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import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
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import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order-item.interface'; |
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import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
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import { getIntervalFromDateRange } from '@ghostfolio/common/calculation-helper'; |
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import { DATE_FORMAT } from '@ghostfolio/common/helper'; |
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import { |
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AssetProfileIdentifier, |
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SymbolMetrics |
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} from '@ghostfolio/common/interfaces'; |
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import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
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import { DateRange } from '@ghostfolio/common/types'; |
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import { Logger } from '@nestjs/common'; |
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import { Big } from 'big.js'; |
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import { addMilliseconds, differenceInDays, format, isBefore } from 'date-fns'; |
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import { cloneDeep, sortBy } from 'lodash'; |
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export class RoaiPortfolioCalculator extends PortfolioCalculator { |
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private chartDates: string[]; |
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protected calculateOverallPerformance( |
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positions: TimelinePosition[] |
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): PortfolioSnapshot { |
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let currentValueInBaseCurrency = new Big(0); |
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let grossPerformance = new Big(0); |
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let grossPerformanceWithCurrencyEffect = new Big(0); |
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let hasErrors = false; |
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let netPerformance = new Big(0); |
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let totalFeesWithCurrencyEffect = new Big(0); |
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const totalInterestWithCurrencyEffect = new Big(0); |
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let totalInvestment = new Big(0); |
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let totalInvestmentWithCurrencyEffect = new Big(0); |
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let totalTimeWeightedInvestment = new Big(0); |
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let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0); |
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for (const currentPosition of positions) { |
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if (currentPosition.feeInBaseCurrency) { |
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totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus( |
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currentPosition.feeInBaseCurrency |
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); |
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} |
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if (currentPosition.valueInBaseCurrency) { |
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currentValueInBaseCurrency = currentValueInBaseCurrency.plus( |
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currentPosition.valueInBaseCurrency |
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); |
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} else { |
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hasErrors = true; |
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} |
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if (currentPosition.investment) { |
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totalInvestment = totalInvestment.plus(currentPosition.investment); |
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totalInvestmentWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect.plus( |
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currentPosition.investmentWithCurrencyEffect |
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); |
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} else { |
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hasErrors = true; |
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} |
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if (currentPosition.grossPerformance) { |
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grossPerformance = grossPerformance.plus( |
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currentPosition.grossPerformance |
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); |
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grossPerformanceWithCurrencyEffect = |
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grossPerformanceWithCurrencyEffect.plus( |
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currentPosition.grossPerformanceWithCurrencyEffect |
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); |
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netPerformance = netPerformance.plus(currentPosition.netPerformance); |
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} else if (!currentPosition.quantity.eq(0)) { |
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hasErrors = true; |
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} |
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if (currentPosition.timeWeightedInvestment) { |
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totalTimeWeightedInvestment = totalTimeWeightedInvestment.plus( |
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currentPosition.timeWeightedInvestment |
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); |
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totalTimeWeightedInvestmentWithCurrencyEffect = |
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totalTimeWeightedInvestmentWithCurrencyEffect.plus( |
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currentPosition.timeWeightedInvestmentWithCurrencyEffect |
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); |
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} else if (!currentPosition.quantity.eq(0)) { |
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Logger.warn( |
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`Missing historical market data for ${currentPosition.symbol} (${currentPosition.dataSource})`, |
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'PortfolioCalculator' |
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); |
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hasErrors = true; |
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} |
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} |
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return { |
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currentValueInBaseCurrency, |
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hasErrors, |
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positions, |
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totalFeesWithCurrencyEffect, |
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totalInterestWithCurrencyEffect, |
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totalInvestment, |
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totalInvestmentWithCurrencyEffect, |
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activitiesCount: this.activities.filter(({ type }) => { |
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return ['BUY', 'SELL'].includes(type); |
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}).length, |
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createdAt: new Date(), |
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errors: [], |
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historicalData: [], |
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totalLiabilitiesWithCurrencyEffect: new Big(0), |
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totalValuablesWithCurrencyEffect: new Big(0) |
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}; |
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} |
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protected getSymbolMetrics({ |
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chartDateMap, |
