mirror of https://github.com/ghostfolio/ghostfolio
Thomas Kaul
3 weeks ago
755 changed files with 107426 additions and 75363 deletions
@ -1,151 +0,0 @@ |
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{ |
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"root": true, |
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"ignorePatterns": ["**/*"], |
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"plugins": ["@nx"], |
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"overrides": [ |
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{ |
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"files": ["*.ts", "*.tsx", "*.js", "*.jsx"], |
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"rules": { |
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"@nx/enforce-module-boundaries": [ |
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"warn", |
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{ |
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"enforceBuildableLibDependency": true, |
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"allow": [], |
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"depConstraints": [ |
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{ |
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"sourceTag": "*", |
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"onlyDependOnLibsWithTags": ["*"] |
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} |
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] |
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} |
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], |
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"@typescript-eslint/no-extra-semi": "error", |
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"no-extra-semi": "off" |
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} |
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}, |
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{ |
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"files": ["*.ts", "*.tsx"], |
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"extends": ["plugin:@nx/typescript"] |
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}, |
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{ |
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"files": ["*.js", "*.jsx"], |
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"extends": ["plugin:@nx/javascript"] |
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}, |
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{ |
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"files": ["*.ts"], |
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"plugins": ["eslint-plugin-import", "@typescript-eslint"], |
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"extends": [ |
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"plugin:@typescript-eslint/recommended-type-checked", |
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"plugin:@typescript-eslint/stylistic-type-checked" |
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], |
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"rules": { |
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"@typescript-eslint/consistent-indexed-object-style": "off", |
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"@typescript-eslint/dot-notation": "off", |
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"@typescript-eslint/explicit-member-accessibility": [ |
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"off", |
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{ |
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"accessibility": "explicit" |
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} |
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], |
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"@typescript-eslint/member-ordering": "warn", |
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"@typescript-eslint/naming-convention": [ |
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"off", |
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{ |
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"selector": "default", |
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"format": ["camelCase"], |
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"leadingUnderscore": "allow", |
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"trailingUnderscore": "allow" |
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}, |
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{ |
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"selector": ["variable", "classProperty", "typeProperty"], |
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"format": ["camelCase", "UPPER_CASE"], |
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"leadingUnderscore": "allow", |
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"trailingUnderscore": "allow" |
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}, |
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{ |
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"selector": "objectLiteralProperty", |
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"format": null |
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}, |
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{ |
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"selector": "enumMember", |
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"format": ["camelCase", "UPPER_CASE", "PascalCase"] |
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}, |
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{ |
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"selector": "typeLike", |
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"format": ["PascalCase"] |
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} |
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], |
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"@typescript-eslint/no-empty-interface": "warn", |
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"@typescript-eslint/no-inferrable-types": [ |
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"warn", |
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{ |
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"ignoreParameters": true |
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} |
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], |
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"@typescript-eslint/no-non-null-assertion": "warn", |
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"@typescript-eslint/no-shadow": [ |
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"warn", |
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{ |
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"hoist": "all" |
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} |
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], |
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"@typescript-eslint/unified-signatures": "error", |
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"@typescript-eslint/no-loss-of-precision": "warn", |
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"@typescript-eslint/no-var-requires": "warn", |
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"@typescript-eslint/ban-types": "warn", |
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"arrow-body-style": "off", |
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"constructor-super": "error", |
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"eqeqeq": ["error", "smart"], |
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"guard-for-in": "warn", |
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"id-blacklist": "off", |
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"id-match": "off", |
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"import/no-deprecated": "warn", |
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"no-bitwise": "error", |
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"no-caller": "error", |
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"no-debugger": "error", |
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"no-empty": "off", |
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"no-eval": "error", |
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"no-fallthrough": "error", |
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"no-new-wrappers": "error", |
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"no-restricted-imports": ["error", "rxjs/Rx"], |
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"no-undef-init": "error", |
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"no-underscore-dangle": "off", |
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"no-var": "error", |
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"radix": "error", |
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"no-unsafe-optional-chaining": "warn", |
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"no-extra-boolean-cast": "warn", |
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"no-empty-pattern": "warn", |
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"no-useless-catch": "warn", |
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"no-unsafe-finally": "warn", |
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"no-prototype-builtins": "warn", |
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"no-async-promise-executor": "warn", |
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"no-constant-condition": "warn", |
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|
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// The following rules are part of @typescript-eslint/recommended-type-checked |
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// and can be remove once solved |
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"@typescript-eslint/await-thenable": "warn", |
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"@typescript-eslint/ban-ts-comment": "warn", |
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"@typescript-eslint/no-base-to-string": "warn", |
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"@typescript-eslint/no-explicit-any": "warn", |
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"@typescript-eslint/no-floating-promises": "warn", |
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"@typescript-eslint/no-misused-promises": "warn", |
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"@typescript-eslint/no-redundant-type-constituents": "warn", |
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"@typescript-eslint/no-unnecessary-type-assertion": "warn", |
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"@typescript-eslint/no-unsafe-argument": "warn", |
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"@typescript-eslint/no-unsafe-assignment": "warn", |
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"@typescript-eslint/no-unsafe-enum-comparison": "warn", |
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"@typescript-eslint/no-unsafe-member-access": "warn", |
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"@typescript-eslint/no-unsafe-return": "warn", |
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"@typescript-eslint/no-unsafe-call": "warn", |
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"@typescript-eslint/require-await": "warn", |
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"@typescript-eslint/restrict-template-expressions": "warn", |
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"@typescript-eslint/unbound-method": "warn", |
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|
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// The following rules are part of @typescript-eslint/stylistic-type-checked |
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// and can be remove once solved |
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"@typescript-eslint/prefer-nullish-coalescing": "warn" // TODO: Requires strictNullChecks: true |
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} |
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} |
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], |
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"extends": ["plugin:storybook/recommended"] |
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} |
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@ -0,0 +1,40 @@ |
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name: Extract locales |
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|
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on: |
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push: |
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branches: |
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- main |
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|
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permissions: |
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contents: write |
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pull-requests: write |
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|
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jobs: |
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extract_locales: |
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runs-on: ubuntu-latest |
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steps: |
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- name: Checkout code |
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uses: actions/checkout@v4 |
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with: |
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fetch-depth: 0 |
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|
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- name: Install dependencies |
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run: npm ci |
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|
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- name: Extract locales |
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run: npm run extract-locales |
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|
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- name: Check changes |
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id: verify-changed-files |
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uses: tj-actions/verify-changed-files@v20 |
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|
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- name: Create pull request |
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if: steps.verify-changed-files.outputs.files_changed == 'true' |
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uses: peter-evans/create-pull-request@v7 |
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with: |
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author: 'github-actions[bot] <github-actions[bot]@users.noreply.github.com>' |
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branch: 'feature/update-locales' |
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commit-message: 'Update locales' |
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delete-branch: true |
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title: 'Feature/update locales' |
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token: ${{ secrets.GITHUB_TOKEN }} |
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@ -1 +1 @@ |
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v20 |
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v22 |
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|
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File diff suppressed because it is too large
@ -0,0 +1,13 @@ |
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# Security Policy |
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|
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## Reporting Security Issues |
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|
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If you discover a security vulnerability in this repository, please report it to security[at]ghostfol.io. We will acknowledge your report and provide guidance on the next steps. |
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|
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To help us resolve the issue, please include the following details: |
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|
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- A description of the vulnerability |
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- Steps to reproduce the vulnerability |
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- Affected versions of the software |
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|
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We appreciate your responsible disclosure and will work to address the issue promptly. |
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@ -1,22 +0,0 @@ |
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{ |
