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@ -19,13 +19,14 @@ import { |
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import { |
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AssetProfileIdentifier, |
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DataProviderInfo, |
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Filter, |
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HistoricalDataItem, |
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InvestmentItem, |
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ResponseError, |
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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, GroupBy } from '@ghostfolio/common/types'; |
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import { GroupBy } from '@ghostfolio/common/types'; |
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import { Logger } from '@nestjs/common'; |
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import { Big } from 'big.js'; |
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@ -37,12 +38,10 @@ import { |
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format, |
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isAfter, |
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isBefore, |
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isSameDay, |
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max, |
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min, |
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subDays |
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} from 'date-fns'; |
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import { first, last, uniq, uniqBy } from 'lodash'; |
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import { first, isNumber, last, sortBy, sum, uniq, uniqBy } from 'lodash'; |
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export abstract class PortfolioCalculator { |
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protected static readonly ENABLE_LOGGING = false; |
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@ -54,15 +53,14 @@ export abstract class PortfolioCalculator { |
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private currency: string; |
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private currentRateService: CurrentRateService; |
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private dataProviderInfos: DataProviderInfo[]; |
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private dateRange: DateRange; |
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private endDate: Date; |
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private exchangeRateDataService: ExchangeRateDataService; |
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private filters: Filter[]; |
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private redisCacheService: RedisCacheService; |
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private snapshot: PortfolioSnapshot; |
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private snapshotPromise: Promise<void>; |
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private startDate: Date; |
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private transactionPoints: TransactionPoint[]; |
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private useCache: boolean; |
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private userId: string; |
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public constructor({ |
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@ -71,10 +69,9 @@ export abstract class PortfolioCalculator { |
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configurationService, |
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currency, |
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currentRateService, |
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dateRange, |
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exchangeRateDataService, |
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filters, |
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redisCacheService, |
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useCache, |
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userId |
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}: { |
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accountBalanceItems: HistoricalDataItem[]; |
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@ -82,18 +79,19 @@ export abstract class PortfolioCalculator { |
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configurationService: ConfigurationService; |
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currency: string; |
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currentRateService: CurrentRateService; |
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dateRange: DateRange; |
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exchangeRateDataService: ExchangeRateDataService; |
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filters: Filter[]; |
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redisCacheService: RedisCacheService; |
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useCache: boolean; |
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userId: string; |
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}) { |
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this.accountBalanceItems = accountBalanceItems; |
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this.configurationService = configurationService; |
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this.currency = currency; |
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this.currentRateService = currentRateService; |
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this.dateRange = dateRange; |
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this.exchangeRateDataService = exchangeRateDataService; |
