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