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"extends": "../../.eslintrc.json", |
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"ignorePatterns": ["!**/*"], |
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"rules": {}, |
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"overrides": [ |
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{ |
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"files": ["*.ts", "*.tsx", "*.js", "*.jsx"], |
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"parserOptions": { |
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"project": ["apps/api/tsconfig.*?.json"] |
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}, |
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"rules": {} |
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}, |
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{ |
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"files": ["*.ts", "*.tsx"], |
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"rules": {} |
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}, |
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{ |
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"files": ["*.js", "*.jsx"], |
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"rules": {} |
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} |
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] |
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} |
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@ -0,0 +1,31 @@ |
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const baseConfig = require('../../eslint.config.cjs'); |
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|
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module.exports = [ |
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{ |
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ignores: ['**/dist'] |
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}, |
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...baseConfig, |
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{ |
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rules: {} |
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}, |
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{ |
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files: ['**/*.ts', '**/*.tsx', '**/*.js', '**/*.jsx'], |
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// Override or add rules here |
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rules: {}, |
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languageOptions: { |
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parserOptions: { |
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project: ['apps/api/tsconfig.*?.json'] |
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} |
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} |
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}, |
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{ |
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files: ['**/*.ts', '**/*.tsx'], |
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// Override or add rules here |
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rules: {} |
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}, |
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{ |
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files: ['**/*.js', '**/*.jsx'], |
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// Override or add rules here |
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rules: {} |
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} |
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]; |
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@ -0,0 +1,92 @@ |
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import { IsCurrencyCode } from '@ghostfolio/api/validators/is-currency-code'; |
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|
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import { AssetClass, AssetSubClass, DataSource, Prisma } from '@prisma/client'; |
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import { |
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IsArray, |
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IsBoolean, |
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IsEnum, |
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IsObject, |
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IsOptional, |
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IsString, |
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IsUrl |
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} from 'class-validator'; |
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|
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export class CreateAssetProfileDto { |
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@IsEnum(AssetClass, { each: true }) |
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@IsOptional() |
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assetClass?: AssetClass; |
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|
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@IsEnum(AssetSubClass, { each: true }) |
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@IsOptional() |
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assetSubClass?: AssetSubClass; |
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|
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@IsOptional() |
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@IsString() |
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comment?: string; |
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|
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@IsArray() |
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@IsOptional() |
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countries?: Prisma.InputJsonArray; |
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|
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@IsCurrencyCode() |
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currency: string; |
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|
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@IsOptional() |
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@IsString() |
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cusip?: string; |
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|
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@IsEnum(DataSource) |
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dataSource: DataSource; |
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|
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@IsOptional() |
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@IsString() |
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figi?: string; |
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|
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@IsOptional() |
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@IsString() |
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figiComposite?: string; |
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|
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@IsOptional() |
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@IsString() |
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figiShareClass?: string; |
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|
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@IsArray() |
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@IsOptional() |
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holdings?: Prisma.InputJsonArray; |
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|
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@IsBoolean() |
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@IsOptional() |
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isActive?: boolean; |
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|
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@IsOptional() |
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@IsString() |
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isin?: string; |
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|
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@IsOptional() |
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@IsString() |
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name?: string; |
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|
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@IsObject() |
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@IsOptional() |
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scraperConfiguration?: Prisma.InputJsonObject; |
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|
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@IsArray() |
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@IsOptional() |
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sectors?: Prisma.InputJsonArray; |
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|
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@IsString() |
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symbol: string; |
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|
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@IsObject() |
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@IsOptional() |
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symbolMapping?: { |
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[dataProvider: string]: string; |
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}; |
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|
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@IsOptional() |
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@IsUrl({ |
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protocols: ['https'], |
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require_protocol: true |
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}) |
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url?: string; |
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} |
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@ -0,0 +1,59 @@ |
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import { HasPermission } from '@ghostfolio/api/decorators/has-permission.decorator'; |
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import { HasPermissionGuard } from '@ghostfolio/api/guards/has-permission.guard'; |
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import { ApiService } from '@ghostfolio/api/services/api/api.service'; |
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import { AiPromptResponse } from '@ghostfolio/common/interfaces'; |
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import { permissions } from '@ghostfolio/common/permissions'; |
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import type { AiPromptMode, RequestWithUser } from '@ghostfolio/common/types'; |
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|
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import { |
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Controller, |
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Get, |
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Inject, |
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Param, |
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Query, |
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UseGuards |
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} from '@nestjs/common'; |
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import { REQUEST } from '@nestjs/core'; |
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import { AuthGuard } from '@nestjs/passport'; |
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|
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import { AiService } from './ai.service'; |
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|
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@Controller('ai') |
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export class AiController { |
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public constructor( |
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private readonly aiService: AiService, |
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private readonly apiService: ApiService, |
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@Inject(REQUEST) private readonly request: RequestWithUser |
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) {} |
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|
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@Get('prompt/:mode') |
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@HasPermission(permissions.readAiPrompt) |
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@UseGuards(AuthGuard('jwt'), HasPermissionGuard) |
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public async getPrompt( |
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@Param('mode') mode: AiPromptMode, |
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@Query('accounts') filterByAccounts?: string, |
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@Query('assetClasses') filterByAssetClasses?: string, |
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@Query('dataSource') filterByDataSource?: string, |
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@Query('symbol') filterBySymbol?: string, |
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@Query('tags') filterByTags?: string |
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): Promise<AiPromptResponse> { |
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const filters = this.apiService.buildFiltersFromQueryParams({ |
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filterByAccounts, |
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filterByAssetClasses, |
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filterByDataSource, |
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filterBySymbol, |
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filterByTags |
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}); |
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|
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const prompt = await this.aiService.getPrompt({ |
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filters, |
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mode, |
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impersonationId: undefined, |
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languageCode: this.request.user.settings.settings.language, |
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userCurrency: this.request.user.settings.settings.baseCurrency, |
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userId: this.request.user.id |
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}); |
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|
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return { prompt }; |
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} |
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} |
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@ -0,0 +1,59 @@ |
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import { AccountBalanceService } from '@ghostfolio/api/app/account-balance/account-balance.service'; |
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import { AccountService } from '@ghostfolio/api/app/account/account.service'; |
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import { OrderModule } from '@ghostfolio/api/app/order/order.module'; |
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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 { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service'; |
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import { RulesService } from '@ghostfolio/api/app/portfolio/rules.service'; |
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import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
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import { UserModule } from '@ghostfolio/api/app/user/user.module'; |
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import { ApiModule } from '@ghostfolio/api/services/api/api.module'; |
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import { BenchmarkModule } from '@ghostfolio/api/services/benchmark/benchmark.module'; |
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import { ConfigurationModule } from '@ghostfolio/api/services/configuration/configuration.module'; |
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import { DataProviderModule } from '@ghostfolio/api/services/data-provider/data-provider.module'; |
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import { ExchangeRateDataModule } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.module'; |
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import { I18nModule } from '@ghostfolio/api/services/i18n/i18n.module'; |
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import { ImpersonationModule } from '@ghostfolio/api/services/impersonation/impersonation.module'; |
