Improve handling of future liabilities (#3118)

* Improve handling of future liabilities

* Refactor currentValue to currentValueInBaseCurrency

* Update changelog

CHANGELOG.md

@@ -12,6 +12,10 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - Integrated dividend into the transaction point concept in the portfolio service
 - Removed the environment variable `WEB_AUTH_RP_ID`
 
+### Fixed
+
+- Fixed an issue in the calculation of the portfolio summary caused by future liabilities
+
 ## 2.61.1 - 2024-03-06
 
 ### Fixed

apps/api/src/app/portfolio/current-rate.service.mock.ts

@@ -46,6 +46,8 @@ function mockGetValue(symbol: string, date: Date) {
     case 'MSFT':
       if (isSameDay(parseDate('2021-09-16'), date)) {
         return { marketPrice: 89.12 };
+      } else if (isSameDay(parseDate('2021-11-16'), date)) {
+        return { marketPrice: 339.51 };
       } else if (isSameDay(parseDate('2023-07-10'), date)) {
         return { marketPrice: 331.83 };
       }

apps/api/src/app/portfolio/interfaces/current-positions.interface.ts

@@ -3,7 +3,7 @@ import { ResponseError, TimelinePosition } from '@ghostfolio/common/interfaces';
 import Big from 'big.js';
 
 export interface CurrentPositions extends ResponseError {
-  positions: TimelinePosition[];
+  currentValueInBaseCurrency: Big;
   grossPerformance: Big;
   grossPerformanceWithCurrencyEffect: Big;
   grossPerformancePercentage: Big;
@@ -14,6 +14,6 @@ export interface CurrentPositions extends ResponseError {
   netPerformanceWithCurrencyEffect: Big;
   netPerformancePercentage: Big;
   netPerformancePercentageWithCurrencyEffect: Big;
-  currentValue: Big;
+  positions: TimelinePosition[];
   totalInvestment: Big;
 }

apps/api/src/app/portfolio/portfolio-calculator-baln-buy-and-sell.spec.ts

@@ -87,7 +87,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('0'),
+        currentValueInBaseCurrency: new Big('0'),
         errors: [],
         grossPerformance: new Big('-12.6'),
         grossPerformancePercentage: new Big('-0.0440867739678096571'),
@@ -131,7 +131,8 @@ describe('PortfolioCalculator', () => {
             symbol: 'BALN.SW',
             timeWeightedInvestment: new Big('285.8'),
             timeWeightedInvestmentWithCurrencyEffect: new Big('285.8'),
-            transactionCount: 2
+            transactionCount: 2,
+            valueInBaseCurrency: new Big('0')
           }
         ],
         totalInvestment: new Big('0'),

apps/api/src/app/portfolio/portfolio-calculator-baln-buy.spec.ts

@@ -76,7 +76,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('297.8'),
+        currentValueInBaseCurrency: new Big('297.8'),
         errors: [],
         grossPerformance: new Big('24.6'),
         grossPerformancePercentage: new Big('0.09004392386530014641'),
@@ -120,7 +120,8 @@ describe('PortfolioCalculator', () => {
             symbol: 'BALN.SW',
             timeWeightedInvestment: new Big('273.2'),
             timeWeightedInvestmentWithCurrencyEffect: new Big('273.2'),
-            transactionCount: 1
+            transactionCount: 1,
+            valueInBaseCurrency: new Big('297.8')
           }
         ],
         totalInvestment: new Big('273.2'),

apps/api/src/app/portfolio/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts

