topaLE
/
ghostfolio
mirror of https://github.com/ghostfolio/ghostfolio
1
0
Fork 0
Code Issues Projects Releases Wiki Activity
Browse Source

Integrate chart calculation into snapshot calculation

pull/3383/head
Reto Kaul 1 year ago
committed by Thomas Kaul
parent
053c7e591e
commit
c5ec3c9b6c
6 changed files with 334 additions and 18 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Split View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 3
      apps/api/src/app/order/order.service.ts
  2. 233
      apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
  3. 6
      apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
  4. 12
      apps/api/src/app/portfolio/portfolio.controller.ts
  5. 73
      apps/api/src/app/portfolio/portfolio.service.ts
  6. 5
      libs/common/src/lib/models/portfolio-snapshot.ts

3
apps/api/src/app/order/order.service.ts
View File

@ -247,6 +247,7 @@ export class OrderService {
userId: string;
withExcludedAccounts?: boolean;
}): Promise<Activities> {
console.time('------ OrderService.getOrders');
let orderBy: Prisma.Enumerable<Prisma.OrderOrderByWithRelationInput> = [
{ date: 'asc' }
];
@ -406,6 +407,8 @@ export class OrderService {
};
});
console.timeEnd('------ OrderService.getOrders');
return { activities, count };
}

