mirror of https://github.com/ghostfolio/ghostfolio
Francisco Silva
10 months ago
committed by
GitHub
GitHub
20 changed files with 1361 additions and 1052 deletions
@ -0,0 +1,37 @@ |
|||||
|
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
||||
|
import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface'; |
||||
|
import { |
||||
|
SymbolMetrics, |
||||
|
TimelinePosition, |
||||
|
UniqueAsset |
||||
|
} from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
export class MWRPortfolioCalculator extends PortfolioCalculator { |
||||
|
protected calculateOverallPerformance( |
||||
|
positions: TimelinePosition[] |
||||
|
): CurrentPositions { |
||||
|
throw new Error('Method not implemented.'); |
||||
|
} |
||||
|
|
||||
|
protected getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode = false, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step = 1, |
||||
|
symbol |
||||
|
}: { |
||||
|
end: Date; |
||||
|
exchangeRates: { [dateString: string]: number }; |
||||
|
isChartMode?: boolean; |
||||
|
marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
}; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
} & UniqueAsset): SymbolMetrics { |
||||
|
throw new Error('Method not implemented.'); |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,25 @@ |
|||||
|
export const activityDummyData = { |
||||
|
accountId: undefined, |
||||
|
accountUserId: undefined, |
||||
|
comment: undefined, |
||||
|
createdAt: new Date(), |
||||
|
feeInBaseCurrency: undefined, |
||||
|
id: undefined, |
||||
|
isDraft: false, |
||||
|
symbolProfileId: undefined, |
||||
|
updatedAt: new Date(), |
||||
|
userId: undefined, |
||||
|
value: undefined, |
||||
|
valueInBaseCurrency: undefined |
||||
|
}; |
||||
|
|
||||
|
export const symbolProfileDummyData = { |
||||
|
activitiesCount: undefined, |
||||
|
assetClass: undefined, |
||||
|
assetSubClass: undefined, |
||||
|
countries: [], |
||||
|
createdAt: undefined, |
||||
|
id: undefined, |
||||
|
sectors: [], |
||||
|
updatedAt: undefined |
||||
|
}; |
||||
@ -0,0 +1,51 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
|
||||
|
import { Injectable } from '@nestjs/common'; |
||||
|
|
||||
|
import { MWRPortfolioCalculator } from './mwr/portfolio-calculator'; |
||||
|
import { PortfolioCalculator } from './portfolio-calculator'; |
||||
|
import { TWRPortfolioCalculator } from './twr/portfolio-calculator'; |
||||
|
|
||||
|
export enum PerformanceCalculationType { |
||||
|
MWR = 'MWR', // Money-Weighted Rate of Return
|
||||
|
TWR = 'TWR' // Time-Weighted Rate of Return
|
||||
|
} |
||||
|
|
||||
|
@Injectable() |
||||
|
export class PortfolioCalculatorFactory { |
||||
|
public constructor( |
||||
|
private readonly currentRateService: CurrentRateService, |
||||
|
private readonly exchangeRateDataService: ExchangeRateDataService |
||||
|
) {} |
||||
|
|
||||
|
public createCalculator({ |
||||
|
activities, |
||||
|
calculationType, |
||||
|
currency |
||||
|
}: { |
||||
|
activities: Activity[]; |
||||
|
calculationType: PerformanceCalculationType; |
||||
|
currency: string; |
||||
|
}): PortfolioCalculator { |
||||
|
switch (calculationType) { |
||||
|
case PerformanceCalculationType.MWR: |
||||
|
return new MWRPortfolioCalculator({ |
||||
|
activities, |
||||
|
currency, |
||||
|
currentRateService: this.currentRateService, |
||||
|
exchangeRateDataService: this.exchangeRateDataService |
||||
|
}); |
||||
|
case PerformanceCalculationType.TWR: |
||||
|
return new TWRPortfolioCalculator({ |
||||
|
activities, |
||||
|
currency, |
||||
|
currentRateService: this.currentRateService, |
||||
|
exchangeRateDataService: this.exchangeRateDataService |
||||
|
}); |
||||
|
default: |
||||
|
throw new Error('Invalid calculation type'); |
||||
|
} |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,788 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