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this.filters = filters; |
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let dateOfFirstActivity = new Date(); |
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this.activities = activities |
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.map( |
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@ -106,10 +104,14 @@ export abstract class PortfolioCalculator { |
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type, |
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unitPrice |
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}) => { |
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if (isAfter(date, new Date(Date.now()))) { |
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if (isBefore(date, dateOfFirstActivity)) { |
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dateOfFirstActivity = date; |
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} |
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if (isAfter(date, new Date())) { |
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// Adapt date to today if activity is in future (e.g. liability)
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// to include it in the interval
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date = endOfDay(new Date(Date.now())); |
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date = endOfDay(new Date()); |
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} |
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return { |
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@ -128,10 +130,12 @@ export abstract class PortfolioCalculator { |
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}); |
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this.redisCacheService = redisCacheService; |
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this.useCache = useCache; |
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this.userId = userId; |
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const { endDate, startDate } = getIntervalFromDateRange(dateRange); |
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const { endDate, startDate } = getIntervalFromDateRange( |
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'max', |
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subDays(dateOfFirstActivity, 1) |
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); |
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this.endDate = endDate; |
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this.startDate = startDate; |
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@ -145,38 +149,18 @@ export abstract class PortfolioCalculator { |
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positions: TimelinePosition[] |
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): PortfolioSnapshot; |
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public async computeSnapshot( |
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start: Date, |
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end?: Date |
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): Promise<PortfolioSnapshot> { |
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private async computeSnapshot(): Promise<PortfolioSnapshot> { |
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const lastTransactionPoint = last(this.transactionPoints); |
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let endDate = end; |
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if (!endDate) { |
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endDate = new Date(Date.now()); |
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if (lastTransactionPoint) { |
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endDate = max([endDate, parseDate(lastTransactionPoint.date)]); |
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} |
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} |
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const transactionPoints = this.transactionPoints?.filter(({ date }) => { |
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return isBefore(parseDate(date), endDate); |
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return isBefore(parseDate(date), this.endDate); |
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}); |
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if (!transactionPoints.length) { |
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return { |
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currentValueInBaseCurrency: 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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netPerformance: new Big(0), |
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netPerformancePercentage: new Big(0), |
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netPerformancePercentageWithCurrencyEffect: new Big(0), |
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netPerformanceWithCurrencyEffect: new Big(0), |
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historicalData: [], |
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positions: [], |
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totalFeesWithCurrencyEffect: new Big(0), |
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totalInterestWithCurrencyEffect: new Big(0), |
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@ -189,15 +173,12 @@ export abstract class PortfolioCalculator { |
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const currencies: { [symbol: string]: string } = {}; |
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const dataGatheringItems: IDataGatheringItem[] = []; |
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let dates: Date[] = []; |
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let firstIndex = transactionPoints.length; |