233
apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
View File

@ -90,6 +90,7 @@ export abstract class PortfolioCalculator {
useCache: boolean;
userId: string;
}) {
console.time('--- PortfolioCalculator.constructor - 1');
this.accountBalanceItems = accountBalanceItems;
this.configurationService = configurationService;
this.currency = currency;
@ -138,9 +139,16 @@ export abstract class PortfolioCalculator {
this.endDate = endDate;
this.startDate = startDate;
console.timeEnd('--- PortfolioCalculator.constructor - 1');
console.time('--- PortfolioCalculator.constructor - 2');
this.computeTransactionPoints();
console.timeEnd('--- PortfolioCalculator.constructor - 2');
console.time('--- PortfolioCalculator.constructor - 3');
this.snapshotPromise = this.initialize();
console.timeEnd('--- PortfolioCalculator.constructor - 3');
}
protected abstract calculateOverallPerformance(
@ -169,6 +177,7 @@ export abstract class PortfolioCalculator {
if (!transactionPoints.length) {
return {
chartData: [],
currentValueInBaseCurrency: new Big(0),
grossPerformance: new Big(0),
grossPerformancePercentage: new Big(0),
@ -290,6 +299,26 @@ export abstract class PortfolioCalculator {
const endDateString = format(endDate, DATE_FORMAT);
const chartStartDate = this.getStartDate();
const daysInMarket = differenceInDays(endDate, chartStartDate) + 1;
const step = true /*withDataDecimation*/
? Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS))
: 1;
let chartDates = eachDayOfInterval(
{ start: chartStartDate, end },
{ step }
).map((date) => {
return resetHours(date);
});
const includesEndDate = isSameDay(last(chartDates), end);
if (!includesEndDate) {
chartDates.push(resetHours(end));
}
if (firstIndex > 0) {
firstIndex--;
}
@ -299,6 +328,34 @@ export abstract class PortfolioCalculator {
const errors: ResponseError['errors'] = [];
const accumulatedValuesByDate: {
[date: string]: {
investmentValueWithCurrencyEffect: Big;
totalCurrentValue: Big;
totalCurrentValueWithCurrencyEffect: Big;
totalInvestmentValue: Big;
totalInvestmentValueWithCurrencyEffect: Big;
totalNetPerformanceValue: Big;
totalNetPerformanceValueWithCurrencyEffect: Big;
totalTimeWeightedInvestmentValue: Big;
totalTimeWeightedInvestmentValueWithCurrencyEffect: Big;
};
} = {};
const valuesBySymbol: {
[symbol: string]: {
currentValues: { [date: string]: Big };
currentValuesWithCurrencyEffect: { [date: string]: Big };
investmentValuesAccumulated: { [date: string]: Big };
investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big };
investmentValuesWithCurrencyEffect: { [date: string]: Big };
netPerformanceValues: { [date: string]: Big };
netPerformanceValuesWithCurrencyEffect: { [date: string]: Big };
timeWeightedInvestmentValues: { [date: string]: Big };
timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big };
};
} = {};
for (const item of lastTransactionPoint.items) {
const marketPriceInBaseCurrency = (
marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice
@ -309,16 +366,25 @@ export abstract class PortfolioCalculator {
);
const {
currentValues,
currentValuesWithCurrencyEffect,
grossPerformance,
grossPerformancePercentage,
grossPerformancePercentageWithCurrencyEffect,
grossPerformanceWithCurrencyEffect,
hasErrors,
investmentValuesAccumulated,
investmentValuesAccumulatedWithCurrencyEffect,
investmentValuesWithCurrencyEffect,
netPerformance,
netPerformancePercentage,
netPerformancePercentageWithCurrencyEffect,
netPerformanceValues,
netPerformanceValuesWithCurrencyEffect,
netPerformanceWithCurrencyEffect,
timeWeightedInvestment,
timeWeightedInvestmentValues,
timeWeightedInvestmentValuesWithCurrencyEffect,
timeWeightedInvestmentWithCurrencyEffect,
totalDividend,
totalDividendInBaseCurrency,
@ -330,15 +396,29 @@ export abstract class PortfolioCalculator {
} = this.getSymbolMetrics({
marketSymbolMap,
start,
step,
dataSource: item.dataSource,
end: endDate,
exchangeRates:
exchangeRatesByCurrency[`${item.currency}${this.currency}`],
isChartMode: true,
symbol: item.symbol
});
hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
valuesBySymbol[item.symbol] = {
currentValues,
currentValuesWithCurrencyEffect,
investmentValuesAccumulated,
investmentValuesAccumulatedWithCurrencyEffect,
investmentValuesWithCurrencyEffect,
netPerformanceValues,
netPerformanceValuesWithCurrencyEffect,
timeWeightedInvestmentValues,
timeWeightedInvestmentValuesWithCurrencyEffect
};
positions.push({
dividend: totalDividend,
dividendInBaseCurrency: totalDividendInBaseCurrency,
@ -406,10 +486,143 @@ export abstract class PortfolioCalculator {
}
}
for (const currentDate of chartDates) {
const dateString = format(currentDate, DATE_FORMAT);
for (const symbol of Object.keys(valuesBySymbol)) {
const symbolValues = valuesBySymbol[symbol];
const currentValue =
symbolValues.currentValues?.[dateString] ?? new Big(0);
const currentValueWithCurrencyEffect =
symbolValues.currentValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const investmentValueAccumulated =