@@ -100,7 +100,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('13298.425356'),
+        currentValueInBaseCurrency: new Big('13298.425356'),
         errors: [],
         grossPerformance: new Big('27172.74'),
         grossPerformancePercentage: new Big('42.41978276196153750666'),
@@ -151,7 +151,8 @@ describe('PortfolioCalculator', () => {
             timeWeightedInvestmentWithCurrencyEffect: new Big(
               '636.79469348020066587024'
             ),
-            transactionCount: 2
+            transactionCount: 2,
+            valueInBaseCurrency: new Big('13298.425356')
           }
         ],
         totalInvestment: new Big('320.43'),

apps/api/src/app/portfolio/portfolio-calculator-googl-buy.spec.ts

@@ -89,7 +89,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('103.10483'),
+        currentValueInBaseCurrency: new Big('103.10483'),
         errors: [],
         grossPerformance: new Big('27.33'),
         grossPerformancePercentage: new Big('0.3066651705565529623'),
@@ -134,7 +134,8 @@ describe('PortfolioCalculator', () => {
             tags: undefined,
             timeWeightedInvestment: new Big('89.12'),
             timeWeightedInvestmentWithCurrencyEffect: new Big('82.329056'),
-            transactionCount: 1
+            transactionCount: 1,
+            valueInBaseCurrency: new Big('103.10483')
           }
         ],
         totalInvestment: new Big('89.12'),

apps/api/src/app/portfolio/portfolio-calculator-no-orders.spec.ts

@@ -64,7 +64,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big(0),
+        currentValueInBaseCurrency: new Big(0),
         grossPerformance: new Big(0),
         grossPerformancePercentage: new Big(0),
         grossPerformancePercentageWithCurrencyEffect: new Big(0),

apps/api/src/app/portfolio/portfolio-calculator-novn-buy-and-sell-partially.spec.ts

@@ -87,7 +87,7 @@ describe('PortfolioCalculator', () => {
       spy.mockRestore();
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('87.8'),
+        currentValueInBaseCurrency: new Big('87.8'),
         errors: [],
         grossPerformance: new Big('21.93'),
         grossPerformancePercentage: new Big('0.15113417083448194384'),
@@ -133,7 +133,8 @@ describe('PortfolioCalculator', () => {
             timeWeightedInvestmentWithCurrencyEffect: new Big(
               '145.10285714285714285714'
             ),
-            transactionCount: 2
+            transactionCount: 2,
+            valueInBaseCurrency: new Big('87.8')
           }
         ],
         totalInvestment: new Big('75.80'),

apps/api/src/app/portfolio/portfolio-calculator-novn-buy-and-sell.spec.ts

@@ -113,7 +113,7 @@ describe('PortfolioCalculator', () => {
       });
 
       expect(currentPositions).toEqual({
-        currentValue: new Big('0'),
+        currentValueInBaseCurrency: new Big('0'),
         errors: [],
         grossPerformance: new Big('19.86'),
         grossPerformancePercentage: new Big('0.13100263852242744063'),
@@ -157,7 +157,8 @@ describe('PortfolioCalculator', () => {
             symbol: 'NOVN.SW',
             timeWeightedInvestment: new Big('151.6'),
             timeWeightedInvestmentWithCurrencyEffect: new Big('151.6'),
-            transactionCount: 2
+            transactionCount: 2,
+            valueInBaseCurrency: new Big('0')
           }
         ],
         totalInvestment: new Big('0'),

apps/api/src/app/portfolio/portfolio-calculator.ts

@@ -22,6 +22,7 @@ import {
   format,
   isBefore,
   isSameDay,
+  max,
   subDays
 } from 'date-fns';
 import { cloneDeep, first, isNumber, last, sortBy, uniq } from 'lodash';
@@ -449,16 +450,27 @@ export class PortfolioCalculator {
 
   public async getCurrentPositions(
     start: Date,
-    end = new Date(Date.now())
+    end?: Date
   ): Promise<CurrentPositions> {
-    const transactionPointsBeforeEndDate =
+    const lastTransactionPoint = last(this.transactionPoints);
-      this.transactionPoints?.filter((transactionPoint) => {
+
-        return isBefore(parseDate(transactionPoint.date), end);
+    let endDate = end;
-      }) ?? [];
+
+    if (!endDate) {
+      endDate = new Date(Date.now());
 
