mirror of https://github.com/ghostfolio/ghostfolio
Ömer Faruk Görmel
4 weeks ago
240 changed files with 32347 additions and 19291 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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// 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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// 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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on: |
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push: |
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branches: |
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- main |
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permissions: |
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contents: write |
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pull-requests: write |
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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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- name: Install dependencies |
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run: npm ci |
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- name: Extract locales |
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run: npm run extract-locales |
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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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- 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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@ -0,0 +1,13 @@ |
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# Security Policy |
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## Reporting Security Issues |
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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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To help us resolve the issue, please include the following details: |
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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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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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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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@ -1,36 +0,0 @@ |
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import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
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import { SymbolModule } from '@ghostfolio/api/app/symbol/symbol.module'; |
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import { TransformDataSourceInRequestModule } from '@ghostfolio/api/interceptors/transform-data-source-in-request/transform-data-source-in-request.module'; |
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import { TransformDataSourceInResponseModule } from '@ghostfolio/api/interceptors/transform-data-source-in-response/transform-data-source-in-response.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 { MarketDataModule } from '@ghostfolio/api/services/market-data/market-data.module'; |
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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 { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/symbol-profile.module'; |
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import { Module } from '@nestjs/common'; |
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import { BenchmarkController } from './benchmark.controller'; |
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import { BenchmarkService } from './benchmark.service'; |
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@Module({ |
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controllers: [BenchmarkController], |
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exports: [BenchmarkService], |
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imports: [ |
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ConfigurationModule, |
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DataProviderModule, |
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ExchangeRateDataModule, |
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MarketDataModule, |
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PrismaModule, |
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PropertyModule, |
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RedisCacheModule, |
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SymbolModule, |
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SymbolProfileModule, |
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TransformDataSourceInRequestModule, |
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TransformDataSourceInResponseModule |
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], |
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providers: [BenchmarkService] |
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}) |
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export class BenchmarkModule {} |
