|||
case 'BUY': |
|||
return this.handleBuyTransaction(order, symbolMetricsHelper); |
|||
case 'SELL': |
|||
return this.handleSellTransaction(symbolMetricsHelper, order); |
|||
default: |
|||
return { |
|||
transactionInvestment: new Big(0), |
|||
transactionInvestmentWithCurrencyEffect: new Big(0) |
|||
}; |
|||
} |
|||
} |
|||
|
|||
public handleSellTransaction( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
order: PortfolioOrderItem |
|||
) { |
|||
let transactionInvestment = new Big(0); |
|||
let transactionInvestmentWithCurrencyEffect = new Big(0); |
|||
if (symbolMetricsHelper.totalUnits.gt(0)) { |
|||
transactionInvestment = symbolMetricsHelper.symbolMetrics.totalInvestment |
|||
.div(symbolMetricsHelper.totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
transactionInvestmentWithCurrencyEffect = |
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect |
|||
.div(symbolMetricsHelper.totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
} |
|||
return { transactionInvestment, transactionInvestmentWithCurrencyEffect }; |
|||
} |
|||
|
|||
public handleBuyTransaction( |
|||
order: PortfolioOrderItem, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
const transactionInvestment = order.quantity |
|||
.mul(order.unitPriceInBaseCurrency) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
const transactionInvestmentWithCurrencyEffect = order.quantity |
|||
.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
symbolMetricsHelper.totalQuantityFromBuyTransactions = |
|||
symbolMetricsHelper.totalQuantityFromBuyTransactions.plus(order.quantity); |
|||
|
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactions = |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactions.plus( |
|||
transactionInvestment |
|||
); |
|||
|
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactionsWithCurrencyEffect = |
|||
symbolMetricsHelper.totalInvestmentFromBuyTransactionsWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
return { transactionInvestment, transactionInvestmentWithCurrencyEffect }; |
|||
} |
|||
|
|||
public handleInitialInvestmentValues( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
i: number, |
|||
order: PortfolioOrderItem |
|||
) { |
|||
if ( |
|||
!symbolMetricsHelper.investmentAtStartDate && |
|||
i >= symbolMetricsHelper.indexOfStartOrder |
|||
) { |
|||
symbolMetricsHelper.investmentAtStartDate = new Big( |
|||
symbolMetricsHelper.symbolMetrics.totalInvestment.toNumber() |
|||
); |
|||
symbolMetricsHelper.investmentAtStartDateWithCurrencyEffect = new Big( |
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
|
|||
symbolMetricsHelper.valueAtStartDate = new Big( |
|||
symbolMetricsHelper.investmentValueBeforeTransaction.toNumber() |
|||
); |
|||
|
|||
symbolMetricsHelper.valueAtStartDateWithCurrencyEffect = new Big( |
|||
symbolMetricsHelper.investmentValueBeforeTransactionWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
if (order.itemType === 'start') { |
|||
symbolMetricsHelper.feesAtStartDate = symbolMetricsHelper.fees; |
|||
symbolMetricsHelper.feesAtStartDateWithCurrencyEffect = |
|||
symbolMetricsHelper.feesWithCurrencyEffect; |
|||
symbolMetricsHelper.grossPerformanceAtStartDate = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformance; |
|||
|
|||
symbolMetricsHelper.grossPerformanceAtStartDateWithCurrencyEffect = |
|||
symbolMetricsHelper.symbolMetrics.grossPerformanceWithCurrencyEffect; |
