mirror of https://github.com/ghostfolio/ghostfolio
Thomas Kaul
4 weeks ago
committed by
GitHub
GitHub
36 changed files with 1734 additions and 1072 deletions
@ -0,0 +1,10 @@ |
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import { CreateAccountDto } from '@ghostfolio/api/app/account/create-account.dto'; |
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import { AccountBalance } from '@ghostfolio/common/interfaces'; |
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|
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import { IsArray, IsOptional } from 'class-validator'; |
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|
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export class CreateAccountWithBalancesDto extends CreateAccountDto { |
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@IsArray() |
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@IsOptional() |
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balances?: AccountBalance; |
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} |
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@ -0,0 +1,969 @@ |
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import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
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import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order-item.interface'; |
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import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
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import { getIntervalFromDateRange } from '@ghostfolio/common/calculation-helper'; |
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import { DATE_FORMAT } from '@ghostfolio/common/helper'; |
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import { |
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AssetProfileIdentifier, |
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SymbolMetrics |
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} from '@ghostfolio/common/interfaces'; |
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import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
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import { DateRange } from '@ghostfolio/common/types'; |
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|
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import { Logger } from '@nestjs/common'; |
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import { Big } from 'big.js'; |
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import { addMilliseconds, differenceInDays, format, isBefore } from 'date-fns'; |
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import { cloneDeep, sortBy } from 'lodash'; |
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|
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export class RoaiPortfolioCalculator extends PortfolioCalculator { |
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private chartDates: string[]; |
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|
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protected calculateOverallPerformance( |
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positions: TimelinePosition[] |
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): PortfolioSnapshot { |
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let currentValueInBaseCurrency = new Big(0); |
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let grossPerformance = new Big(0); |
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let grossPerformanceWithCurrencyEffect = new Big(0); |
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let hasErrors = false; |
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let netPerformance = new Big(0); |
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let totalFeesWithCurrencyEffect = new Big(0); |
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const totalInterestWithCurrencyEffect = new Big(0); |
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let totalInvestment = new Big(0); |
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let totalInvestmentWithCurrencyEffect = new Big(0); |
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let totalTimeWeightedInvestment = new Big(0); |
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let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0); |
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|
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for (const currentPosition of positions) { |
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if (currentPosition.feeInBaseCurrency) { |
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totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus( |
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currentPosition.feeInBaseCurrency |
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); |
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} |
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|
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if (currentPosition.valueInBaseCurrency) { |
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currentValueInBaseCurrency = currentValueInBaseCurrency.plus( |
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currentPosition.valueInBaseCurrency |
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); |
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} else { |
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hasErrors = true; |
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} |
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|
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if (currentPosition.investment) { |
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totalInvestment = totalInvestment.plus(currentPosition.investment); |
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|
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totalInvestmentWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect.plus( |
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currentPosition.investmentWithCurrencyEffect |
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); |
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} else { |
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hasErrors = true; |
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} |
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|
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if (currentPosition.grossPerformance) { |
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grossPerformance = grossPerformance.plus( |
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currentPosition.grossPerformance |
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); |
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|
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grossPerformanceWithCurrencyEffect = |
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grossPerformanceWithCurrencyEffect.plus( |
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currentPosition.grossPerformanceWithCurrencyEffect |
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); |
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|
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netPerformance = netPerformance.plus(currentPosition.netPerformance); |
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} else if (!currentPosition.quantity.eq(0)) { |
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hasErrors = true; |
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} |
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|
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if (currentPosition.timeWeightedInvestment) { |
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totalTimeWeightedInvestment = totalTimeWeightedInvestment.plus( |
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currentPosition.timeWeightedInvestment |
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); |
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|
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totalTimeWeightedInvestmentWithCurrencyEffect = |
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totalTimeWeightedInvestmentWithCurrencyEffect.plus( |
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currentPosition.timeWeightedInvestmentWithCurrencyEffect |
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); |
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} else if (!currentPosition.quantity.eq(0)) { |
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Logger.warn( |
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`Missing historical market data for ${currentPosition.symbol} (${currentPosition.dataSource})`, |
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'PortfolioCalculator' |
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); |
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|
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hasErrors = true; |