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let firstTransactionPoint: TransactionPoint = null; |
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let totalInterestWithCurrencyEffect = new Big(0); |
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let totalLiabilitiesWithCurrencyEffect = new Big(0); |
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let totalValuablesWithCurrencyEffect = new Big(0); |
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dates.push(resetHours(start)); |
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for (const { currency, dataSource, symbol } of transactionPoints[ |
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firstIndex - 1 |
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].items) { |
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@ -211,47 +192,19 @@ export abstract class PortfolioCalculator { |
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for (let i = 0; i < transactionPoints.length; i++) { |
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if ( |
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!isBefore(parseDate(transactionPoints[i].date), start) && |
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!isBefore(parseDate(transactionPoints[i].date), this.startDate) && |
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firstTransactionPoint === null |
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) { |
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firstTransactionPoint = transactionPoints[i]; |
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firstIndex = i; |
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} |
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if (firstTransactionPoint !== null) { |
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dates.push(resetHours(parseDate(transactionPoints[i].date))); |
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} |
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} |
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dates.push(resetHours(endDate)); |
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// Add dates of last week for fallback
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dates.push(subDays(resetHours(new Date()), 7)); |
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dates.push(subDays(resetHours(new Date()), 6)); |
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dates.push(subDays(resetHours(new Date()), 5)); |
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dates.push(subDays(resetHours(new Date()), 4)); |
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dates.push(subDays(resetHours(new Date()), 3)); |
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dates.push(subDays(resetHours(new Date()), 2)); |
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dates.push(subDays(resetHours(new Date()), 1)); |
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dates.push(resetHours(new Date())); |
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dates = uniq( |
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dates.map((date) => { |
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return date.getTime(); |
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}) |
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) |
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.map((timestamp) => { |
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return new Date(timestamp); |
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}) |
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.sort((a, b) => { |
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return a.getTime() - b.getTime(); |
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}); |
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let exchangeRatesByCurrency = |
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await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
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currencies: uniq(Object.values(currencies)), |
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endDate: endOfDay(endDate), |
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startDate: this.getStartDate(), |
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endDate: endOfDay(this.endDate), |
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startDate: this.startDate, |
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targetCurrency: this.currency |
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}); |
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@ -262,7 +215,8 @@ export abstract class PortfolioCalculator { |
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} = await this.currentRateService.getValues({ |
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dataGatheringItems, |
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dateQuery: { |
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in: dates |
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gte: this.startDate, |
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lt: this.endDate |
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} |
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}); |
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@ -286,7 +240,19 @@ export abstract class PortfolioCalculator { |
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} |
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} |
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const endDateString = format(endDate, DATE_FORMAT); |
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const endDateString = format(this.endDate, DATE_FORMAT); |
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const daysInMarket = differenceInDays(this.endDate, this.startDate); |
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let chartDateMap = this.getChartDateMap({ |
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endDate: this.endDate, |