|||
} |
|||
|
|||
if ( |
|||
i >= symbolMetricsHelper.indexOfStartOrder && |
|||
!symbolMetricsHelper.initialValue |
|||
) { |
|||
if ( |
|||
i === symbolMetricsHelper.indexOfStartOrder && |
|||
!symbolMetricsHelper.symbolMetrics.totalInvestment.eq(0) |
|||
) { |
|||
symbolMetricsHelper.initialValue = new Big( |
|||
symbolMetricsHelper.symbolMetrics.totalInvestment.toNumber() |
|||
); |
|||
|
|||
symbolMetricsHelper.initialValueWithCurrencyEffect = new Big( |
|||
symbolMetricsHelper.symbolMetrics.totalInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
} |
|||
} |
|||
|
|||
public getSymbolMetricHelperObject( |
|||
exchangeRates: { [dateString: string]: number }, |
|||
start: Date, |
|||
end: Date, |
|||
marketSymbolMap: { [date: string]: { [symbol: string]: Big } }, |
|||
symbol: string |
|||
): PortfolioCalculatorSymbolMetricsHelperObject { |
|||
const symbolMetricsHelper = |
|||
new PortfolioCalculatorSymbolMetricsHelperObject(); |
|||
symbolMetricsHelper.symbolMetrics = this.createEmptySymbolMetrics(); |
|||
symbolMetricsHelper.currentExchangeRate = |
|||
exchangeRates[format(new Date(), DATE_FORMAT)]; |
|||
symbolMetricsHelper.startDateString = format(start, DATE_FORMAT); |
|||
symbolMetricsHelper.endDateString = format(end, DATE_FORMAT); |
|||
symbolMetricsHelper.unitPriceAtStartDate = |
|||
marketSymbolMap[symbolMetricsHelper.startDateString]?.[symbol]; |
|||
symbolMetricsHelper.unitPriceAtEndDate = |
|||
marketSymbolMap[symbolMetricsHelper.endDateString]?.[symbol]; |
|||
|
|||
symbolMetricsHelper.totalUnits = new Big(0); |
|||
|
|||
return symbolMetricsHelper; |
|||
} |
|||
|
|||
public getUnitPriceAndFillCurrencyDeviations( |
|||
order: PortfolioOrderItem, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
const unitprice = ['BUY', 'SELL'].includes(order.type) |
|||
? order.unitPrice |
|||
: order.unitPriceFromMarketData; |
|||
if (unitprice) { |
|||
order.unitPriceInBaseCurrency = unitprice.mul( |
|||
symbolMetricsHelper.currentExchangeRate ?? 1 |
|||
); |
|||
|
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect = unitprice.mul( |
|||
symbolMetricsHelper.exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
return unitprice; |
|||
} |
|||
|
|||
public handleOrderFee( |
|||
order: PortfolioOrderItem, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
if (order.fee) { |
|||
order.feeInBaseCurrency = order.fee.mul( |
|||
symbolMetricsHelper.currentExchangeRate ?? 1 |
|||
); |
|||
order.feeInBaseCurrencyWithCurrencyEffect = order.fee.mul( |
|||
symbolMetricsHelper.exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
} |
|||
|
|||
public handleStartOrder( |
|||
order: PortfolioOrderItem, |
|||
i: number, |
|||
orders: PortfolioOrderItem[], |
|||
unitPriceAtStartDate: Big.Big |
|||
) { |
|||
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 = |
|||
i === 0 ? orders[i + 1]?.unitPrice : unitPriceAtStartDate; |
|||
} |
|||
} |
|||
|
|||
public handleNoneBuyAndSellOrders( |
|||
order: PortfolioOrderItem, |
|||
value: Big.Big, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
const symbolMetricsKey = this.getSymbolMetricsKeyFromOrderType(order.type); |
|||
if (symbolMetricsKey) { |
|||
this.calculateMetrics(value, symbolMetricsHelper, symbolMetricsKey); |
|||
} |
|||
} |
|||
|
|||
public getSymbolMetricsKeyFromOrderType( |
|||
orderType: PortfolioOrderItem['type'] |