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} |
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} |
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|
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return { |
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currentValueInBaseCurrency, |
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hasErrors, |
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positions, |
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totalFeesWithCurrencyEffect, |
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totalInterestWithCurrencyEffect, |
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totalInvestment, |
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totalInvestmentWithCurrencyEffect, |
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activitiesCount: this.activities.filter(({ type }) => { |
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return ['BUY', 'SELL'].includes(type); |
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}).length, |
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createdAt: new Date(), |
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errors: [], |
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historicalData: [], |
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totalLiabilitiesWithCurrencyEffect: new Big(0), |
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totalValuablesWithCurrencyEffect: new Big(0) |
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}; |
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} |
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|
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protected getSymbolMetrics({ |
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chartDateMap, |
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dataSource, |
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end, |
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exchangeRates, |
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marketSymbolMap, |
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start, |
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symbol |
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}: { |
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chartDateMap?: { [date: string]: boolean }; |
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end: Date; |
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exchangeRates: { [dateString: string]: number }; |
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marketSymbolMap: { |
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[date: string]: { [symbol: string]: Big }; |
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}; |
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start: Date; |
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} & AssetProfileIdentifier): SymbolMetrics { |
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const currentExchangeRate = exchangeRates[format(new Date(), DATE_FORMAT)]; |
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const currentValues: { [date: string]: Big } = {}; |
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const currentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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let fees = new Big(0); |
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let feesAtStartDate = new Big(0); |
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let feesAtStartDateWithCurrencyEffect = new Big(0); |
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let feesWithCurrencyEffect = new Big(0); |
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let grossPerformance = new Big(0); |
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let grossPerformanceWithCurrencyEffect = new Big(0); |
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let grossPerformanceAtStartDate = new Big(0); |
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let grossPerformanceAtStartDateWithCurrencyEffect = new Big(0); |
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let grossPerformanceFromSells = new Big(0); |
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let grossPerformanceFromSellsWithCurrencyEffect = new Big(0); |
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let initialValue: Big; |
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let initialValueWithCurrencyEffect: Big; |
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let investmentAtStartDate: Big; |
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let investmentAtStartDateWithCurrencyEffect: Big; |
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const investmentValuesAccumulated: { [date: string]: Big } = {}; |
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const investmentValuesAccumulatedWithCurrencyEffect: { |
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[date: string]: Big; |
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} = {}; |
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const investmentValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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let lastAveragePrice = new Big(0); |
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let lastAveragePriceWithCurrencyEffect = new Big(0); |
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const netPerformanceValues: { [date: string]: Big } = {}; |
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const netPerformanceValuesWithCurrencyEffect: { [date: string]: Big } = {}; |
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const timeWeightedInvestmentValues: { [date: string]: Big } = {}; |
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|
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const timeWeightedInvestmentValuesWithCurrencyEffect: { |
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[date: string]: Big; |
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} = {}; |
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|
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const totalAccountBalanceInBaseCurrency = new Big(0); |
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let totalDividend = new Big(0); |
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let totalDividendInBaseCurrency = new Big(0); |
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let totalInterest = new Big(0); |
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let totalInterestInBaseCurrency = new Big(0); |
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let totalInvestment = new Big(0); |
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let totalInvestmentFromBuyTransactions = new Big(0); |
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let totalInvestmentFromBuyTransactionsWithCurrencyEffect = new Big(0); |
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let totalInvestmentWithCurrencyEffect = new Big(0); |
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let totalLiabilities = new Big(0); |
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let totalLiabilitiesInBaseCurrency = new Big(0); |
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let totalQuantityFromBuyTransactions = new Big(0); |
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let totalUnits = new Big(0); |
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let totalValuables = new Big(0); |
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let totalValuablesInBaseCurrency = new Big(0); |
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let valueAtStartDate: Big; |
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let valueAtStartDateWithCurrencyEffect: Big; |
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|
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// Clone orders to keep the original values in this.orders
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let orders: PortfolioOrderItem[] = cloneDeep( |
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this.activities.filter(({ SymbolProfile }) => { |
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return SymbolProfile.symbol === symbol; |
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}) |
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); |
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|
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if (orders.length <= 0) { |
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return { |
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currentValues: {}, |
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currentValuesWithCurrencyEffect: {}, |
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feesWithCurrencyEffect: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: false, |
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initialValue: new Big(0), |
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initialValueWithCurrencyEffect: new Big(0), |