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import { MarketDataModule } from '@ghostfolio/api/services/market-data/market-data.module'; |
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import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service'; |
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import { PrismaModule } from '@ghostfolio/api/services/prisma/prisma.module'; |
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import { PropertyModule } from '@ghostfolio/api/services/property/property.module'; |
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import { PortfolioSnapshotQueueModule } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.module'; |
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import { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/symbol-profile.module'; |
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|
|||
import { Module } from '@nestjs/common'; |
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|
|||
import { AiController } from './ai.controller'; |
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import { AiService } from './ai.service'; |
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|
|||
@Module({ |
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controllers: [AiController], |
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imports: [ |
|||
ApiModule, |
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BenchmarkModule, |
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ConfigurationModule, |
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DataProviderModule, |
|||
ExchangeRateDataModule, |
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I18nModule, |
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ImpersonationModule, |
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MarketDataModule, |
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OrderModule, |
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PortfolioSnapshotQueueModule, |
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PrismaModule, |
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PropertyModule, |
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RedisCacheModule, |
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SymbolProfileModule, |
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UserModule |
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], |
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providers: [ |
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AccountBalanceService, |
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AccountService, |
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AiService, |
|||
CurrentRateService, |
|||
MarketDataService, |
|||
PortfolioCalculatorFactory, |
|||
PortfolioService, |
|||
RulesService |
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] |
|||
}) |
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export class AiModule {} |
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@ -0,0 +1,100 @@ |
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import { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service'; |
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import { PropertyService } from '@ghostfolio/api/services/property/property.service'; |
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import { |
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PROPERTY_API_KEY_OPENROUTER, |
|||
PROPERTY_OPENROUTER_MODEL |
|||
} from '@ghostfolio/common/config'; |
|||
import { Filter } from '@ghostfolio/common/interfaces'; |
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import type { AiPromptMode } from '@ghostfolio/common/types'; |
|||
|
|||
import { Injectable } from '@nestjs/common'; |
|||
import { createOpenRouter } from '@openrouter/ai-sdk-provider'; |
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import { generateText } from 'ai'; |
|||
|
|||
@Injectable() |
|||
export class AiService { |
|||
public constructor( |
|||
private readonly portfolioService: PortfolioService, |
|||
private readonly propertyService: PropertyService |
|||
) {} |
|||
|
|||
public async generateText({ prompt }: { prompt: string }) { |
|||
const openRouterApiKey = await this.propertyService.getByKey<string>( |
|||
PROPERTY_API_KEY_OPENROUTER |
|||
); |
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|
|||
const openRouterModel = await this.propertyService.getByKey<string>( |
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PROPERTY_OPENROUTER_MODEL |
|||
); |
|||
|
|||
const openRouterService = createOpenRouter({ |
|||
apiKey: openRouterApiKey |
|||
}); |
|||
|
|||
return generateText({ |
|||
prompt, |
|||
model: openRouterService.chat(openRouterModel) |
|||
}); |
|||
} |
|||
|
|||
public async getPrompt({ |
|||
filters, |
|||
impersonationId, |
|||
languageCode, |
|||
mode, |
|||
userCurrency, |
|||
userId |
|||
}: { |
|||
filters?: Filter[]; |
|||
impersonationId: string; |
|||
languageCode: string; |
|||
mode: AiPromptMode; |
|||
userCurrency: string; |
|||
userId: string; |
|||
}) { |
|||
const { holdings } = await this.portfolioService.getDetails({ |
|||
filters, |
|||
impersonationId, |
|||
userId |
|||
}); |
|||
|
|||
const holdingsTable = [ |
|||
'| Name | Symbol | Currency | Asset Class | Asset Sub Class | Allocation in Percentage |', |
|||
'| --- | --- | --- | --- | --- | --- |', |
|||
...Object.values(holdings) |
|||
.sort((a, b) => { |
|||
return b.allocationInPercentage - a.allocationInPercentage; |
|||
}) |
|||
.map( |
|||
({ |
|||
allocationInPercentage, |
|||
assetClass, |
|||
assetSubClass, |
|||
currency, |
|||
name, |
|||
symbol |
|||
}) => { |
|||
return `| ${name} | ${symbol} | ${currency} | ${assetClass} | ${assetSubClass} | ${(allocationInPercentage * 100).toFixed(3)}% |`; |
|||
} |
|||
) |
|||
]; |
|||
|
|||
if (mode === 'portfolio') { |
|||
return holdingsTable.join('\n'); |
|||
} |
|||
|
|||
return [ |
|||
`You are a neutral financial assistant. Please analyze the following investment portfolio (base currency being ${userCurrency}) in simple words.`, |
|||
...holdingsTable, |
|||
'Structure your answer with these sections:', |
|||
'Overview: Briefly summarize the portfolio’s composition and allocation rationale.', |
|||
'Risk Assessment: Identify potential risks, including market volatility, concentration, and sectoral imbalances.', |
|||
'Advantages: Highlight strengths, focusing on growth potential, diversification, or other benefits.', |
|||
'Disadvantages: Point out weaknesses, such as overexposure or lack of defensive assets.', |
|||
'Target Group: Discuss who this portfolio might suit (e.g., risk tolerance, investment goals, life stages, and experience levels).', |
|||
'Optimization Ideas: Offer ideas to complement the portfolio, ensuring they are constructive and neutral in tone.', |
|||
'Conclusion: Provide a concise summary highlighting key insights.', |
|||
`Provide your answer in the following language: ${languageCode}.` |
|||
].join('\n'); |
|||
} |
|||
} |
|||
@ -0,0 +1,46 @@ |
|||
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
|||
import { interpolate } from '@ghostfolio/common/helper'; |
|||
|
|||
import { |
|||
Controller, |
|||
Get, |
|||
Param, |
|||
Res, |
|||
Version, |
|||
VERSION_NEUTRAL |
|||
} from '@nestjs/common'; |
|||
import { Response } from 'express'; |
|||
import { readFileSync } from 'fs'; |
|||
import { join } from 'path'; |
|||
|
|||
@Controller('assets') |
|||
export class AssetsController { |
|||
private webManifest = ''; |
|||
|
|||
public constructor( |
|||
public readonly configurationService: ConfigurationService |
|||
) { |
|||
try { |
|||
this.webManifest = readFileSync( |
|||
join(__dirname, 'assets', 'site.webmanifest'), |
|||
'utf8' |
|||
); |
|||
} catch {} |
|||
} |
|||
|
|||
@Get('/:languageCode/site.webmanifest') |
|||
@Version(VERSION_NEUTRAL) |
|||
public getWebManifest( |
|||
@Param('languageCode') languageCode: string, |
|||
@Res() response: Response |
|||
): void { |
|||
const rootUrl = this.configurationService.get('ROOT_URL'); |
|||
const webManifest = interpolate(this.webManifest, { |
|||
languageCode, |
|||
rootUrl |
|||
}); |
|||
|
|||
response.setHeader('Content-Type', 'application/json'); |
|||
response.send(webManifest); |
|||
} |
|||
} |
|||
@ -0,0 +1,11 @@ |
|||
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
|||
|
|||
import { Module } from '@nestjs/common'; |
|||
|
|||
import { AssetsController } from './assets.controller'; |
|||
|
|||
@Module({ |
|||
controllers: [AssetsController], |
|||
providers: [ConfigurationService] |
|||
}) |
|||
export class AssetsModule {} |
|||
@ -0,0 +1,65 @@ |
|||
import { AccountBalanceService } from '@ghostfolio/api/app/account-balance/account-balance.service'; |
|||
import { AccountService } from '@ghostfolio/api/app/account/account.service'; |
|||
import { OrderModule } from '@ghostfolio/api/app/order/order.module'; |
|||
import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
|||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
|||
import { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service'; |
|||
import { RulesService } from '@ghostfolio/api/app/portfolio/rules.service'; |
|||
import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
|||
import { SymbolModule } from '@ghostfolio/api/app/symbol/symbol.module'; |
|||
import { UserModule } from '@ghostfolio/api/app/user/user.module'; |
|||
import { TransformDataSourceInRequestModule } from '@ghostfolio/api/interceptors/transform-data-source-in-request/transform-data-source-in-request.module'; |
|||
import { TransformDataSourceInResponseModule } from '@ghostfolio/api/interceptors/transform-data-source-in-response/transform-data-source-in-response.module'; |
|||
import { ApiModule } from '@ghostfolio/api/services/api/api.module'; |
|||
import { BenchmarkService } from '@ghostfolio/api/services/benchmark/benchmark.service'; |
|||
import { ConfigurationModule } from '@ghostfolio/api/services/configuration/configuration.module'; |
|||
import { DataProviderModule } from '@ghostfolio/api/services/data-provider/data-provider.module'; |
|||
import { ExchangeRateDataModule } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.module'; |
|||
import { I18nModule } from '@ghostfolio/api/services/i18n/i18n.module'; |
|||
import { ImpersonationModule } from '@ghostfolio/api/services/impersonation/impersonation.module'; |
|||
import { MarketDataModule } from '@ghostfolio/api/services/market-data/market-data.module'; |
|||
import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service'; |
|||
import { PrismaModule } from '@ghostfolio/api/services/prisma/prisma.module'; |
|||
import { PropertyModule } from '@ghostfolio/api/services/property/property.module'; |
|||
import { PortfolioSnapshotQueueModule } from '@ghostfolio/api/services/queues/portfolio-snapshot/portfolio-snapshot.module'; |
|||
import { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/symbol-profile.module'; |
|||
|
|||
import { Module } from '@nestjs/common'; |
|||
|
|||
import { BenchmarksController } from './benchmarks.controller'; |
|||
import { BenchmarksService } from './benchmarks.service'; |
|||
|
|||
@Module({ |
|||
controllers: [BenchmarksController], |
|||
imports: [ |
|||
ApiModule, |
|||
ConfigurationModule, |
|||
DataProviderModule, |
|||
ExchangeRateDataModule, |
|||
I18nModule, |
|||
ImpersonationModule, |
|||
MarketDataModule, |
|||
OrderModule, |
|||
PortfolioSnapshotQueueModule, |
|||
PrismaModule, |
|||
PropertyModule, |
|||
RedisCacheModule, |
|||
SymbolModule, |
|||
SymbolProfileModule, |
|||
TransformDataSourceInRequestModule, |
|||
TransformDataSourceInResponseModule, |
|||
UserModule |
|||
], |
|||
providers: [ |
|||
AccountBalanceService, |
|||
AccountService, |
|||
BenchmarkService, |
|||
BenchmarksService, |
|||
CurrentRateService, |
|||
MarketDataService, |
|||
PortfolioCalculatorFactory, |
|||
PortfolioService, |
|||
RulesService |
|||
] |
|||
}) |
|||
export class BenchmarksModule {} |
|||
@ -0,0 +1,163 @@ |
|||
import { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service'; |
|||
import { SymbolService } from '@ghostfolio/api/app/symbol/symbol.service'; |
|||
import { BenchmarkService } from '@ghostfolio/api/services/benchmark/benchmark.service'; |
|||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
|||
import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service'; |
|||
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
|||
import { |
|||
AssetProfileIdentifier, |
|||
BenchmarkMarketDataDetails, |
|||
Filter |
|||
} from '@ghostfolio/common/interfaces'; |
|||
import { DateRange, UserWithSettings } from '@ghostfolio/common/types'; |
|||
|
|||
import { Injectable, Logger } from '@nestjs/common'; |
|||
import { format, isSameDay } from 'date-fns'; |
|||
import { isNumber } from 'lodash'; |
|||
|
|||
@Injectable() |
|||
export class BenchmarksService { |
|||
public constructor( |
|||
private readonly benchmarkService: BenchmarkService, |
|||
private readonly exchangeRateDataService: ExchangeRateDataService, |
|||
private readonly marketDataService: MarketDataService, |
|||
private readonly portfolioService: PortfolioService, |
|||
private readonly symbolService: SymbolService |
|||
) {} |
|||
|
|||
public async getMarketDataForUser({ |
|||
dataSource, |
|||
dateRange, |
|||
endDate = new Date(), |
|||
filters, |
|||
impersonationId, |
|||
startDate, |
|||
symbol, |
|||
user, |
|||
withExcludedAccounts |
|||
}: { |
|||
dateRange: DateRange; |
|||
endDate?: Date; |
|||
filters?: Filter[]; |
|||
impersonationId: string; |
|||
startDate: Date; |
|||
user: UserWithSettings; |
|||
withExcludedAccounts?: boolean; |
|||
} & AssetProfileIdentifier): Promise<BenchmarkMarketDataDetails> { |
|||
const marketData: { date: string; value: number }[] = []; |
|||
const userCurrency = user.settings.settings.baseCurrency; |
|||
const userId = user.id; |
|||
|
|||
const { chart } = await this.portfolioService.getPerformance({ |
|||
dateRange, |
|||
filters, |
|||
impersonationId, |
|||
userId, |
|||
withExcludedAccounts |
|||
}); |
|||
|
|||
const [currentSymbolItem, marketDataItems] = await Promise.all([ |
|||
this.symbolService.get({ |
|||
dataGatheringItem: { |
|||
dataSource, |
|||
symbol |
|||
} |
|||
}), |
|||
this.marketDataService.marketDataItems({ |
|||
orderBy: { |
|||
date: 'asc' |
|||
}, |
|||
where: { |
|||
dataSource, |
|||
symbol, |
|||
date: { |
|||
in: chart.map(({ date }) => { |
|||
return resetHours(parseDate(date)); |
|||
}) |
|||
} |
|||
} |
|||
}) |
|||
]); |
|||
|
|||
const exchangeRates = |
|||
await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
|||
startDate, |
|||
currencies: [currentSymbolItem.currency], |
|||
targetCurrency: userCurrency |
|||
}); |
|||
|
|||
const exchangeRateAtStartDate = |
|||
exchangeRates[`${currentSymbolItem.currency}${userCurrency}`]?.[ |
|||
format(startDate, DATE_FORMAT) |
|||
]; |
|||
|
|||
const marketPriceAtStartDate = marketDataItems?.find(({ date }) => { |
|||
return isSameDay(date, startDate); |
|||
})?.marketPrice; |
|||
|
|||
if (!marketPriceAtStartDate) { |
|||
Logger.error( |
|||
`No historical market data has been found for ${symbol} (${dataSource}) at ${format( |
|||
startDate, |
|||
DATE_FORMAT |
|||
)}`,
|
|||
'BenchmarkService' |
|||
); |
|||
|
|||
return { marketData }; |
|||
} |
|||
|
|||
for (const marketDataItem of marketDataItems) { |
|||
const exchangeRate = |
|||
exchangeRates[`${currentSymbolItem.currency}${userCurrency}`]?.[ |
|||
format(marketDataItem.date, DATE_FORMAT) |
|||
]; |
|||
|
|||
const exchangeRateFactor = |
|||
isNumber(exchangeRateAtStartDate) && isNumber(exchangeRate) |
|||
? exchangeRate / exchangeRateAtStartDate |
|||
: 1; |
|||
|
|||
marketData.push({ |
|||
date: format(marketDataItem.date, DATE_FORMAT), |
|||
value: |
|||
marketPriceAtStartDate === 0 |
|||
? 0 |
|||
: this.benchmarkService.calculateChangeInPercentage( |
|||
marketPriceAtStartDate, |
|||
marketDataItem.marketPrice * exchangeRateFactor |
|||
) * 100 |
|||
}); |
|||
} |
|||
|
|||
const includesEndDate = isSameDay( |
|||
parseDate(marketData.at(-1).date), |
|||
endDate |
|||
); |
|||
|
|||
if (currentSymbolItem?.marketPrice && !includesEndDate) { |
|||
const exchangeRate = |
|||
exchangeRates[`${currentSymbolItem.currency}${userCurrency}`]?.[ |
|||
format(endDate, DATE_FORMAT) |
|||
]; |
|||
|
|||
const exchangeRateFactor = |
|||
isNumber(exchangeRateAtStartDate) && isNumber(exchangeRate) |
|||
? exchangeRate / exchangeRateAtStartDate |
|||
: 1; |
|||
|
|||
marketData.push({ |
|||
date: format(endDate, DATE_FORMAT), |
|||
value: |
|||
this.benchmarkService.calculateChangeInPercentage( |
|||
marketPriceAtStartDate, |
|||
currentSymbolItem.marketPrice * exchangeRateFactor |
|||
) * 100 |
|||
}); |
|||
} |
|||
|
|||
return { |
|||
marketData |
|||
}; |
|||
} |
|||
} |
|||
@ -0,0 +1,51 @@ |
|||
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
|||
import { |
|||
DATE_FORMAT, |
|||
getYesterday, |
|||
interpolate |
|||
} from '@ghostfolio/common/helper'; |
|||
|
|||