||||
|
import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface'; |
||||
|
import { PortfolioOrder } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order.interface'; |
||||
|
import { TransactionPointSymbol } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point-symbol.interface'; |
||||
|
import { TransactionPoint } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point.interface'; |
||||
|
import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfaces'; |
||||
|
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
||||
|
import { |
||||
|
DataProviderInfo, |
||||
|
HistoricalDataItem, |
||||
|
InvestmentItem, |
||||
|
ResponseError, |
||||
|
SymbolMetrics, |
||||
|
TimelinePosition, |
||||
|
UniqueAsset |
||||
|
} from '@ghostfolio/common/interfaces'; |
||||
|
import { GroupBy } from '@ghostfolio/common/types'; |
||||
|
|
||||
|
import { Big } from 'big.js'; |
||||
|
import { |
||||
|
eachDayOfInterval, |
||||
|
endOfDay, |
||||
|
format, |
||||
|
isBefore, |
||||
|
isSameDay, |
||||
|
max, |
||||
|
subDays |
||||
|
} from 'date-fns'; |
||||
|
import { isNumber, last, uniq } from 'lodash'; |
||||
|
|
||||
|
export abstract class PortfolioCalculator { |
||||
|
protected static readonly ENABLE_LOGGING = false; |
||||
|
|
||||
|
protected orders: PortfolioOrder[]; |
||||
|
|
||||
|
private currency: string; |
||||
|
private currentRateService: CurrentRateService; |
||||
|
private dataProviderInfos: DataProviderInfo[]; |
||||
|
private exchangeRateDataService: ExchangeRateDataService; |
||||
|
private transactionPoints: TransactionPoint[]; |
||||
|
|
||||
|
public constructor({ |
||||
|
activities, |
||||
|
currency, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService |
||||
|
}: { |
||||
|
activities: Activity[]; |
||||
|
currency: string; |
||||
|
currentRateService: CurrentRateService; |
||||
|
exchangeRateDataService: ExchangeRateDataService; |
||||
|
}) { |
||||
|
this.currency = currency; |
||||
|
this.currentRateService = currentRateService; |
||||
|
this.exchangeRateDataService = exchangeRateDataService; |
||||
|
this.orders = activities.map( |
||||
|
({ date, fee, quantity, SymbolProfile, type, unitPrice }) => { |
||||
|
return { |
||||
|
SymbolProfile, |
||||
|
type, |
||||
|
date: format(date, DATE_FORMAT), |
||||
|
fee: new Big(fee), |
||||
|
quantity: new Big(quantity), |
||||
|
unitPrice: new Big(unitPrice) |
||||
|
}; |
||||
|
} |
||||
|
); |
||||
|
|
||||
|
this.orders.sort((a, b) => { |
||||
|
return a.date?.localeCompare(b.date); |
||||
|
}); |
||||
|
|
||||
|
this.computeTransactionPoints(); |
||||
|
} |
||||
|
|
||||
|
protected abstract calculateOverallPerformance( |
||||
|
positions: TimelinePosition[] |
||||
|
): CurrentPositions; |
||||
|
|
||||
|
public getAnnualizedPerformancePercent({ |
||||
|
daysInMarket, |
||||
|
netPerformancePercent |
||||
|
}: { |
||||
|
daysInMarket: number; |
||||
|
netPerformancePercent: Big; |
||||
|
}): Big { |
||||
|
if (isNumber(daysInMarket) && daysInMarket > 0) { |
||||
|
const exponent = new Big(365).div(daysInMarket).toNumber(); |
||||
|
return new Big( |
||||
|
Math.pow(netPerformancePercent.plus(1).toNumber(), exponent) |
||||
|
).minus(1); |
||||
|
} |
||||
|
|
||||
|
return new Big(0); |
||||
|
} |
||||
|
|
||||
|
public async getChartData({ |
||||
|
end = new Date(Date.now()), |
||||
|
start, |
||||
|
step = 1 |
||||
|
}: { |
||||
|
end?: Date; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
}): Promise<HistoricalDataItem[]> { |
||||
|
const symbols: { [symbol: string]: boolean } = {}; |
||||
|
|
||||
|
const transactionPointsBeforeEndDate = |
||||
|
this.transactionPoints?.filter((transactionPoint) => { |
||||
|
return isBefore(parseDate(transactionPoint.date), end); |
||||
|
}) ?? []; |
||||
|
|
||||
|