-    if (!transactionPointsBeforeEndDate.length) {
+      if (lastTransactionPoint) {
+        endDate = max([endDate, parseDate(lastTransactionPoint.date)]);
+      }
+    }
+
+    const transactionPoints = this.transactionPoints?.filter(({ date }) => {
+      return isBefore(parseDate(date), endDate);
+    });
+
+    if (!transactionPoints.length) {
       return {
-        currentValue: new Big(0),
+        currentValueInBaseCurrency: new Big(0),
         grossPerformance: new Big(0),
         grossPerformancePercentage: new Big(0),
         grossPerformancePercentageWithCurrencyEffect: new Big(0),
@@ -473,41 +485,40 @@ export class PortfolioCalculator {
       };
     }
 
-    const lastTransactionPoint =
-      transactionPointsBeforeEndDate[transactionPointsBeforeEndDate.length - 1];
-
     const currencies: { [symbol: string]: string } = {};
     const dataGatheringItems: IDataGatheringItem[] = [];
     let dates: Date[] = [];
-    let firstIndex = transactionPointsBeforeEndDate.length;
+    let firstIndex = transactionPoints.length;
     let firstTransactionPoint: TransactionPoint = null;
 
     dates.push(resetHours(start));
-    for (const item of transactionPointsBeforeEndDate[firstIndex - 1].items) {
+
+    for (const { currency, dataSource, symbol } of transactionPoints[
+      firstIndex - 1
+    ].items) {
       dataGatheringItems.push({
-        dataSource: item.dataSource,
+        dataSource,
-        symbol: item.symbol
+        symbol
       });
 
-      currencies[item.symbol] = item.currency;
+      currencies[symbol] = currency;
     }
 
-    for (let i = 0; i < transactionPointsBeforeEndDate.length; i++) {
+    for (let i = 0; i < transactionPoints.length; i++) {
       if (
-        !isBefore(parseDate(transactionPointsBeforeEndDate[i].date), start) &&
+        !isBefore(parseDate(transactionPoints[i].date), start) &&
         firstTransactionPoint === null
       ) {
-        firstTransactionPoint = transactionPointsBeforeEndDate[i];
+        firstTransactionPoint = transactionPoints[i];
         firstIndex = i;
       }
+
       if (firstTransactionPoint !== null) {
-        dates.push(
+        dates.push(resetHours(parseDate(transactionPoints[i].date)));
-          resetHours(parseDate(transactionPointsBeforeEndDate[i].date))
-        );
       }
     }
 
-    dates.push(resetHours(end));
+    dates.push(resetHours(endDate));
 
     // Add dates of last week for fallback
     dates.push(subDays(resetHours(new Date()), 7));
@@ -534,7 +545,7 @@ export class PortfolioCalculator {
     let exchangeRatesByCurrency =
       await this.exchangeRateDataService.getExchangeRatesByCurrency({
         currencies: uniq(Object.values(currencies)),
-        endDate: endOfDay(end),
+        endDate: endOfDay(endDate),
         startDate: parseDate(this.transactionPoints?.[0]?.date),
         targetCurrency: this.currency
       });
@@ -570,7 +581,7 @@ export class PortfolioCalculator {
       }
     }
 
-    const endDateString = format(end, DATE_FORMAT);
+    const endDateString = format(endDate, DATE_FORMAT);
 
     if (firstIndex > 0) {
       firstIndex--;
@@ -582,9 +593,9 @@ export class PortfolioCalculator {
     const errors: ResponseError['errors'] = [];
 
