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Refactored performance calculations 

- Avoiding multiple iterations over same array
- Some Refactorings for readability
pull/5027/head
Daniel Devaud 2 years ago
parent
5d06b13141
commit
c069c0ffa4
3 changed files with 225 additions and 158 deletions
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  1. 56
      apps/api/src/app/portfolio/portfolio-calculator.ts
  2. 84
      apps/api/src/app/portfolio/portfolio.controller.ts
  3. 223
      apps/api/src/app/portfolio/portfolio.service.ts

56
apps/api/src/app/portfolio/portfolio-calculator.ts
View File

@ -3,6 +3,7 @@ import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfac
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
import {
DataProviderInfo,
HistoricalDataItem,
ResponseError,
TimelinePosition
} from '@ghostfolio/common/interfaces';
@ -277,46 +278,29 @@ export class PortfolioCalculator {
};
}
for (const currentDate of dates) {
const dateString = format(currentDate, DATE_FORMAT);
return dates.map((date) => {
const dateString = format(date, DATE_FORMAT);
let totalCurrentValue = new Big(0);
let totalInvestmentValue = new Big(0);
let maxTotalInvestmentValue = new Big(0);
let totalNetPerformanceValue = new Big(0);
for (const symbol of Object.keys(valuesBySymbol)) {
const symbolValues = valuesBySymbol[symbol];
const currentValue =
symbolValues.currentValues?.[dateString] ?? new Big(0);
const investmentValue =
symbolValues.investmentValues?.[dateString] ?? new Big(0);
const maxInvestmentValue =
symbolValues.maxInvestmentValues?.[dateString] ?? new Big(0);
const netPerformanceValue =
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0);
valuesByDate[dateString] = {
totalCurrentValue: (
valuesByDate[dateString]?.totalCurrentValue ?? new Big(0)
).add(currentValue),
totalInvestmentValue: (
valuesByDate[dateString]?.totalInvestmentValue ?? new Big(0)
).add(investmentValue),
maxTotalInvestmentValue: (
valuesByDate[dateString]?.maxTotalInvestmentValue ?? new Big(0)
).add(maxInvestmentValue),
totalNetPerformanceValue: (
valuesByDate[dateString]?.totalNetPerformanceValue ?? new Big(0)
).add(netPerformanceValue)
};
}
totalCurrentValue = totalCurrentValue.plus(
symbolValues.currentValues?.[dateString] ?? new Big(0)
);
totalInvestmentValue = totalInvestmentValue.plus(
symbolValues.investmentValues?.[dateString] ?? new Big(0)
);
maxTotalInvestmentValue = maxTotalInvestmentValue.plus(
symbolValues.maxInvestmentValues?.[dateString] ?? new Big(0)
);
totalNetPerformanceValue = totalNetPerformanceValue.plus(
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0)
);
}
return Object.entries(valuesByDate).map(([date, values]) => {
const {
maxTotalInvestmentValue,
totalCurrentValue,
totalInvestmentValue,
totalNetPerformanceValue
} = values;
const netPerformanceInPercentage = maxTotalInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
@ -325,7 +309,7 @@ export class PortfolioCalculator {
.toNumber();
return {
date,
date: dateString,
netPerformanceInPercentage,
netPerformance: totalNetPerformanceValue.toNumber(),
totalInvestment: totalInvestmentValue.toNumber(),