|||
): keyof SymbolMetrics { |
|||
switch (orderType) { |
|||
case 'DIVIDEND': |
|||
return 'totalDividend'; |
|||
case 'INTEREST': |
|||
return 'totalInterest'; |
|||
case 'ITEM': |
|||
return 'totalValuables'; |
|||
case 'LIABILITY': |
|||
return 'totalLiabilities'; |
|||
default: |
|||
return undefined; |
|||
} |
|||
} |
|||
|
|||
public calculateMetrics( |
|||
value: Big, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
key: keyof SymbolMetrics |
|||
) { |
|||
const stringKey = key.toString(); |
|||
symbolMetricsHelper.symbolMetrics[stringKey] = ( |
|||
symbolMetricsHelper.symbolMetrics[stringKey] as Big |
|||
).plus(value); |
|||
|
|||
if ( |
|||
Object.keys(symbolMetricsHelper.symbolMetrics).includes( |
|||
stringKey + this.baseCurrencySuffix |
|||
) |
|||
) { |
|||
symbolMetricsHelper.symbolMetrics[stringKey + this.baseCurrencySuffix] = ( |
|||
symbolMetricsHelper.symbolMetrics[ |
|||
stringKey + this.baseCurrencySuffix |
|||
] as Big |
|||
).plus(value.mul(symbolMetricsHelper.exchangeRateAtOrderDate ?? 1)); |
|||
} else { |
|||
throw new Error( |
|||
`Key ${stringKey + this.baseCurrencySuffix} not found in symbolMetrics` |
|||
); |
|||
} |
|||
} |
|||
|
|||
public writeOrderToLogIfNecessary(i: number, order: PortfolioOrderItem) { |
|||
if (this.ENABLE_LOGGING) { |
|||
console.log(); |
|||
console.log(); |
|||
console.log( |
|||
i + 1, |
|||
order.date, |
|||
order.type, |
|||
order.itemType ? `(${order.itemType})` : '' |
|||
); |
|||
} |
|||
} |
|||
|
|||
public fillOrdersAndSortByTime( |
|||
orders: PortfolioOrderItem[], |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
chartDateMap: { [date: string]: boolean }, |
|||
marketSymbolMap: { [date: string]: { [symbol: string]: Big.Big } }, |
|||
symbol: string, |
|||
dataSource: DataSource |
|||
) { |
|||
this.fillOrdersByDate(orders, symbolMetricsHelper.ordersByDate); |
|||
|
|||
this.chartDates ??= Object.keys(chartDateMap).sort(); |
|||
|
|||
this.fillOrdersWithDatesFromChartDate( |
|||
symbolMetricsHelper, |
|||
marketSymbolMap, |
|||
symbol, |
|||
orders, |
|||
dataSource |
|||
); |
|||
|
|||
// Sort orders so that the start and end placeholder order are at the correct
|
|||
// position
|
|||
orders = this.sortOrdersByTime(orders); |
|||
return orders; |
|||
} |
|||
|
|||
public sortOrdersByTime(orders: PortfolioOrderItem[]) { |
|||
orders = sortBy(orders, ({ date, itemType }) => { |
|||
let sortIndex = new Date(date); |
|||
|
|||
if (itemType === 'end') { |
|||
sortIndex = addMilliseconds(sortIndex, 1); |
|||
} else if (itemType === 'start') { |
|||
sortIndex = addMilliseconds(sortIndex, -1); |
|||
} |
|||
|
|||
return sortIndex.getTime(); |
|||
}); |
|||
return orders; |
|||
} |
|||
|
|||
public fillOrdersWithDatesFromChartDate( |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
marketSymbolMap: { [date: string]: { [symbol: string]: Big.Big } }, |
|||
symbol: string, |
|||
orders: PortfolioOrderItem[], |
|||
dataSource: DataSource |
|||
) { |
|||
let lastUnitPrice: Big; |
|||
for (const dateString of this.chartDates) { |
|||
if (dateString < symbolMetricsHelper.startDateString) { |
|||
continue; |
|||
} else if (dateString > symbolMetricsHelper.endDateString) { |
|||
break; |
|||
} |
|||
|
|||
if (symbolMetricsHelper.ordersByDate[dateString]?.length > 0) { |
|||
for (const order of symbolMetricsHelper.ordersByDate[dateString]) { |
|||