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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 { SymbolModule } from '@ghostfolio/api/app/symbol/symbol.module'; |
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import { UserModule } from '@ghostfolio/api/app/user/user.module'; |
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import { TransformDataSourceInRequestModule } from '@ghostfolio/api/interceptors/transform-data-source-in-request/transform-data-source-in-request.module'; |
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import { TransformDataSourceInResponseModule } from '@ghostfolio/api/interceptors/transform-data-source-in-response/transform-data-source-in-response.module'; |
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import { ApiModule } from '@ghostfolio/api/services/api/api.module'; |
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import { BenchmarkService } from '@ghostfolio/api/services/benchmark/benchmark.service'; |
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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 { 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 { BenchmarksController } from './benchmarks.controller'; |
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import { BenchmarksService } from './benchmarks.service'; |
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@Module({ |
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controllers: [BenchmarksController], |
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imports: [ |
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ApiModule, |
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ConfigurationModule, |
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DataProviderModule, |
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ExchangeRateDataModule, |
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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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SymbolModule, |
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SymbolProfileModule, |
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TransformDataSourceInRequestModule, |
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TransformDataSourceInResponseModule, |
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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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BenchmarkService, |
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BenchmarksService, |
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CurrentRateService, |
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MarketDataService, |
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PortfolioCalculatorFactory, |
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PortfolioService, |
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RulesService |
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] |
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}) |
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export class BenchmarksModule {} |
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@ -0,0 +1,163 @@ |
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import { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service'; |
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import { SymbolService } from '@ghostfolio/api/app/symbol/symbol.service'; |
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import { BenchmarkService } from '@ghostfolio/api/services/benchmark/benchmark.service'; |
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
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import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service'; |
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
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import { |
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AssetProfileIdentifier, |
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BenchmarkMarketDataDetails, |
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Filter |
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} from '@ghostfolio/common/interfaces'; |
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import { DateRange, UserWithSettings } from '@ghostfolio/common/types'; |
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import { Injectable, Logger } from '@nestjs/common'; |
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import { format, isSameDay } from 'date-fns'; |
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import { isNumber } from 'lodash'; |
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@Injectable() |
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export class BenchmarksService { |
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public constructor( |
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private readonly benchmarkService: BenchmarkService, |