import { Controller, Get, Res, VERSION_NEUTRAL, Version } from '@nestjs/common'; |
|||
import { format } from 'date-fns'; |
|||
import { Response } from 'express'; |
|||
import { readFileSync } from 'fs'; |
|||
import { join } from 'path'; |
|||
|
|||
import { SitemapService } from './sitemap.service'; |
|||
|
|||
@Controller('sitemap.xml') |
|||
export class SitemapController { |
|||
public sitemapXml = ''; |
|||
|
|||
public constructor( |
|||
private readonly configurationService: ConfigurationService, |
|||
private readonly sitemapService: SitemapService |
|||
) { |
|||
try { |
|||
this.sitemapXml = readFileSync( |
|||
join(__dirname, 'assets', 'sitemap.xml'), |
|||
'utf8' |
|||
); |
|||
} catch {} |
|||
} |
|||
|
|||
@Get() |
|||
@Version(VERSION_NEUTRAL) |
|||
public getSitemapXml(@Res() response: Response) { |
|||
const currentDate = format(getYesterday(), DATE_FORMAT); |
|||
|
|||
response.setHeader('content-type', 'application/xml'); |
|||
response.send( |
|||
interpolate(this.sitemapXml, { |
|||
personalFinanceTools: this.configurationService.get( |
|||
'ENABLE_FEATURE_SUBSCRIPTION' |
|||
) |
|||
? this.sitemapService.getPersonalFinanceTools({ currentDate }) |
|||
: '', |
|||
publicRoutes: this.sitemapService.getPublicRoutes({ |
|||
currentDate |
|||
}) |
|||
}) |
|||
); |
|||
} |
|||
} |
|||
@ -1,11 +1,14 @@ |
|||
import { ConfigurationModule } from '@ghostfolio/api/services/configuration/configuration.module'; |
|||
import { I18nModule } from '@ghostfolio/api/services/i18n/i18n.module'; |
|||
|
|||
import { Module } from '@nestjs/common'; |
|||
|
|||
import { SitemapController } from './sitemap.controller'; |
|||
import { SitemapService } from './sitemap.service'; |
|||
|
|||
@Module({ |
|||
controllers: [SitemapController], |
|||
imports: [ConfigurationModule] |
|||
imports: [ConfigurationModule, I18nModule], |
|||
providers: [SitemapService] |
|||
}) |
|||
export class SitemapModule {} |
|||
@ -0,0 +1,116 @@ |
|||
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
|||
import { I18nService } from '@ghostfolio/api/services/i18n/i18n.service'; |
|||
import { SUPPORTED_LANGUAGE_CODES } from '@ghostfolio/common/config'; |
|||
import { personalFinanceTools } from '@ghostfolio/common/personal-finance-tools'; |
|||
import { PublicRoute } from '@ghostfolio/common/routes/interfaces/public-route.interface'; |
|||
import { publicRoutes } from '@ghostfolio/common/routes/routes'; |
|||
|
|||
import { Injectable } from '@nestjs/common'; |
|||
|
|||
@Injectable() |
|||
export class SitemapService { |
|||
private static readonly TRANSLATION_TAGGED_MESSAGE_REGEX = |
|||
/:.*@@(?<id>[a-zA-Z0-9.]+):(?<message>.+)/; |
|||
|
|||
public constructor( |
|||
private readonly configurationService: ConfigurationService, |
|||
private readonly i18nService: I18nService |
|||
) {} |
|||
|
|||
public getPersonalFinanceTools({ currentDate }: { currentDate: string }) { |
|||
const rootUrl = this.configurationService.get('ROOT_URL'); |
|||
|
|||
return SUPPORTED_LANGUAGE_CODES.flatMap((languageCode) => { |
|||
return personalFinanceTools.map(({ alias, key }) => { |
|||
const route = |
|||
publicRoutes.resources.subRoutes.personalFinanceTools.subRoutes |
|||
.product; |
|||
const params = { |
|||
currentDate, |
|||
languageCode, |
|||
rootUrl, |
|||
urlPostfix: alias ?? key |
|||
}; |
|||
|
|||
return this.createRouteSitemapUrl({ ...params, route }); |
|||
}); |
|||
}).join('\n'); |
|||
} |
|||
|
|||
public getPublicRoutes({ currentDate }: { currentDate: string }) { |
|||
const rootUrl = this.configurationService.get('ROOT_URL'); |
|||
|
|||
return SUPPORTED_LANGUAGE_CODES.flatMap((languageCode) => { |
|||
const params = { |
|||
currentDate, |
|||
languageCode, |
|||
rootUrl |
|||
}; |
|||
|
|||
return [ |
|||
this.createRouteSitemapUrl(params), |
|||
...this.createSitemapUrls(params, publicRoutes) |
|||
]; |
|||
}).join('\n'); |
|||
} |
|||
|
|||
private createRouteSitemapUrl({ |
|||
currentDate, |
|||
languageCode, |
|||
rootUrl, |
|||
route, |
|||
urlPostfix |
|||
}: { |
|||
currentDate: string; |
|||
languageCode: string; |
|||
rootUrl: string; |
|||
route?: PublicRoute; |
|||
urlPostfix?: string; |
|||
}): string { |
|||
const segments = |
|||
route?.routerLink.map((link) => { |
|||
const match = link.match( |
|||
SitemapService.TRANSLATION_TAGGED_MESSAGE_REGEX |
|||
); |
|||
|
|||
const segment = match |
|||
? (this.i18nService.getTranslation({ |
|||
languageCode, |
|||
id: match.groups.id |
|||
}) ?? match.groups.message) |
|||
: link; |
|||
|
|||
return segment.replace(/^\/+|\/+$/, ''); |
|||
}) ?? []; |
|||
|
|||
const location = |
|||
[rootUrl, languageCode, ...segments].join('/') + |
|||
(urlPostfix ? `-${urlPostfix}` : ''); |
|||
|
|||
return [ |
|||
' <url>', |
|||
` <loc>${location}</loc>`, |
|||
` <lastmod>${currentDate}T00:00:00+00:00</lastmod>`, |
|||
' </url>' |
|||
].join('\n'); |
|||
} |
|||
|
|||
private createSitemapUrls( |
|||
params: { currentDate: string; languageCode: string; rootUrl: string }, |
|||
routes: Record<string, PublicRoute> |
|||
): string[] { |
|||
return Object.values(routes).flatMap((route) => { |
|||
if (route.excludeFromSitemap) { |
|||
return []; |
|||
} |
|||
|
|||
const urls = [this.createRouteSitemapUrl({ ...params, route })]; |
|||
|
|||
if (route.subRoutes) { |
|||
urls.push(...this.createSitemapUrls(params, route.subRoutes)); |
|||
} |
|||
|
|||
return urls; |
|||
}); |
|||
} |
|||
} |
|||
@ -0,0 +1,10 @@ |
|||
import { IsOptional, IsString } from 'class-validator'; |
|||
|
|||
export class CreateTagDto { |
|||
@IsString() |
|||
name: string; |
|||
|
|||
@IsOptional() |
|||
@IsString() |
|||
userId?: string; |
|||
} |
|||
@ -0,0 +1,12 @@ |
|||
import { PrismaModule } from '@ghostfolio/api/services/prisma/prisma.module'; |
|||
import { TagModule } from '@ghostfolio/api/services/tag/tag.module'; |
|||
|
|||
import { Module } from '@nestjs/common'; |
|||
|
|||
import { TagsController } from './tags.controller'; |
|||
|
|||
@Module({ |
|||
controllers: [TagsController], |
|||
imports: [PrismaModule, TagModule] |
|||
}) |
|||
export class TagsModule {} |
|||
@ -0,0 +1,13 @@ |
|||
import { IsOptional, IsString } from 'class-validator'; |
|||
|
|||
export class UpdateTagDto { |
|||
@IsString() |
|||
id: string; |
|||
|
|||
@IsString() |
|||
name: string; |
|||
|
|||
@IsOptional() |
|||
@IsString() |
|||
userId?: string; |
|||
} |
|||
@ -0,0 +1,10 @@ |
|||
import { DataSource } from '@prisma/client'; |
|||
import { IsEnum, IsString } from 'class-validator'; |
|||
|
|||
export class CreateWatchlistItemDto { |
|||
@IsEnum(DataSource) |
|||
dataSource: DataSource; |
|||
|
|||
@IsString() |
|||
symbol: string; |
|||
} |
|||
@ -0,0 +1,100 @@ |
|||
import { HasPermission } from '@ghostfolio/api/decorators/has-permission.decorator'; |
|||
import { HasPermissionGuard } from '@ghostfolio/api/guards/has-permission.guard'; |
|||
import { TransformDataSourceInRequestInterceptor } from '@ghostfolio/api/interceptors/transform-data-source-in-request/transform-data-source-in-request.interceptor'; |
|||
import { TransformDataSourceInResponseInterceptor } from '@ghostfolio/api/interceptors/transform-data-source-in-response/transform-data-source-in-response.interceptor'; |
|||
import { ImpersonationService } from '@ghostfolio/api/services/impersonation/impersonation.service'; |
|||
import { HEADER_KEY_IMPERSONATION } from '@ghostfolio/common/config'; |
|||
import { WatchlistResponse } from '@ghostfolio/common/interfaces'; |
|||
import { permissions } from '@ghostfolio/common/permissions'; |
|||
import { RequestWithUser } from '@ghostfolio/common/types'; |
|||
|
|||
import { |
|||
Body, |
|||
Controller, |
|||
Delete, |
|||
Get, |
|||
Headers, |
|||
HttpException, |
|||
Inject, |
|||
Param, |
|||
Post, |
|||
UseGuards, |
|||
UseInterceptors |
|||
} from '@nestjs/common'; |
|||
import { REQUEST } from '@nestjs/core'; |
|||
import { AuthGuard } from '@nestjs/passport'; |
|||
import { DataSource } from '@prisma/client'; |
|||
import { StatusCodes, getReasonPhrase } from 'http-status-codes'; |
|||
|
|||
import { CreateWatchlistItemDto } from './create-watchlist-item.dto'; |
|||
import { WatchlistService } from './watchlist.service'; |
|||
|
|||
@Controller('watchlist') |
|||
export class WatchlistController { |
|||
public constructor( |
|||
private readonly impersonationService: ImpersonationService, |
|||
@Inject(REQUEST) private readonly request: RequestWithUser, |
|||
private readonly watchlistService: WatchlistService |
|||
) {} |
|||
|
|||
@Post() |
|||
@HasPermission(permissions.createWatchlistItem) |
|||
@UseGuards(AuthGuard('jwt'), HasPermissionGuard) |
|||
@UseInterceptors(TransformDataSourceInRequestInterceptor) |
|||
public async createWatchlistItem(@Body() data: CreateWatchlistItemDto) { |
|||
return this.watchlistService.createWatchlistItem({ |
|||
dataSource: data.dataSource, |
|||
symbol: data.symbol, |
|||
userId: this.request.user.id |
|||
}); |
|||
} |
|||
|
|||
@Delete(':dataSource/:symbol') |
|||
@HasPermission(permissions.deleteWatchlistItem) |
|||
@UseGuards(AuthGuard('jwt'), HasPermissionGuard) |
|||
@UseInterceptors(TransformDataSourceInRequestInterceptor) |
|||
public async deleteWatchlistItem( |
|||
@Param('dataSource') dataSource: DataSource, |
|||
@Param('symbol') symbol: string |
|||
) { |
|||
const watchlistItems = await this.watchlistService.getWatchlistItems( |
|||
this.request.user.id |
|||
); |
|||
|
|||
const watchlistItem = watchlistItems.find((item) => { |
|||
return item.dataSource === dataSource && item.symbol === symbol; |
|||
}); |
|||
|
|||
if (!watchlistItem) { |
|||
throw new HttpException( |
|||
getReasonPhrase(StatusCodes.NOT_FOUND), |
|||
StatusCodes.NOT_FOUND |
|||
); |
|||
} |
|||
|
|||
return this.watchlistService.deleteWatchlistItem({ |
|||
dataSource, |
|||
symbol, |
|||
userId: this.request.user.id |
|||
}); |
|||
} |
|||
|
|||
@Get() |
|||
@HasPermission(permissions.readWatchlist) |
|||
@UseGuards(AuthGuard('jwt'), HasPermissionGuard) |
|||
@UseInterceptors(TransformDataSourceInResponseInterceptor) |
|||
public async getWatchlistItems( |
|||
@Headers(HEADER_KEY_IMPERSONATION.toLowerCase()) impersonationId: string |
|||
): Promise<WatchlistResponse> { |
|||
const impersonationUserId = |
|||
await this.impersonationService.validateImpersonationId(impersonationId); |
|||
|
|||
const watchlist = await this.watchlistService.getWatchlistItems( |
|||
impersonationUserId || this.request.user.id |
|||
); |
|||
|
|||
return { |
|||
watchlist |
|||
}; |
|||
} |
|||
} |
|||
@ -1,36 +1,31 @@ |
|||
import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
|||
import { SymbolModule } from '@ghostfolio/api/app/symbol/symbol.module'; |
|||
import { TransformDataSourceInRequestModule } from '@ghostfolio/api/interceptors/transform-data-source-in-request/transform-data-source-in-request.module'; |
|||
import { TransformDataSourceInResponseModule } from '@ghostfolio/api/interceptors/transform-data-source-in-response/transform-data-source-in-response.module'; |
|||
import { ConfigurationModule } from '@ghostfolio/api/services/configuration/configuration.module'; |
|||
import { BenchmarkModule } from '@ghostfolio/api/services/benchmark/benchmark.module'; |
|||
import { DataProviderModule } from '@ghostfolio/api/services/data-provider/data-provider.module'; |
|||
import { ExchangeRateDataModule } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.module'; |
|||
import { ImpersonationModule } from '@ghostfolio/api/services/impersonation/impersonation.module'; |
|||
import { MarketDataModule } from '@ghostfolio/api/services/market-data/market-data.module'; |
|||
import { PrismaModule } from '@ghostfolio/api/services/prisma/prisma.module'; |
|||
import { PropertyModule } from '@ghostfolio/api/services/property/property.module'; |
|||
import { DataGatheringModule } from '@ghostfolio/api/services/queues/data-gathering/data-gathering.module'; |
|||
import { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/symbol-profile.module'; |
|||
|
|||
import { Module } from '@nestjs/common'; |
|||
|
|||
import { BenchmarkController } from './benchmark.controller'; |
|||
import { BenchmarkService } from './benchmark.service'; |
|||
import { WatchlistController } from './watchlist.controller'; |
|||
import { WatchlistService } from './watchlist.service'; |
|||
|
|||
@Module({ |
|||
controllers: [BenchmarkController], |
|||
exports: [BenchmarkService], |
|||
controllers: [WatchlistController], |
|||
imports: [ |
|||
ConfigurationModule, |
|||
BenchmarkModule, |
|||
DataGatheringModule, |
|||
DataProviderModule, |
|||
ExchangeRateDataModule, |
|||
ImpersonationModule, |
|||
MarketDataModule, |
|||
PrismaModule, |
|||
PropertyModule, |
|||
RedisCacheModule, |
|||
SymbolModule, |
|||
SymbolProfileModule, |
|||
TransformDataSourceInRequestModule, |
|||
TransformDataSourceInResponseModule |
|||
], |
|||
providers: [BenchmarkService] |
|||
providers: [WatchlistService] |
|||
}) |
|||
export class BenchmarkModule {} |
|||
export class WatchlistModule {} |
|||
@ -0,0 +1,150 @@ |
|||
import { BenchmarkService } from '@ghostfolio/api/services/benchmark/benchmark.service'; |
|||
import { DataProviderService } from '@ghostfolio/api/services/data-provider/data-provider.service'; |
|||
import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service'; |
|||
import { PrismaService } from '@ghostfolio/api/services/prisma/prisma.service'; |
|||
import { DataGatheringService } from '@ghostfolio/api/services/queues/data-gathering/data-gathering.service'; |
|||
import { SymbolProfileService } from '@ghostfolio/api/services/symbol-profile/symbol-profile.service'; |
|||
import { WatchlistResponse } from '@ghostfolio/common/interfaces'; |
|||
|
|||
import { BadRequestException, Injectable } from '@nestjs/common'; |
|||
import { DataSource, Prisma } from '@prisma/client'; |
|||
|
|||
@Injectable() |
|||
export class WatchlistService { |
|||
public constructor( |
|||
private readonly benchmarkService: BenchmarkService, |
|||
private readonly dataGatheringService: DataGatheringService, |
|||
private readonly dataProviderService: DataProviderService, |
|||
private readonly marketDataService: MarketDataService, |
|||
private readonly prismaService: PrismaService, |
|||
private readonly symbolProfileService: SymbolProfileService |
|||
) {} |
|||
|
|||
public async createWatchlistItem({ |
|||
dataSource, |
|||
symbol, |
|||
userId |
|||
}: { |
|||
dataSource: DataSource; |
|||
symbol: string; |
|||
userId: string; |
|||
}): Promise<void> { |
|||
const symbolProfile = await this.prismaService.symbolProfile.findUnique({ |
|||
where: { |
|||
dataSource_symbol: { dataSource, symbol } |
|||
} |
|||
}); |
|||
|
|||
if (!symbolProfile) { |
|||
const assetProfiles = await this.dataProviderService.getAssetProfiles([ |
|||
{ dataSource, symbol } |
|||
]); |
|||
|
|||
if (!assetProfiles[symbol]?.currency) { |
|||
throw new BadRequestException( |
|||
`Asset profile not found for ${symbol} (${dataSource})` |
|||
); |
|||
} |
|||
|
|||
await this.symbolProfileService.add( |
|||
assetProfiles[symbol] as Prisma.SymbolProfileCreateInput |
|||
); |
|||
} |
|||
|
|||
await this.dataGatheringService.gatherSymbol({ |
|||
dataSource, |
|||
symbol |
|||
}); |
|||
|
|||
await this.prismaService.user.update({ |
|||
data: { |
|||
watchlist: { |
|||
connect: { |
|||
dataSource_symbol: { dataSource, symbol } |
|||
} |
|||
} |
|||
}, |
|||
where: { id: userId } |
|||
}); |
|||
} |
|||
|
|||
public async deleteWatchlistItem({ |
|||
dataSource, |
|||
symbol, |
|||
userId |
|||
}: { |
|||
dataSource: DataSource; |
|||
symbol: string; |
|||
userId: string; |
|||
}) { |
|||
await this.prismaService.user.update({ |
|||
data: { |
|||
watchlist: { |
|||
disconnect: { |
|||
dataSource_symbol: { dataSource, symbol } |
|||
} |
|||
} |
|||
}, |
|||
where: { id: userId } |
|||
}); |
|||
} |
|||
|
|||
public async getWatchlistItems( |
|||
userId: string |
|||
): Promise<WatchlistResponse['watchlist']> { |
|||
const user = await this.prismaService.user.findUnique({ |
|||
select: { |
|||
watchlist: { |
|||
select: { dataSource: true, symbol: true } |
|||
} |
|||
}, |
|||
where: { id: userId } |
|||
}); |
|||
|
|||
const [assetProfiles, quotes] = await Promise.all([ |
|||
this.symbolProfileService.getSymbolProfiles(user.watchlist), |
|||
this.dataProviderService.getQuotes({ |
|||
items: user.watchlist.map(({ dataSource, symbol }) => { |
|||
return { dataSource, symbol }; |
|||
}) |
|||
}) |
|||
]); |
|||
|
|||
const watchlist = await Promise.all( |
|||
user.watchlist.map(async ({ dataSource, symbol }) => { |
|||
const assetProfile = assetProfiles.find((profile) => { |
|||
return profile.dataSource === dataSource && profile.symbol === symbol; |
|||
}); |
|||
|
|||
const allTimeHigh = await this.marketDataService.getMax({ |
|||
dataSource, |
|||
symbol |
|||
}); |
|||
|
|||
const performancePercent = |
|||
this.benchmarkService.calculateChangeInPercentage( |
|||
allTimeHigh?.marketPrice, |
|||
quotes[symbol]?.marketPrice |
|||
); |
|||
|
|||
return { |
|||
dataSource, |
|||
symbol, |
|||
marketCondition: |
|||
this.benchmarkService.getMarketCondition(performancePercent), |
|||
name: assetProfile?.name, |