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investmentValuesAccumulated: {}, |
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investmentValuesAccumulatedWithCurrencyEffect: {}, |
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investmentValuesWithCurrencyEffect: {}, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffectMap: {}, |
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netPerformanceValues: {}, |
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netPerformanceValuesWithCurrencyEffect: {}, |
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netPerformanceWithCurrencyEffectMap: {}, |
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timeWeightedInvestment: new Big(0), |
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timeWeightedInvestmentValues: {}, |
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timeWeightedInvestmentValuesWithCurrencyEffect: {}, |
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timeWeightedInvestmentWithCurrencyEffect: new Big(0), |
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totalAccountBalanceInBaseCurrency: new Big(0), |
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totalDividend: new Big(0), |
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totalDividendInBaseCurrency: new Big(0), |
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totalInterest: new Big(0), |
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totalInterestInBaseCurrency: new Big(0), |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0), |
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totalLiabilities: new Big(0), |
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totalLiabilitiesInBaseCurrency: new Big(0), |
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totalValuables: new Big(0), |
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totalValuablesInBaseCurrency: new Big(0) |
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}; |
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} |
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const dateOfFirstTransaction = new Date(orders[0].date); |
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const endDateString = format(end, DATE_FORMAT); |
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const startDateString = format(start, DATE_FORMAT); |
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const unitPriceAtStartDate = marketSymbolMap[startDateString]?.[symbol]; |
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const unitPriceAtEndDate = marketSymbolMap[endDateString]?.[symbol]; |
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if ( |
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!unitPriceAtEndDate || |
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(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
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) { |
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return { |
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currentValues: {}, |
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currentValuesWithCurrencyEffect: {}, |
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feesWithCurrencyEffect: new Big(0), |
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grossPerformance: new Big(0), |
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grossPerformancePercentage: new Big(0), |
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grossPerformancePercentageWithCurrencyEffect: new Big(0), |
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grossPerformanceWithCurrencyEffect: new Big(0), |
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hasErrors: true, |
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initialValue: new Big(0), |
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initialValueWithCurrencyEffect: new Big(0), |
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investmentValuesAccumulated: {}, |
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investmentValuesAccumulatedWithCurrencyEffect: {}, |
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investmentValuesWithCurrencyEffect: {}, |
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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffectMap: {}, |
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netPerformanceWithCurrencyEffectMap: {}, |
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netPerformanceValues: {}, |
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netPerformanceValuesWithCurrencyEffect: {}, |
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timeWeightedInvestment: new Big(0), |
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timeWeightedInvestmentValues: {}, |
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timeWeightedInvestmentValuesWithCurrencyEffect: {}, |
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timeWeightedInvestmentWithCurrencyEffect: new Big(0), |
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totalAccountBalanceInBaseCurrency: new Big(0), |
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totalDividend: new Big(0), |
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totalDividendInBaseCurrency: new Big(0), |
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totalInterest: new Big(0), |
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totalInterestInBaseCurrency: new Big(0), |
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totalInvestment: new Big(0), |
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totalInvestmentWithCurrencyEffect: new Big(0), |
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totalLiabilities: new Big(0), |
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totalLiabilitiesInBaseCurrency: new Big(0), |
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totalValuables: new Big(0), |
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totalValuablesInBaseCurrency: new Big(0) |
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}; |
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} |
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|
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// Add a synthetic order at the start and the end date
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orders.push({ |
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date: startDateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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itemType: 'start', |
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quantity: new Big(0), |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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type: 'BUY', |
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unitPrice: unitPriceAtStartDate |
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}); |
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|
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orders.push({ |
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date: endDateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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itemType: 'end', |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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quantity: new Big(0), |
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type: 'BUY', |
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unitPrice: unitPriceAtEndDate |
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}); |
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|
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let lastUnitPrice: Big; |
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|
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const ordersByDate: { [date: string]: PortfolioOrderItem[] } = {}; |
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|
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for (const order of orders) { |
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ordersByDate[order.date] = ordersByDate[order.date] ?? []; |
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ordersByDate[order.date].push(order); |
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} |
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|
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if (!this.chartDates) { |
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this.chartDates = Object.keys(chartDateMap).sort(); |
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} |
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|
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for (const dateString of this.chartDates) { |
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if (dateString < startDateString) { |
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continue; |
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} else if (dateString > endDateString) { |
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break; |
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} |