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startDate: this.startDate, |
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step: Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS)) |
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}); |
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const chartDates = sortBy(Object.keys(chartDateMap), (chartDate) => { |
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return chartDate; |
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}); |
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if (firstIndex > 0) { |
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firstIndex--; |
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@ -297,6 +263,35 @@ export abstract class PortfolioCalculator { |
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const errors: ResponseError['errors'] = []; |
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const accumulatedValuesByDate: { |
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[date: string]: { |
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investmentValueWithCurrencyEffect: Big; |
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totalAccountBalanceWithCurrencyEffect: Big; |
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totalCurrentValue: Big; |
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totalCurrentValueWithCurrencyEffect: Big; |
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totalInvestmentValue: Big; |
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totalInvestmentValueWithCurrencyEffect: Big; |
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totalNetPerformanceValue: Big; |
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totalNetPerformanceValueWithCurrencyEffect: Big; |
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totalTimeWeightedInvestmentValue: Big; |
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totalTimeWeightedInvestmentValueWithCurrencyEffect: Big; |
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}; |
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} = {}; |
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const valuesBySymbol: { |
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[symbol: string]: { |
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currentValues: { [date: string]: Big }; |
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currentValuesWithCurrencyEffect: { [date: string]: Big }; |
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investmentValuesAccumulated: { [date: string]: Big }; |
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investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big }; |
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investmentValuesWithCurrencyEffect: { [date: string]: Big }; |
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netPerformanceValues: { [date: string]: Big }; |
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netPerformanceValuesWithCurrencyEffect: { [date: string]: Big }; |
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timeWeightedInvestmentValues: { [date: string]: Big }; |
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timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big }; |
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}; |
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} = {}; |
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for (const item of lastTransactionPoint.items) { |
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const feeInBaseCurrency = item.fee.mul( |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[ |
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@ -313,16 +308,25 @@ export abstract class PortfolioCalculator { |
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); |
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const { |
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currentValues, |
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currentValuesWithCurrencyEffect, |
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grossPerformance, |
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grossPerformancePercentage, |
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grossPerformancePercentageWithCurrencyEffect, |
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grossPerformanceWithCurrencyEffect, |
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hasErrors, |
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investmentValuesAccumulated, |
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investmentValuesAccumulatedWithCurrencyEffect, |
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investmentValuesWithCurrencyEffect, |
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netPerformance, |
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netPerformancePercentage, |
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netPerformancePercentageWithCurrencyEffect, |
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netPerformanceWithCurrencyEffect, |
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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, |
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timeWeightedInvestmentValues, |
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timeWeightedInvestmentValuesWithCurrencyEffect, |
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timeWeightedInvestmentWithCurrencyEffect, |
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totalDividend, |
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totalDividendInBaseCurrency, |
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@ -332,17 +336,30 @@ export abstract class PortfolioCalculator { |
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totalLiabilitiesInBaseCurrency, |
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totalValuablesInBaseCurrency |