symbolValues.investmentValuesAccumulated?.[dateString] ?? new Big(0);
const investmentValueAccumulatedWithCurrencyEffect =
symbolValues.investmentValuesAccumulatedWithCurrencyEffect?.[
dateString
] ?? new Big(0);
const investmentValueWithCurrencyEffect =
symbolValues.investmentValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const netPerformanceValue =
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0);
const netPerformanceValueWithCurrencyEffect =
symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ??
new Big(0);
const timeWeightedInvestmentValue =
symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0);
const timeWeightedInvestmentValueWithCurrencyEffect =
symbolValues.timeWeightedInvestmentValuesWithCurrencyEffect?.[
dateString
] ?? new Big(0);
accumulatedValuesByDate[dateString] = {
investmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.investmentValueWithCurrencyEffect ?? new Big(0)
).add(investmentValueWithCurrencyEffect),
totalCurrentValue: (
accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0)
).add(currentValue),
totalCurrentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalCurrentValueWithCurrencyEffect ?? new Big(0)
).add(currentValueWithCurrencyEffect),
totalInvestmentValue: (
accumulatedValuesByDate[dateString]?.totalInvestmentValue ??
new Big(0)
).add(investmentValueAccumulated),
totalInvestmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalInvestmentValueWithCurrencyEffect ?? new Big(0)
).add(investmentValueAccumulatedWithCurrencyEffect),
totalNetPerformanceValue: (
accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ??
new Big(0)
).add(netPerformanceValue),
totalNetPerformanceValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0)
).add(netPerformanceValueWithCurrencyEffect),
totalTimeWeightedInvestmentValue: (
accumulatedValuesByDate[dateString]
?.totalTimeWeightedInvestmentValue ?? new Big(0)
).add(timeWeightedInvestmentValue),
totalTimeWeightedInvestmentValueWithCurrencyEffect: (
accumulatedValuesByDate[dateString]
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0)
).add(timeWeightedInvestmentValueWithCurrencyEffect)
};
}
}
const chartData: HistoricalDataItem[] = Object.entries(
accumulatedValuesByDate
).map(([date, values]) => {
const {
investmentValueWithCurrencyEffect,
totalCurrentValue,
totalCurrentValueWithCurrencyEffect,
totalInvestmentValue,
totalInvestmentValueWithCurrencyEffect,
totalNetPerformanceValue,
totalNetPerformanceValueWithCurrencyEffect,
totalTimeWeightedInvestmentValue,
totalTimeWeightedInvestmentValueWithCurrencyEffect
} = values;
console.log(
'Chart: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestmentValue.toFixed()
);
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
.div(totalTimeWeightedInvestmentValue)
.mul(100)
.toNumber();
const netPerformanceInPercentageWithCurrencyEffect =
totalTimeWeightedInvestmentValueWithCurrencyEffect.eq(0)
? 0
: totalNetPerformanceValueWithCurrencyEffect
.div(totalTimeWeightedInvestmentValueWithCurrencyEffect)
.mul(100)
.toNumber();
return {
date,
netPerformanceInPercentage,
netPerformanceInPercentageWithCurrencyEffect,
investmentValueWithCurrencyEffect:
investmentValueWithCurrencyEffect.toNumber(),
netPerformance: totalNetPerformanceValue.toNumber(),
netPerformanceWithCurrencyEffect:
totalNetPerformanceValueWithCurrencyEffect.toNumber(),
totalInvestment: totalInvestmentValue.toNumber(),
totalInvestmentValueWithCurrencyEffect:
totalInvestmentValueWithCurrencyEffect.toNumber(),
value: totalCurrentValue.toNumber(),
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber()
};
});
const overall = this.calculateOverallPerformance(positions);
return {
...overall,
chartData,
errors,
positions,
totalInterestWithCurrencyEffect,
@ -426,6 +639,12 @@ export abstract class PortfolioCalculator {
dateRange?: DateRange;
withDataDecimation?: boolean;
}): Promise<HistoricalDataItem[]> {
console.time('-------- PortfolioCalculator.getChart');
if (this.getTransactionPoints().length === 0) {
return [];
}
const { endDate, startDate } = getInterval(dateRange, this.getStartDate());
const daysInMarket = differenceInDays(endDate, startDate) + 1;
@ -433,11 +652,15 @@ export abstract class PortfolioCalculator {
? Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS))
: 1;
return this.getChartData({
const chartData = await this.getChartData({
step,
end: endDate,
start: startDate
});
console.timeEnd('-------- PortfolioCalculator.getChart');
return chartData;
}
public async getChartData({
@ -737,6 +960,11 @@ export abstract class PortfolioCalculator {
totalTimeWeightedInvestmentValueWithCurrencyEffect
} = values;
console.log(
'Chart: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestmentValue.toFixed()
);
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
? 0
: totalNetPerformanceValue
@ -848,8 +1076,11 @@ export abstract class PortfolioCalculator {
}
public async getSnapshot() {
console.time('getSnapshot');
await this.snapshotPromise;
console.timeEnd('getSnapshot');
return this.snapshot;
}