order.unitPriceFromMarketData = |
|||
marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice; |
|||
} |
|||
} else { |
|||
orders.push( |
|||
this.getFakeOrder( |
|||
dateString, |
|||
dataSource, |
|||
symbol, |
|||
marketSymbolMap, |
|||
lastUnitPrice |
|||
) |
|||
); |
|||
} |
|||
|
|||
const lastOrder = orders.at(-1); |
|||
|
|||
lastUnitPrice = lastOrder.unitPriceFromMarketData ?? lastOrder.unitPrice; |
|||
} |
|||
return lastUnitPrice; |
|||
} |
|||
|
|||
public getFakeOrder( |
|||
dateString: string, |
|||
dataSource: DataSource, |
|||
symbol: string, |
|||
marketSymbolMap: { [date: string]: { [symbol: string]: Big.Big } }, |
|||
lastUnitPrice: Big.Big |
|||
): PortfolioOrderItem { |
|||
return { |
|||
date: dateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
quantity: new Big(0), |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
type: 'BUY', |
|||
unitPrice: marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice, |
|||
unitPriceFromMarketData: |
|||
marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice |
|||
}; |
|||
} |
|||
|
|||
public fillOrdersByDate( |
|||
orders: PortfolioOrderItem[], |
|||
ordersByDate: { [date: string]: PortfolioOrderItem[] } |
|||
) { |
|||
for (const order of orders) { |
|||
ordersByDate[order.date] = ordersByDate[order.date] ?? []; |
|||
ordersByDate[order.date].push(order); |
|||
} |
|||
} |
|||
|
|||
public addSyntheticStartAndEndOrder( |
|||
orders: PortfolioOrderItem[], |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject, |
|||
dataSource: DataSource, |
|||
symbol: string |
|||
) { |
|||
orders.push({ |
|||
date: symbolMetricsHelper.startDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'start', |
|||
quantity: new Big(0), |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
type: 'BUY', |
|||
unitPrice: symbolMetricsHelper.unitPriceAtStartDate |
|||
}); |
|||
|
|||
orders.push({ |
|||
date: symbolMetricsHelper.endDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'end', |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
quantity: new Big(0), |
|||
type: 'BUY', |
|||
unitPrice: symbolMetricsHelper.unitPriceAtEndDate |
|||
}); |
|||
} |
|||
|
|||
public hasNoUnitPriceAtEndOrStartDate( |
|||
unitPriceAtEndDate: Big.Big, |
|||
unitPriceAtStartDate: Big.Big, |
|||
orders: PortfolioOrderItem[], |
|||
start: Date |
|||
) { |
|||
return ( |
|||
!unitPriceAtEndDate || |
|||
(!unitPriceAtStartDate && isBefore(new Date(orders[0].date), start)) |
|||
); |
|||
} |
|||
|
|||
public createEmptySymbolMetrics(): SymbolMetrics { |
|||
return { |
|||
currentValues: {}, |
|||
currentValuesWithCurrencyEffect: {}, |
|||
feesWithCurrencyEffect: new Big(0), |
|||
grossPerformance: new Big(0), |
|||
grossPerformancePercentage: new Big(0), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
|||
grossPerformanceWithCurrencyEffect: new Big(0), |
|||
hasErrors: false, |
|||
initialValue: new Big(0), |
|||
initialValueWithCurrencyEffect: new Big(0), |
|||
investmentValuesAccumulated: {}, |
|||
investmentValuesAccumulatedWithCurrencyEffect: {}, |
|||
investmentValuesWithCurrencyEffect: {}, |
|||
netPerformance: new Big(0), |
|||
netPerformancePercentage: new Big(0), |
|||
netPerformancePercentageWithCurrencyEffectMap: {}, |
|||
netPerformanceValues: {}, |
|||
netPerformanceValuesWithCurrencyEffect: {}, |
|||
netPerformanceWithCurrencyEffectMap: {}, |
|||