|||
performances: { |
|||
allTimeHigh: { |
|||
performancePercent, |
|||
date: allTimeHigh?.date |
|||
} |
|||
} |
|||
}; |
|||
}) |
|||
); |
|||
|
|||
return watchlist.sort((a, b) => { |
|||
return a.name.localeCompare(b.name); |
|||
}); |
|||
} |
|||
} |
|||
@ -0,0 +1,10 @@ |
|||
import { CreateAccountDto } from '@ghostfolio/api/app/account/create-account.dto'; |
|||
import { AccountBalance } from '@ghostfolio/common/interfaces'; |
|||
|
|||
import { IsArray, IsOptional } from 'class-validator'; |
|||
|
|||
export class CreateAccountWithBalancesDto extends CreateAccountDto { |
|||
@IsArray() |
|||
@IsOptional() |
|||
balances?: AccountBalance[]; |
|||
} |
|||
@ -0,0 +1,17 @@ |
|||
import { MarketData } from '@ghostfolio/common/interfaces'; |
|||
|
|||
import { DataSource } from '@prisma/client'; |
|||
import { IsArray, IsEnum, IsOptional } from 'class-validator'; |
|||
|
|||
import { CreateAssetProfileDto } from '../admin/create-asset-profile.dto'; |
|||
|
|||
export class CreateAssetProfileWithMarketDataDto extends CreateAssetProfileDto { |
|||
@IsEnum([DataSource.MANUAL], { |
|||
message: `dataSource must be '${DataSource.MANUAL}'` |
|||
}) |
|||
dataSource: DataSource; |
|||
|
|||
@IsArray() |
|||
@IsOptional() |
|||
marketData?: MarketData[]; |
|||
} |
|||
@ -1,18 +1,26 @@ |
|||
import { CreateAccountDto } from '@ghostfolio/api/app/account/create-account.dto'; |
|||
import { CreateOrderDto } from '@ghostfolio/api/app/order/create-order.dto'; |
|||
|
|||
import { Type } from 'class-transformer'; |
|||
import { IsArray, IsOptional, ValidateNested } from 'class-validator'; |
|||
|
|||
import { CreateAccountWithBalancesDto } from './create-account-with-balances.dto'; |
|||
import { CreateAssetProfileWithMarketDataDto } from './create-asset-profile-with-market-data.dto'; |
|||
|
|||
export class ImportDataDto { |
|||
@IsOptional() |
|||
@IsArray() |
|||
@Type(() => CreateAccountDto) |
|||
@IsOptional() |
|||
@Type(() => CreateAccountWithBalancesDto) |
|||
@ValidateNested({ each: true }) |
|||
accounts: CreateAccountDto[]; |
|||
accounts?: CreateAccountWithBalancesDto[]; |
|||
|
|||
@IsArray() |
|||
@Type(() => CreateOrderDto) |
|||
@ValidateNested({ each: true }) |
|||
activities: CreateOrderDto[]; |
|||
|
|||
@IsArray() |
|||
@IsOptional() |
|||
@Type(() => CreateAssetProfileWithMarketDataDto) |
|||
@ValidateNested({ each: true }) |
|||
assetProfiles?: CreateAssetProfileWithMarketDataDto[]; |
|||
} |
|||
|
|||
@ -0,0 +1,240 @@ |
|||
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/btceur.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 |
|||
); |
|||
}); |
|||
|
|||
describe('get current positions', () => { |
|||
it.only('with BTCUSD buy (in EUR)', async () => { |
|||
jest.useFakeTimers().setSystemTime(parseDate('2022-01-14').getTime()); |
|||
|
|||
const activities: Activity[] = activityDtos.map((activity) => ({ |
|||
...activityDummyData, |
|||
...activity, |
|||
date: parseDate(activity.date), |
|||
feeInAssetProfileCurrency: 4.46, |
|||
SymbolProfile: { |
|||
...symbolProfileDummyData, |
|||
currency: 'USD', |
|||
dataSource: activity.dataSource, |
|||
name: 'Bitcoin', |
|||
symbol: activity.symbol |
|||
}, |
|||
unitPriceInAssetProfileCurrency: 44558.42 |
|||
})); |
|||
|
|||
const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
|||
activities, |
|||
calculationType: PerformanceCalculationType.ROAI, |
|||
currency: 'USD', |
|||
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: '2021-12-11', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: 0, |
|||
netPerformanceInPercentage: 0, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0, |
|||
netPerformanceWithCurrencyEffect: 0, |
|||
netWorth: 0, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 0, |
|||
totalInvestmentValueWithCurrencyEffect: 0, |
|||
value: 0, |
|||
valueWithCurrencyEffect: 0 |
|||
}); |
|||
|
|||
/** |
|||
* Closing price on 2021-12-12: 50098.3 |
|||
*/ |
|||
expect(portfolioSnapshot.historicalData[1]).toEqual({ |
|||
date: '2021-12-12', |
|||
investmentValueWithCurrencyEffect: 44558.42, |
|||
netPerformance: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
|
|||
netPerformanceInPercentage: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
|
|||
netPerformanceInPercentageWithCurrencyEffect: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
|
|||
netPerformanceWithCurrencyEffect: 5535.42, |
|||
netWorth: 50098.3, // 1 * 50098.3 = 50098.3
|
|||
totalAccountBalance: 0, |
|||
totalInvestment: 44558.42, |
|||
totalInvestmentValueWithCurrencyEffect: 44558.42, |
|||
value: 50098.3, // 1 * 50098.3 = 50098.3
|
|||
valueWithCurrencyEffect: 50098.3 |
|||
}); |
|||
|
|||
expect( |
|||
portfolioSnapshot.historicalData[ |
|||
portfolioSnapshot.historicalData.length - 1 |
|||
] |
|||
).toEqual({ |
|||
date: '2022-01-14', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: -1463.18, |
|||
netPerformanceInPercentage: -0.032837340282712, |
|||
netPerformanceInPercentageWithCurrencyEffect: -0.032837340282712, |
|||
netPerformanceWithCurrencyEffect: -1463.18, |
|||
netWorth: 43099.7, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 44558.42, |
|||
totalInvestmentValueWithCurrencyEffect: 44558.42, |
|||
value: 43099.7, |
|||
valueWithCurrencyEffect: 43099.7 |
|||
}); |
|||
|
|||
expect(portfolioSnapshot).toMatchObject({ |
|||
currentValueInBaseCurrency: new Big('43099.7'), |
|||
errors: [], |
|||
hasErrors: false, |
|||
positions: [ |
|||
{ |
|||
averagePrice: new Big('44558.42'), |
|||
currency: 'USD', |
|||
dataSource: 'YAHOO', |
|||
dividend: new Big('0'), |
|||
dividendInBaseCurrency: new Big('0'), |
|||
fee: new Big('4.46'), |
|||
feeInBaseCurrency: new Big('4.46'), |
|||
firstBuyDate: '2021-12-12', |
|||
grossPerformance: new Big('-1458.72'), |
|||
grossPerformancePercentage: new Big('-0.03273724696701543726'), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big( |
|||
'-0.03273724696701543726' |
|||
), |
|||
grossPerformanceWithCurrencyEffect: new Big('-1458.72'), |
|||
investment: new Big('44558.42'), |
|||
investmentWithCurrencyEffect: new Big('44558.42'), |
|||
netPerformance: new Big('-1463.18'), |
|||
netPerformancePercentage: new Big('-0.03283734028271199921'), |
|||
netPerformancePercentageWithCurrencyEffectMap: { |
|||
max: new Big('-0.03283734028271199921') |
|||
}, |
|||
netPerformanceWithCurrencyEffectMap: { |
|||
max: new Big('-1463.18') |
|||
}, |
|||
marketPrice: 43099.7, |
|||
marketPriceInBaseCurrency: 43099.7, |
|||
quantity: new Big('1'), |
|||
symbol: 'BTCUSD', |
|||
tags: [], |
|||
timeWeightedInvestment: new Big('44558.42'), |
|||
timeWeightedInvestmentWithCurrencyEffect: new Big('44558.42'), |
|||
transactionCount: 1, |
|||
valueInBaseCurrency: new Big('43099.7') |
|||
} |
|||
], |
|||
totalFeesWithCurrencyEffect: new Big('4.46'), |
|||
totalInterestWithCurrencyEffect: new Big('0'), |
|||
totalInvestment: new Big('44558.42'), |
|||
totalInvestmentWithCurrencyEffect: new Big('44558.42'), |
|||
totalLiabilitiesWithCurrencyEffect: new Big('0') |
|||
}); |
|||
|
|||
expect(investments).toEqual([ |
|||
{ date: '2021-12-12', investment: new Big('44558.42') } |
|||
]); |
|||
|
|||
expect(investmentsByMonth).toEqual([ |
|||
{ date: '2021-12-01', investment: 44558.42 }, |
|||
{ date: '2022-01-01', investment: 0 } |
|||
]); |
|||
}); |
|||
}); |
|||
}); |
|||
@ -0,0 +1,240 @@ |
|||
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/btcusd.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 |
|||
); |
|||
}); |
|||
|
|||
describe('get current positions', () => { |
|||
it.only('with BTCUSD buy (in USD)', async () => { |
|||
jest.useFakeTimers().setSystemTime(parseDate('2022-01-14').getTime()); |
|||
|
|||
const activities: Activity[] = activityDtos.map((activity) => ({ |
|||
...activityDummyData, |
|||
...activity, |
|||
date: parseDate(activity.date), |
|||
feeInAssetProfileCurrency: 4.46, |
|||
SymbolProfile: { |
|||
...symbolProfileDummyData, |
|||
currency: 'USD', |
|||
dataSource: activity.dataSource, |
|||
name: 'Bitcoin', |
|||
symbol: activity.symbol |
|||
}, |
|||
unitPriceInAssetProfileCurrency: 44558.42 |
|||
})); |
|||
|
|||
const portfolioCalculator = portfolioCalculatorFactory.createCalculator({ |
|||
activities, |
|||
calculationType: PerformanceCalculationType.ROAI, |
|||
currency: 'USD', |
|||
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: '2021-12-11', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: 0, |
|||
netPerformanceInPercentage: 0, |
|||
netPerformanceInPercentageWithCurrencyEffect: 0, |
|||
netPerformanceWithCurrencyEffect: 0, |
|||
netWorth: 0, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 0, |
|||
totalInvestmentValueWithCurrencyEffect: 0, |
|||
value: 0, |
|||
valueWithCurrencyEffect: 0 |
|||
}); |
|||
|
|||
/** |
|||
* Closing price on 2021-12-12: 50098.3 |
|||
*/ |
|||
expect(portfolioSnapshot.historicalData[1]).toEqual({ |
|||
date: '2021-12-12', |
|||
investmentValueWithCurrencyEffect: 44558.42, |
|||
netPerformance: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
|
|||
netPerformanceInPercentage: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
|
|||
netPerformanceInPercentageWithCurrencyEffect: 0.12422837255001412, // 5535.42 ÷ 44558.42 = 0.12422837255001412
|
|||
netPerformanceWithCurrencyEffect: 5535.42, // 1 * (50098.3 - 44558.42) - 4.46 = 5535.42
|
|||
netWorth: 50098.3, // 1 * 50098.3 = 50098.3
|
|||
totalAccountBalance: 0, |
|||
totalInvestment: 44558.42, |
|||
totalInvestmentValueWithCurrencyEffect: 44558.42, |
|||
value: 50098.3, // 1 * 50098.3 = 50098.3
|
|||
valueWithCurrencyEffect: 50098.3 |
|||
}); |
|||
|
|||
expect( |
|||
portfolioSnapshot.historicalData[ |
|||
portfolioSnapshot.historicalData.length - 1 |
|||
] |
|||
).toEqual({ |
|||
date: '2022-01-14', |
|||
investmentValueWithCurrencyEffect: 0, |
|||
netPerformance: -1463.18, |
|||
netPerformanceInPercentage: -0.032837340282712, |
|||
netPerformanceInPercentageWithCurrencyEffect: -0.032837340282712, |
|||
netPerformanceWithCurrencyEffect: -1463.18, |
|||
netWorth: 43099.7, |
|||
totalAccountBalance: 0, |
|||
totalInvestment: 44558.42, |
|||
totalInvestmentValueWithCurrencyEffect: 44558.42, |
|||
value: 43099.7, |
|||
valueWithCurrencyEffect: 43099.7 |
|||
}); |
|||
|
|||
expect(portfolioSnapshot).toMatchObject({ |
|||
currentValueInBaseCurrency: new Big('43099.7'), |
|||
errors: [], |
|||
hasErrors: false, |
|||
positions: [ |
|||
{ |
|||
averagePrice: new Big('44558.42'), |
|||
currency: 'USD', |
|||
dataSource: 'YAHOO', |
|||
dividend: new Big('0'), |
|||
dividendInBaseCurrency: new Big('0'), |
|||
fee: new Big('4.46'), |
|||
feeInBaseCurrency: new Big('4.46'), |
|||
firstBuyDate: '2021-12-12', |
|||
grossPerformance: new Big('-1458.72'), |
|||
grossPerformancePercentage: new Big('-0.03273724696701543726'), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big( |
|||
'-0.03273724696701543726' |
|||
), |
|||
grossPerformanceWithCurrencyEffect: new Big('-1458.72'), |
|||
investment: new Big('44558.42'), |
|||
investmentWithCurrencyEffect: new Big('44558.42'), |
|||
netPerformance: new Big('-1463.18'), |
|||
netPerformancePercentage: new Big('-0.03283734028271199921'), |
|||
netPerformancePercentageWithCurrencyEffectMap: { |
|||
max: new Big('-0.03283734028271199921') |
|||
}, |
|||
netPerformanceWithCurrencyEffectMap: { |
|||
max: new Big('-1463.18') |
|||
}, |
|||
marketPrice: 43099.7, |
|||
marketPriceInBaseCurrency: 43099.7, |
|||
quantity: new Big('1'), |
|||
symbol: 'BTCUSD', |
|||
tags: [], |
|||
timeWeightedInvestment: new Big('44558.42'), |
|||
timeWeightedInvestmentWithCurrencyEffect: new Big('44558.42'), |
|||
transactionCount: 1, |
|||
valueInBaseCurrency: new Big('43099.7') |
|||
} |
|||
], |
|||
totalFeesWithCurrencyEffect: new Big('4.46'), |
|||
totalInterestWithCurrencyEffect: new Big('0'), |
|||
totalInvestment: new Big('44558.42'), |
|||
totalInvestmentWithCurrencyEffect: new Big('44558.42'), |
|||
totalLiabilitiesWithCurrencyEffect: new Big('0') |
|||
}); |
|||
|
|||
expect(investments).toEqual([ |
|||
{ date: '2021-12-12', investment: new Big('44558.42') } |
|||
]); |
|||
|
|||
expect(investmentsByMonth).toEqual([ |
|||
{ date: '2021-12-01', investment: 44558.42 }, |
|||
{ date: '2022-01-01', investment: 0 } |
|||
]); |
|||
}); |
|||
}); |
|||
}); |
|||
@ -0,0 +1,985 @@ |
|||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
|||
import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order-item.interface'; |
|||
import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
|||
import { getIntervalFromDateRange } from '@ghostfolio/common/calculation-helper'; |
|||
import { DATE_FORMAT } from '@ghostfolio/common/helper'; |
|||
import { |
|||
AssetProfileIdentifier, |
|||
SymbolMetrics |
|||
} from '@ghostfolio/common/interfaces'; |
|||
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
|||
import { DateRange } from '@ghostfolio/common/types'; |
|||
import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
|||
|
|||
import { Logger } from '@nestjs/common'; |
|||
import { Big } from 'big.js'; |
|||
import { addMilliseconds, differenceInDays, format, isBefore } from 'date-fns'; |
|||
import { cloneDeep, sortBy } from 'lodash'; |
|||
|
|||
export class RoaiPortfolioCalculator extends PortfolioCalculator { |
|||
private chartDates: string[]; |
|||
|
|||
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) { |
|||
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 { |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
positions, |
|||
totalFeesWithCurrencyEffect, |
|||
totalInterestWithCurrencyEffect, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
activitiesCount: this.activities.filter(({ type }) => { |
|||
return ['BUY', 'SELL'].includes(type); |
|||
}).length, |
|||
createdAt: new Date(), |
|||
errors: [], |
|||
historicalData: [], |
|||
totalLiabilitiesWithCurrencyEffect: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
protected getPerformanceCalculationType() { |
|||
return PerformanceCalculationType.ROAI; |
|||
} |
|||
|
|||
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; |
|||
} & AssetProfileIdentifier): SymbolMetrics { |
|||
const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)]; |
|||
const currentValues: { [date: string]: Big } = {}; |
|||
const currentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
let fees = new Big(0); |
|||
let feesAtStartDate = new Big(0); |
|||
let feesAtStartDateWithCurrencyEffect = new Big(0); |
|||
let feesWithCurrencyEffect = new Big(0); |
|||
let grossPerformance = new Big(0); |
|||
let grossPerformanceWithCurrencyEffect = new Big(0); |
|||
let grossPerformanceAtStartDate = new Big(0); |
|||
let grossPerformanceAtStartDateWithCurrencyEffect = new Big(0); |
|||
let grossPerformanceFromSells = new Big(0); |
|||
let grossPerformanceFromSellsWithCurrencyEffect = new Big(0); |
|||
let initialValue: Big; |
|||
let initialValueWithCurrencyEffect: Big; |
|||
let investmentAtStartDate: Big; |
|||
let investmentAtStartDateWithCurrencyEffect: Big; |
|||
const investmentValuesAccumulated: { [date: string]: Big } = {}; |
|||
const investmentValuesAccumulatedWithCurrencyEffect: { |
|||
[date: string]: Big; |
|||
} = {}; |
|||
const investmentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
let lastAveragePrice = new Big(0); |
|||
let lastAveragePriceWithCurrencyEffect = new Big(0); |
|||
const netPerformanceValues: { [date: string]: Big } = {}; |
|||
const netPerformanceValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
const timeWeightedInvestmentValues: { [date: string]: Big } = {}; |
|||
|
|||
const timeWeightedInvestmentValuesWithCurrencyEffect: { |
|||
[date: string]: Big; |
|||
} = {}; |
|||
|
|||
const totalAccountBalanceInBaseCurrency = new Big(0); |
|||
let totalDividend = new Big(0); |
|||
let totalDividendInBaseCurrency = new Big(0); |
|||
let totalInterest = new Big(0); |
|||
let totalInterestInBaseCurrency = new Big(0); |
|||
let totalInvestment = new Big(0); |
|||
let totalInvestmentFromBuyTransactions = new Big(0); |
|||
let totalInvestmentFromBuyTransactionsWithCurrencyEffect = new Big(0); |
|||
let totalInvestmentWithCurrencyEffect = new Big(0); |
|||
let totalLiabilities = new Big(0); |
|||
let totalLiabilitiesInBaseCurrency = new Big(0); |
|||
let totalQuantityFromBuyTransactions = new Big(0); |
|||
let totalUnits = new Big(0); |
|||
let valueAtStartDate: Big; |
|||
let valueAtStartDateWithCurrencyEffect: Big; |
|||
|
|||
// Clone orders to keep the original values in this.orders
|
|||
let orders: PortfolioOrderItem[] = cloneDeep( |
|||
this.activities.filter(({ SymbolProfile }) => { |
|||
return SymbolProfile.symbol === symbol; |
|||
}) |
|||
); |
|||
|
|||
if (orders.length <= 0) { |
|||
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), |
|||
totalLiabilities: new Big(0), |
|||
totalLiabilitiesInBaseCurrency: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
const dateOfFirstTransaction = new Date(orders[0].date); |
|||
|
|||
const endDateString = format(end, DATE_FORMAT); |
|||
const startDateString = format(start, DATE_FORMAT); |
|||
|
|||
const unitPriceAtStartDate = marketSymbolMap[startDateString]?.[symbol]; |
|||