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dataSource, |
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end, |
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exchangeRates, |
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marketSymbolMap, |
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start, |
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symbol |
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}: { |
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chartDateMap?: { [date: string]: boolean }; |
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end: Date; |
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exchangeRates: { [dateString: string]: number }; |
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marketSymbolMap: { |
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[date: string]: { [symbol: string]: Big }; |
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}; |
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start: Date; |
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} & AssetProfileIdentifier): SymbolMetrics { |
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const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)]; |
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const currentValues: { [date: string]: Big } = {}; |
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const currentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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let fees = new Big(0); |
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let feesAtStartDate = new Big(0); |
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let feesAtStartDateWithCurrencyEffect = new Big(0); |
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let feesWithCurrencyEffect = new Big(0); |
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let grossPerformance = new Big(0); |
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let grossPerformanceWithCurrencyEffect = new Big(0); |
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let grossPerformanceAtStartDate = new Big(0); |
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let grossPerformanceAtStartDateWithCurrencyEffect = new Big(0); |
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let grossPerformanceFromSells = new Big(0); |
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let grossPerformanceFromSellsWithCurrencyEffect = new Big(0); |
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let initialValue: Big; |
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let initialValueWithCurrencyEffect: Big; |
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let investmentAtStartDate: Big; |
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let investmentAtStartDateWithCurrencyEffect: Big; |
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const investmentValuesAccumulated: { [date: string]: Big } = {}; |
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const investmentValuesAccumulatedWithCurrencyEffect: { |
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[date: string]: Big; |
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} = {}; |
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const investmentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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let lastAveragePrice = new Big(0); |
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let lastAveragePriceWithCurrencyEffect = new Big(0); |
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const netPerformanceValues: { [date: string]: Big } = {}; |
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const netPerformanceValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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const timeWeightedInvestmentValues: { [date: string]: Big } = {}; |
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const timeWeightedInvestmentValuesWithCurrencyEffect: { |
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[date: string]: Big; |
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} = {}; |
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const totalAccountBalanceInBaseCurrency = new Big(0); |
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let totalDividend = new Big(0); |
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let totalDividendInBaseCurrency = new Big(0); |
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let totalInterest = new Big(0); |
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let totalInterestInBaseCurrency = new Big(0); |
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let totalInvestment = new Big(0); |
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let totalInvestmentFromBuyTransactions = new Big(0); |
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let totalInvestmentFromBuyTransactionsWithCurrencyEffect = new Big(0); |
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let totalInvestmentWithCurrencyEffect = new Big(0); |
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let totalLiabilities = new Big(0); |
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let totalLiabilitiesInBaseCurrency = new Big(0); |
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let totalQuantityFromBuyTransactions = new Big(0); |
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let totalUnits = new Big(0); |
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let totalValuables = new Big(0); |
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let totalValuablesInBaseCurrency = new Big(0); |
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let valueAtStartDate: Big; |
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let valueAtStartDateWithCurrencyEffect: Big; |
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// Clone orders to keep the original values in this.orders
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let orders: PortfolioOrderItem[] = cloneDeep( |
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this.activities.filter(({ SymbolProfile }) => { |
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return SymbolProfile.symbol === symbol; |
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}) |
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); |
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if (orders.length <= 0) { |
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return { |
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currentValues: {}, |
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currentValuesWithCurrencyEffect: {}, |
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feesWithCurrencyEffect: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: false, |
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initialValue: new Big(0), |
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initialValueWithCurrencyEffect: new Big(0), |
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investmentValuesAccumulated: {}, |
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investmentValuesAccumulatedWithCurrencyEffect: {}, |
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investmentValuesWithCurrencyEffect: {}, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffectMap: {}, |
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netPerformanceValues: {}, |
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netPerformanceValuesWithCurrencyEffect: {}, |
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netPerformanceWithCurrencyEffectMap: {}, |
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timeWeightedInvestment: new Big(0), |
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timeWeightedInvestmentValues: {}, |
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timeWeightedInvestmentValuesWithCurrencyEffect: {}, |
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timeWeightedInvestmentWithCurrencyEffect: new Big(0), |
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totalAccountBalanceInBaseCurrency: new Big(0), |
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totalDividend: new Big(0), |
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totalDividendInBaseCurrency: new Big(0), |
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totalInterest: new Big(0), |
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totalInterestInBaseCurrency: new Big(0), |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0), |
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totalLiabilities: new Big(0), |
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totalLiabilitiesInBaseCurrency: new Big(0), |
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totalValuables: new Big(0), |
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totalValuablesInBaseCurrency: new Big(0), |