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private readonly exchangeRateDataService: ExchangeRateDataService, |
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private readonly marketDataService: MarketDataService, |
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private readonly portfolioService: PortfolioService, |
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private readonly symbolService: SymbolService |
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) {} |
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public async getMarketDataForUser({ |
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dataSource, |
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dateRange, |
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endDate = new Date(), |
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filters, |
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impersonationId, |
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startDate, |
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symbol, |
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user, |
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withExcludedAccounts |
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}: { |
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dateRange: DateRange; |
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endDate?: Date; |
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filters?: Filter[]; |
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impersonationId: string; |
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startDate: Date; |
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user: UserWithSettings; |
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withExcludedAccounts?: boolean; |
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} & AssetProfileIdentifier): Promise<BenchmarkMarketDataDetails> { |
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const marketData: { date: string; value: number }[] = []; |
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const userCurrency = user.Settings.settings.baseCurrency; |
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const userId = user.id; |
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const { chart } = await this.portfolioService.getPerformance({ |
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dateRange, |
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filters, |
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impersonationId, |
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userId, |
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withExcludedAccounts |
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}); |
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const [currentSymbolItem, marketDataItems] = await Promise.all([ |
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this.symbolService.get({ |
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dataGatheringItem: { |
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dataSource, |
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symbol |
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} |
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}), |
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this.marketDataService.marketDataItems({ |
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orderBy: { |
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date: 'asc' |
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}, |
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where: { |
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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 +1,10 @@ |
|||||
|
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 { 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 +1,969 @@ |
|||||
|
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 { 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), |
||||
|
totalValuablesWithCurrencyEffect: new Big(0) |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
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 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(orders[0].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 = orders.at(-1); |
||||
|
|
||||
|
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 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -1,965 +1,24 @@ |
|||||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
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 { |
import { |
||||
AssetProfileIdentifier, |
AssetProfileIdentifier, |
||||
SymbolMetrics |
SymbolMetrics |
||||
} from '@ghostfolio/common/interfaces'; |
} from '@ghostfolio/common/interfaces'; |
||||
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
import { PortfolioSnapshot } from '@ghostfolio/common/models'; |
||||
import { DateRange } from '@ghostfolio/common/types'; |
|
||||
|
|
||||
import { Logger } from '@nestjs/common'; |
export class TwrPortfolioCalculator extends PortfolioCalculator { |
||||
import { Big } from 'big.js'; |