84
apps/api/src/app/portfolio/portfolio.controller.ts
View File

@ -111,46 +111,21 @@ export class PortfolioController {
impersonationId ||
this.userService.isRestrictedView(this.request.user)
) {
const totalInvestment = Object.values(holdings)
.map((portfolioPosition) => {
return portfolioPosition.investment;
})
.reduce((a, b) => a + b, 0);
const totalValue = Object.values(holdings)
.map((portfolioPosition) => {
return this.exchangeRateDataService.toCurrency(
let investmentTuple: [number, number] = [0, 0];
for (let holding of Object.entries(holdings)) {
var portfolioPosition = holding[1];
investmentTuple[0] += portfolioPosition.investment;
investmentTuple[1] += this.exchangeRateDataService.toCurrency(
portfolioPosition.quantity * portfolioPosition.marketPrice,
portfolioPosition.currency,
this.request.user.Settings.settings.baseCurrency
);
})
.reduce((a, b) => a + b, 0);
for (const [symbol, portfolioPosition] of Object.entries(holdings)) {
portfolioPosition.grossPerformance = null;
portfolioPosition.investment =
portfolioPosition.investment / totalInvestment;
portfolioPosition.netPerformance = null;
portfolioPosition.quantity = null;
portfolioPosition.valueInPercentage =
portfolioPosition.value / totalValue;
}
for (const [name, { valueInBaseCurrency }] of Object.entries(accounts)) {
accounts[name].valueInPercentage = valueInBaseCurrency / totalValue;
}
const totalInvestment = investmentTuple[0];
for (const [name, { valueInBaseCurrency }] of Object.entries(platforms)) {
platforms[name].valueInPercentage = valueInBaseCurrency / totalValue;
}
}
const totalValue = investmentTuple[1];
if (
hasDetails === false ||
impersonationId ||
this.userService.isRestrictedView(this.request.user)
) {
if (hasDetails === false) {
portfolioSummary = nullifyValuesInObject(summary, [
'cash',
'committedFunds',
@ -170,15 +145,40 @@ export class PortfolioController {
}
for (const [symbol, portfolioPosition] of Object.entries(holdings)) {
holdings[symbol] = {
...portfolioPosition,
assetClass: hasDetails ? portfolioPosition.assetClass : undefined,
assetSubClass: hasDetails ? portfolioPosition.assetSubClass : undefined,
countries: hasDetails ? portfolioPosition.countries : [],
currency: hasDetails ? portfolioPosition.currency : undefined,
markets: hasDetails ? portfolioPosition.markets : undefined,
sectors: hasDetails ? portfolioPosition.sectors : []
};
portfolioPosition.grossPerformance = null;
portfolioPosition.investment =
portfolioPosition.investment / totalInvestment;
portfolioPosition.netPerformance = null;
portfolioPosition.quantity = null;
portfolioPosition.valueInPercentage =
portfolioPosition.value / totalValue;
(portfolioPosition.assetClass = hasDetails
? portfolioPosition.assetClass
: undefined),
(portfolioPosition.assetSubClass = hasDetails
? portfolioPosition.assetSubClass
: undefined),
(portfolioPosition.countries = hasDetails
? portfolioPosition.countries
: []),
(portfolioPosition.currency = hasDetails
? portfolioPosition.currency
: undefined),
(portfolioPosition.markets = hasDetails
? portfolioPosition.markets
: undefined),
(portfolioPosition.sectors = hasDetails
? portfolioPosition.sectors
: []);
}
for (const [name, { valueInBaseCurrency }] of Object.entries(accounts)) {
accounts[name].valueInPercentage = valueInBaseCurrency / totalValue;
}
for (const [name, { valueInBaseCurrency }] of Object.entries(platforms)) {
platforms[name].valueInPercentage = valueInBaseCurrency / totalValue;
}
}
return {