const currencies: { [symbol: string]: string } = {}; |
||||
|
const dataGatheringItems: IDataGatheringItem[] = []; |
||||
|
const firstIndex = transactionPointsBeforeEndDate.length; |
||||
|
|
||||
|
let dates = eachDayOfInterval({ start, end }, { step }).map((date) => { |
||||
|
return resetHours(date); |
||||
|
}); |
||||
|
|
||||
|
const includesEndDate = isSameDay(last(dates), end); |
||||
|
|
||||
|
if (!includesEndDate) { |
||||
|
dates.push(resetHours(end)); |
||||
|
} |
||||
|
|
||||
|
if (transactionPointsBeforeEndDate.length > 0) { |
||||
|
for (const { |
||||
|
currency, |
||||
|
dataSource, |
||||
|
symbol |
||||
|
} of transactionPointsBeforeEndDate[firstIndex - 1].items) { |
||||
|
dataGatheringItems.push({ |
||||
|
dataSource, |
||||
|
symbol |
||||
|
}); |
||||
|
currencies[symbol] = currency; |
||||
|
symbols[symbol] = true; |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
const { dataProviderInfos, values: marketSymbols } = |
||||
|
await this.currentRateService.getValues({ |
||||
|
dataGatheringItems, |
||||
|
dateQuery: { |
||||
|
in: dates |
||||
|
} |
||||
|
}); |
||||
|
|
||||
|
this.dataProviderInfos = dataProviderInfos; |
||||
|
|
||||
|
const marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
} = {}; |
||||
|
|
||||
|
let exchangeRatesByCurrency = |
||||
|
await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
||||
|
currencies: uniq(Object.values(currencies)), |
||||
|
endDate: endOfDay(end), |
||||
|
startDate: this.getStartDate(), |
||||
|
targetCurrency: this.currency |
||||
|
}); |
||||
|
|
||||
|
for (const marketSymbol of marketSymbols) { |
||||
|
const dateString = format(marketSymbol.date, DATE_FORMAT); |
||||
|
if (!marketSymbolMap[dateString]) { |
||||
|
marketSymbolMap[dateString] = {}; |
||||
|
} |
||||
|
if (marketSymbol.marketPrice) { |
||||
|
marketSymbolMap[dateString][marketSymbol.symbol] = new Big( |
||||
|
marketSymbol.marketPrice |
||||
|
); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
const accumulatedValuesByDate: { |
||||
|
[date: string]: { |
||||
|
investmentValueWithCurrencyEffect: Big; |
||||
|
totalCurrentValue: Big; |
||||
|
totalCurrentValueWithCurrencyEffect: Big; |
||||
|
totalInvestmentValue: Big; |
||||
|
totalInvestmentValueWithCurrencyEffect: Big; |
||||
|
totalNetPerformanceValue: Big; |
||||
|
totalNetPerformanceValueWithCurrencyEffect: Big; |
||||
|
totalTimeWeightedInvestmentValue: Big; |
||||
|
totalTimeWeightedInvestmentValueWithCurrencyEffect: Big; |
||||
|
}; |
||||
|
} = {}; |
||||
|
|
||||
|
const valuesBySymbol: { |
||||
|
[symbol: string]: { |
||||
|
currentValues: { [date: string]: Big }; |
||||
|
currentValuesWithCurrencyEffect: { [date: string]: Big }; |
||||
|
investmentValuesAccumulated: { [date: string]: Big }; |
||||
|
investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big }; |
||||
|
investmentValuesWithCurrencyEffect: { [date: string]: Big }; |
||||
|
netPerformanceValues: { [date: string]: Big }; |
||||
|
netPerformanceValuesWithCurrencyEffect: { [date: string]: Big }; |
||||
|
timeWeightedInvestmentValues: { [date: string]: Big }; |
||||
|
timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big }; |
||||
|
}; |
||||
|
} = {}; |
||||
|
|
||||
|
for (const symbol of Object.keys(symbols)) { |
||||
|
const { |
||||
|
currentValues, |
||||
|
currentValuesWithCurrencyEffect, |
||||
|
investmentValuesAccumulated, |
||||
|
investmentValuesAccumulatedWithCurrencyEffect, |
||||
|
investmentValuesWithCurrencyEffect, |
||||
|
netPerformanceValues, |
||||
|
netPerformanceValuesWithCurrencyEffect, |
||||
|
timeWeightedInvestmentValues, |
||||
|
timeWeightedInvestmentValuesWithCurrencyEffect |
||||
|
} = this.getSymbolMetrics({ |
||||
|
end, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step, |
||||
|
symbol, |
||||
|
dataSource: null, |
||||
|
exchangeRates: |
||||
|