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unitPrices: {} |
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}; |
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} |
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const dateOfFirstTransaction = new Date(orders[0].date); |
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const endDateString = format(end, DATE_FORMAT); |
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const startDateString = format(start, DATE_FORMAT); |
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const unitPriceAtStartDate = marketSymbolMap[startDateString]?.[symbol]; |
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const unitPriceAtEndDate = marketSymbolMap[endDateString]?.[symbol]; |
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if ( |
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!unitPriceAtEndDate || |
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(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
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) { |
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return { |
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currentValues: {}, |
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currentValuesWithCurrencyEffect: {}, |
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feesWithCurrencyEffect: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: true, |
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initialValue: new Big(0), |
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initialValueWithCurrencyEffect: new Big(0), |
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investmentValuesAccumulated: {}, |
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investmentValuesAccumulatedWithCurrencyEffect: {}, |
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investmentValuesWithCurrencyEffect: {}, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffectMap: {}, |
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netPerformanceWithCurrencyEffectMap: {}, |
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netPerformanceValues: {}, |
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netPerformanceValuesWithCurrencyEffect: {}, |
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timeWeightedInvestment: new Big(0), |
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timeWeightedInvestmentValues: {}, |
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timeWeightedInvestmentValuesWithCurrencyEffect: {}, |
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timeWeightedInvestmentWithCurrencyEffect: new Big(0), |
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totalAccountBalanceInBaseCurrency: new Big(0), |
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totalDividend: new Big(0), |
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totalDividendInBaseCurrency: new Big(0), |
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totalInterest: new Big(0), |
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totalInterestInBaseCurrency: new Big(0), |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0), |
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totalLiabilities: new Big(0), |
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totalLiabilitiesInBaseCurrency: new Big(0), |
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totalValuables: new Big(0), |
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totalValuablesInBaseCurrency: new Big(0), |
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unitPrices: {} |
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}; |
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} |
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// Add a synthetic order at the start and the end date
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orders.push({ |
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date: startDateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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itemType: 'start', |
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quantity: new Big(0), |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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type: 'BUY', |
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unitPrice: unitPriceAtStartDate |
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}); |
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orders.push({ |
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date: endDateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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itemType: 'end', |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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quantity: new Big(0), |
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type: 'BUY', |
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unitPrice: unitPriceAtEndDate |
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}); |
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let lastUnitPrice: Big; |
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const ordersByDate: { [date: string]: PortfolioOrderItem[] } = {}; |
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for (const order of orders) { |
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ordersByDate[order.date] = ordersByDate[order.date] ?? []; |
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ordersByDate[order.date].push(order); |
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} |
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if (!this.chartDates) { |
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this.chartDates = Object.keys(chartDateMap).sort(); |
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} |
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for (const dateString of this.chartDates) { |
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if (dateString < startDateString) { |
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continue; |
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} else if (dateString > endDateString) { |
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break; |
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} |
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if (ordersByDate[dateString]?.length > 0) { |
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for (const order of ordersByDate[dateString]) { |
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order.unitPriceFromMarketData = |
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marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice; |
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} |
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} else { |
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orders.push({ |
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date: dateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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quantity: new Big(0), |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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type: 'BUY', |
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unitPrice: marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice, |
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unitPriceFromMarketData: |
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marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice |
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}); |
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} |
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const lastOrder = orders.at(-1); |
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lastUnitPrice = lastOrder.unitPriceFromMarketData ?? lastOrder.unitPrice; |
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} |
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// Sort orders so that the start and end placeholder order are at the correct
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// position
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orders = sortBy(orders, ({ date, itemType }) => { |
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let sortIndex = new Date(date); |
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if (itemType === 'end') { |
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sortIndex = addMilliseconds(sortIndex, 1); |
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} else if (itemType === 'start') { |
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sortIndex = addMilliseconds(sortIndex, -1); |
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} |
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return sortIndex.getTime(); |
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}); |