let unitPriceAtEndDate = marketSymbolMap[endDateString]?.[symbol]; |
|||
|
|||
let latestActivity = orders.at(-1); |
|||
|
|||
if ( |
|||
dataSource === 'MANUAL' && |
|||
['BUY', 'SELL'].includes(latestActivity?.type) && |
|||
latestActivity?.unitPrice && |
|||
!unitPriceAtEndDate |
|||
) { |
|||
// For BUY / SELL activities with a MANUAL data source where no historical market price is available,
|
|||
// the calculation should fall back to using the activity’s unit price.
|
|||
unitPriceAtEndDate = latestActivity.unitPrice; |
|||
} |
|||
|
|||
if ( |
|||
!unitPriceAtEndDate || |
|||
(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
|||
) { |
|||
return { |
|||
currentValues: {}, |
|||
currentValuesWithCurrencyEffect: {}, |
|||
feesWithCurrencyEffect: new Big(0), |
|||
grossPerformance: new Big(0), |
|||
grossPerformancePercentage: new Big(0), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
|||
grossPerformanceWithCurrencyEffect: new Big(0), |
|||
hasErrors: true, |
|||
initialValue: new Big(0), |
|||
initialValueWithCurrencyEffect: new Big(0), |
|||
investmentValuesAccumulated: {}, |
|||
investmentValuesAccumulatedWithCurrencyEffect: {}, |
|||
investmentValuesWithCurrencyEffect: {}, |
|||
netPerformance: new Big(0), |
|||
netPerformancePercentage: new Big(0), |
|||
netPerformancePercentageWithCurrencyEffectMap: {}, |
|||
netPerformanceWithCurrencyEffectMap: {}, |
|||
netPerformanceValues: {}, |
|||
netPerformanceValuesWithCurrencyEffect: {}, |
|||
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), |
|||
totalLiabilities: new Big(0), |
|||
totalLiabilitiesInBaseCurrency: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
// Add a synthetic order at the start and the end date
|
|||
orders.push({ |
|||
date: startDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'start', |
|||
quantity: new Big(0), |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
type: 'BUY', |
|||
unitPrice: unitPriceAtStartDate |
|||
}); |
|||
|
|||
orders.push({ |
|||
date: endDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'end', |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
quantity: new Big(0), |
|||
type: 'BUY', |
|||
unitPrice: unitPriceAtEndDate |
|||
}); |
|||
|
|||
let lastUnitPrice: Big; |
|||
|
|||
const ordersByDate: { [date: string]: PortfolioOrderItem[] } = {}; |
|||
|
|||
for (const order of orders) { |
|||
ordersByDate[order.date] = ordersByDate[order.date] ?? []; |
|||
ordersByDate[order.date].push(order); |
|||
} |
|||
|
|||
if (!this.chartDates) { |
|||
this.chartDates = Object.keys(chartDateMap).sort(); |
|||
} |
|||
|
|||
for (const dateString of this.chartDates) { |
|||
if (dateString < startDateString) { |
|||
continue; |
|||
} else if (dateString > endDateString) { |
|||
break; |
|||
} |
|||
|
|||
if (ordersByDate[dateString]?.length > 0) { |
|||
for (const order of ordersByDate[dateString]) { |
|||
order.unitPriceFromMarketData = |
|||
marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice; |
|||
} |
|||
} else { |
|||
orders.push({ |
|||
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 |
|||
}); |
|||
} |
|||
|
|||
latestActivity = orders.at(-1); |
|||
|
|||
lastUnitPrice = |
|||
latestActivity.unitPriceFromMarketData ?? latestActivity.unitPrice; |
|||
} |
|||
|
|||
// Sort orders so that the start and end placeholder order are at the correct
|
|||
// position
|
|||
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(); |
|||
}); |
|||
|
|||
const indexOfStartOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'start'; |
|||
}); |
|||
|
|||
const indexOfEndOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'end'; |
|||
}); |
|||
|
|||
let totalInvestmentDays = 0; |
|||
let sumOfTimeWeightedInvestments = new Big(0); |
|||
let sumOfTimeWeightedInvestmentsWithCurrencyEffect = new Big(0); |
|||
|
|||
for (let i = 0; i < orders.length; i += 1) { |
|||
const order = orders[i]; |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log(); |
|||
console.log(); |
|||
console.log( |
|||
i + 1, |
|||
order.date, |
|||
order.type, |
|||
order.itemType ? `(${order.itemType})` : '' |
|||
); |
|||
} |
|||
|
|||
const exchangeRateAtOrderDate = exchangeRates[order.date]; |
|||
|
|||
if (order.type === 'DIVIDEND') { |
|||
const dividend = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalDividend = totalDividend.plus(dividend); |
|||
totalDividendInBaseCurrency = totalDividendInBaseCurrency.plus( |
|||
dividend.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} else if (order.type === 'INTEREST') { |
|||
const interest = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalInterest = totalInterest.plus(interest); |
|||
totalInterestInBaseCurrency = totalInterestInBaseCurrency.plus( |
|||
interest.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} else if (order.type === 'LIABILITY') { |
|||
const liabilities = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalLiabilities = totalLiabilities.plus(liabilities); |
|||
totalLiabilitiesInBaseCurrency = totalLiabilitiesInBaseCurrency.plus( |
|||
liabilities.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} |
|||
|
|||
if (order.itemType === 'start') { |
|||
// Take the unit price of the order as the market price if there are no
|
|||
// orders of this symbol before the start date
|
|||
order.unitPrice = |
|||
indexOfStartOrder === 0 |
|||
? orders[i + 1]?.unitPrice |
|||
: unitPriceAtStartDate; |
|||
} |
|||
|
|||
if (order.fee) { |
|||
order.feeInBaseCurrency = order.fee.mul(currentExchangeRate ?? 1); |
|||
order.feeInBaseCurrencyWithCurrencyEffect = order.fee.mul( |
|||
exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
|
|||
const unitPrice = ['BUY', 'SELL'].includes(order.type) |
|||
? order.unitPrice |
|||
: order.unitPriceFromMarketData; |
|||
|
|||
if (unitPrice) { |
|||
order.unitPriceInBaseCurrency = unitPrice.mul(currentExchangeRate ?? 1); |
|||
|
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect = unitPrice.mul( |
|||
exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
|
|||
const marketPriceInBaseCurrency = |
|||
order.unitPriceFromMarketData?.mul(currentExchangeRate ?? 1) ?? |
|||
new Big(0); |
|||
const marketPriceInBaseCurrencyWithCurrencyEffect = |
|||
order.unitPriceFromMarketData?.mul(exchangeRateAtOrderDate ?? 1) ?? |
|||
new Big(0); |
|||
|
|||
const valueOfInvestmentBeforeTransaction = totalUnits.mul( |
|||
marketPriceInBaseCurrency |
|||
); |
|||
|
|||
const valueOfInvestmentBeforeTransactionWithCurrencyEffect = |
|||
totalUnits.mul(marketPriceInBaseCurrencyWithCurrencyEffect); |
|||
|
|||
if (!investmentAtStartDate && i >= indexOfStartOrder) { |
|||
investmentAtStartDate = totalInvestment ?? new Big(0); |
|||
|
|||
investmentAtStartDateWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect ?? new Big(0); |
|||
|
|||
valueAtStartDate = valueOfInvestmentBeforeTransaction; |
|||
|
|||
valueAtStartDateWithCurrencyEffect = |
|||
valueOfInvestmentBeforeTransactionWithCurrencyEffect; |
|||
} |
|||
|
|||
let transactionInvestment = new Big(0); |
|||
let transactionInvestmentWithCurrencyEffect = new Big(0); |
|||
|
|||
if (order.type === 'BUY') { |
|||
transactionInvestment = order.quantity |
|||
.mul(order.unitPriceInBaseCurrency) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
transactionInvestmentWithCurrencyEffect = order.quantity |
|||
.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
totalQuantityFromBuyTransactions = |
|||
totalQuantityFromBuyTransactions.plus(order.quantity); |
|||
|
|||
totalInvestmentFromBuyTransactions = |
|||
totalInvestmentFromBuyTransactions.plus(transactionInvestment); |
|||
|
|||
totalInvestmentFromBuyTransactionsWithCurrencyEffect = |
|||
totalInvestmentFromBuyTransactionsWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
} else if (order.type === 'SELL') { |
|||
if (totalUnits.gt(0)) { |
|||
transactionInvestment = totalInvestment |
|||
.div(totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
transactionInvestmentWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect |
|||
.div(totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
} |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log('order.quantity', order.quantity.toNumber()); |
|||
console.log('transactionInvestment', transactionInvestment.toNumber()); |
|||
|
|||
console.log( |
|||
'transactionInvestmentWithCurrencyEffect', |
|||
transactionInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
|
|||
const totalInvestmentBeforeTransaction = totalInvestment; |
|||
|
|||
const totalInvestmentBeforeTransactionWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect; |
|||
|
|||
totalInvestment = totalInvestment.plus(transactionInvestment); |
|||
|
|||
totalInvestmentWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
if (i >= indexOfStartOrder && !initialValue) { |
|||
if ( |
|||
i === indexOfStartOrder && |
|||
!valueOfInvestmentBeforeTransaction.eq(0) |
|||
) { |
|||
initialValue = valueOfInvestmentBeforeTransaction; |
|||
|
|||
initialValueWithCurrencyEffect = |
|||
valueOfInvestmentBeforeTransactionWithCurrencyEffect; |
|||
} else if (transactionInvestment.gt(0)) { |
|||
initialValue = transactionInvestment; |
|||
|
|||
initialValueWithCurrencyEffect = |
|||
transactionInvestmentWithCurrencyEffect; |
|||
} |
|||
} |
|||
|
|||
fees = fees.plus(order.feeInBaseCurrency ?? 0); |
|||
|
|||
feesWithCurrencyEffect = feesWithCurrencyEffect.plus( |
|||
order.feeInBaseCurrencyWithCurrencyEffect ?? 0 |
|||
); |
|||
|
|||
totalUnits = totalUnits.plus(order.quantity.mul(getFactor(order.type))); |
|||
|
|||
const valueOfInvestment = totalUnits.mul(marketPriceInBaseCurrency); |
|||
|
|||
const valueOfInvestmentWithCurrencyEffect = totalUnits.mul( |
|||
marketPriceInBaseCurrencyWithCurrencyEffect |
|||
); |
|||
|
|||
const grossPerformanceFromSell = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrency |
|||
.minus(lastAveragePrice) |
|||
.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
const grossPerformanceFromSellWithCurrencyEffect = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrencyWithCurrencyEffect |
|||
.minus(lastAveragePriceWithCurrencyEffect) |
|||
.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
grossPerformanceFromSells = grossPerformanceFromSells.plus( |
|||
grossPerformanceFromSell |
|||
); |
|||
|
|||
grossPerformanceFromSellsWithCurrencyEffect = |
|||
grossPerformanceFromSellsWithCurrencyEffect.plus( |
|||
grossPerformanceFromSellWithCurrencyEffect |
|||
); |
|||
|
|||
lastAveragePrice = totalQuantityFromBuyTransactions.eq(0) |
|||
? new Big(0) |
|||
: totalInvestmentFromBuyTransactions.div( |
|||
totalQuantityFromBuyTransactions |
|||
); |
|||
|
|||
lastAveragePriceWithCurrencyEffect = totalQuantityFromBuyTransactions.eq( |
|||
0 |
|||
) |
|||
? new Big(0) |
|||
: totalInvestmentFromBuyTransactionsWithCurrencyEffect.div( |
|||
totalQuantityFromBuyTransactions |
|||
); |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log( |
|||
'grossPerformanceFromSells', |
|||
grossPerformanceFromSells.toNumber() |
|||
); |
|||
console.log( |
|||
'grossPerformanceFromSellWithCurrencyEffect', |
|||
grossPerformanceFromSellWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
|
|||
const newGrossPerformance = valueOfInvestment |
|||
.minus(totalInvestment) |
|||
.plus(grossPerformanceFromSells); |
|||
|
|||
const newGrossPerformanceWithCurrencyEffect = |
|||
valueOfInvestmentWithCurrencyEffect |
|||
.minus(totalInvestmentWithCurrencyEffect) |
|||
.plus(grossPerformanceFromSellsWithCurrencyEffect); |
|||
|
|||
grossPerformance = newGrossPerformance; |
|||
|
|||
grossPerformanceWithCurrencyEffect = |
|||
newGrossPerformanceWithCurrencyEffect; |
|||
|
|||
if (order.itemType === 'start') { |
|||
feesAtStartDate = fees; |
|||
feesAtStartDateWithCurrencyEffect = feesWithCurrencyEffect; |
|||
grossPerformanceAtStartDate = grossPerformance; |
|||
|
|||
grossPerformanceAtStartDateWithCurrencyEffect = |
|||
grossPerformanceWithCurrencyEffect; |
|||
} |
|||
|
|||
if (i > indexOfStartOrder) { |
|||
// Only consider periods with an investment for the calculation of
|
|||
// the time weighted investment
|
|||
if ( |
|||
valueOfInvestmentBeforeTransaction.gt(0) && |
|||
['BUY', 'SELL'].includes(order.type) |
|||
) { |
|||
// Calculate the number of days since the previous order
|
|||
const orderDate = new Date(order.date); |
|||
const previousOrderDate = new Date(orders[i - 1].date); |
|||
|
|||
let daysSinceLastOrder = differenceInDays( |
|||
orderDate, |
|||
previousOrderDate |
|||
); |
|||
if (daysSinceLastOrder <= 0) { |
|||
// The time between two activities on the same day is unknown
|
|||
// -> Set it to the smallest floating point number greater than 0
|
|||
daysSinceLastOrder = Number.EPSILON; |
|||
} |
|||
|
|||
// Sum up the total investment days since the start date to calculate
|
|||
// the time weighted investment
|
|||
totalInvestmentDays += daysSinceLastOrder; |
|||
|
|||
sumOfTimeWeightedInvestments = sumOfTimeWeightedInvestments.add( |
|||
valueAtStartDate |
|||
.minus(investmentAtStartDate) |
|||
.plus(totalInvestmentBeforeTransaction) |
|||
.mul(daysSinceLastOrder) |
|||
); |
|||
|
|||
sumOfTimeWeightedInvestmentsWithCurrencyEffect = |
|||
sumOfTimeWeightedInvestmentsWithCurrencyEffect.add( |
|||
valueAtStartDateWithCurrencyEffect |
|||
.minus(investmentAtStartDateWithCurrencyEffect) |
|||
.plus(totalInvestmentBeforeTransactionWithCurrencyEffect) |
|||
.mul(daysSinceLastOrder) |
|||
); |
|||
} |
|||
|
|||
currentValues[order.date] = valueOfInvestment; |
|||
|
|||
currentValuesWithCurrencyEffect[order.date] = |
|||
valueOfInvestmentWithCurrencyEffect; |
|||
|
|||
netPerformanceValues[order.date] = grossPerformance |
|||
.minus(grossPerformanceAtStartDate) |
|||
.minus(fees.minus(feesAtStartDate)); |
|||
|
|||
netPerformanceValuesWithCurrencyEffect[order.date] = |
|||
grossPerformanceWithCurrencyEffect |
|||
.minus(grossPerformanceAtStartDateWithCurrencyEffect) |
|||
.minus( |
|||
feesWithCurrencyEffect.minus(feesAtStartDateWithCurrencyEffect) |
|||
); |
|||
|
|||
investmentValuesAccumulated[order.date] = totalInvestment; |
|||
|
|||
investmentValuesAccumulatedWithCurrencyEffect[order.date] = |
|||
totalInvestmentWithCurrencyEffect; |
|||
|
|||
investmentValuesWithCurrencyEffect[order.date] = ( |
|||
investmentValuesWithCurrencyEffect[order.date] ?? new Big(0) |
|||
).add(transactionInvestmentWithCurrencyEffect); |
|||
|
|||
// If duration is effectively zero (first day), use the actual investment as the base.
|
|||
// Otherwise, use the calculated time-weighted average.
|
|||
timeWeightedInvestmentValues[order.date] = |
|||
totalInvestmentDays > Number.EPSILON |
|||
? sumOfTimeWeightedInvestments.div(totalInvestmentDays) |
|||
: totalInvestment.gt(0) |
|||
? totalInvestment |
|||
: new Big(0); |
|||
|
|||
timeWeightedInvestmentValuesWithCurrencyEffect[order.date] = |
|||
totalInvestmentDays > Number.EPSILON |
|||
? sumOfTimeWeightedInvestmentsWithCurrencyEffect.div( |
|||
totalInvestmentDays |
|||
) |
|||
: totalInvestmentWithCurrencyEffect.gt(0) |
|||
? totalInvestmentWithCurrencyEffect |
|||
: new Big(0); |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log('totalInvestment', totalInvestment.toNumber()); |
|||
|
|||
console.log( |
|||
'totalInvestmentWithCurrencyEffect', |
|||
totalInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
|
|||
console.log( |
|||
'totalGrossPerformance', |
|||
grossPerformance.minus(grossPerformanceAtStartDate).toNumber() |
|||
); |
|||
|
|||
console.log( |
|||
'totalGrossPerformanceWithCurrencyEffect', |
|||
grossPerformanceWithCurrencyEffect |
|||
.minus(grossPerformanceAtStartDateWithCurrencyEffect) |
|||
.toNumber() |
|||
); |
|||
} |
|||
|
|||
if (i === indexOfEndOrder) { |
|||
break; |
|||
} |
|||
} |
|||
|
|||
const totalGrossPerformance = grossPerformance.minus( |
|||
grossPerformanceAtStartDate |
|||
); |
|||
|
|||
const totalGrossPerformanceWithCurrencyEffect = |
|||
grossPerformanceWithCurrencyEffect.minus( |
|||
grossPerformanceAtStartDateWithCurrencyEffect |
|||
); |
|||
|
|||
const totalNetPerformance = grossPerformance |
|||
.minus(grossPerformanceAtStartDate) |
|||
.minus(fees.minus(feesAtStartDate)); |
|||
|
|||
const timeWeightedAverageInvestmentBetweenStartAndEndDate = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestments.div(totalInvestmentDays) |
|||
: new Big(0); |
|||
|
|||
const timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestmentsWithCurrencyEffect.div( |
|||
totalInvestmentDays |
|||
) |
|||
: new Big(0); |
|||
|
|||
const grossPerformancePercentage = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate.gt(0) |
|||
? totalGrossPerformance.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate |
|||
) |
|||
: new Big(0); |
|||
|
|||
const grossPerformancePercentageWithCurrencyEffect = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.gt( |
|||
0 |
|||
) |
|||
? totalGrossPerformanceWithCurrencyEffect.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
|||
) |
|||
: new Big(0); |
|||
|
|||
const feesPerUnit = totalUnits.gt(0) |
|||
? fees.minus(feesAtStartDate).div(totalUnits) |
|||
: new Big(0); |
|||
|
|||
const feesPerUnitWithCurrencyEffect = totalUnits.gt(0) |
|||