exchangeRatesByCurrency[`${currencies[symbol]}${this.currency}`], |
||||
|
isChartMode: true |
||||
|
}); |
||||
|
|
||||
|
valuesBySymbol[symbol] = { |
||||
|
currentValues, |
||||
|
currentValuesWithCurrencyEffect, |
||||
|
investmentValuesAccumulated, |
||||
|
investmentValuesAccumulatedWithCurrencyEffect, |
||||
|
investmentValuesWithCurrencyEffect, |
||||
|
netPerformanceValues, |
||||
|
netPerformanceValuesWithCurrencyEffect, |
||||
|
timeWeightedInvestmentValues, |
||||
|
timeWeightedInvestmentValuesWithCurrencyEffect |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
for (const currentDate of dates) { |
||||
|
const dateString = format(currentDate, DATE_FORMAT); |
||||
|
|
||||
|
for (const symbol of Object.keys(valuesBySymbol)) { |
||||
|
const symbolValues = valuesBySymbol[symbol]; |
||||
|
|
||||
|
const currentValue = |
||||
|
symbolValues.currentValues?.[dateString] ?? new Big(0); |
||||
|
|
||||
|
const currentValueWithCurrencyEffect = |
||||
|
symbolValues.currentValuesWithCurrencyEffect?.[dateString] ?? |
||||
|
new Big(0); |
||||
|
|
||||
|
const investmentValueAccumulated = |
||||
|
symbolValues.investmentValuesAccumulated?.[dateString] ?? new Big(0); |
||||
|
|
||||
|
const investmentValueAccumulatedWithCurrencyEffect = |
||||
|
symbolValues.investmentValuesAccumulatedWithCurrencyEffect?.[ |
||||
|
dateString |
||||
|
] ?? new Big(0); |
||||
|
|
||||
|
const investmentValueWithCurrencyEffect = |
||||
|
symbolValues.investmentValuesWithCurrencyEffect?.[dateString] ?? |
||||
|
new Big(0); |
||||
|
|
||||
|
const netPerformanceValue = |
||||
|
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0); |
||||
|
|
||||
|
const netPerformanceValueWithCurrencyEffect = |
||||
|
symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ?? |
||||
|
new Big(0); |
||||
|
|
||||
|
const timeWeightedInvestmentValue = |
||||
|
symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0); |
||||
|
|
||||
|
const timeWeightedInvestmentValueWithCurrencyEffect = |
||||
|
symbolValues.timeWeightedInvestmentValuesWithCurrencyEffect?.[ |
||||
|
dateString |
||||
|
] ?? new Big(0); |
||||
|
|
||||
|
accumulatedValuesByDate[dateString] = { |
||||
|
investmentValueWithCurrencyEffect: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.investmentValueWithCurrencyEffect ?? new Big(0) |
||||
|
).add(investmentValueWithCurrencyEffect), |
||||
|
totalCurrentValue: ( |
||||
|
accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0) |
||||
|
).add(currentValue), |
||||
|
totalCurrentValueWithCurrencyEffect: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.totalCurrentValueWithCurrencyEffect ?? new Big(0) |
||||
|
).add(currentValueWithCurrencyEffect), |
||||
|
totalInvestmentValue: ( |
||||
|
accumulatedValuesByDate[dateString]?.totalInvestmentValue ?? |
||||
|
new Big(0) |
||||
|
).add(investmentValueAccumulated), |
||||
|
totalInvestmentValueWithCurrencyEffect: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.totalInvestmentValueWithCurrencyEffect ?? new Big(0) |
||||
|
).add(investmentValueAccumulatedWithCurrencyEffect), |
||||
|
totalNetPerformanceValue: ( |
||||
|
accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ?? |
||||
|
new Big(0) |
||||
|
).add(netPerformanceValue), |
||||
|
totalNetPerformanceValueWithCurrencyEffect: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0) |
||||
|
).add(netPerformanceValueWithCurrencyEffect), |
||||
|
totalTimeWeightedInvestmentValue: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.totalTimeWeightedInvestmentValue ?? new Big(0) |
||||
|
).add(timeWeightedInvestmentValue), |
||||
|
totalTimeWeightedInvestmentValueWithCurrencyEffect: ( |
||||
|
accumulatedValuesByDate[dateString] |
||||
|
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0) |
||||
|
).add(timeWeightedInvestmentValueWithCurrencyEffect) |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