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|
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if (ordersByDate[dateString]?.length > 0) { |
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for (const order of ordersByDate[dateString]) { |
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order.unitPriceFromMarketData = |
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marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice; |
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} |
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} else { |
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orders.push({ |
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date: dateString, |
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fee: new Big(0), |
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feeInBaseCurrency: new Big(0), |
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quantity: new Big(0), |
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SymbolProfile: { |
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dataSource, |
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symbol |
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}, |
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type: 'BUY', |
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unitPrice: marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice, |
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unitPriceFromMarketData: |
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marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice |
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}); |
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} |
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const lastOrder = orders.at(-1); |
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lastUnitPrice = lastOrder.unitPriceFromMarketData ?? lastOrder.unitPrice; |
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} |
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// Sort orders so that the start and end placeholder order are at the correct
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// position
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orders = sortBy(orders, ({ date, itemType }) => { |
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let sortIndex = new Date(date); |
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|
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if (itemType === 'end') { |
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sortIndex = addMilliseconds(sortIndex, 1); |
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} else if (itemType === 'start') { |
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sortIndex = addMilliseconds(sortIndex, -1); |
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} |
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|
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return sortIndex.getTime(); |
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}); |
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const indexOfStartOrder = orders.findIndex(({ itemType }) => { |
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return itemType === 'start'; |
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}); |
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|
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const indexOfEndOrder = orders.findIndex(({ itemType }) => { |
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return itemType === 'end'; |
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}); |
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|
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let totalInvestmentDays = 0; |
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let sumOfTimeWeightedInvestments = new Big(0); |
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let sumOfTimeWeightedInvestmentsWithCurrencyEffect = new Big(0); |
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|
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for (let i = 0; i < orders.length; i += 1) { |
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const order = orders[i]; |
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|
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if (PortfolioCalculator.ENABLE_LOGGING) { |
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console.log(); |
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console.log(); |
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console.log( |
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i + 1, |
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order.date, |
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order.type, |
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order.itemType ? `(${order.itemType})` : '' |
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); |
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} |
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|
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const exchangeRateAtOrderDate = exchangeRates[order.date]; |
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|
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if (order.type === 'DIVIDEND') { |
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const dividend = order.quantity.mul(order.unitPrice); |
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|
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totalDividend = totalDividend.plus(dividend); |
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totalDividendInBaseCurrency = totalDividendInBaseCurrency.plus( |
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dividend.mul(exchangeRateAtOrderDate ?? 1) |
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); |
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} else if (order.type === 'INTEREST') { |
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const interest = order.quantity.mul(order.unitPrice); |
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|
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totalInterest = totalInterest.plus(interest); |
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totalInterestInBaseCurrency = totalInterestInBaseCurrency.plus( |
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interest.mul(exchangeRateAtOrderDate ?? 1) |
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); |
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} else if (order.type === 'ITEM') { |
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const valuables = order.quantity.mul(order.unitPrice); |
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|
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totalValuables = totalValuables.plus(valuables); |
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totalValuablesInBaseCurrency = totalValuablesInBaseCurrency.plus( |
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valuables.mul(exchangeRateAtOrderDate ?? 1) |
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); |
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} else if (order.type === 'LIABILITY') { |
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const liabilities = order.quantity.mul(order.unitPrice); |
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|
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totalLiabilities = totalLiabilities.plus(liabilities); |
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totalLiabilitiesInBaseCurrency = totalLiabilitiesInBaseCurrency.plus( |
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liabilities.mul(exchangeRateAtOrderDate ?? 1) |
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); |
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} |
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|
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if (order.itemType === 'start') { |
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// Take the unit price of the order as the market price if there are no
|
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// orders of this symbol before the start date
|
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order.unitPrice = |
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indexOfStartOrder === 0 |
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? orders[i + 1]?.unitPrice |
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: unitPriceAtStartDate; |
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} |
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|
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if (order.fee) { |
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order.feeInBaseCurrency = order.fee.mul(currentExchangeRate ?? 1); |
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order.feeInBaseCurrencyWithCurrencyEffect = order.fee.mul( |
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exchangeRateAtOrderDate ?? 1 |