? feesWithCurrencyEffect |
|||
.minus(feesAtStartDateWithCurrencyEffect) |
|||
.div(totalUnits) |
|||
: new Big(0); |
|||
|
|||
const netPerformancePercentage = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate.gt(0) |
|||
? totalNetPerformance.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate |
|||
) |
|||
: new Big(0); |
|||
|
|||
const netPerformancePercentageWithCurrencyEffectMap: { |
|||
[key: DateRange]: Big; |
|||
} = {}; |
|||
|
|||
const netPerformanceWithCurrencyEffectMap: { |
|||
[key: DateRange]: Big; |
|||
} = {}; |
|||
|
|||
for (const dateRange of [ |
|||
'1d', |
|||
'1y', |
|||
'5y', |
|||
'max', |
|||
'mtd', |
|||
'wtd', |
|||
'ytd' |
|||
// TODO:
|
|||
// ...eachYearOfInterval({ end, start })
|
|||
// .filter((date) => {
|
|||
// return !isThisYear(date);
|
|||
// })
|
|||
// .map((date) => {
|
|||
// return format(date, 'yyyy');
|
|||
// })
|
|||
] as DateRange[]) { |
|||
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); |
|||
|
|||
const currentValuesAtDateRangeStartWithCurrencyEffect = |
|||
currentValuesWithCurrencyEffect[rangeStartDateString] ?? new Big(0); |
|||
|
|||
const investmentValuesAccumulatedAtStartDateWithCurrencyEffect = |
|||
investmentValuesAccumulatedWithCurrencyEffect[rangeStartDateString] ?? |
|||
new Big(0); |
|||
|
|||
const grossPerformanceAtDateRangeStartWithCurrencyEffect = |
|||
currentValuesAtDateRangeStartWithCurrencyEffect.minus( |
|||
investmentValuesAccumulatedAtStartDateWithCurrencyEffect |
|||
); |
|||
|
|||
let average = new Big(0); |
|||
let dayCount = 0; |
|||
|
|||
for (let i = this.chartDates.length - 1; i >= 0; i -= 1) { |
|||
const date = this.chartDates[i]; |
|||
|
|||
if (date > rangeEndDateString) { |
|||
continue; |
|||
} else if (date < rangeStartDateString) { |
|||
break; |
|||
} |
|||
|
|||
if ( |
|||
investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big && |
|||
investmentValuesAccumulatedWithCurrencyEffect[date].gt(0) |
|||
) { |
|||
average = average.add( |
|||
investmentValuesAccumulatedWithCurrencyEffect[date].add( |
|||
grossPerformanceAtDateRangeStartWithCurrencyEffect |
|||
) |
|||
); |
|||
|
|||
dayCount++; |
|||
} |
|||
} |
|||
|
|||
if (dayCount > 0) { |
|||
average = average.div(dayCount); |
|||
} |
|||
|
|||
netPerformanceWithCurrencyEffectMap[dateRange] = |
|||
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) |
|||
: (netPerformanceValuesWithCurrencyEffect[rangeStartDateString] ?? |
|||
new Big(0)) |
|||
) ?? new Big(0); |
|||
|
|||
netPerformancePercentageWithCurrencyEffectMap[dateRange] = average.gt(0) |
|||
? netPerformanceWithCurrencyEffectMap[dateRange].div(average) |
|||
: new Big(0); |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log( |
|||
` |
|||
${symbol} |
|||
Unit price: ${orders[indexOfStartOrder].unitPrice.toFixed( |
|||
2 |
|||
)} -> ${unitPriceAtEndDate.toFixed(2)} |
|||
Total investment: ${totalInvestment.toFixed(2)} |
|||
Total investment with currency effect: ${totalInvestmentWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Time weighted investment: ${timeWeightedAverageInvestmentBetweenStartAndEndDate.toFixed( |
|||
2 |
|||
)} |
|||
Time weighted investment with currency effect: ${timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Total dividend: ${totalDividend.toFixed(2)} |
|||
Gross performance: ${totalGrossPerformance.toFixed( |
|||
2 |
|||
)} / ${grossPerformancePercentage.mul(100).toFixed(2)}% |
|||
Gross performance with currency effect: ${totalGrossPerformanceWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} / ${grossPerformancePercentageWithCurrencyEffect |
|||
.mul(100) |
|||
.toFixed(2)}% |
|||
Fees per unit: ${feesPerUnit.toFixed(2)} |
|||
Fees per unit with currency effect: ${feesPerUnitWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Net performance: ${totalNetPerformance.toFixed( |
|||
2 |
|||
)} / ${netPerformancePercentage.mul(100).toFixed(2)}% |
|||
Net performance with currency effect: ${netPerformancePercentageWithCurrencyEffectMap[ |
|||
'max' |
|||
].toFixed(2)}%` |
|||
); |
|||
} |
|||
|
|||
return { |
|||
currentValues, |
|||
currentValuesWithCurrencyEffect, |
|||
feesWithCurrencyEffect, |
|||
grossPerformancePercentage, |
|||
grossPerformancePercentageWithCurrencyEffect, |
|||
initialValue, |
|||
initialValueWithCurrencyEffect, |
|||
investmentValuesAccumulated, |
|||
investmentValuesAccumulatedWithCurrencyEffect, |
|||
investmentValuesWithCurrencyEffect, |
|||
netPerformancePercentage, |
|||
netPerformancePercentageWithCurrencyEffectMap, |
|||
netPerformanceValues, |
|||
netPerformanceValuesWithCurrencyEffect, |
|||
netPerformanceWithCurrencyEffectMap, |
|||
timeWeightedInvestmentValues, |
|||
timeWeightedInvestmentValuesWithCurrencyEffect, |
|||
totalAccountBalanceInBaseCurrency, |
|||
totalDividend, |
|||
totalDividendInBaseCurrency, |
|||
totalInterest, |
|||
totalInterestInBaseCurrency, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
totalLiabilities, |
|||
totalLiabilitiesInBaseCurrency, |
|||
grossPerformance: totalGrossPerformance, |
|||
grossPerformanceWithCurrencyEffect: |
|||
totalGrossPerformanceWithCurrencyEffect, |
|||
hasErrors: totalUnits.gt(0) && (!initialValue || !unitPriceAtEndDate), |
|||
netPerformance: totalNetPerformance, |
|||
timeWeightedInvestment: |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate, |
|||
timeWeightedInvestmentWithCurrencyEffect: |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
|||
}; |
|||
} |
|||
} |
|||
@ -0,0 +1,29 @@ |
|||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
|||
import { |
|||
AssetProfileIdentifier, |
|||
SymbolMetrics |
|||
} from '@ghostfolio/common/interfaces'; |
|||
import { PortfolioSnapshot } from '@ghostfolio/common/models'; |
|||
import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type'; |
|||
|
|||
export class RoiPortfolioCalculator extends PortfolioCalculator { |
|||
protected calculateOverallPerformance(): PortfolioSnapshot { |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
|
|||
protected getPerformanceCalculationType() { |
|||
return PerformanceCalculationType.ROI; |
|||
} |
|||
|
|||
protected getSymbolMetrics({}: { |
|||
end: Date; |
|||
exchangeRates: { [dateString: string]: number }; |
|||
marketSymbolMap: { |
|||
[date: string]: { [symbol: string]: Big }; |
|||
}; |
|||
start: Date; |
|||
step?: number; |
|||
} & AssetProfileIdentifier): SymbolMetrics { |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
} |
|||
@ -1,965 +1,29 @@ |
|||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
|||
import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order-item.interface'; |
|||
import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
|||
import { getIntervalFromDateRange } from '@ghostfolio/common/calculation-helper'; |
|||
import { DATE_FORMAT } from '@ghostfolio/common/helper'; |
|||
import { |
|||
AssetProfileIdentifier, |
|||
SymbolMetrics |
|||
} from '@ghostfolio/common/interfaces'; |
|||
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
|||
import { DateRange } from '@ghostfolio/common/types'; |
|||
import { PortfolioSnapshot } 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 { addMilliseconds, differenceInDays, format, isBefore } from 'date-fns'; |
|||
import { cloneDeep, first, last, sortBy } from 'lodash'; |
|||
|
|||
export class TWRPortfolioCalculator extends PortfolioCalculator { |
|||
private chartDates: string[]; |
|||
|
|||
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) { |
|||
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; |
|||
} |
|||
} |
|||
export class TwrPortfolioCalculator extends PortfolioCalculator { |
|||
protected calculateOverallPerformance(): PortfolioSnapshot { |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
|
|||
return { |
|||
currentValueInBaseCurrency, |
|||
hasErrors, |
|||
positions, |
|||
totalFeesWithCurrencyEffect, |
|||
totalInterestWithCurrencyEffect, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
errors: [], |
|||
historicalData: [], |
|||
totalLiabilitiesWithCurrencyEffect: new Big(0), |
|||
totalValuablesWithCurrencyEffect: new Big(0) |
|||
}; |
|||
protected getPerformanceCalculationType() { |
|||
return PerformanceCalculationType.TWR; |
|||
} |
|||
|
|||
protected getSymbolMetrics({ |
|||
chartDateMap, |
|||
dataSource, |
|||
end, |
|||
exchangeRates, |
|||
marketSymbolMap, |
|||
start, |
|||
symbol |
|||
}: { |
|||
chartDateMap?: { [date: string]: boolean }; |
|||
protected getSymbolMetrics({}: { |
|||
end: Date; |
|||
exchangeRates: { [dateString: string]: number }; |
|||
marketSymbolMap: { |
|||
[date: string]: { [symbol: string]: Big }; |
|||
}; |
|||
start: Date; |
|||
step?: number; |
|||
} & AssetProfileIdentifier): SymbolMetrics { |
|||
const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)]; |
|||
const currentValues: { [date: string]: Big } = {}; |
|||
const currentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
let fees = new Big(0); |
|||
let feesAtStartDate = new Big(0); |
|||
let feesAtStartDateWithCurrencyEffect = new Big(0); |
|||
let feesWithCurrencyEffect = new Big(0); |
|||
let grossPerformance = new Big(0); |
|||
let grossPerformanceWithCurrencyEffect = new Big(0); |
|||
let grossPerformanceAtStartDate = new Big(0); |
|||
let grossPerformanceAtStartDateWithCurrencyEffect = new Big(0); |
|||
let grossPerformanceFromSells = new Big(0); |
|||
let grossPerformanceFromSellsWithCurrencyEffect = new Big(0); |
|||
let initialValue: Big; |
|||
let initialValueWithCurrencyEffect: Big; |
|||
let investmentAtStartDate: Big; |
|||
let investmentAtStartDateWithCurrencyEffect: Big; |
|||
const investmentValuesAccumulated: { [date: string]: Big } = {}; |
|||
const investmentValuesAccumulatedWithCurrencyEffect: { |
|||
[date: string]: Big; |
|||
} = {}; |
|||
const investmentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
let lastAveragePrice = new Big(0); |
|||
let lastAveragePriceWithCurrencyEffect = new Big(0); |
|||
const netPerformanceValues: { [date: string]: Big } = {}; |
|||
const netPerformanceValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
|||
const timeWeightedInvestmentValues: { [date: string]: Big } = {}; |
|||
|
|||
const timeWeightedInvestmentValuesWithCurrencyEffect: { |
|||
[date: string]: Big; |
|||
} = {}; |
|||
|
|||
const totalAccountBalanceInBaseCurrency = new Big(0); |
|||
let totalDividend = new Big(0); |
|||
let totalDividendInBaseCurrency = new Big(0); |
|||
let totalInterest = new Big(0); |
|||
let totalInterestInBaseCurrency = new Big(0); |
|||
let totalInvestment = new Big(0); |
|||
let totalInvestmentFromBuyTransactions = new Big(0); |
|||
let totalInvestmentFromBuyTransactionsWithCurrencyEffect = new Big(0); |
|||
let totalInvestmentWithCurrencyEffect = new Big(0); |
|||
let totalLiabilities = new Big(0); |
|||
let totalLiabilitiesInBaseCurrency = new Big(0); |
|||
let totalQuantityFromBuyTransactions = new Big(0); |
|||
let totalUnits = new Big(0); |
|||
let totalValuables = new Big(0); |
|||
let totalValuablesInBaseCurrency = new Big(0); |
|||
let valueAtStartDate: Big; |
|||
let valueAtStartDateWithCurrencyEffect: Big; |
|||
|
|||
// Clone orders to keep the original values in this.orders
|
|||
let orders: PortfolioOrderItem[] = cloneDeep( |
|||
this.activities.filter(({ SymbolProfile }) => { |
|||
return SymbolProfile.symbol === symbol; |
|||
}) |
|||
); |
|||
|
|||
if (orders.length <= 0) { |
|||
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), |
|||
totalLiabilities: new Big(0), |
|||
totalLiabilitiesInBaseCurrency: new Big(0), |
|||
totalValuables: new Big(0), |
|||
totalValuablesInBaseCurrency: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
const dateOfFirstTransaction = new Date(first(orders).date); |
|||
|
|||
const endDateString = format(end, DATE_FORMAT); |
|||
const startDateString = format(start, DATE_FORMAT); |
|||
|
|||
const unitPriceAtStartDate = marketSymbolMap[startDateString]?.[symbol]; |
|||
const unitPriceAtEndDate = marketSymbolMap[endDateString]?.[symbol]; |
|||
|
|||
if ( |
|||
!unitPriceAtEndDate || |
|||
(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
|||
) { |
|||
return { |
|||
currentValues: {}, |
|||
currentValuesWithCurrencyEffect: {}, |
|||
feesWithCurrencyEffect: new Big(0), |
|||
grossPerformance: new Big(0), |
|||
grossPerformancePercentage: new Big(0), |
|||
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
|||
grossPerformanceWithCurrencyEffect: new Big(0), |
|||
hasErrors: true, |
|||
initialValue: new Big(0), |
|||
initialValueWithCurrencyEffect: new Big(0), |
|||
investmentValuesAccumulated: {}, |
|||
investmentValuesAccumulatedWithCurrencyEffect: {}, |
|||
investmentValuesWithCurrencyEffect: {}, |
|||
netPerformance: new Big(0), |
|||
netPerformancePercentage: new Big(0), |
|||
netPerformancePercentageWithCurrencyEffectMap: {}, |
|||
netPerformanceWithCurrencyEffectMap: {}, |
|||
netPerformanceValues: {}, |
|||
netPerformanceValuesWithCurrencyEffect: {}, |
|||
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), |
|||
totalLiabilities: new Big(0), |
|||
totalLiabilitiesInBaseCurrency: new Big(0), |
|||
totalValuables: new Big(0), |
|||
totalValuablesInBaseCurrency: new Big(0) |
|||
}; |
|||
} |
|||
|
|||
// Add a synthetic order at the start and the end date
|
|||
orders.push({ |
|||
date: startDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'start', |
|||
quantity: new Big(0), |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
type: 'BUY', |
|||
unitPrice: unitPriceAtStartDate |
|||
}); |
|||
|
|||
orders.push({ |
|||
date: endDateString, |
|||
fee: new Big(0), |
|||
feeInBaseCurrency: new Big(0), |
|||
itemType: 'end', |
|||
SymbolProfile: { |
|||
dataSource, |
|||
symbol |
|||
}, |
|||
quantity: new Big(0), |
|||
type: 'BUY', |
|||
unitPrice: unitPriceAtEndDate |
|||
}); |
|||
|
|||
let lastUnitPrice: Big; |
|||
|
|||
const ordersByDate: { [date: string]: PortfolioOrderItem[] } = {}; |
|||
|
|||
for (const order of orders) { |
|||
ordersByDate[order.date] = ordersByDate[order.date] ?? []; |
|||
ordersByDate[order.date].push(order); |
|||
} |
|||
|
|||
if (!this.chartDates) { |
|||
this.chartDates = Object.keys(chartDateMap).sort(); |
|||
} |
|||
|
|||
for (const dateString of this.chartDates) { |
|||
if (dateString < startDateString) { |
|||
continue; |
|||
} else if (dateString > endDateString) { |
|||
break; |
|||
} |
|||
|
|||
if (ordersByDate[dateString]?.length > 0) { |
|||
for (const order of ordersByDate[dateString]) { |
|||
order.unitPriceFromMarketData = |
|||
marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice; |
|||
} |
|||
} else { |
|||
orders.push({ |
|||
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 |
|||
}); |
|||
} |
|||
|
|||
const lastOrder = last(orders); |
|||
|
|||
lastUnitPrice = lastOrder.unitPriceFromMarketData ?? lastOrder.unitPrice; |
|||
} |
|||
|
|||
// Sort orders so that the start and end placeholder order are at the correct
|
|||
// position
|
|||
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(); |
|||
}); |
|||
|
|||
const indexOfStartOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'start'; |
|||
}); |
|||
|
|||
const indexOfEndOrder = orders.findIndex(({ itemType }) => { |
|||
return itemType === 'end'; |
|||
}); |
|||
|
|||
let totalInvestmentDays = 0; |
|||
let sumOfTimeWeightedInvestments = new Big(0); |
|||
let sumOfTimeWeightedInvestmentsWithCurrencyEffect = new Big(0); |
|||
|
|||
for (let i = 0; i < orders.length; i += 1) { |
|||
const order = orders[i]; |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log(); |
|||
console.log(); |
|||
console.log( |
|||
i + 1, |
|||
order.date, |
|||
order.type, |
|||
order.itemType ? `(${order.itemType})` : '' |
|||
); |
|||
} |
|||
|
|||
const exchangeRateAtOrderDate = exchangeRates[order.date]; |
|||
|
|||
if (order.type === 'DIVIDEND') { |
|||
const dividend = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalDividend = totalDividend.plus(dividend); |
|||
totalDividendInBaseCurrency = totalDividendInBaseCurrency.plus( |
|||
dividend.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} else if (order.type === 'INTEREST') { |
|||
const interest = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalInterest = totalInterest.plus(interest); |
|||
totalInterestInBaseCurrency = totalInterestInBaseCurrency.plus( |
|||
interest.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} else if (order.type === 'ITEM') { |
|||
const valuables = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalValuables = totalValuables.plus(valuables); |
|||
totalValuablesInBaseCurrency = totalValuablesInBaseCurrency.plus( |
|||
valuables.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} else if (order.type === 'LIABILITY') { |
|||
const liabilities = order.quantity.mul(order.unitPrice); |
|||
|
|||
totalLiabilities = totalLiabilities.plus(liabilities); |
|||
totalLiabilitiesInBaseCurrency = totalLiabilitiesInBaseCurrency.plus( |
|||
liabilities.mul(exchangeRateAtOrderDate ?? 1) |
|||
); |
|||
} |
|||
|
|||
if (order.itemType === 'start') { |
|||
// Take the unit price of the order as the market price if there are no
|
|||
// orders of this symbol before the start date
|
|||
order.unitPrice = |
|||