protected calculateOverallPerformance(): PortfolioSnapshot { |
||||
import { addMilliseconds, differenceInDays, format, isBefore } from 'date-fns'; |
throw new Error('Method not implemented.'); |
||||
import { cloneDeep, 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; |
|
||||
} |
|
||||
} |
|
||||
|
|
||||
return { |
|
||||
currentValueInBaseCurrency, |
|
||||
hasErrors, |
|
||||
positions, |
|
||||
totalFeesWithCurrencyEffect, |
|
||||
totalInterestWithCurrencyEffect, |
|
||||
totalInvestment, |
|
||||
totalInvestmentWithCurrencyEffect, |
|
||||
errors: [], |
|
||||
historicalData: [], |
|
||||
totalLiabilitiesWithCurrencyEffect: new Big(0), |
|
||||
totalValuablesWithCurrencyEffect: new Big(0) |
|
||||
}; |
|
||||
} |
} |
||||
|
|
||||
protected getSymbolMetrics({ |
protected getSymbolMetrics({}: { |
||||
chartDateMap, |
|
||||
dataSource, |
|
||||
end, |
|
||||
exchangeRates, |
|
||||
marketSymbolMap, |
|
||||
start, |
|
||||
symbol |
|
||||
}: { |
|
||||
chartDateMap?: { [date: string]: boolean }; |
|
||||
end: Date; |
end: Date; |
||||
exchangeRates: { [dateString: string]: number }; |
exchangeRates: { [dateString: string]: number }; |
||||
marketSymbolMap: { |
marketSymbolMap: { |
||||
[date: string]: { [symbol: string]: Big }; |
[date: string]: { [symbol: string]: Big }; |
||||
}; |
}; |
||||
start: Date; |
start: Date; |
||||
|
step?: number; |
||||
} & AssetProfileIdentifier): SymbolMetrics { |
} & AssetProfileIdentifier): SymbolMetrics { |
||||
const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)]; |
throw new Error('Method not implemented.'); |
||||
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(orders[0].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 = orders.at(-1); |
|
||||
|
|
||||
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 |
|
||||
}; |
|
||||
} |
} |
||||
} |
} |
||||
|
|||||
@ -1,6 +0,0 @@ |
|||||
import { IsString } from 'class-validator'; |
|
||||
|
|
||||
export class CreateTagDto { |
|
||||
@IsString() |
|
||||
name: string; |
|
||||
} |
|
||||
@ -1,14 +0,0 @@ |
|||||
import { PrismaModule } from '@ghostfolio/api/services/prisma/prisma.module'; |
|
||||
|
|
||||
import { Module } from '@nestjs/common'; |
|
||||
|
|
||||
import { TagController } from './tag.controller'; |
|
||||
import { TagService } from './tag.service'; |
|
||||
|
|
||||
@Module({ |
|
||||
controllers: [TagController], |
|
||||
exports: [TagService], |
|
||||
imports: [PrismaModule], |
|
||||
providers: [TagService] |
|
||||
}) |
|
||||
export class TagModule {} |
|
||||
@ -1,81 +0,0 @@ |
|||||
import { PrismaService } from '@ghostfolio/api/services/prisma/prisma.service'; |
|
||||
|
|
||||
import { Injectable } from '@nestjs/common'; |
|
||||
import { Prisma, Tag } from '@prisma/client'; |
|
||||
|
|
||||
@Injectable() |
|
||||
export class TagService { |
|
||||
public constructor(private readonly prismaService: PrismaService) {} |
|
||||
|
|
||||
public async createTag(data: Prisma.TagCreateInput) { |
|
||||
return this.prismaService.tag.create({ |
|
||||
data |
|
||||
}); |
|
||||
} |
|
||||
|
|
||||
public async deleteTag(where: Prisma.TagWhereUniqueInput): Promise<Tag> { |
|
||||
return this.prismaService.tag.delete({ where }); |
|
||||
} |
|
||||
|
|
||||
public async getTag( |
|
||||
tagWhereUniqueInput: Prisma.TagWhereUniqueInput |
|
||||
): Promise<Tag> { |
|
||||
return this.prismaService.tag.findUnique({ |
|
||||
where: tagWhereUniqueInput |
|
||||
}); |
|
||||
} |
|
||||
|
|
||||
public async getTags({ |
|
||||
cursor, |
|
||||
orderBy, |
|
||||
skip, |
|
||||
take, |
|
||||
where |
|
||||
}: { |
|
||||
cursor?: Prisma.TagWhereUniqueInput; |
|
||||
orderBy?: Prisma.TagOrderByWithRelationInput; |
|
||||
skip?: number; |
|
||||
take?: number; |
|
||||
where?: Prisma.TagWhereInput; |
|
||||
} = {}) { |
|
||||
return this.prismaService.tag.findMany({ |
|
||||
cursor, |
|
||||
orderBy, |
|
||||
skip, |
|
||||
take, |
|
||||
where |
|
||||
}); |
|
||||
} |
|
||||
|
|
||||
public async getTagsWithActivityCount() { |
|
||||
const tagsWithOrderCount = await this.prismaService.tag.findMany({ |
|
||||
include: { |
|
||||
_count: { |
|
||||
select: { orders: true } |
|
||||
} |
|
||||
} |
|
||||
}); |
|
||||
|
|
||||
return tagsWithOrderCount.map(({ _count, id, name, userId }) => { |
|
||||
return { |
|
||||
id, |
|
||||
name, |
|
||||
userId, |
|
||||
activityCount: _count.orders |
|
||||
}; |
|
||||
}); |
|
||||
} |
|
||||
|
|
||||
public async updateTag({ |
|
||||
data, |
|
||||
where |
|
||||
}: { |
|
||||
data: Prisma.TagUpdateInput; |
|
||||
where: Prisma.TagWhereUniqueInput; |
|
||||
}): Promise<Tag> { |
|
||||
return this.prismaService.tag.update({ |
|
||||
data, |
|
||||
where |
|
||||
}); |
|
||||
} |
|
||||
} |
|
||||
@ -1,9 +0,0 @@ |
|||||
import { IsString } from 'class-validator'; |
|
||||
|
|
||||
export class UpdateTagDto { |
|
||||
@IsString() |
|
||||
id: string; |
|
||||
|
|
||||
@IsString() |
|
||||
name: string; |
|
||||
} |
|
||||
File diff suppressed because it is too large
@ -0,0 +1,77 @@ |
|||||
|
