Move liability calculations to portfolio calculator

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

@@ -141,6 +141,7 @@ export abstract class PortfolioCalculator {
         totalInterestWithCurrencyEffect: new Big(0),
         totalInvestment: new Big(0),
         totalInvestmentWithCurrencyEffect: new Big(0),
+        totalLiabilitiesWithCurrencyEffect: new Big(0),
         totalValuablesWithCurrencyEffect: new Big(0)
       };
     }
@@ -151,6 +152,7 @@ export abstract class PortfolioCalculator {
     let firstIndex = transactionPoints.length;
     let firstTransactionPoint: TransactionPoint = null;
     let totalInterestWithCurrencyEffect = new Big(0);
+    let totalLiabilitiesWithCurrencyEffect = new Big(0);
     let totalValuablesWithCurrencyEffect = new Big(0);
 
     dates.push(resetHours(start));
@@ -280,6 +282,7 @@ export abstract class PortfolioCalculator {
         totalInterestInBaseCurrency,
         totalInvestment,
         totalInvestmentWithCurrencyEffect,
+        totalLiabilitiesInBaseCurrency,
         totalValuablesInBaseCurrency
       } = this.getSymbolMetrics({
         marketSymbolMap,
@@ -342,6 +345,9 @@ export abstract class PortfolioCalculator {
         totalInterestInBaseCurrency
       );
 
+      totalLiabilitiesWithCurrencyEffect =
+        totalLiabilitiesWithCurrencyEffect.plus(totalLiabilitiesInBaseCurrency);
+
       totalValuablesWithCurrencyEffect = totalValuablesWithCurrencyEffect.plus(
         totalValuablesInBaseCurrency
       );
@@ -364,6 +370,7 @@ export abstract class PortfolioCalculator {
       errors,
       positions,
       totalInterestWithCurrencyEffect,
+      totalLiabilitiesWithCurrencyEffect,
       totalValuablesWithCurrencyEffect,
       hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors
     };
@@ -729,6 +736,12 @@ export abstract class PortfolioCalculator {
     }));
   }
 
+  public async getLiabilitiesInBaseCurrency() {
+    await this.snapshotPromise;
+
+    return this.snapshot.totalLiabilitiesWithCurrencyEffect;
+  }
+
   public async getSnapshot() {
     await this.snapshotPromise;
 
@@ -787,13 +800,6 @@ export abstract class PortfolioCalculator {
       type,
       unitPrice
     } of this.orders) {
-      if (
-        // TODO
-        ['LIABILITY'].includes(type)
-      ) {
-        continue;
-      }
-
       let currentTransactionPointItem: TransactionPointSymbol;
       const oldAccumulatedSymbol = symbols[SymbolProfile.symbol];
 
@@ -878,6 +884,12 @@ export abstract class PortfolioCalculator {
         interest = quantity.mul(unitPrice);
       }
 
+      let liabilities = new Big(0);
+
+      if (type === 'LIABILITY') {
+        liabilities = quantity.mul(unitPrice);
+      }
+
       let valuables = new Big(0);
 
       if (type === 'ITEM') {
@@ -889,6 +901,7 @@ export abstract class PortfolioCalculator {
           date,
           fees,
           interest,
+          liabilities,
           valuables,
           items: newItems
         };
@@ -899,6 +912,8 @@ export abstract class PortfolioCalculator {
         lastTransactionPoint.interest =
           lastTransactionPoint.interest.plus(interest);
         lastTransactionPoint.items = newItems;
+        lastTransactionPoint.liabilities =
+          lastTransactionPoint.liabilities.plus(liabilities);
         lastTransactionPoint.valuables =
           lastTransactionPoint.valuables.plus(valuables);
       }

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator-baln-buy-and-sell-in-two-activities.spec.ts

@@ -177,6 +177,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -160,6 +160,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -145,6 +145,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('273.2'),
         totalInvestmentWithCurrencyEffect: new Big('273.2'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -179,6 +179,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('320.43'),
         totalInvestmentWithCurrencyEffect: new Big('318.542667299999967957'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator-fee.spec.ts

@@ -126,6 +126,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
     });

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

@@ -158,6 +158,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('89.12'),
         totalInvestmentWithCurrencyEffect: new Big('82.329056'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator-item.spec.ts

@@ -126,6 +126,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
     });