indexOfStartOrder === 0 |
|||
? orders[i + 1]?.unitPrice |
|||
: unitPriceAtStartDate; |
|||
} |
|||
|
|||
if (order.fee) { |
|||
order.feeInBaseCurrency = order.fee.mul(currentExchangeRate ?? 1); |
|||
order.feeInBaseCurrencyWithCurrencyEffect = order.fee.mul( |
|||
exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
|
|||
const unitPrice = ['BUY', 'SELL'].includes(order.type) |
|||
? order.unitPrice |
|||
: order.unitPriceFromMarketData; |
|||
|
|||
if (unitPrice) { |
|||
order.unitPriceInBaseCurrency = unitPrice.mul(currentExchangeRate ?? 1); |
|||
|
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect = unitPrice.mul( |
|||
exchangeRateAtOrderDate ?? 1 |
|||
); |
|||
} |
|||
|
|||
const valueOfInvestmentBeforeTransaction = totalUnits.mul( |
|||
order.unitPriceInBaseCurrency |
|||
); |
|||
|
|||
const valueOfInvestmentBeforeTransactionWithCurrencyEffect = |
|||
totalUnits.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect); |
|||
|
|||
if (!investmentAtStartDate && i >= indexOfStartOrder) { |
|||
investmentAtStartDate = totalInvestment ?? new Big(0); |
|||
|
|||
investmentAtStartDateWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect ?? new Big(0); |
|||
|
|||
valueAtStartDate = valueOfInvestmentBeforeTransaction; |
|||
|
|||
valueAtStartDateWithCurrencyEffect = |
|||
valueOfInvestmentBeforeTransactionWithCurrencyEffect; |
|||
} |
|||
|
|||
let transactionInvestment = new Big(0); |
|||
let transactionInvestmentWithCurrencyEffect = new Big(0); |
|||
|
|||
if (order.type === 'BUY') { |
|||
transactionInvestment = order.quantity |
|||
.mul(order.unitPriceInBaseCurrency) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
transactionInvestmentWithCurrencyEffect = order.quantity |
|||
.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect) |
|||
.mul(getFactor(order.type)); |
|||
|
|||
totalQuantityFromBuyTransactions = |
|||
totalQuantityFromBuyTransactions.plus(order.quantity); |
|||
|
|||
totalInvestmentFromBuyTransactions = |
|||
totalInvestmentFromBuyTransactions.plus(transactionInvestment); |
|||
|
|||
totalInvestmentFromBuyTransactionsWithCurrencyEffect = |
|||
totalInvestmentFromBuyTransactionsWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
} else if (order.type === 'SELL') { |
|||
if (totalUnits.gt(0)) { |
|||
transactionInvestment = totalInvestment |
|||
.div(totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
transactionInvestmentWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect |
|||
.div(totalUnits) |
|||
.mul(order.quantity) |
|||
.mul(getFactor(order.type)); |
|||
} |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log('order.quantity', order.quantity.toNumber()); |
|||
console.log('transactionInvestment', transactionInvestment.toNumber()); |
|||
|
|||
console.log( |
|||
'transactionInvestmentWithCurrencyEffect', |
|||
transactionInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
|
|||
const totalInvestmentBeforeTransaction = totalInvestment; |
|||
|
|||
const totalInvestmentBeforeTransactionWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect; |
|||
|
|||
totalInvestment = totalInvestment.plus(transactionInvestment); |
|||
|
|||
totalInvestmentWithCurrencyEffect = |
|||
totalInvestmentWithCurrencyEffect.plus( |
|||
transactionInvestmentWithCurrencyEffect |
|||
); |
|||
|
|||
if (i >= indexOfStartOrder && !initialValue) { |
|||
if ( |
|||
i === indexOfStartOrder && |
|||
!valueOfInvestmentBeforeTransaction.eq(0) |
|||
) { |
|||
initialValue = valueOfInvestmentBeforeTransaction; |
|||
|
|||
initialValueWithCurrencyEffect = |
|||
valueOfInvestmentBeforeTransactionWithCurrencyEffect; |
|||
} else if (transactionInvestment.gt(0)) { |
|||
initialValue = transactionInvestment; |
|||
|
|||
initialValueWithCurrencyEffect = |
|||
transactionInvestmentWithCurrencyEffect; |
|||
} |
|||
} |
|||
|
|||
fees = fees.plus(order.feeInBaseCurrency ?? 0); |
|||
|
|||
feesWithCurrencyEffect = feesWithCurrencyEffect.plus( |
|||
order.feeInBaseCurrencyWithCurrencyEffect ?? 0 |
|||
); |
|||
|
|||
totalUnits = totalUnits.plus(order.quantity.mul(getFactor(order.type))); |
|||
|
|||
const valueOfInvestment = totalUnits.mul(order.unitPriceInBaseCurrency); |
|||
|
|||
const valueOfInvestmentWithCurrencyEffect = totalUnits.mul( |
|||
order.unitPriceInBaseCurrencyWithCurrencyEffect |
|||
); |
|||
|
|||
const grossPerformanceFromSell = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrency |
|||
.minus(lastAveragePrice) |
|||
.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
const grossPerformanceFromSellWithCurrencyEffect = |
|||
order.type === 'SELL' |
|||
? order.unitPriceInBaseCurrencyWithCurrencyEffect |
|||
.minus(lastAveragePriceWithCurrencyEffect) |
|||
.mul(order.quantity) |
|||
: new Big(0); |
|||
|
|||
grossPerformanceFromSells = grossPerformanceFromSells.plus( |
|||
grossPerformanceFromSell |
|||
); |
|||
|
|||
grossPerformanceFromSellsWithCurrencyEffect = |
|||
grossPerformanceFromSellsWithCurrencyEffect.plus( |
|||
grossPerformanceFromSellWithCurrencyEffect |
|||
); |
|||
|
|||
lastAveragePrice = totalQuantityFromBuyTransactions.eq(0) |
|||
? new Big(0) |
|||
: totalInvestmentFromBuyTransactions.div( |
|||
totalQuantityFromBuyTransactions |
|||
); |
|||
|
|||
lastAveragePriceWithCurrencyEffect = totalQuantityFromBuyTransactions.eq( |
|||
0 |
|||
) |
|||
? new Big(0) |
|||
: totalInvestmentFromBuyTransactionsWithCurrencyEffect.div( |
|||
totalQuantityFromBuyTransactions |
|||
); |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log( |
|||
'grossPerformanceFromSells', |
|||
grossPerformanceFromSells.toNumber() |
|||
); |
|||
console.log( |
|||
'grossPerformanceFromSellWithCurrencyEffect', |
|||
grossPerformanceFromSellWithCurrencyEffect.toNumber() |
|||
); |
|||
} |
|||
|
|||
const newGrossPerformance = valueOfInvestment |
|||
.minus(totalInvestment) |
|||
.plus(grossPerformanceFromSells); |
|||
|
|||
const newGrossPerformanceWithCurrencyEffect = |
|||
valueOfInvestmentWithCurrencyEffect |
|||
.minus(totalInvestmentWithCurrencyEffect) |
|||
.plus(grossPerformanceFromSellsWithCurrencyEffect); |
|||
|
|||
grossPerformance = newGrossPerformance; |
|||
|
|||
grossPerformanceWithCurrencyEffect = |
|||
newGrossPerformanceWithCurrencyEffect; |
|||
|
|||
if (order.itemType === 'start') { |
|||
feesAtStartDate = fees; |
|||
feesAtStartDateWithCurrencyEffect = feesWithCurrencyEffect; |
|||
grossPerformanceAtStartDate = grossPerformance; |
|||
|
|||
grossPerformanceAtStartDateWithCurrencyEffect = |
|||
grossPerformanceWithCurrencyEffect; |
|||
} |
|||
|
|||
if (i > indexOfStartOrder) { |
|||
// Only consider periods with an investment for the calculation of
|
|||
// the time weighted investment
|
|||
if ( |
|||
valueOfInvestmentBeforeTransaction.gt(0) && |
|||
['BUY', 'SELL'].includes(order.type) |
|||
) { |
|||
// Calculate the number of days since the previous order
|
|||
const orderDate = new Date(order.date); |
|||
const previousOrderDate = new Date(orders[i - 1].date); |
|||
|
|||
let daysSinceLastOrder = differenceInDays( |
|||
orderDate, |
|||
previousOrderDate |
|||
); |
|||
if (daysSinceLastOrder <= 0) { |
|||
// The time between two activities on the same day is unknown
|
|||
// -> Set it to the smallest floating point number greater than 0
|
|||
daysSinceLastOrder = Number.EPSILON; |
|||
} |
|||
|
|||
// Sum up the total investment days since the start date to calculate
|
|||
// the time weighted investment
|
|||
totalInvestmentDays += daysSinceLastOrder; |
|||
|
|||
sumOfTimeWeightedInvestments = sumOfTimeWeightedInvestments.add( |
|||
valueAtStartDate |
|||
.minus(investmentAtStartDate) |
|||
.plus(totalInvestmentBeforeTransaction) |
|||
.mul(daysSinceLastOrder) |
|||
); |
|||
|
|||
sumOfTimeWeightedInvestmentsWithCurrencyEffect = |
|||
sumOfTimeWeightedInvestmentsWithCurrencyEffect.add( |
|||
valueAtStartDateWithCurrencyEffect |
|||
.minus(investmentAtStartDateWithCurrencyEffect) |
|||
.plus(totalInvestmentBeforeTransactionWithCurrencyEffect) |
|||
.mul(daysSinceLastOrder) |
|||
); |
|||
} |
|||
|
|||
currentValues[order.date] = valueOfInvestment; |
|||
|
|||
currentValuesWithCurrencyEffect[order.date] = |
|||
valueOfInvestmentWithCurrencyEffect; |
|||
|
|||
netPerformanceValues[order.date] = grossPerformance |
|||
.minus(grossPerformanceAtStartDate) |
|||
.minus(fees.minus(feesAtStartDate)); |
|||
|
|||
netPerformanceValuesWithCurrencyEffect[order.date] = |
|||
grossPerformanceWithCurrencyEffect |
|||
.minus(grossPerformanceAtStartDateWithCurrencyEffect) |
|||
.minus( |
|||
feesWithCurrencyEffect.minus(feesAtStartDateWithCurrencyEffect) |
|||
); |
|||
|
|||
investmentValuesAccumulated[order.date] = totalInvestment; |
|||
|
|||
investmentValuesAccumulatedWithCurrencyEffect[order.date] = |
|||
totalInvestmentWithCurrencyEffect; |
|||
|
|||
investmentValuesWithCurrencyEffect[order.date] = ( |
|||
investmentValuesWithCurrencyEffect[order.date] ?? new Big(0) |
|||
).add(transactionInvestmentWithCurrencyEffect); |
|||
|
|||
timeWeightedInvestmentValues[order.date] = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestments.div(totalInvestmentDays) |
|||
: new Big(0); |
|||
|
|||
timeWeightedInvestmentValuesWithCurrencyEffect[order.date] = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestmentsWithCurrencyEffect.div( |
|||
totalInvestmentDays |
|||
) |
|||
: new Big(0); |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log('totalInvestment', totalInvestment.toNumber()); |
|||
|
|||
console.log( |
|||
'totalInvestmentWithCurrencyEffect', |
|||
totalInvestmentWithCurrencyEffect.toNumber() |
|||
); |
|||
|
|||
console.log( |
|||
'totalGrossPerformance', |
|||
grossPerformance.minus(grossPerformanceAtStartDate).toNumber() |
|||
); |
|||
|
|||
console.log( |
|||
'totalGrossPerformanceWithCurrencyEffect', |
|||
grossPerformanceWithCurrencyEffect |
|||
.minus(grossPerformanceAtStartDateWithCurrencyEffect) |
|||
.toNumber() |
|||
); |
|||
} |
|||
|
|||
if (i === indexOfEndOrder) { |
|||
break; |
|||
} |
|||
} |
|||
|
|||
const totalGrossPerformance = grossPerformance.minus( |
|||
grossPerformanceAtStartDate |
|||
); |
|||
|
|||
const totalGrossPerformanceWithCurrencyEffect = |
|||
grossPerformanceWithCurrencyEffect.minus( |
|||
grossPerformanceAtStartDateWithCurrencyEffect |
|||
); |
|||
|
|||
const totalNetPerformance = grossPerformance |
|||
.minus(grossPerformanceAtStartDate) |
|||
.minus(fees.minus(feesAtStartDate)); |
|||
|
|||
const timeWeightedAverageInvestmentBetweenStartAndEndDate = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestments.div(totalInvestmentDays) |
|||
: new Big(0); |
|||
|
|||
const timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect = |
|||
totalInvestmentDays > 0 |
|||
? sumOfTimeWeightedInvestmentsWithCurrencyEffect.div( |
|||
totalInvestmentDays |
|||
) |
|||
: new Big(0); |
|||
|
|||
const grossPerformancePercentage = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate.gt(0) |
|||
? totalGrossPerformance.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate |
|||
) |
|||
: new Big(0); |
|||
|
|||
const grossPerformancePercentageWithCurrencyEffect = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.gt( |
|||
0 |
|||
) |
|||
? totalGrossPerformanceWithCurrencyEffect.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
|||
) |
|||
: new Big(0); |
|||
|
|||
const feesPerUnit = totalUnits.gt(0) |
|||
? fees.minus(feesAtStartDate).div(totalUnits) |
|||
: new Big(0); |
|||
|
|||
const feesPerUnitWithCurrencyEffect = totalUnits.gt(0) |
|||
? feesWithCurrencyEffect |
|||
.minus(feesAtStartDateWithCurrencyEffect) |
|||
.div(totalUnits) |
|||
: new Big(0); |
|||
|
|||
const netPerformancePercentage = |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate.gt(0) |
|||
? totalNetPerformance.div( |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate |
|||
) |
|||
: new Big(0); |
|||
|
|||
const netPerformancePercentageWithCurrencyEffectMap: { |
|||
[key: DateRange]: Big; |
|||
} = {}; |
|||
|
|||
const netPerformanceWithCurrencyEffectMap: { |
|||
[key: DateRange]: Big; |
|||
} = {}; |
|||
|
|||
for (const dateRange of [ |
|||
'1d', |
|||
'1y', |
|||
'5y', |
|||
'max', |
|||
'mtd', |
|||
'wtd', |
|||
'ytd' |
|||
// TODO:
|
|||
// ...eachYearOfInterval({ end, start })
|
|||
// .filter((date) => {
|
|||
// return !isThisYear(date);
|
|||
// })
|
|||
// .map((date) => {
|
|||
// return format(date, 'yyyy');
|
|||
// })
|
|||
] as DateRange[]) { |
|||
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); |
|||
|
|||
const currentValuesAtDateRangeStartWithCurrencyEffect = |
|||
currentValuesWithCurrencyEffect[rangeStartDateString] ?? new Big(0); |
|||
|
|||
const investmentValuesAccumulatedAtStartDateWithCurrencyEffect = |
|||
investmentValuesAccumulatedWithCurrencyEffect[rangeStartDateString] ?? |
|||
new Big(0); |
|||
|
|||
const grossPerformanceAtDateRangeStartWithCurrencyEffect = |
|||
currentValuesAtDateRangeStartWithCurrencyEffect.minus( |
|||
investmentValuesAccumulatedAtStartDateWithCurrencyEffect |
|||
); |
|||
|
|||
let average = new Big(0); |
|||
let dayCount = 0; |
|||
|
|||
for (let i = this.chartDates.length - 1; i >= 0; i -= 1) { |
|||
const date = this.chartDates[i]; |
|||
|
|||
if (date > rangeEndDateString) { |
|||
continue; |
|||
} else if (date < rangeStartDateString) { |
|||
break; |
|||
} |
|||
|
|||
if ( |
|||
investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big && |
|||
investmentValuesAccumulatedWithCurrencyEffect[date].gt(0) |
|||
) { |
|||
average = average.add( |
|||
investmentValuesAccumulatedWithCurrencyEffect[date].add( |
|||
grossPerformanceAtDateRangeStartWithCurrencyEffect |
|||
) |
|||
); |
|||
|
|||
dayCount++; |
|||
} |
|||
} |
|||
|
|||
if (dayCount > 0) { |
|||
average = average.div(dayCount); |
|||
} |
|||
|
|||
netPerformanceWithCurrencyEffectMap[dateRange] = |
|||
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) |
|||
: (netPerformanceValuesWithCurrencyEffect[rangeStartDateString] ?? |
|||
new Big(0)) |
|||
) ?? new Big(0); |
|||
|
|||
netPerformancePercentageWithCurrencyEffectMap[dateRange] = average.gt(0) |
|||
? netPerformanceWithCurrencyEffectMap[dateRange].div(average) |
|||
: new Big(0); |
|||
} |
|||
|
|||
if (PortfolioCalculator.ENABLE_LOGGING) { |
|||
console.log( |
|||
` |
|||
${symbol} |
|||
Unit price: ${orders[indexOfStartOrder].unitPrice.toFixed( |
|||
2 |
|||
)} -> ${unitPriceAtEndDate.toFixed(2)} |
|||
Total investment: ${totalInvestment.toFixed(2)} |
|||
Total investment with currency effect: ${totalInvestmentWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Time weighted investment: ${timeWeightedAverageInvestmentBetweenStartAndEndDate.toFixed( |
|||
2 |
|||
)} |
|||
Time weighted investment with currency effect: ${timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Total dividend: ${totalDividend.toFixed(2)} |
|||
Gross performance: ${totalGrossPerformance.toFixed( |
|||
2 |
|||
)} / ${grossPerformancePercentage.mul(100).toFixed(2)}% |
|||
Gross performance with currency effect: ${totalGrossPerformanceWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} / ${grossPerformancePercentageWithCurrencyEffect |
|||
.mul(100) |
|||
.toFixed(2)}% |
|||
Fees per unit: ${feesPerUnit.toFixed(2)} |
|||
Fees per unit with currency effect: ${feesPerUnitWithCurrencyEffect.toFixed( |
|||
2 |
|||
)} |
|||
Net performance: ${totalNetPerformance.toFixed( |
|||
2 |
|||
)} / ${netPerformancePercentage.mul(100).toFixed(2)}% |
|||
Net performance with currency effect: ${netPerformancePercentageWithCurrencyEffectMap[ |
|||
'max' |
|||
].toFixed(2)}%` |
|||
); |
|||
} |
|||
|
|||
return { |
|||
currentValues, |
|||
currentValuesWithCurrencyEffect, |
|||
feesWithCurrencyEffect, |
|||
grossPerformancePercentage, |
|||
grossPerformancePercentageWithCurrencyEffect, |
|||
initialValue, |
|||
initialValueWithCurrencyEffect, |
|||
investmentValuesAccumulated, |
|||
investmentValuesAccumulatedWithCurrencyEffect, |
|||
investmentValuesWithCurrencyEffect, |
|||
netPerformancePercentage, |
|||
netPerformancePercentageWithCurrencyEffectMap, |
|||
netPerformanceValues, |
|||
netPerformanceValuesWithCurrencyEffect, |
|||
netPerformanceWithCurrencyEffectMap, |
|||
timeWeightedInvestmentValues, |
|||
timeWeightedInvestmentValuesWithCurrencyEffect, |
|||
totalAccountBalanceInBaseCurrency, |
|||
totalDividend, |
|||
totalDividendInBaseCurrency, |
|||
totalInterest, |
|||
totalInterestInBaseCurrency, |
|||
totalInvestment, |
|||
totalInvestmentWithCurrencyEffect, |
|||
totalLiabilities, |
|||
totalLiabilitiesInBaseCurrency, |
|||
totalValuables, |
|||
totalValuablesInBaseCurrency, |
|||
grossPerformance: totalGrossPerformance, |
|||
grossPerformanceWithCurrencyEffect: |
|||
totalGrossPerformanceWithCurrencyEffect, |
|||
hasErrors: totalUnits.gt(0) && (!initialValue || !unitPriceAtEndDate), |
|||
netPerformance: totalNetPerformance, |
|||
timeWeightedInvestment: |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDate, |
|||
timeWeightedInvestmentWithCurrencyEffect: |
|||
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
|||
}; |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
} |
|||
|
|||
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Reference in new issue