import { Rule } from '@ghostfolio/api/models/rule'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { UserSettings } from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
import { Settings } from './interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export class RegionalMarketClusterRiskAsiaPacific extends Rule<Settings> { |
||||
|
private asiaPacificValueInBaseCurrency: number; |
||||
|
private currentValueInBaseCurrency: number; |
||||
|
|
||||
|
public constructor( |
||||
|
protected exchangeRateDataService: ExchangeRateDataService, |
||||
|
currentValueInBaseCurrency: number, |
||||
|
asiaPacificValueInBaseCurrency: number |
||||
|
) { |
||||
|
super(exchangeRateDataService, { |
||||
|
key: RegionalMarketClusterRiskAsiaPacific.name, |
||||
|
name: 'Asia-Pacific' |
||||
|
}); |
||||
|
|
||||
|
this.asiaPacificValueInBaseCurrency = asiaPacificValueInBaseCurrency; |
||||
|
this.currentValueInBaseCurrency = currentValueInBaseCurrency; |
||||
|
} |
||||
|
|
||||
|
public evaluate(ruleSettings: Settings) { |
||||
|
const asiaPacificMarketValueRatio = this.currentValueInBaseCurrency |
||||
|
? this.asiaPacificValueInBaseCurrency / this.currentValueInBaseCurrency |
||||
|
: 0; |
||||
|
|
||||
|
if (asiaPacificMarketValueRatio > ruleSettings.thresholdMax) { |
||||
|
return { |
||||
|
evaluation: `The Asia-Pacific market contribution of your current investment (${(asiaPacificMarketValueRatio * 100).toPrecision(3)}%) exceeds ${( |
||||
|
ruleSettings.thresholdMax * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} else if (asiaPacificMarketValueRatio < ruleSettings.thresholdMin) { |
||||
|
return { |
||||
|
evaluation: `The Asia-Pacific market contribution of your current investment (${(asiaPacificMarketValueRatio * 100).toPrecision(3)}%) is below ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
return { |
||||
|
evaluation: `The Asia-Pacific market contribution of your current investment (${(asiaPacificMarketValueRatio * 100).toPrecision(3)}%) is within the range of ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision( |
||||
|
3 |
||||
|
)}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
|
||||
|
value: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getConfiguration() { |
||||
|
return { |
||||
|
threshold: { |
||||
|
max: 1, |
||||
|
min: 0, |
||||
|
step: 0.01, |
||||
|
unit: '%' |
||||
|
}, |
||||
|
thresholdMax: true, |
||||
|
thresholdMin: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings { |
||||
|
return { |
||||
|
baseCurrency, |
||||
|
isActive: xRayRules?.[this.getKey()]?.isActive ?? true, |
||||
|
thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.03, |
||||
|
thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.02 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,79 @@ |
|||||
|
import { Rule } from '@ghostfolio/api/models/rule'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { UserSettings } from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
import { Settings } from './interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export class RegionalMarketClusterRiskEmergingMarkets extends Rule<Settings> { |
||||
|
private currentValueInBaseCurrency: number; |
||||
|
private emergingMarketsValueInBaseCurrency: number; |
||||
|
|
||||
|
public constructor( |
||||
|
protected exchangeRateDataService: ExchangeRateDataService, |
||||
|
currentValueInBaseCurrency: number, |
||||
|
emergingMarketsValueInBaseCurrency: number |
||||
|
) { |
||||
|
super(exchangeRateDataService, { |
||||
|
key: RegionalMarketClusterRiskEmergingMarkets.name, |
||||
|
name: 'Emerging Markets' |
||||
|
}); |
||||
|
|
||||
|
this.currentValueInBaseCurrency = currentValueInBaseCurrency; |
||||
|
this.emergingMarketsValueInBaseCurrency = |
||||
|
emergingMarketsValueInBaseCurrency; |
||||
|
} |
||||
|
|
||||
|
public evaluate(ruleSettings: Settings) { |
||||
|
const emergingMarketsValueRatio = this.currentValueInBaseCurrency |
||||
|
? this.emergingMarketsValueInBaseCurrency / |
||||
|
this.currentValueInBaseCurrency |
||||
|
: 0; |
||||
|
|
||||
|
if (emergingMarketsValueRatio > ruleSettings.thresholdMax) { |
||||
|
return { |
||||
|
evaluation: `The Emerging Markets contribution of your current investment (${(emergingMarketsValueRatio * 100).toPrecision(3)}%) exceeds ${( |
||||
|
ruleSettings.thresholdMax * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} else if (emergingMarketsValueRatio < ruleSettings.thresholdMin) { |
||||
|
return { |
||||
|
evaluation: `The Emerging Markets contribution of your current investment (${(emergingMarketsValueRatio * 100).toPrecision(3)}%) is below ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
return { |
||||
|
evaluation: `The Emerging Markets contribution of your current investment (${(emergingMarketsValueRatio * 100).toPrecision(3)}%) is within the range of ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision( |
||||
|
3 |
||||
|
)}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
|
||||
|
value: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getConfiguration() { |