timeWeightedInvestment: new Big(0), |
|||
timeWeightedInvestmentValues: {}, |
|||
timeWeightedInvestmentValuesWithCurrencyEffect: {}, |
|||
timeWeightedInvestmentWithCurrencyEffect: new Big(0), |
|||
totalAccountBalanceInBaseCurrency: new Big(0), |
|||
totalDividend: new Big(0), |
|||
totalDividendInBaseCurrency: new Big(0), |
|||
totalInterest: new Big(0), |
|||
totalInterestInBaseCurrency: new Big(0), |
|||
totalInvestment: new Big(0), |
|||
totalInvestmentWithCurrencyEffect: new Big(0), |
|||
unitPrices: {}, |
|||
totalLiabilities: new Big(0), |
|||
totalLiabilitiesInBaseCurrency: new Big(0), |
|||
totalValuables: new Big(0), |
|||
totalValuablesInBaseCurrency: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
private fillOrderUnitPricesIfMissing( |
|||
order: PortfolioOrderItem, |
|||
symbolMetricsHelper: PortfolioCalculatorSymbolMetricsHelperObject |
|||
) { |
|||
order.unitPriceInBaseCurrency ??= this.marketSymbolMap[order.date]?.[ |
|||
order.SymbolProfile.symbol |
|||
].mul(symbolMetricsHelper.currentExchangeRate); |
|||
|
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect ??= this.marketSymbolMap[ |
|||
order.date |
|||
]?.[order.SymbolProfile.symbol].mul( |
|||
symbolMetricsHelper.exchangeRateAtOrderDate |
|||
); |
|||
} |
|||
} |
|||
@ -1,29 +1,272 @@ |
|||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
|||
import { LogPerformance } from '@ghostfolio/api/interceptors/performance-logging/performance-logging.interceptor'; |
|||
import { |
|||
AssetProfileIdentifier, |
|||
SymbolMetrics |
|||
} from '@ghostfolio/common/interfaces'; |
|||
import { PortfolioSnapshot } from '@ghostfolio/common/models'; |
|||
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
|||
import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
|||
|
|||
import { Logger } from '@nestjs/common'; |
|||
import { Big } from 'big.js'; |
|||
import { cloneDeep } from 'lodash'; |
|||
|
|||
import { PortfolioOrderItem } from '../../interfaces/portfolio-order-item.interface'; |
|||
import { RoiPortfolioCalculatorSymbolMetricsHelper } from './portfolio-calculator-symbolmetrics-helper'; |
|||
|
|||
export class RoiPortfolioCalculator extends PortfolioCalculator { |
|||
protected calculateOverallPerformance(): PortfolioSnapshot { |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
private chartDates: string[]; |
|||
|
|||
protected getPerformanceCalculationType() { |
|||
return PerformanceCalculationType.ROI; |
|||
@LogPerformance |
|||
protected calculateOverallPerformance( |
|||
positions: TimelinePosition[] |
|||
): PortfolioSnapshot { |
|||
let currentValueInBaseCurrency = new Big(0); |
|||
let grossPerformance = new Big(0); |
|||
let grossPerformanceWithCurrencyEffect = new Big(0); |
|||
let hasErrors = false; |
|||
let netPerformance = new Big(0); |
|||
let totalFeesWithCurrencyEffect = new Big(0); |
|||
const totalInterestWithCurrencyEffect = new Big(0); |
|||
let totalInvestment = new Big(0); |
|||
let totalInvestmentWithCurrencyEffect = new Big(0); |
|||
let totalTimeWeightedInvestment = new Big(0); |
|||
let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0); |
|||
|
|||
for (const currentPosition of positions) { |
|||
({ |
|||
totalFeesWithCurrencyEffect, |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
grossPerformance, |
|||
grossPerformanceWithCurrencyEffect, |
|||
netPerformance, |
|||
totalTimeWeightedInvestment, |
|||