6
apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
View File

@ -98,6 +98,11 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
}
}
console.log(
'Overall: totalTimeWeightedInvestmentValue',
totalTimeWeightedInvestment.toFixed()
);
return {
currentValueInBaseCurrency,
grossPerformance,
@ -110,6 +115,7 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
totalInterestWithCurrencyEffect,
totalInvestment,
totalInvestmentWithCurrencyEffect,
chartData: [],
netPerformancePercentage: totalTimeWeightedInvestment.eq(0)
? new Big(0)
: netPerformance.div(totalTimeWeightedInvestment),

12
apps/api/src/app/portfolio/portfolio.controller.ts
View File

@ -81,6 +81,8 @@ export class PortfolioController {
@Query('tags') filterByTags?: string,
@Query('withMarkets') withMarketsParam = 'false'
): Promise<PortfolioDetails & { hasError: boolean }> {
console.time('TOTAL');
const withMarkets = withMarketsParam === 'true';
let hasDetails = true;
@ -101,6 +103,8 @@ export class PortfolioController {
filterByTags
});
console.time('- PortfolioController.getDetails - 1');
const { accounts, hasErrors, holdings, platforms, summary } =
await this.portfolioService.getDetails({
dateRange,
@ -111,6 +115,10 @@ export class PortfolioController {
withSummary: true
});
console.timeEnd('- PortfolioController.getDetails - 1');
console.time('- PortfolioController.getDetails - 2');
if (hasErrors || hasNotDefinedValuesInObject(holdings)) {
hasError = true;
}
@ -208,6 +216,10 @@ export class PortfolioController {
};
}
console.timeEnd('- PortfolioController.getDetails - 2');
console.timeEnd('TOTAL');
return {
accounts,
hasError,