     for (const item of lastTransactionPoint.items) {
-      const marketPriceInBaseCurrency = marketSymbolMap[endDateString]?.[
+      const marketPriceInBaseCurrency = (
-        item.symbol
+        marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice
-      ]?.mul(
+      ).mul(
         exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[
           endDateString
         ]
@@ -607,9 +618,9 @@ export class PortfolioCalculator {
         totalInvestment,
         totalInvestmentWithCurrencyEffect
       } = this.getSymbolMetrics({
-        end,
         marketSymbolMap,
         start,
+        end: endDate,
         exchangeRates:
           exchangeRatesByCurrency[`${item.currency}${this.currency}`],
         symbol: item.symbol
@@ -656,7 +667,10 @@ export class PortfolioCalculator {
         quantity: item.quantity,
         symbol: item.symbol,
         tags: item.tags,
-        transactionCount: item.transactionCount
+        transactionCount: item.transactionCount,
+        valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul(
+          item.quantity
+        )
       });
 
       if (
@@ -725,7 +739,7 @@ export class PortfolioCalculator {
   }
 
   private calculateOverallPerformance(positions: TimelinePosition[]) {
-    let currentValue = new Big(0);
+    let currentValueInBaseCurrency = new Big(0);
     let grossPerformance = new Big(0);
     let grossPerformanceWithCurrencyEffect = new Big(0);
     let hasErrors = false;
@@ -737,14 +751,9 @@ export class PortfolioCalculator {
     let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0);
 
     for (const currentPosition of positions) {
-      if (
+      if (currentPosition.valueInBaseCurrency) {
-        currentPosition.investment &&
+        currentValueInBaseCurrency = currentValueInBaseCurrency.plus(
-        currentPosition.marketPriceInBaseCurrency
+          currentPosition.valueInBaseCurrency
-      ) {
-        currentValue = currentValue.plus(
-          new Big(currentPosition.marketPriceInBaseCurrency).mul(
-            currentPosition.quantity
-          )
         );
       } else {
         hasErrors = true;
@@ -801,7 +810,7 @@ export class PortfolioCalculator {
     }
 
     return {
-      currentValue,
+      currentValueInBaseCurrency,
       grossPerformance,
       grossPerformanceWithCurrencyEffect,
       hasErrors,

apps/api/src/app/portfolio/portfolio.service.ts

@@ -378,9 +378,10 @@ export class PortfolioService {
     });
 
     const holdings: PortfolioDetails['holdings'] = {};
-    const totalValueInBaseCurrency = currentPositions.currentValue.plus(
+    const totalValueInBaseCurrency =
-      cashDetails.balanceInBaseCurrency
+      currentPositions.currentValueInBaseCurrency.plus(
-    );
+        cashDetails.balanceInBaseCurrency
+      );
 
     const isFilteredByAccount =
       filters?.some((filter) => {
@@ -389,7 +390,7 @@ export class PortfolioService {
 
     let filteredValueInBaseCurrency = isFilteredByAccount
       ? totalValueInBaseCurrency
-      : currentPositions.currentValue;
+      : currentPositions.currentValueInBaseCurrency;
 
     if (
       filters?.length === 0 ||
@@ -444,14 +445,14 @@ export class PortfolioService {
       quantity,
       symbol,
       tags,
-      transactionCount
+      transactionCount,
+      valueInBaseCurrency
     } of currentPositions.positions) {
       if (quantity.eq(0)) {
         // Ignore positions without any quantity
         continue;
       }
 
-      const value = quantity.mul(marketPriceInBaseCurrency ?? 0);
       const symbolProfile = symbolProfileMap[symbol];
       const dataProviderResponse = dataProviderResponses[symbol];
 
@@ -517,11 +518,11 @@ export class PortfolioService {
         }
       } else {
         markets[UNKNOWN_KEY] = new Big(markets[UNKNOWN_KEY])
-          .plus(value)
+          .plus(valueInBaseCurrency)
           .toNumber();
 
         marketsAdvanced[UNKNOWN_KEY] = new Big(marketsAdvanced[UNKNOWN_KEY])
-          .plus(value)
+          .plus(valueInBaseCurrency)
           .toNumber();
       }
 