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} = this.getSymbolMetrics({ |
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chartDateMap, |
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marketSymbolMap, |
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start, |
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dataSource: item.dataSource, |
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end: endDate, |
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end: this.endDate, |
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exchangeRates: |
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exchangeRatesByCurrency[`${item.currency}${this.currency}`], |
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start: this.startDate, |
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symbol: item.symbol |
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}); |
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hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors; |
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valuesBySymbol[item.symbol] = { |
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currentValues, |
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currentValuesWithCurrencyEffect, |
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investmentValuesAccumulated, |
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investmentValuesAccumulatedWithCurrencyEffect, |
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investmentValuesWithCurrencyEffect, |
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netPerformanceValues, |
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netPerformanceValuesWithCurrencyEffect, |
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timeWeightedInvestmentValues, |
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timeWeightedInvestmentValuesWithCurrencyEffect |
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}; |
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positions.push({ |
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feeInBaseCurrency, |
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timeWeightedInvestment, |
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@ -374,11 +391,11 @@ export abstract class PortfolioCalculator { |
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netPerformancePercentage: !hasErrors |
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? (netPerformancePercentage ?? null) |
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: null, |
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netPerformancePercentageWithCurrencyEffect: !hasErrors |
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? (netPerformancePercentageWithCurrencyEffect ?? null) |
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netPerformancePercentageWithCurrencyEffectMap: !hasErrors |
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? (netPerformancePercentageWithCurrencyEffectMap ?? null) |
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: null, |
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netPerformanceWithCurrencyEffect: !hasErrors |
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? (netPerformanceWithCurrencyEffect ?? null) |
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netPerformanceWithCurrencyEffectMap: !hasErrors |
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? (netPerformanceWithCurrencyEffectMap ?? null) |
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: null, |
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quantity: item.quantity, |
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symbol: item.symbol, |
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@ -411,205 +428,9 @@ export abstract class PortfolioCalculator { |
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} |
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} |
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const overall = this.calculateOverallPerformance(positions); |
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return { |
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...overall, |
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errors, |
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positions, |
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totalInterestWithCurrencyEffect, |
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totalLiabilitiesWithCurrencyEffect, |
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totalValuablesWithCurrencyEffect, |
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hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors |
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}; |
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} |
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public async getChart({ |
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dateRange = 'max', |
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withDataDecimation = true |
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}: { |
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dateRange?: DateRange; |
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withDataDecimation?: boolean; |
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}): Promise<HistoricalDataItem[]> { |
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const { endDate, startDate } = getIntervalFromDateRange( |
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dateRange, |
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this.getStartDate() |
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); |
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const daysInMarket = differenceInDays(endDate, startDate) + 1; |
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const step = withDataDecimation |