return Object.entries(accumulatedValuesByDate).map(([date, values]) => { |
||||
|
const { |
||||
|
investmentValueWithCurrencyEffect, |
||||
|
totalCurrentValue, |
||||
|
totalCurrentValueWithCurrencyEffect, |
||||
|
totalInvestmentValue, |
||||
|
totalInvestmentValueWithCurrencyEffect, |
||||
|
totalNetPerformanceValue, |
||||
|
totalNetPerformanceValueWithCurrencyEffect, |
||||
|
totalTimeWeightedInvestmentValue, |
||||
|
totalTimeWeightedInvestmentValueWithCurrencyEffect |
||||
|
} = values; |
||||
|
|
||||
|
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0) |
||||
|
? 0 |
||||
|
: totalNetPerformanceValue |
||||
|
.div(totalTimeWeightedInvestmentValue) |
||||
|
.mul(100) |
||||
|
.toNumber(); |
||||
|
|
||||
|
const netPerformanceInPercentageWithCurrencyEffect = |
||||
|
totalTimeWeightedInvestmentValueWithCurrencyEffect.eq(0) |
||||
|
? 0 |
||||
|
: totalNetPerformanceValueWithCurrencyEffect |
||||
|
.div(totalTimeWeightedInvestmentValueWithCurrencyEffect) |
||||
|
.mul(100) |
||||
|
.toNumber(); |
||||
|
|
||||
|
return { |
||||
|
date, |
||||
|
netPerformanceInPercentage, |
||||
|
netPerformanceInPercentageWithCurrencyEffect, |
||||
|
investmentValueWithCurrencyEffect: |
||||
|
investmentValueWithCurrencyEffect.toNumber(), |
||||
|
netPerformance: totalNetPerformanceValue.toNumber(), |
||||
|
netPerformanceWithCurrencyEffect: |
||||
|
totalNetPerformanceValueWithCurrencyEffect.toNumber(), |
||||
|
totalInvestment: totalInvestmentValue.toNumber(), |
||||
|
totalInvestmentValueWithCurrencyEffect: |
||||
|
totalInvestmentValueWithCurrencyEffect.toNumber(), |
||||
|
value: totalCurrentValue.toNumber(), |
||||
|
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber() |
||||
|
}; |
||||
|
}); |
||||
|
} |
||||
|
|
||||
|
public async getCurrentPositions( |
||||
|
start: Date, |
||||
|
end?: Date |
||||
|
): Promise<CurrentPositions> { |
||||
|
const lastTransactionPoint = last(this.transactionPoints); |
||||
|
|
||||
|
let endDate = end; |
||||
|
|
||||
|
if (!endDate) { |
||||
|
endDate = new Date(Date.now()); |
||||
|
|
||||
|
if (lastTransactionPoint) { |
||||
|
endDate = max([endDate, parseDate(lastTransactionPoint.date)]); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
const transactionPoints = this.transactionPoints?.filter(({ date }) => { |
||||
|
return isBefore(parseDate(date), endDate); |
||||
|
}); |
||||
|
|
||||
|
if (!transactionPoints.length) { |
||||
|
return { |
||||
|
currentValueInBaseCurrency: new Big(0), |
||||
|
grossPerformance: new Big(0), |
||||
|
grossPerformancePercentage: new Big(0), |
||||
|
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
grossPerformanceWithCurrencyEffect: new Big(0), |
||||
|
hasErrors: false, |
||||
|
netPerformance: new Big(0), |
||||
|
netPerformancePercentage: new Big(0), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
netPerformanceWithCurrencyEffect: new Big(0), |
||||
|
positions: [], |
||||
|
totalInvestment: new Big(0), |
||||
|
totalInvestmentWithCurrencyEffect: new Big(0) |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
const currencies: { [symbol: string]: string } = {}; |
||||
|
const dataGatheringItems: IDataGatheringItem[] = []; |
||||
|
let dates: Date[] = []; |
||||
|
let firstIndex = transactionPoints.length; |
||||
|
let firstTransactionPoint: TransactionPoint = null; |
||||
|
|
||||
|
dates.push(resetHours(start)); |
||||
|
|
||||
|
for (const { currency, dataSource, symbol } of transactionPoints[ |
||||
|
firstIndex - 1 |
||||
|
].items) { |
||||
|
dataGatheringItems.push({ |
||||
|
dataSource, |
||||
|
symbol |
||||
|
}); |
||||
|
|
||||
|
currencies[symbol] = currency; |
||||
|
} |
||||
|
|
||||
|
for (let i = 0; i < transactionPoints.length; i++) { |
||||
|
if ( |
||||
|
!isBefore(parseDate(transactionPoints[i].date), start) && |