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator-liability.spec.ts

@@ -0,0 +1,134 @@
+import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
+import {
+  activityDummyData,
+  symbolProfileDummyData
+} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils';
+import {
+  PortfolioCalculatorFactory,
+  PerformanceCalculationType
+} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
+import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
+import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock';
+import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
+import { parseDate } from '@ghostfolio/common/helper';
+
+import { Big } from 'big.js';
+
+jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
+  return {
+    // eslint-disable-next-line @typescript-eslint/naming-convention
+    CurrentRateService: jest.fn().mockImplementation(() => {
+      return CurrentRateServiceMock;
+    })
+  };
+});
+
+describe('PortfolioCalculator', () => {
+  let currentRateService: CurrentRateService;
+  let exchangeRateDataService: ExchangeRateDataService;
+  let factory: PortfolioCalculatorFactory;
+
+  beforeEach(() => {
+    currentRateService = new CurrentRateService(null, null, null, null);
+
+    exchangeRateDataService = new ExchangeRateDataService(
+      null,
+      null,
+      null,
+      null
+    );
+
+    factory = new PortfolioCalculatorFactory(
+      currentRateService,
+      exchangeRateDataService
+    );
+  });
+
+  describe('compute portfolio snapshot', () => {
+    it.only('with liability activity', async () => {
+      const spy = jest
+        .spyOn(Date, 'now')
+        .mockImplementation(() => parseDate('2022-01-31').getTime());
+
+      const activities: Activity[] = [
+        {
+          ...activityDummyData,
+          date: new Date('2022-01-01'),
+          fee: 0,
+          quantity: 1,
+          SymbolProfile: {
+            ...symbolProfileDummyData,
+            currency: 'USD',
+            dataSource: 'MANUAL',
+            name: 'Loan',
+            symbol: '55196015-1365-4560-aa60-8751ae6d18f8'
+          },
+          type: 'LIABILITY',
+          unitPrice: 3000
+        }
+      ];
+
+      const portfolioCalculator = factory.createCalculator({
+        activities,
+        calculationType: PerformanceCalculationType.TWR,
+        currency: 'USD'
+      });
+
+      const portfolioSnapshot = await portfolioCalculator.computeSnapshot(
+        parseDate('2022-01-01')
+      );
+
+      spy.mockRestore();
+
+      expect(portfolioSnapshot).toEqual({
+        currentValueInBaseCurrency: new Big('0'),
+        errors: [],
+        grossPerformance: new Big('0'),
+        grossPerformancePercentage: new Big('0'),
+        grossPerformancePercentageWithCurrencyEffect: new Big('0'),
+        grossPerformanceWithCurrencyEffect: new Big('0'),
+        hasErrors: true,
+        netPerformance: new Big('0'),
+        netPerformancePercentage: new Big('0'),
+        netPerformancePercentageWithCurrencyEffect: new Big('0'),
+        netPerformanceWithCurrencyEffect: new Big('0'),
+        positions: [
+          {
+            averagePrice: new Big('3000'),
+            currency: 'USD',
+            dataSource: 'MANUAL',
+            dividend: new Big('0'),
+            dividendInBaseCurrency: new Big('0'),
+            fee: new Big('0'),
+            firstBuyDate: '2022-01-01',
+            grossPerformance: null,
+            grossPerformancePercentage: null,
+            grossPerformancePercentageWithCurrencyEffect: null,
+            grossPerformanceWithCurrencyEffect: null,
+            investment: new Big('0'),
+            investmentWithCurrencyEffect: new Big('0'),
+            marketPrice: null,
+            marketPriceInBaseCurrency: 3000,
+            netPerformance: null,
+            netPerformancePercentage: null,
+            netPerformancePercentageWithCurrencyEffect: null,
+            netPerformanceWithCurrencyEffect: null,
+            quantity: new Big('0'),
+            symbol: '55196015-1365-4560-aa60-8751ae6d18f8',
+            tags: [],
+            timeWeightedInvestment: new Big('0'),
+            timeWeightedInvestmentWithCurrencyEffect: new Big('0'),
+            transactionCount: 1,
+            valueInBaseCurrency: new Big('0')
+          }
+        ],
+        totalFeesWithCurrencyEffect: new Big('0'),
+        totalInterestWithCurrencyEffect: new Big('0'),
+        totalInvestment: new Big('0'),
+        totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
+        totalValuablesWithCurrencyEffect: new Big('0')
+      });
+    });
+  });
+});

apps/api/src/app/portfolio/calculator/twr/portfolio-calculator-msft-buy-with-dividend.spec.ts

@@ -133,6 +133,7 @@ describe('PortfolioCalculator', () => {
         totalFeesWithCurrencyEffect: new Big('19'),
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('298.58'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('298.58')
       });
     });

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

@@ -84,6 +84,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big(0),
         totalInvestmentWithCurrencyEffect: new Big(0),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -162,6 +162,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('75.80'),
         totalInvestmentWithCurrencyEffect: new Big('75.80'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -186,6 +186,7 @@ describe('PortfolioCalculator', () => {
         totalInterestWithCurrencyEffect: new Big('0'),
         totalInvestment: new Big('0'),
         totalInvestmentWithCurrencyEffect: new Big('0'),
+        totalLiabilitiesWithCurrencyEffect: new Big('0'),
         totalValuablesWithCurrencyEffect: new Big('0')
       });
 