||||
|
return { |
||||
|
threshold: { |
||||
|
max: 1, |
||||
|
min: 0, |
||||
|
step: 0.01, |
||||
|
unit: '%' |
||||
|
}, |
||||
|
thresholdMax: true, |
||||
|
thresholdMin: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings { |
||||
|
return { |
||||
|
baseCurrency, |
||||
|
isActive: xRayRules?.[this.getKey()]?.isActive ?? true, |
||||
|
thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.12, |
||||
|
thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.08 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,77 @@ |
|||||
|
import { Rule } from '@ghostfolio/api/models/rule'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { UserSettings } from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
import { Settings } from './interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export class RegionalMarketClusterRiskEurope extends Rule<Settings> { |
||||
|
private currentValueInBaseCurrency: number; |
||||
|
private europeValueInBaseCurrency: number; |
||||
|
|
||||
|
public constructor( |
||||
|
protected exchangeRateDataService: ExchangeRateDataService, |
||||
|
currentValueInBaseCurrency: number, |
||||
|
europeValueInBaseCurrency: number |
||||
|
) { |
||||
|
super(exchangeRateDataService, { |
||||
|
key: RegionalMarketClusterRiskEurope.name, |
||||
|
name: 'Europe' |
||||
|
}); |
||||
|
|
||||
|
this.currentValueInBaseCurrency = currentValueInBaseCurrency; |
||||
|
this.europeValueInBaseCurrency = europeValueInBaseCurrency; |
||||
|
} |
||||
|
|
||||
|
public evaluate(ruleSettings: Settings) { |
||||
|
const europeMarketValueRatio = this.currentValueInBaseCurrency |
||||
|
? this.europeValueInBaseCurrency / this.currentValueInBaseCurrency |
||||
|
: 0; |
||||
|
|
||||
|
if (europeMarketValueRatio > ruleSettings.thresholdMax) { |
||||
|
return { |
||||
|
evaluation: `The Europe market contribution of your current investment (${(europeMarketValueRatio * 100).toPrecision(3)}%) exceeds ${( |
||||
|
ruleSettings.thresholdMax * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} else if (europeMarketValueRatio < ruleSettings.thresholdMin) { |
||||
|
return { |
||||
|
evaluation: `The Europe market contribution of your current investment (${(europeMarketValueRatio * 100).toPrecision(3)}%) is below ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
return { |
||||
|
evaluation: `The Europe market contribution of your current investment (${(europeMarketValueRatio * 100).toPrecision(3)}%) is within the range of ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision( |
||||
|
3 |
||||
|
)}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
|
||||
|
value: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getConfiguration() { |
||||
|
return { |
||||
|
threshold: { |
||||
|
max: 1, |
||||
|
min: 0, |
||||
|
step: 0.01, |
||||
|
unit: '%' |
||||
|
}, |
||||
|
thresholdMax: true, |
||||
|
thresholdMin: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings { |
||||
|
return { |
||||
|
baseCurrency, |
||||
|
isActive: xRayRules?.[this.getKey()]?.isActive ?? true, |
||||
|
thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.15, |
||||
|
thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.11 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,7 @@ |
|||||
|
import { RuleSettings } from '@ghostfolio/api/models/interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export interface Settings extends RuleSettings { |
||||
|
baseCurrency: string; |
||||
|
thresholdMin: number; |
||||
|
thresholdMax: number; |
||||
|
} |
||||
@ -0,0 +1,77 @@ |
|||||
|
import { Rule } from '@ghostfolio/api/models/rule'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { UserSettings } from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
import { Settings } from './interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export class RegionalMarketClusterRiskJapan extends Rule<Settings> { |
||||
|
private currentValueInBaseCurrency: number; |
||||
|
private japanValueInBaseCurrency: number; |
||||
|
|
||||
|
public constructor( |
||||
|
protected exchangeRateDataService: ExchangeRateDataService, |
||||
|
currentValueInBaseCurrency: number, |
||||
|
japanValueInBaseCurrency: number |
||||
|
) { |
||||
|
super(exchangeRateDataService, { |
||||
|
key: RegionalMarketClusterRiskJapan.name, |
||||
|
name: 'Japan' |
||||
|
}); |
||||
|
|
||||
|
this.currentValueInBaseCurrency = currentValueInBaseCurrency; |
||||
|
this.japanValueInBaseCurrency = japanValueInBaseCurrency; |
||||
|
} |
||||
|
|
||||
|
public evaluate(ruleSettings: Settings) { |
||||
|
const japanMarketValueRatio = this.currentValueInBaseCurrency |
||||
|
? this.japanValueInBaseCurrency / this.currentValueInBaseCurrency |
||||
|
: 0; |
||||
|
|
||||
|
if (japanMarketValueRatio > ruleSettings.thresholdMax) { |
||||
|
return { |
||||
|
evaluation: `The Japan market contribution of your current investment (${(japanMarketValueRatio * 100).toPrecision(3)}%) exceeds ${( |
||||
|
ruleSettings.thresholdMax * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} else if (japanMarketValueRatio < ruleSettings.thresholdMin) { |