||||
|
firstTransactionPoint === null |
||||
|
) { |
||||
|
firstTransactionPoint = transactionPoints[i]; |
||||
|
firstIndex = i; |
||||
|
} |
||||
|
|
||||
|
if (firstTransactionPoint !== null) { |
||||
|
dates.push(resetHours(parseDate(transactionPoints[i].date))); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
dates.push(resetHours(endDate)); |
||||
|
|
||||
|
// Add dates of last week for fallback
|
||||
|
dates.push(subDays(resetHours(new Date()), 7)); |
||||
|
dates.push(subDays(resetHours(new Date()), 6)); |
||||
|
dates.push(subDays(resetHours(new Date()), 5)); |
||||
|
dates.push(subDays(resetHours(new Date()), 4)); |
||||
|
dates.push(subDays(resetHours(new Date()), 3)); |
||||
|
dates.push(subDays(resetHours(new Date()), 2)); |
||||
|
dates.push(subDays(resetHours(new Date()), 1)); |
||||
|
dates.push(resetHours(new Date())); |
||||
|
|
||||
|
dates = uniq( |
||||
|
dates.map((date) => { |
||||
|
return date.getTime(); |
||||
|
}) |
||||
|
) |
||||
|
.map((timestamp) => { |
||||
|
return new Date(timestamp); |
||||
|
}) |
||||
|
.sort((a, b) => { |
||||
|
return a.getTime() - b.getTime(); |
||||
|
}); |
||||
|
|
||||
|
let exchangeRatesByCurrency = |
||||
|
await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
||||
|
currencies: uniq(Object.values(currencies)), |
||||
|
endDate: endOfDay(endDate), |
||||
|
startDate: this.getStartDate(), |
||||
|
targetCurrency: this.currency |
||||
|
}); |
||||
|
|
||||
|
const { |
||||
|
dataProviderInfos, |
||||
|
errors: currentRateErrors, |
||||
|
values: marketSymbols |
||||
|
} = await this.currentRateService.getValues({ |
||||
|
dataGatheringItems, |
||||
|
dateQuery: { |
||||
|
in: dates |
||||
|
} |
||||
|
}); |
||||
|
|
||||
|
this.dataProviderInfos = dataProviderInfos; |
||||
|
|
||||
|
const marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
} = {}; |
||||
|
|
||||
|
for (const marketSymbol of marketSymbols) { |
||||
|
const date = format(marketSymbol.date, DATE_FORMAT); |
||||
|
|
||||
|
if (!marketSymbolMap[date]) { |
||||
|
marketSymbolMap[date] = {}; |
||||
|
} |
||||
|
|
||||
|
if (marketSymbol.marketPrice) { |
||||
|
marketSymbolMap[date][marketSymbol.symbol] = new Big( |
||||
|
marketSymbol.marketPrice |
||||
|
); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
const endDateString = format(endDate, DATE_FORMAT); |
||||
|
|
||||
|
if (firstIndex > 0) { |
||||
|
firstIndex--; |
||||
|
} |
||||
|
|
||||
|
const positions: TimelinePosition[] = []; |
||||
|
let hasAnySymbolMetricsErrors = false; |
||||
|
|
||||
|
const errors: ResponseError['errors'] = []; |
||||
|
|
||||
|
for (const item of lastTransactionPoint.items) { |
||||
|
const marketPriceInBaseCurrency = ( |
||||
|
marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice |
||||
|
).mul( |
||||
|
exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[ |
||||
|
endDateString |
||||
|
] |
||||
|
); |
||||
|
|
||||
|
const { |
||||
|
grossPerformance, |
||||
|
grossPerformancePercentage, |
||||
|
grossPerformancePercentageWithCurrencyEffect, |
||||
|
grossPerformanceWithCurrencyEffect, |
||||
|
hasErrors, |
||||
|
netPerformance, |
||||
|
netPerformancePercentage, |
||||
|
netPerformancePercentageWithCurrencyEffect, |
||||
|
netPerformanceWithCurrencyEffect, |
||||
|
timeWeightedInvestment, |
||||
|
timeWeightedInvestmentWithCurrencyEffect, |
||||
|
totalDividend, |
||||
|
totalDividendInBaseCurrency, |
||||
|
totalInvestment, |
||||
|
totalInvestmentWithCurrencyEffect |
||||
|
} = this.getSymbolMetrics({ |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
dataSource: item.dataSource, |
||||
|
end: endDate, |
||||
|
exchangeRates: |
||||
|
exchangeRatesByCurrency[`${item.currency}${this.currency}`], |
||||
|
symbol: item.symbol |
||||
|
}); |
||||
|
|
||||
|
hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors; |