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

@@ -36,7 +36,6 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
     let totalInvestmentWithCurrencyEffect = new Big(0);
     let totalTimeWeightedInvestment = new Big(0);
     let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0);
-    let totalValuablesWithCurrencyEffect = new Big(0);
 
     for (const currentPosition of positions) {
       if (currentPosition.fee) {
@@ -110,11 +109,11 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       hasErrors,
       netPerformance,
       netPerformanceWithCurrencyEffect,
+      positions,
       totalFeesWithCurrencyEffect,
       totalInterestWithCurrencyEffect,
       totalInvestment,
       totalInvestmentWithCurrencyEffect,
-      totalValuablesWithCurrencyEffect,
       netPerformancePercentage: totalTimeWeightedInvestment.eq(0)
         ? new Big(0)
         : netPerformance.div(totalTimeWeightedInvestment),
@@ -133,7 +132,8 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
           : grossPerformanceWithCurrencyEffect.div(
               totalTimeWeightedInvestmentWithCurrencyEffect
             ),
-      positions
+      totalLiabilitiesWithCurrencyEffect: new Big(0),
+      totalValuablesWithCurrencyEffect: new Big(0)
     };
   }
 
@@ -196,6 +196,8 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
     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);
@@ -241,6 +243,8 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
         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)
       };
@@ -288,6 +292,8 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
         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)
       };
@@ -551,6 +557,13 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
         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)
+        );
       }
 
       const valueOfInvestment = totalUnits.mul(order.unitPriceInBaseCurrency);
@@ -868,6 +881,8 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       totalInterestInBaseCurrency,
       totalInvestment,
       totalInvestmentWithCurrencyEffect,
+      totalLiabilities,
+      totalLiabilitiesInBaseCurrency,
       totalValuables,
       totalValuablesInBaseCurrency,
       grossPerformance: totalGrossPerformance,

apps/api/src/app/portfolio/interfaces/portfolio-snapshot.interface.ts

@@ -19,5 +19,6 @@ export interface PortfolioSnapshot extends ResponseError {
   totalInterestWithCurrencyEffect: Big;
   totalInvestment: Big;
   totalInvestmentWithCurrencyEffect: Big;
+  totalLiabilitiesWithCurrencyEffect: Big;
   totalValuablesWithCurrencyEffect: Big;
 }

apps/api/src/app/portfolio/interfaces/transaction-point.interface.ts

@@ -7,5 +7,6 @@ export interface TransactionPoint {
   fees: Big;
   interest: Big;
   items: TransactionPointSymbol[];
+  liabilities: Big;
   valuables: Big;
 }

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

@@ -60,7 +60,6 @@ import {
   Prisma
 } from '@prisma/client';
 import { Big } from 'big.js';
-import { isUUID } from 'class-validator';
 import {
   differenceInDays,
   format,
@@ -1623,22 +1622,10 @@ export class PortfolioService {
 
     const interest = await portfolioCalculator.getInterestInBaseCurrency();
 
-    const valuables = await portfolioCalculator.getValuablesInBaseCurrency();
+    const liabilities =
+      await portfolioCalculator.getLiabilitiesInBaseCurrency();
 
-    // TODO: Move to portfolio calculator
+    const valuables = await portfolioCalculator.getValuablesInBaseCurrency();
-    const liabilities = getSum(
-      Object.keys(holdings)
-        .filter((symbol) => {
-          return (
-            isUUID(symbol) &&
-            holdings[symbol].dataSource === 'MANUAL' &&
-            holdings[symbol].valueInBaseCurrency < 0
-          );
-        })
-        .map((symbol) => {
-          return new Big(holdings[symbol].valueInBaseCurrency).abs();
-        })
-    ).toNumber();
 
     const totalBuy = this.getSumOfActivityType({
       userCurrency,
@@ -1717,7 +1704,6 @@ export class PortfolioService {
       cash,
       excludedAccountsAndActivities,
       firstOrderDate,
-      liabilities,
       totalBuy,
       totalSell,
       committedFunds: committedFunds.toNumber(),
@@ -1739,6 +1725,7 @@ export class PortfolioService {
         .toNumber(),
       interest: interest.toNumber(),
       items: valuables.toNumber(),
+      liabilities: liabilities.toNumber(),
       ordersCount: activities.filter(({ type }) => {
         return type === 'BUY' || type === 'SELL';
       }).length,

apps/api/src/helper/portfolio.helper.ts

@@ -20,7 +20,6 @@ export function getFactor(activityType: ActivityType) {
     case 'BUY':
       factor = 1;
       break;
-    case 'LIABILITY':
     case 'SELL':
       factor = -1;
       break;

libs/common/src/lib/interfaces/symbol-metrics.interface.ts

@@ -46,6 +46,8 @@ export interface SymbolMetrics {
   totalInterestInBaseCurrency: Big;
   totalInvestment: Big;
   totalInvestmentWithCurrencyEffect: Big;
+  totalLiabilities: Big;
+  totalLiabilitiesInBaseCurrency: Big;
   totalValuables: Big;
   totalValuablesInBaseCurrency: Big;
 }