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? Math.round(daysInMarket / Math.min(daysInMarket, MAX_CHART_ITEMS)) |
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: 1; |
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return this.getChartData({ |
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step, |
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end: endDate, |
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start: startDate |
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}); |
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} |
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public async getChartData({ |
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end = new Date(Date.now()), |
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start, |
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step = 1 |
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}: { |
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end?: Date; |
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start: Date; |
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step?: number; |
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}): Promise<HistoricalDataItem[]> { |
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const symbols: { [symbol: string]: boolean } = {}; |
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const transactionPointsBeforeEndDate = |
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this.transactionPoints?.filter((transactionPoint) => { |
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return isBefore(parseDate(transactionPoint.date), end); |
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|
}) ?? []; |
|
|
|
|
|
|
|
const currencies: { [symbol: string]: string } = {}; |
|
|
|
const dataGatheringItems: IDataGatheringItem[] = []; |
|
|
|
const firstIndex = transactionPointsBeforeEndDate.length; |
|
|
|
|
|
|
|
let dates = eachDayOfInterval({ start, end }, { step }).map((date) => { |
|
|
|
return resetHours(date); |
|
|
|
}); |
|
|
|
|
|
|
|
const includesEndDate = isSameDay(last(dates), end); |
|
|
|
|
|
|
|
if (!includesEndDate) { |
|
|
|
dates.push(resetHours(end)); |
|
|
|
} |
|
|
|
|
|
|
|
if (transactionPointsBeforeEndDate.length > 0) { |
|
|
|
for (const { |
|
|
|
currency, |
|
|
|
dataSource, |
|
|
|
symbol |
|
|
|
} of transactionPointsBeforeEndDate[firstIndex - 1].items) { |
|
|
|
dataGatheringItems.push({ |
|
|
|
dataSource, |
|
|
|
symbol |
|
|
|
}); |
|
|
|
currencies[symbol] = currency; |
|
|
|
symbols[symbol] = true; |
|
|
|
} |
|
|
|
} |
|
|
|
|
|
|
|
const { dataProviderInfos, values: marketSymbols } = |
|
|
|
await this.currentRateService.getValues({ |
|
|
|
dataGatheringItems, |
|
|
|
dateQuery: { |
|
|
|
in: dates |
|
|
|
} |
|
|
|
}); |
|
|
|
|
|
|
|
this.dataProviderInfos = dataProviderInfos; |
|
|
|
|
|
|
|
const marketSymbolMap: { |
|
|
|
[date: string]: { [symbol: string]: Big }; |
|
|
|
} = {}; |
|
|
|
|
|
|
|
let exchangeRatesByCurrency = |
|
|
|
await this.exchangeRateDataService.getExchangeRatesByCurrency({ |
|
|
|
currencies: uniq(Object.values(currencies)), |
|
|
|
endDate: endOfDay(end), |
|
|
|
startDate: this.getStartDate(), |
|
|
|
targetCurrency: this.currency |
|
|
|
}); |
|
|
|
|
|
|
|
for (const marketSymbol of marketSymbols) { |
|
|
|
const dateString = format(marketSymbol.date, DATE_FORMAT); |
|
|
|
if (!marketSymbolMap[dateString]) { |
|
|
|
marketSymbolMap[dateString] = {}; |
|
|
|
} |
|
|
|
if (marketSymbol.marketPrice) { |
|
|
|
marketSymbolMap[dateString][marketSymbol.symbol] = new Big( |
|
|
|
marketSymbol.marketPrice |
|
|
|
); |
|
|
|
} |
|
|
|
} |
|
|
|
|
|
|
|
const accumulatedValuesByDate: { |
|
|
|
[date: string]: { |
|
|
|
investmentValueWithCurrencyEffect: Big; |
|
|
|
totalCurrentValue: Big; |
|
|
|
totalCurrentValueWithCurrencyEffect: Big; |
|
|
|
totalAccountBalanceWithCurrencyEffect: Big; |
|
|
|
totalInvestmentValue: Big; |
|
|
|
totalInvestmentValueWithCurrencyEffect: Big; |
|
|
|
totalNetPerformanceValue: Big; |
|
|
|
totalNetPerformanceValueWithCurrencyEffect: Big; |
|
|
|
totalTimeWeightedInvestmentValue: Big; |
|
|
|
totalTimeWeightedInvestmentValueWithCurrencyEffect: Big; |
|
|
|
}; |
|
|
|
} = {}; |
|
|
|
|
|
|
|
const valuesBySymbol: { |
|
|
|
[symbol: string]: { |
|
|
|
currentValues: { [date: string]: Big }; |
|
|
|
currentValuesWithCurrencyEffect: { [date: string]: Big }; |
|
|
|
investmentValuesAccumulated: { [date: string]: Big }; |
|
|
|
investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big }; |
|
|
|
investmentValuesWithCurrencyEffect: { [date: string]: Big }; |
|
|
|
netPerformanceValues: { [date: string]: Big }; |
|
|
|
netPerformanceValuesWithCurrencyEffect: { [date: string]: Big }; |
|
|
|
timeWeightedInvestmentValues: { [date: string]: Big }; |
|
|
|
timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big }; |
|
|
|
}; |
|
|
|
} = {}; |
|
|
|
|
|
|
|
for (const symbol of Object.keys(symbols)) { |
|
|
|
const { |
|
|
|
currentValues, |
|
|
|
currentValuesWithCurrencyEffect, |
|
|
|
investmentValuesAccumulated, |
|
|
|
investmentValuesAccumulatedWithCurrencyEffect, |
|
|
|
investmentValuesWithCurrencyEffect, |
|
|
|
netPerformanceValues, |
|
|
|
netPerformanceValuesWithCurrencyEffect, |
|
|
|
timeWeightedInvestmentValues, |
|
|
|
timeWeightedInvestmentValuesWithCurrencyEffect |
|
|
|
} = this.getSymbolMetrics({ |
|
|
|
end, |
|
|
|
marketSymbolMap, |
|
|
|
start, |
|
|
|
step, |
|
|
|
symbol, |
|
|
|
dataSource: null, |
|
|
|
exchangeRates: |
|
|
|
exchangeRatesByCurrency[`${currencies[symbol]}${this.currency}`], |
|
|
|
isChartMode: true |
|
|
|
}); |
|
|
|
|
|
|
|
valuesBySymbol[symbol] = { |
|
|
|
currentValues, |
|
|
|
currentValuesWithCurrencyEffect, |
|
|
|
investmentValuesAccumulated, |
|
|
|
investmentValuesAccumulatedWithCurrencyEffect, |
|
|
|
investmentValuesWithCurrencyEffect, |
|
|
|
netPerformanceValues, |
|
|
|
netPerformanceValuesWithCurrencyEffect, |
|
|
|