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const indexOfStartOrder = orders.findIndex(({ itemType }) => { |
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return itemType === 'start'; |
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}); |
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const indexOfEndOrder = orders.findIndex(({ itemType }) => { |
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return itemType === 'end'; |
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}); |
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let totalInvestmentDays = 0; |
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let sumOfTimeWeightedInvestments = new Big(0); |
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let sumOfTimeWeightedInvestmentsWithCurrencyEffect = new Big(0); |
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for (let i = 0; i < orders.length; i += 1) { |
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const order = orders[i]; |
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if (PortfolioCalculator.ENABLE_LOGGING) { |
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console.log(); |
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console.log(); |
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console.log( |
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i + 1, |
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order.date, |
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order.type, |
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order.itemType ? `(${order.itemType})` : '' |
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); |
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} |
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const exchangeRateAtOrderDate = exchangeRates[order.date]; |
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if (order.type === 'DIVIDEND') { |
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const dividend = order.quantity.mul(order.unitPrice); |
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totalDividend = totalDividend.plus(dividend); |
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totalDividendInBaseCurrency = totalDividendInBaseCurrency.plus( |
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dividend.mul(exchangeRateAtOrderDate ?? 1) |
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); |
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} else if (order.type === 'INTEREST') { |
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const interest = order.quantity.mul(order.unitPrice); |
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|
|
|
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); |
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const investmentValuesAccumulatedAtStartDateWithCurrencyEffect = |
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investmentValuesAccumulatedWithCurrencyEffect[rangeStartDateString] ?? |
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new Big(0); |
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const grossPerformanceAtDateRangeStartWithCurrencyEffect = |
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currentValuesAtDateRangeStartWithCurrencyEffect.minus( |
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investmentValuesAccumulatedAtStartDateWithCurrencyEffect |
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); |
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let average = new Big(0); |
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let dayCount = 0; |
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for (let i = this.chartDates.length - 1; i >= 0; i -= 1) { |
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const date = this.chartDates[i]; |
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if (date > rangeEndDateString) { |
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continue; |
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} else if (date < rangeStartDateString) { |
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break; |
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} |
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if ( |
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investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big && |
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investmentValuesAccumulatedWithCurrencyEffect[date].gt(0) |
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) { |
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average = average.add( |
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investmentValuesAccumulatedWithCurrencyEffect[date].add( |
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grossPerformanceAtDateRangeStartWithCurrencyEffect |
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) |
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); |
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dayCount++; |
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} |
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} |
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if (dayCount > 0) { |
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average = average.div(dayCount); |
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} |
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netPerformanceWithCurrencyEffectMap[dateRange] = |
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netPerformanceValuesWithCurrencyEffect[rangeEndDateString]?.minus( |
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// If the date range is 'max', take 0 as a start value. Otherwise,
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// the value of the end of the day of the start date is taken which
|
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// differs from the buying price.
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dateRange === 'max' |
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? new Big(0) |
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: (netPerformanceValuesWithCurrencyEffect[rangeStartDateString] ?? |
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new Big(0)) |
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) ?? new Big(0); |
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netPerformancePercentageWithCurrencyEffectMap[dateRange] = average.gt(0) |
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? netPerformanceWithCurrencyEffectMap[dateRange].div(average) |
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: new Big(0); |
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} |
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if (PortfolioCalculator.ENABLE_LOGGING) { |
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console.log( |
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` |
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${symbol} |
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Unit price: ${orders[indexOfStartOrder].unitPrice.toFixed( |
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2 |
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)} -> ${unitPriceAtEndDate.toFixed(2)} |
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Total investment: ${totalInvestment.toFixed(2)} |
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Total investment with currency effect: ${totalInvestmentWithCurrencyEffect.toFixed( |
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2 |
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)} |
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Time weighted investment: ${timeWeightedAverageInvestmentBetweenStartAndEndDate.toFixed( |
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2 |
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|
)} |
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Time weighted investment with currency effect: ${timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.toFixed( |
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2 |
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)} |
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|
Total dividend: ${totalDividend.toFixed(2)} |
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|
Gross performance: ${totalGrossPerformance.toFixed( |
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|
2 |
|
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|
)} / ${grossPerformancePercentage.mul(100).toFixed(2)}% |
|
|
|
Gross performance with currency effect: ${totalGrossPerformanceWithCurrencyEffect.toFixed( |
|
|
|
2 |
|
|
|
)} / ${grossPerformancePercentageWithCurrencyEffect |
|
|
|
.mul(100) |
|
|
|
.toFixed(2)}% |
|
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|
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, |
|
|
|
unitPrices: marketSymbolMap[endDateString] |
|
|
|
}; |
|
|
|
} |
|
|
|
} |
dandevaud
3 months ago
GitHub