73
apps/api/src/app/portfolio/portfolio.service.ts
View File

@ -339,6 +339,8 @@ export class PortfolioService {
withMarkets?: boolean;
withSummary?: boolean;
}): Promise<PortfolioDetails & { hasErrors: boolean }> {
console.time('-- PortfolioService.getDetails - 1');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
const userCurrency = this.getUserCurrency(user);
@ -365,9 +367,16 @@ export class PortfolioService {
this.request.user?.Settings.settings.isExperimentalFeatures
});
console.timeEnd('-- PortfolioService.getDetails - 1');
console.time('-- PortfolioService.getDetails - 2');
const { currentValueInBaseCurrency, hasErrors, positions } =
await portfolioCalculator.getSnapshot();
console.timeEnd('-- PortfolioService.getDetails - 2');
console.time('-- PortfolioService.getDetails - 3');
const cashDetails = await this.accountService.getCashDetails({
filters,
userId,
@ -416,6 +425,9 @@ export class PortfolioService {
};
});
console.timeEnd('-- PortfolioService.getDetails - 3');
console.time('-- PortfolioService.getDetails - 4');
const [dataProviderResponses, symbolProfiles] = await Promise.all([
this.dataProviderService.getQuotes({ user, items: dataGatheringItems }),
this.symbolProfileService.getSymbolProfiles(dataGatheringItems)
@ -431,6 +443,9 @@ export class PortfolioService {
portfolioItemsNow[position.symbol] = position;
}
console.timeEnd('-- PortfolioService.getDetails - 4');
console.time('-- PortfolioService.getDetails - 5');
for (const {
currency,
dividend,
@ -571,6 +586,10 @@ export class PortfolioService {
};
}
console.timeEnd('-- PortfolioService.getDetails - 5');
console.time('-- PortfolioService.getDetails - 6');
let summary: PortfolioSummary;
if (withSummary) {
@ -589,6 +608,8 @@ export class PortfolioService {
});
}
console.timeEnd('-- PortfolioService.getDetails - 6');
return {
accounts,
hasErrors,
@ -1051,15 +1072,20 @@ export class PortfolioService {
dateRange = 'max',
filters,
impersonationId,
portfolioCalculator,
userId,
withExcludedAccounts = false
}: {
dateRange?: DateRange;
filters?: Filter[];
impersonationId: string;
portfolioCalculator?: PortfolioCalculator;
userId: string;
withExcludedAccounts?: boolean;
}): Promise<PortfolioPerformanceResponse> {
// OPTIMIZE (1.34s)
console.time('------ PortfolioService.getPerformance');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
const userCurrency = this.getUserCurrency(user);
@ -1096,6 +1122,8 @@ export class PortfolioService {
const { endDate } = getInterval(dateRange);
console.time('------- PortfolioService.getPerformance - 2');
const { activities } = await this.orderService.getOrders({
endDate,
filters,
@ -1104,6 +1132,9 @@ export class PortfolioService {
withExcludedAccounts
});
console.timeEnd('------- PortfolioService.getPerformance - 2');
console.time('------- PortfolioService.getPerformance - 3');
if (accountBalanceItems?.length <= 0 && activities?.length <= 0) {
return {
chart: [],
@ -1125,7 +1156,9 @@ export class PortfolioService {
};
}
const portfolioCalculator = this.calculatorFactory.createCalculator({
portfolioCalculator =
portfolioCalculator ??
this.calculatorFactory.createCalculator({
accountBalanceItems,
activities,
dateRange,
@ -1138,6 +1171,7 @@ export class PortfolioService {
});
const {
chartData,
currentValueInBaseCurrency,
errors,
grossPerformance,
@ -1152,6 +1186,9 @@ export class PortfolioService {
totalInvestment
} = await portfolioCalculator.getSnapshot();
console.timeEnd('------- PortfolioService.getPerformance - 3');
console.time('------- PortfolioService.getPerformance - 4');
let currentNetPerformance = netPerformance;
let currentNetPerformancePercentage = netPerformancePercentage;
@ -1164,11 +1201,13 @@ export class PortfolioService {
let currentNetWorth = 0;
const items = await portfolioCalculator.getChart({
/*const items = await portfolioCalculator.getChart({
dateRange
});
});*/
console.timeEnd('------- PortfolioService.getPerformance - 4');
console.time('------- PortfolioService.getPerformance - 5');
const itemOfToday = items.find(({ date }) => {
const itemOfToday = chartData.find(({ date }) => {
return date === format(new Date(), DATE_FORMAT);
});
@ -1190,11 +1229,15 @@ export class PortfolioService {
currentNetWorth = itemOfToday.netWorth;
}
console.timeEnd('------- PortfolioService.getPerformance - 5');
console.timeEnd('------ PortfolioService.getPerformance');
return {
errors,
hasErrors,
chart: items,
firstOrderDate: parseDate(items[0]?.date),
chart: chartData,
firstOrderDate: parseDate(chartData[0]?.date),
performance: {
currentNetWorth,
currentValueInBaseCurrency: currentValueInBaseCurrency.toNumber(),
@ -1603,15 +1646,23 @@ export class PortfolioService {
userCurrency: string;
userId: string;
}): Promise<PortfolioSummary> {
// OPTIMIZE (1.1 s)
console.time('---- PortfolioService.getSummary');
userId = await this.getUserId(impersonationId, userId);
const user = await this.userService.user({ id: userId });
console.time('----- PortfolioService.getSummary - 1');
const { activities } = await this.orderService.getOrders({
userCurrency,
userId,
withExcludedAccounts: true
});
console.timeEnd('----- PortfolioService.getSummary - 1');
console.time('----- PortfolioService.getSummary - 2');
const excludedActivities: Activity[] = [];
const nonExcludedActivities: Activity[] = [];
@ -1652,6 +1703,9 @@ export class PortfolioService {
const interest = await portfolioCalculator.getInterestInBaseCurrency();
console.timeEnd('----- PortfolioService.getSummary - 2');
console.time('----- PortfolioService.getSummary - 3');
const liabilities =
await portfolioCalculator.getLiabilitiesInBaseCurrency();
@ -1688,6 +1742,9 @@ export class PortfolioService {
})
);
console.timeEnd('----- PortfolioService.getSummary - 3');
console.time('----- PortfolioService.getSummary - 4');
const cashDetailsWithExcludedAccounts =
await this.accountService.getCashDetails({
userId,
@ -1725,6 +1782,10 @@ export class PortfolioService {
)
})?.toNumber();
console.timeEnd('----- PortfolioService.getSummary - 4');
console.timeEnd('---- PortfolioService.getSummary');
return {
annualizedPerformancePercent,
annualizedPerformancePercentWithCurrencyEffect,

5
libs/common/src/lib/models/portfolio-snapshot.ts
View File

@ -1,14 +1,17 @@
import { transformToBig } from '@ghostfolio/common/class-transformer';
import { UniqueAsset } from '@ghostfolio/common/interfaces';
import { HistoricalDataItem, UniqueAsset } from '@ghostfolio/common/interfaces';
import { TimelinePosition } from '@ghostfolio/common/models';
import { Big } from 'big.js';
import { Transform, Type } from 'class-transformer';
export class PortfolioSnapshot {
chartData: HistoricalDataItem[];
@Transform(transformToBig, { toClassOnly: true })
@Type(() => Big)
currentValueInBaseCurrency: Big;
errors?: UniqueAsset[];
@Transform(transformToBig, { toClassOnly: true })

Write Preview
Loading…
Cancel
Save