223
apps/api/src/app/portfolio/portfolio.service.ts
View File

@ -522,11 +522,9 @@ export class PortfolioService {
}
const portfolioItemsNow: { [symbol: string]: TimelinePosition } = {};
for (const position of currentPositions.positions) {
portfolioItemsNow[position.symbol] = position;
}
for (const item of currentPositions.positions) {
portfolioItemsNow[item.symbol] = item;
if (item.quantity.lte(0)) {
// Ignore positions without any quantity
continue;
@ -542,21 +540,7 @@ export class PortfolioService {
otherMarkets: 0
};
for (const country of symbolProfile.countries) {
if (developedMarkets.includes(country.code)) {
markets.developedMarkets = new Big(markets.developedMarkets)
.plus(country.weight)
.toNumber();
} else if (emergingMarkets.includes(country.code)) {
markets.emergingMarkets = new Big(markets.emergingMarkets)
.plus(country.weight)
.toNumber();
} else {
markets.otherMarkets = new Big(markets.otherMarkets)
.plus(country.weight)
.toNumber();
}
}
this.calculateMarketsAllocation(symbolProfile, markets);
holdings[item.symbol] = {
markets,
@ -587,6 +571,68 @@ export class PortfolioService {
};
}
await this.handleCashPosition(
filters,
isFilteredByAccount,
cashDetails,
userCurrency,
filteredValueInBaseCurrency,
holdings
);
const { accounts, platforms } = await this.getValueOfAccountsAndPlatforms({
filters,
orders,
portfolioItemsNow,
userCurrency,
userId,
withExcludedAccounts
});
filteredValueInBaseCurrency = await this.handleEmergencyFunds(
filters,
cashDetails,
userCurrency,
filteredValueInBaseCurrency,
emergencyFund,
orders,
accounts,
holdings
);
const summary = await this.getSummary({
impersonationId,
userCurrency,
userId,
balanceInBaseCurrency: cashDetails.balanceInBaseCurrency,
emergencyFundPositionsValueInBaseCurrency:
this.getEmergencyFundPositionsValueInBaseCurrency({
activities: orders
})
});
return {
accounts,
holdings,
platforms,
summary,
filteredValueInBaseCurrency: filteredValueInBaseCurrency.toNumber(),
filteredValueInPercentage: summary.netWorth
? filteredValueInBaseCurrency.div(summary.netWorth).toNumber()
: 0,
hasErrors: currentPositions.hasErrors,
totalValueInBaseCurrency: summary.netWorth
};
}
private async handleCashPosition(
filters: Filter[],
isFilteredByAccount: boolean,
cashDetails: CashDetails,
userCurrency: string,
filteredValueInBaseCurrency: Big,
holdings: { [symbol: string]: PortfolioPosition }
) {
const isFilteredByCash = filters?.some((filter) => {
return filter.type === 'ASSET_CLASS' && filter.id === 'CASH';
});
@ -602,16 +648,26 @@ export class PortfolioService {
holdings[symbol] = cashPositions[symbol];
}
}
}
const { accounts, platforms } = await this.getValueOfAccountsAndPlatforms({
filters,
orders,
portfolioItemsNow,
userCurrency,
userId,
withExcludedAccounts
});
private async handleEmergencyFunds(
filters: Filter[],
cashDetails: CashDetails,
userCurrency: string,
filteredValueInBaseCurrency: Big,
emergencyFund: Big,
orders: Activity[],
accounts: {
[id: string]: {
balance: number;
currency: string;
name: string;
valueInBaseCurrency: number;
valueInPercentage?: number;
};
},
holdings: { [symbol: string]: PortfolioPosition }
) {
if (
filters?.length === 1 &&
filters[0].id === EMERGENCY_FUND_TAG_ID &&
@ -646,30 +702,32 @@ export class PortfolioService {
value: emergencyFundInCash
};
}
return filteredValueInBaseCurrency;
}
const summary = await this.getSummary({
impersonationId,
userCurrency,
userId,
balanceInBaseCurrency: cashDetails.balanceInBaseCurrency,
emergencyFundPositionsValueInBaseCurrency:
this.getEmergencyFundPositionsValueInBaseCurrency({
activities: orders
})
});
return {
accounts,
holdings,
platforms,
summary,
filteredValueInBaseCurrency: filteredValueInBaseCurrency.toNumber(),
filteredValueInPercentage: summary.netWorth
? filteredValueInBaseCurrency.div(summary.netWorth).toNumber()
: 0,
hasErrors: currentPositions.hasErrors,
totalValueInBaseCurrency: summary.netWorth
};
private calculateMarketsAllocation(
symbolProfile: EnhancedSymbolProfile,
markets: {
developedMarkets: number;
emergingMarkets: number;
otherMarkets: number;
}
) {
for (const country of symbolProfile.countries) {
if (developedMarkets.includes(country.code)) {
markets.developedMarkets = new Big(markets.developedMarkets)
.plus(country.weight)
.toNumber();
} else if (emergingMarkets.includes(country.code)) {
markets.emergingMarkets = new Big(markets.emergingMarkets)
.plus(country.weight)
.toNumber();
} else {
markets.otherMarkets = new Big(markets.otherMarkets)
.plus(country.weight)
.toNumber();
}
}
}
public async getPosition(
@ -1607,38 +1665,63 @@ export class PortfolioService {
userId
});
const activities = await this.orderService.getOrders({
userCurrency,
userId
});
const excludedActivities = (
await this.orderService.getOrders({
const ordersRaw = await this.orderService.getOrders({
userCurrency,
userId,
withExcludedAccounts: true
})
).filter(({ Account: account }) => {
return account?.isExcluded ?? false;
});
const dividend = this.getDividend({
activities,
const activities: Activity[] = [];
const excludedActivities: Activity[] = [];
let dividend = 0;
let fees = 0;
let items = 0;
let liabilities = 0;
let totalBuy = 0;
let totalSell = 0;
for (let order of ordersRaw) {
if (order.Account?.isExcluded ?? false) {
excludedActivities.push(order);
} else {
activities.push(order);
fees += this.exchangeRateDataService.toCurrency(
order.fee,
order.SymbolProfile.currency,
userCurrency
}).toNumber();
);
let amount = this.exchangeRateDataService.toCurrency(
new Big(order.quantity).mul(order.unitPrice).toNumber(),
order.SymbolProfile.currency,
userCurrency
);
switch (order.type) {
case 'DIVIDEND':
dividend += amount;
break;
case 'ITEM':
items += amount;
break;
case 'SELL':
totalSell += amount;
break;
case 'BUY':
totalBuy += amount;
break;
case 'LIABILITY':
liabilities += amount;
}
}
}
const emergencyFund = new Big(
Math.max(
emergencyFundPositionsValueInBaseCurrency,
(user.Settings?.settings as UserSettings)?.emergencyFund ?? 0
)
);
const fees = this.getFees({ activities, userCurrency }).toNumber();
const firstOrderDate = activities[0]?.date;
const items = this.getItems(activities).toNumber();
const liabilities = this.getLiabilities(activities).toNumber();
const totalBuy = this.getTotalByType(activities, userCurrency, 'BUY');
const totalSell = this.getTotalByType(activities, userCurrency, 'SELL');
const firstOrderDate = activities[0]?.date;
const cash = new Big(balanceInBaseCurrency)
.minus(emergencyFund)

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