||||
|
|
||||
|
positions.push({ |
||||
|
dividend: totalDividend, |
||||
|
dividendInBaseCurrency: totalDividendInBaseCurrency, |
||||
|
timeWeightedInvestment, |
||||
|
timeWeightedInvestmentWithCurrencyEffect, |
||||
|
averagePrice: item.averagePrice, |
||||
|
currency: item.currency, |
||||
|
dataSource: item.dataSource, |
||||
|
fee: item.fee, |
||||
|
firstBuyDate: item.firstBuyDate, |
||||
|
grossPerformance: !hasErrors ? grossPerformance ?? null : null, |
||||
|
grossPerformancePercentage: !hasErrors |
||||
|
? grossPerformancePercentage ?? null |
||||
|
: null, |
||||
|
grossPerformancePercentageWithCurrencyEffect: !hasErrors |
||||
|
? grossPerformancePercentageWithCurrencyEffect ?? null |
||||
|
: null, |
||||
|
grossPerformanceWithCurrencyEffect: !hasErrors |
||||
|
? grossPerformanceWithCurrencyEffect ?? null |
||||
|
: null, |
||||
|
investment: totalInvestment, |
||||
|
investmentWithCurrencyEffect: totalInvestmentWithCurrencyEffect, |
||||
|
marketPrice: |
||||
|
marketSymbolMap[endDateString]?.[item.symbol]?.toNumber() ?? null, |
||||
|
marketPriceInBaseCurrency: |
||||
|
marketPriceInBaseCurrency?.toNumber() ?? null, |
||||
|
netPerformance: !hasErrors ? netPerformance ?? null : null, |
||||
|
netPerformancePercentage: !hasErrors |
||||
|
? netPerformancePercentage ?? null |
||||
|
: null, |
||||
|
netPerformancePercentageWithCurrencyEffect: !hasErrors |
||||
|
? netPerformancePercentageWithCurrencyEffect ?? null |
||||
|
: null, |
||||
|
netPerformanceWithCurrencyEffect: !hasErrors |
||||
|
? netPerformanceWithCurrencyEffect ?? null |
||||
|
: null, |
||||
|
quantity: item.quantity, |
||||
|
symbol: item.symbol, |
||||
|
tags: item.tags, |
||||
|
transactionCount: item.transactionCount, |
||||
|
valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul( |
||||
|
item.quantity |
||||
|
) |
||||
|
}); |
||||
|
|
||||
|
if ( |
||||
|
(hasErrors || |
||||
|
currentRateErrors.find(({ dataSource, symbol }) => { |
||||
|
return dataSource === item.dataSource && symbol === item.symbol; |
||||
|
})) && |
||||
|
item.investment.gt(0) |
||||
|
) { |
||||
|
errors.push({ dataSource: item.dataSource, symbol: item.symbol }); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
const overall = this.calculateOverallPerformance(positions); |
||||
|
|
||||
|
return { |
||||
|
...overall, |
||||
|
errors, |
||||
|
positions, |
||||
|
hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getDataProviderInfos() { |
||||
|
return this.dataProviderInfos; |
||||
|
} |
||||
|
|
||||
|
public getInvestments(): { date: string; investment: Big }[] { |
||||
|
if (this.transactionPoints.length === 0) { |
||||
|
return []; |
||||
|
} |
||||
|
|
||||
|
return this.transactionPoints.map((transactionPoint) => { |
||||
|
return { |
||||
|
date: transactionPoint.date, |
||||
|
investment: transactionPoint.items.reduce( |
||||
|
(investment, transactionPointSymbol) => |
||||
|
investment.plus(transactionPointSymbol.investment), |
||||
|
new Big(0) |
||||
|
) |
||||
|
}; |
||||
|
}); |
||||
|
} |
||||
|
|
||||
|
public getInvestmentsByGroup({ |
||||
|
data, |
||||
|
groupBy |
||||
|
}: { |
||||
|
data: HistoricalDataItem[]; |
||||
|
groupBy: GroupBy; |
||||
|
}): InvestmentItem[] { |
||||
|
const groupedData: { [dateGroup: string]: Big } = {}; |
||||
|
|
||||
|
for (const { date, investmentValueWithCurrencyEffect } of data) { |
||||
|
const dateGroup = |
||||
|
groupBy === 'month' ? date.substring(0, 7) : date.substring(0, 4); |
||||
|
groupedData[dateGroup] = (groupedData[dateGroup] ?? new Big(0)).plus( |
||||
|
investmentValueWithCurrencyEffect |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
return Object.keys(groupedData).map((dateGroup) => ({ |
||||
|
date: groupBy === 'month' ? `${dateGroup}-01` : `${dateGroup}-01-01`, |
||||
|