totalTimeWeightedInvestmentWithCurrencyEffect |
|||
} = this.calculatePositionMetrics( |
|||
currentPosition, |
|||
totalFeesWithCurrencyEffect, |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
grossPerformance, |
|||
grossPerformanceWithCurrencyEffect, |
|||
netPerformance, |
|||
totalTimeWeightedInvestment, |
|||
totalTimeWeightedInvestmentWithCurrencyEffect |
|||
)); |
|||
} |
|||
|
|||
return { |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
positions, |
|||
totalFeesWithCurrencyEffect, |
|||
totalInterestWithCurrencyEffect, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
activitiesCount: this.activities.filter(({ type }) => { |
|||
return ['BUY', 'SELL', 'STAKE'].includes(type); |
|||
}).length, |
|||
createdAt: new Date(), |
|||
errors: [], |
|||
historicalData: [], |
|||
totalLiabilitiesWithCurrencyEffect: new Big(0), |
|||
totalValuablesWithCurrencyEffect: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
protected getSymbolMetrics({}: { |
|||
protected getSymbolMetrics({ |
|||
chartDateMap, |
|||
dataSource, |
|||
end, |
|||
exchangeRates, |
|||
marketSymbolMap, |
|||
start, |
|||
symbol |
|||
}: { |
|||
chartDateMap?: { [date: string]: boolean }; |
|||
end: Date; |
|||
exchangeRates: { [dateString: string]: number }; |
|||
marketSymbolMap: { |
|||
[date: string]: { [symbol: string]: Big }; |
|||
}; |
|||
start: Date; |
|||
step?: number; |
|||
} & AssetProfileIdentifier): SymbolMetrics { |
|||
throw new Error('Method not implemented.'); |
|||
if (!this.chartDates) { |
|||
this.chartDates = Object.keys(chartDateMap).sort(); |
|||
} |
|||
const symbolMetricsHelperClass = |
|||
new RoiPortfolioCalculatorSymbolMetricsHelper( |
|||
PortfolioCalculator.ENABLE_LOGGING, |
|||
marketSymbolMap, |
|||
this.chartDates |
|||
); |
|||
const symbolMetricsHelper = |
|||
symbolMetricsHelperClass.getSymbolMetricHelperObject( |
|||
exchangeRates, |
|||
start, |
|||
end, |
|||
marketSymbolMap, |
|||
symbol |
|||
); |
|||
|
|||
let orders: PortfolioOrderItem[] = cloneDeep( |
|||
this.activities.filter(({ SymbolProfile }) => { |
|||
return SymbolProfile.symbol === symbol; |
|||
}) |
|||
); |
|||
|
|||
if (!orders.length) { |
|||
return symbolMetricsHelper.symbolMetrics; |
|||
} |
|||
|
|||
if ( |
|||
symbolMetricsHelperClass.hasNoUnitPriceAtEndOrStartDate( |
|||
symbolMetricsHelper.unitPriceAtEndDate, |
|||
symbolMetricsHelper.unitPriceAtStartDate, |
|||
orders, |
|||
start |
|||
) |
|||
) { |
|||
symbolMetricsHelper.symbolMetrics.hasErrors = true; |
|||
return symbolMetricsHelper.symbolMetrics; |
|||
} |
|||
|
|||
symbolMetricsHelperClass.addSyntheticStartAndEndOrder( |
|||
orders, |
|||
symbolMetricsHelper, |
|||
dataSource, |
|||
symbol |
|||
); |
|||
|
|||
orders = symbolMetricsHelperClass.fillOrdersAndSortByTime( |
|||
orders, |
|||
symbolMetricsHelper, |
|||
chartDateMap, |
|||
marketSymbolMap, |
|||
symbol, |
|||
dataSource |
|||
); |
|||
|
|||
symbolMetricsHelper.indexOfStartOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'start'; |
|||
}); |
|||
symbolMetricsHelper.indexOfEndOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'end'; |
|||
}); |
|||
|
|||
for (let i = 0; i < orders.length; i++) { |
|||
symbolMetricsHelperClass.processOrderMetrics( |
|||
orders, |
|||
i, |
|||
exchangeRates, |
|||
symbolMetricsHelper |
|||
); |
|||
if (i === symbolMetricsHelper.indexOfEndOrder) { |
|||
break; |
|||