||||
|
return { |
||||
|
evaluation: `The Japan market contribution of your current investment (${(japanMarketValueRatio * 100).toPrecision(3)}%) is below ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
return { |
||||
|
evaluation: `The Japan market contribution of your current investment (${(japanMarketValueRatio * 100).toPrecision(3)}%) is within the range of ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision( |
||||
|
3 |
||||
|
)}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
|
||||
|
value: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getConfiguration() { |
||||
|
return { |
||||
|
threshold: { |
||||
|
max: 1, |
||||
|
min: 0, |
||||
|
step: 0.01, |
||||
|
unit: '%' |
||||
|
}, |
||||
|
thresholdMax: true, |
||||
|
thresholdMin: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings { |
||||
|
return { |
||||
|
baseCurrency, |
||||
|
isActive: xRayRules?.[this.getKey()]?.isActive ?? true, |
||||
|
thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.06, |
||||
|
thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.04 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,77 @@ |
|||||
|
import { Rule } from '@ghostfolio/api/models/rule'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { UserSettings } from '@ghostfolio/common/interfaces'; |
||||
|
|
||||
|
import { Settings } from './interfaces/rule-settings.interface'; |
||||
|
|
||||
|
export class RegionalMarketClusterRiskNorthAmerica extends Rule<Settings> { |
||||
|
private currentValueInBaseCurrency: number; |
||||
|
private northAmericaValueInBaseCurrency: number; |
||||
|
|
||||
|
public constructor( |
||||
|
protected exchangeRateDataService: ExchangeRateDataService, |
||||
|
currentValueInBaseCurrency: number, |
||||
|
northAmericaValueInBaseCurrency: number |
||||
|
) { |
||||
|
super(exchangeRateDataService, { |
||||
|
key: RegionalMarketClusterRiskNorthAmerica.name, |
||||
|
name: 'North America' |
||||
|
}); |
||||
|
|
||||
|
this.currentValueInBaseCurrency = currentValueInBaseCurrency; |
||||
|
this.northAmericaValueInBaseCurrency = northAmericaValueInBaseCurrency; |
||||
|
} |
||||
|
|
||||
|
public evaluate(ruleSettings: Settings) { |
||||
|
const northAmericaMarketValueRatio = this.currentValueInBaseCurrency |
||||
|
? this.northAmericaValueInBaseCurrency / this.currentValueInBaseCurrency |
||||
|
: 0; |
||||
|
|
||||
|
if (northAmericaMarketValueRatio > ruleSettings.thresholdMax) { |
||||
|
return { |
||||
|
evaluation: `The North America market contribution of your current investment (${(northAmericaMarketValueRatio * 100).toPrecision(3)}%) exceeds ${( |
||||
|
ruleSettings.thresholdMax * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} else if (northAmericaMarketValueRatio < ruleSettings.thresholdMin) { |
||||
|
return { |
||||
|
evaluation: `The North America market contribution of your current investment (${(northAmericaMarketValueRatio * 100).toPrecision(3)}%) is below ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision(3)}%`,
|
||||
|
value: false |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
return { |
||||
|
evaluation: `The North America market contribution of your current investment (${(northAmericaMarketValueRatio * 100).toPrecision(3)}%) is within the range of ${( |
||||
|
ruleSettings.thresholdMin * 100 |
||||
|
).toPrecision( |
||||
|
3 |
||||
|
)}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
|
||||
|
value: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getConfiguration() { |
||||
|
return { |
||||
|
threshold: { |
||||
|
max: 1, |
||||
|
min: 0, |
||||
|
step: 0.01, |
||||
|
unit: '%' |
||||
|
}, |
||||
|
thresholdMax: true, |
||||
|
thresholdMin: true |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings { |
||||
|
return { |
||||
|
baseCurrency, |
||||
|
isActive: xRayRules?.[this.getKey()]?.isActive ?? true, |
||||
|
thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.69, |
||||
|
thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.65 |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,24 @@ |
|||||
|
import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
||||
|
import { DataProviderModule } from '@ghostfolio/api/services/data-provider/data-provider.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 { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/symbol-profile.module'; |
||||
|
|
||||
|
import { Module } from '@nestjs/common'; |
||||
|
|
||||
|
import { BenchmarkService } from './benchmark.service'; |
||||
|
|
||||
|
@Module({ |
||||
|
exports: [BenchmarkService], |
||||
|
imports: [ |
||||
|
DataProviderModule, |
||||
|
MarketDataModule, |
||||
|
PrismaModule, |
||||
|
PropertyModule, |
||||
|
RedisCacheModule, |
||||
|
SymbolProfileModule |
||||
|
], |
||||
|
providers: [BenchmarkService] |
||||
|
}) |
||||
|
export class BenchmarkModule {} |
||||
Some files were not shown because too many files changed in this diff
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Reference in new issue