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); |
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} |
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|
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const unitPrice = ['BUY', 'SELL'].includes(order.type) |
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? order.unitPrice |
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: order.unitPriceFromMarketData; |
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|
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if (unitPrice) { |
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order.unitPriceInBaseCurrency = unitPrice.mul(currentExchangeRate ?? 1); |
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|
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order.unitPriceInBaseCurrencyWithCurrencyEffect = unitPrice.mul( |
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exchangeRateAtOrderDate ?? 1 |
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); |
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} |
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|
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const valueOfInvestmentBeforeTransaction = totalUnits.mul( |
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order.unitPriceInBaseCurrency |
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); |
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|
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const valueOfInvestmentBeforeTransactionWithCurrencyEffect = |
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totalUnits.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect); |
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|
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if (!investmentAtStartDate && i >= indexOfStartOrder) { |
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investmentAtStartDate = totalInvestment ?? new Big(0); |
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|
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investmentAtStartDateWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect ?? new Big(0); |
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|
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valueAtStartDate = valueOfInvestmentBeforeTransaction; |
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|
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valueAtStartDateWithCurrencyEffect = |
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valueOfInvestmentBeforeTransactionWithCurrencyEffect; |
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} |
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|
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let transactionInvestment = new Big(0); |
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let transactionInvestmentWithCurrencyEffect = new Big(0); |
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|
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if (order.type === 'BUY') { |
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transactionInvestment = order.quantity |
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.mul(order.unitPriceInBaseCurrency) |
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.mul(getFactor(order.type)); |
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|
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transactionInvestmentWithCurrencyEffect = order.quantity |
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.mul(order.unitPriceInBaseCurrencyWithCurrencyEffect) |
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.mul(getFactor(order.type)); |
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|
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totalQuantityFromBuyTransactions = |
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totalQuantityFromBuyTransactions.plus(order.quantity); |
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|
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totalInvestmentFromBuyTransactions = |
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totalInvestmentFromBuyTransactions.plus(transactionInvestment); |
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|
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totalInvestmentFromBuyTransactionsWithCurrencyEffect = |
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totalInvestmentFromBuyTransactionsWithCurrencyEffect.plus( |
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transactionInvestmentWithCurrencyEffect |
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); |
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} else if (order.type === 'SELL') { |
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if (totalUnits.gt(0)) { |
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transactionInvestment = totalInvestment |
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.div(totalUnits) |
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.mul(order.quantity) |
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.mul(getFactor(order.type)); |
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transactionInvestmentWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect |
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.div(totalUnits) |
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.mul(order.quantity) |
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.mul(getFactor(order.type)); |
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} |
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} |
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|
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if (PortfolioCalculator.ENABLE_LOGGING) { |
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console.log('order.quantity', order.quantity.toNumber()); |
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console.log('transactionInvestment', transactionInvestment.toNumber()); |
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|
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console.log( |
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'transactionInvestmentWithCurrencyEffect', |
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transactionInvestmentWithCurrencyEffect.toNumber() |
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); |
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} |
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|
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const totalInvestmentBeforeTransaction = totalInvestment; |
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|
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const totalInvestmentBeforeTransactionWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect; |
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|
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totalInvestment = totalInvestment.plus(transactionInvestment); |
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|
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totalInvestmentWithCurrencyEffect = |
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totalInvestmentWithCurrencyEffect.plus( |
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transactionInvestmentWithCurrencyEffect |
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); |
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|
|||
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 |
|||
}; |
|||
} |
|||
} |
|||
@ -1,969 +1,24 @@ |
|||
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 { PortfolioSnapshot } from '@ghostfolio/common/models'; |
|||
|
|||
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 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, |
|||
activitiesCount: this.activities.filter(({ type }) => { |
|||
return ['BUY', 'SELL'].includes(type); |
|||
}).length, |
|||
createdAt: new Date(), |
|||
errors: [], |
|||
historicalData: [], |
|||
totalLiabilitiesWithCurrencyEffect: new Big(0), |
|||
totalValuablesWithCurrencyEffect: new Big(0) |
|||
}; |
|||
export class TwrPortfolioCalculator extends PortfolioCalculator { |
|||
protected calculateOverallPerformance(): PortfolioSnapshot { |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
|
|||
protected getSymbolMetrics({ |
|||
chartDateMap, |
|||
dataSource, |
|||
end, |
|||
exchangeRates, |
|||
marketSymbolMap, |
|||
start, |
|||
symbol |
|||
}: { |
|||
chartDateMap?: { [date: string]: boolean }; |
|||
protected getSymbolMetrics({}: { |
|||
end: Date; |
|||
exchangeRates: { [dateString: string]: number }; |
|||
marketSymbolMap: { |
|||
[date: string]: { [symbol: string]: Big }; |
|||
}; |
|||
start: Date; |
|||
step?: number; |
|||
} & 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 |
|||
}; |
|||
throw new Error('Method not implemented.'); |
|||
} |
|||
} |
|||
|
|||
File diff suppressed because it is too large
@ -0,0 +1,4 @@ |
|||
export interface AccountBalance { |
|||
date: string; |
|||
value: number; |
|||
} |
|||
Loading…
Reference in new issue