@@ -535,7 +536,7 @@ export class PortfolioService {
         transactionCount,
         allocationInPercentage: filteredValueInBaseCurrency.eq(0)
           ? 0
-          : value.div(filteredValueInBaseCurrency).toNumber(),
+          : valueInBaseCurrency.div(filteredValueInBaseCurrency).toNumber(),
         assetClass: symbolProfile.assetClass,
         assetSubClass: symbolProfile.assetSubClass,
         countries: symbolProfile.countries,
@@ -560,7 +561,7 @@ export class PortfolioService {
         quantity: quantity.toNumber(),
         sectors: symbolProfile.sectors,
         url: symbolProfile.url,
-        valueInBaseCurrency: value.toNumber()
+        valueInBaseCurrency: valueInBaseCurrency.toNumber()
       };
     }
 
@@ -1175,7 +1176,7 @@ export class PortfolioService {
 
     const startDate = this.getStartDate(dateRange, portfolioStart);
     const {
-      currentValue,
+      currentValueInBaseCurrency,
       errors,
       grossPerformance,
       grossPerformancePercentage,
@@ -1270,7 +1271,7 @@ export class PortfolioService {
           currentNetPerformancePercentWithCurrencyEffect.toNumber(),
         currentNetPerformanceWithCurrencyEffect:
           currentNetPerformanceWithCurrencyEffect.toNumber(),
-        currentValue: currentValue.toNumber(),
+        currentValue: currentValueInBaseCurrency.toNumber(),
         totalInvestment: totalInvestment.toNumber()
       }
     };

apps/api/src/services/exchange-rate-data/exchange-rate-data.service.mock.ts

@@ -26,6 +26,7 @@ export const ExchangeRateDataServiceMock = {
       return Promise.resolve({
         USDUSD: {
           '2018-01-01': 1,
+          '2021-11-16': 1,
           '2023-07-10': 1
         }
       });

apps/api/src/services/exchange-rate-data/exchange-rate-data.service.ts

@@ -73,7 +73,17 @@ export class ExchangeRateDataService {
           currencyTo: targetCurrency
         });
 
-      let previousExchangeRate = 1;
+      const dateStrings = Object.keys(
+        exchangeRatesByCurrency[`${currency}${targetCurrency}`]
+      );
+      const lastDateString = dateStrings.reduce((a, b) => {
+        return a > b ? a : b;
+      });
+
+      let previousExchangeRate =
+        exchangeRatesByCurrency[`${currency}${targetCurrency}`]?.[
+          lastDateString
+        ] ?? 1;
 
       // Start from the most recent date and fill in missing exchange rates
       // using the latest available rate
@@ -94,7 +104,7 @@ export class ExchangeRateDataService {
           exchangeRatesByCurrency[`${currency}${targetCurrency}`][dateString] =
             previousExchangeRate;
 
-          if (currency === DEFAULT_CURRENCY) {
+          if (currency === DEFAULT_CURRENCY && isBefore(date, new Date())) {
             Logger.error(
               `No exchange rate has been found for ${currency}${targetCurrency} at ${dateString}`,
               'ExchangeRateDataService'
@@ -433,13 +443,17 @@ export class ExchangeRateDataService {
                 ]) *
               marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)];
 
-            factors[format(date, DATE_FORMAT)] = factor;
+            if (isNaN(factor)) {
+              throw new Error('Exchange rate is not a number');
+            } else {
+              factors[format(date, DATE_FORMAT)] = factor;
+            }
           } catch {
             Logger.error(
               `No exchange rate has been found for ${currencyFrom}${currencyTo} at ${format(
                 date,
                 DATE_FORMAT
-              )}`,
+              )}. Please complement market data for ${DEFAULT_CURRENCY}${currencyFrom} and ${DEFAULT_CURRENCY}${currencyTo}.`,
               'ExchangeRateDataService'
             );
           }

libs/common/src/lib/interfaces/timeline-position.interface.ts

@@ -27,4 +27,5 @@ export interface TimelinePosition {
   timeWeightedInvestment: Big;
   timeWeightedInvestmentWithCurrencyEffect: Big;
   transactionCount: number;
+  valueInBaseCurrency: Big;
 }