} |
|||
} |
|||
|
|||
symbolMetricsHelperClass.handleOverallPerformanceCalculation( |
|||
symbolMetricsHelper |
|||
); |
|||
symbolMetricsHelperClass.calculateNetPerformanceByDateRange( |
|||
start, |
|||
symbolMetricsHelper |
|||
); |
|||
|
|||
return symbolMetricsHelper.symbolMetrics; |
|||
} |
|||
|
|||
protected getPerformanceCalculationType() { |
|||
return PerformanceCalculationType.ROI; |
|||
} |
|||
|
|||
private calculatePositionMetrics( |
|||
currentPosition: TimelinePosition, |
|||
totalFeesWithCurrencyEffect: Big, |
|||
currentValueInBaseCurrency: Big, |
|||
hasErrors: boolean, |
|||
totalInvestment: Big, |
|||
totalInvestmentWithCurrencyEffect: Big, |
|||
grossPerformance: Big, |
|||
grossPerformanceWithCurrencyEffect: Big, |
|||
netPerformance: Big, |
|||
totalTimeWeightedInvestment: Big, |
|||
totalTimeWeightedInvestmentWithCurrencyEffect: Big |
|||
) { |
|||
if (currentPosition.feeInBaseCurrency) { |
|||
totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus( |
|||
currentPosition.feeInBaseCurrency |
|||
); |
|||
} |
|||
|
|||
if (currentPosition.valueInBaseCurrency) { |
|||
currentValueInBaseCurrency = currentValueInBaseCurrency.plus( |
|||
currentPosition.valueInBaseCurrency |
|||
); |
|||
} else { |
|||
hasErrors = true; |
|||
} |
|||
|
|||
if (currentPosition.investment) { |
|||
totalInvestment = totalInvestment.plus(currentPosition.investment); |
|||
|
|||
totalInvestmentWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect.plus( |
|||
currentPosition.investmentWithCurrencyEffect |
|||
); |
|||
} else { |
|||
hasErrors = true; |
|||
} |
|||
|
|||
if (currentPosition.grossPerformance) { |
|||
grossPerformance = grossPerformance.plus( |
|||
currentPosition.grossPerformance |
|||
); |
|||
|
|||
grossPerformanceWithCurrencyEffect = |
|||
grossPerformanceWithCurrencyEffect.plus( |
|||
currentPosition.grossPerformanceWithCurrencyEffect |
|||
); |
|||
|
|||
netPerformance = netPerformance.plus(currentPosition.netPerformance); |
|||
} else if (!currentPosition.quantity.eq(0)) { |
|||
hasErrors = true; |
|||
} |
|||
|
|||
if (currentPosition.timeWeightedInvestment) { |
|||
totalTimeWeightedInvestment = totalTimeWeightedInvestment.plus( |
|||
currentPosition.timeWeightedInvestment |
|||
); |
|||
|
|||
totalTimeWeightedInvestmentWithCurrencyEffect = |
|||
totalTimeWeightedInvestmentWithCurrencyEffect.plus( |
|||
currentPosition.timeWeightedInvestmentWithCurrencyEffect |
|||
); |
|||
} else if (!currentPosition.quantity.eq(0)) { |
|||
Logger.warn( |
|||
`Missing historical market data for ${currentPosition.symbol} (${currentPosition.dataSource})`, |
|||
'PortfolioCalculator' |
|||
); |
|||
|
|||
hasErrors = true; |
|||
} |
|||
return { |
|||
totalFeesWithCurrencyEffect, |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
grossPerformance, |
|||
grossPerformanceWithCurrencyEffect, |
|||
netPerformance, |
|||
totalTimeWeightedInvestment, |
|||
totalTimeWeightedInvestmentWithCurrencyEffect |
|||
}; |
|||
} |
|||
} |
|||
|
|||
@ -1,5 +1,9 @@ |
|||
import { PortfolioPosition } from '@ghostfolio/common/interfaces'; |
|||
import { |
|||
PortfolioPosition, |
|||
PortfolioPerformance |
|||
} from '@ghostfolio/common/interfaces'; |
|||
|
|||
export interface PortfolioHoldingsResponse { |
|||
holdings: PortfolioPosition[]; |
|||
performance: PortfolioPerformance; |
|||
} |
|||
|
|||
Loading…
Reference in new issue