investment: groupedData[dateGroup].toNumber() |
||||
|
})); |
||||
|
} |
||||
|
|
||||
|
public getStartDate() { |
||||
|
return this.transactionPoints.length > 0 |
||||
|
? parseDate(this.transactionPoints[0].date) |
||||
|
: new Date(); |
||||
|
} |
||||
|
|
||||
|
protected abstract getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step, |
||||
|
symbol |
||||
|
}: { |
||||
|
end: Date; |
||||
|
exchangeRates: { [dateString: string]: number }; |
||||
|
isChartMode?: boolean; |
||||
|
marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
}; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
} & UniqueAsset): SymbolMetrics; |
||||
|
|
||||
|
public getTransactionPoints() { |
||||
|
return this.transactionPoints; |
||||
|
} |
||||
|
|
||||
|
private computeTransactionPoints() { |
||||
|
this.transactionPoints = []; |
||||
|
const symbols: { [symbol: string]: TransactionPointSymbol } = {}; |
||||
|
|
||||
|
let lastDate: string = null; |
||||
|
let lastTransactionPoint: TransactionPoint = null; |
||||
|
|
||||
|
for (const { |
||||
|
fee, |
||||
|
date, |
||||
|
quantity, |
||||
|
SymbolProfile, |
||||
|
tags, |
||||
|
type, |
||||
|
unitPrice |
||||
|
} of this.orders) { |
||||
|
let currentTransactionPointItem: TransactionPointSymbol; |
||||
|
const oldAccumulatedSymbol = symbols[SymbolProfile.symbol]; |
||||
|
|
||||
|
const factor = getFactor(type); |
||||
|
|
||||
|
if (oldAccumulatedSymbol) { |
||||
|
let investment = oldAccumulatedSymbol.investment; |
||||
|
|
||||
|
const newQuantity = quantity |
||||
|
.mul(factor) |
||||
|
.plus(oldAccumulatedSymbol.quantity); |
||||
|
|
||||
|
if (type === 'BUY') { |
||||
|
investment = oldAccumulatedSymbol.investment.plus( |
||||
|
quantity.mul(unitPrice) |
||||
|
); |
||||
|
} else if (type === 'SELL') { |
||||
|
investment = oldAccumulatedSymbol.investment.minus( |
||||
|
quantity.mul(oldAccumulatedSymbol.averagePrice) |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
currentTransactionPointItem = { |
||||
|
investment, |
||||
|
tags, |
||||
|
averagePrice: newQuantity.gt(0) |
||||
|
? investment.div(newQuantity) |
||||
|
: new Big(0), |
||||
|
currency: SymbolProfile.currency, |
||||
|
dataSource: SymbolProfile.dataSource, |
||||
|
dividend: new Big(0), |
||||
|
fee: fee.plus(oldAccumulatedSymbol.fee), |
||||
|
firstBuyDate: oldAccumulatedSymbol.firstBuyDate, |
||||
|
quantity: newQuantity, |
||||
|
symbol: SymbolProfile.symbol, |
||||
|
transactionCount: oldAccumulatedSymbol.transactionCount + 1 |
||||
|
}; |
||||
|
} else { |
||||
|
currentTransactionPointItem = { |
||||
|
fee, |
||||
|
tags, |
||||
|
averagePrice: unitPrice, |
||||
|
currency: SymbolProfile.currency, |
||||
|
dataSource: SymbolProfile.dataSource, |
||||
|
dividend: new Big(0), |
||||
|
firstBuyDate: date, |
||||
|
investment: unitPrice.mul(quantity).mul(factor), |
||||
|
quantity: quantity.mul(factor), |
||||
|
symbol: SymbolProfile.symbol, |
||||
|
transactionCount: 1 |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
symbols[SymbolProfile.symbol] = currentTransactionPointItem; |
||||
|
|
||||
|
const items = lastTransactionPoint?.items ?? []; |
||||
|
|
||||
|
const newItems = items.filter(({ symbol }) => { |
||||
|
return symbol !== SymbolProfile.symbol; |
||||
|
}); |
||||
|
|
||||
|
newItems.push(currentTransactionPointItem); |
||||
|
|
||||
|
newItems.sort((a, b) => { |
||||
|
return a.symbol?.localeCompare(b.symbol); |
||||
|
}); |
||||
|
|
||||
|
if (lastDate !== date || lastTransactionPoint === null) { |
||||
|
lastTransactionPoint = { |
||||
|
date, |
||||
|
items: newItems |
||||
|
}; |
||||
|
|
||||
|
this.transactionPoints.push(lastTransactionPoint); |
||||
|
} else { |
||||
|
lastTransactionPoint.items = newItems; |
||||
|
} |
||||
|
|
||||
|
lastDate = date; |
||||
|
} |
||||
|
} |
||||
|
} |
||||
Loading…
Reference in new issue