timeWeightedInvestmentValues, |
|
|
|
timeWeightedInvestmentValuesWithCurrencyEffect |
|
|
|
}; |
|
|
|
} |
|
|
|
|
|
|
|
let lastDate = format(this.startDate, DATE_FORMAT); |
|
|
|
|
|
|
|
for (const currentDate of dates) { |
|
|
|
const dateString = format(currentDate, DATE_FORMAT); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString] = { |
|
|
|
investmentValueWithCurrencyEffect: new Big(0), |
|
|
|
totalAccountBalanceWithCurrencyEffect: new Big(0), |
|
|
|
totalCurrentValue: new Big(0), |
|
|
|
totalCurrentValueWithCurrencyEffect: new Big(0), |
|
|
|
totalInvestmentValue: new Big(0), |
|
|
|
totalInvestmentValueWithCurrencyEffect: new Big(0), |
|
|
|
totalNetPerformanceValue: new Big(0), |
|
|
|
totalNetPerformanceValueWithCurrencyEffect: new Big(0), |
|
|
|
totalTimeWeightedInvestmentValue: new Big(0), |
|
|
|
totalTimeWeightedInvestmentValueWithCurrencyEffect: new Big(0) |
|
|
|
}; |
|
|
|
let lastDate = chartDates[0]; |
|
|
|
|
|
|
|
for (const dateString of chartDates) { |
|
|
|
for (const symbol of Object.keys(valuesBySymbol)) { |
|
|
|
const symbolValues = valuesBySymbol[symbol]; |
|
|
|
|
|
|
|
@ -647,91 +468,63 @@ export abstract class PortfolioCalculator { |
|
|
|
dateString |
|
|
|
] ?? new Big(0); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString].investmentValueWithCurrencyEffect = |
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].investmentValueWithCurrencyEffect.add( |
|
|
|
investmentValueWithCurrencyEffect |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString].totalCurrentValue = |
|
|
|
accumulatedValuesByDate[dateString].totalCurrentValue.add( |
|
|
|
currentValue |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalCurrentValueWithCurrencyEffect = accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalCurrentValueWithCurrencyEffect.add( |
|
|
|
currentValueWithCurrencyEffect |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString].totalInvestmentValue = |
|
|
|
accumulatedValuesByDate[dateString].totalInvestmentValue.add( |
|
|
|
investmentValueAccumulated |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalInvestmentValueWithCurrencyEffect = accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalInvestmentValueWithCurrencyEffect.add( |
|
|
|
investmentValueAccumulatedWithCurrencyEffect |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString].totalNetPerformanceValue = |
|
|
|
accumulatedValuesByDate[dateString].totalNetPerformanceValue.add( |
|
|
|
netPerformanceValue |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalNetPerformanceValueWithCurrencyEffect = accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalNetPerformanceValueWithCurrencyEffect.add( |
|
|
|
netPerformanceValueWithCurrencyEffect |
|
|
|
); |
|
|
|
|
|
|
|
accumulatedValuesByDate[dateString].totalTimeWeightedInvestmentValue = |
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalTimeWeightedInvestmentValue.add(timeWeightedInvestmentValue); |
|
|
|
|
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalTimeWeightedInvestmentValueWithCurrencyEffect = |
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalTimeWeightedInvestmentValueWithCurrencyEffect.add( |
|
|
|
timeWeightedInvestmentValueWithCurrencyEffect |
|
|
|
); |
|
|
|
} |
|
|
|
|
|
|
|
if ( |
|
|
|
this.accountBalanceItems.some(({ date }) => { |
|
|
|
accumulatedValuesByDate[dateString] = { |
|
|
|
investmentValueWithCurrencyEffect: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.investmentValueWithCurrencyEffect ?? new Big(0) |
|
|
|
).add(investmentValueWithCurrencyEffect), |
|
|
|
totalAccountBalanceWithCurrencyEffect: this.accountBalanceItems.some( |
|
|
|
({ date }) => { |
|
|
|
return date === dateString; |
|
|
|
}) |
|
|
|
) { |
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalAccountBalanceWithCurrencyEffect = new Big( |
|
|
|
} |
|
|
|
) |
|
|
|
? new Big( |
|
|
|
this.accountBalanceItems.find(({ date }) => { |
|
|
|
return date === dateString; |
|
|
|
}).value |
|
|
|
); |
|
|
|
} else { |
|
|
|
accumulatedValuesByDate[ |
|
|
|
dateString |
|
|
|
].totalAccountBalanceWithCurrencyEffect = |
|
|
|
accumulatedValuesByDate[lastDate] |
|
|
|
?.totalAccountBalanceWithCurrencyEffect ?? new Big(0); |
|
|
|
) |
|
|
|
: (accumulatedValuesByDate[lastDate] |
|
|
|
?.totalAccountBalanceWithCurrencyEffect ?? new Big(0)), |
|
|
|
totalCurrentValue: ( |
|
|
|
accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0) |
|
|
|
).add(currentValue), |
|
|
|
totalCurrentValueWithCurrencyEffect: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.totalCurrentValueWithCurrencyEffect ?? new Big(0) |
|
|
|
).add(currentValueWithCurrencyEffect), |
|
|
|
totalInvestmentValue: ( |
|
|
|
accumulatedValuesByDate[dateString]?.totalInvestmentValue ?? |
|
|
|
new Big(0) |
|
|
|
).add(investmentValueAccumulated), |
|
|
|
totalInvestmentValueWithCurrencyEffect: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.totalInvestmentValueWithCurrencyEffect ?? new Big(0) |
|
|
|
).add(investmentValueAccumulatedWithCurrencyEffect), |
|
|
|
totalNetPerformanceValue: ( |
|
|
|
accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ?? |
|
|
|
new Big(0) |
|
|
|
).add(netPerformanceValue), |
|
|
|
totalNetPerformanceValueWithCurrencyEffect: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0) |
|
|
|
).add(netPerformanceValueWithCurrencyEffect), |
|
|
|
totalTimeWeightedInvestmentValue: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.totalTimeWeightedInvestmentValue ?? new Big(0) |
|
|
|
).add(timeWeightedInvestmentValue), |
|
|
|
totalTimeWeightedInvestmentValueWithCurrencyEffect: ( |
|
|
|
accumulatedValuesByDate[dateString] |
|
|
|
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0) |
|
|
|
).add(timeWeightedInvestmentValueWithCurrencyEffect) |
|
|
|
}; |
|
|
|
} |
|
|
|
|
|
|
|
lastDate = dateString; |
|
|
|
} |
|
|
|
|
|
|
|
return Object.entries(accumulatedValuesByDate).map(([date, values]) => { |
|
|
|
const historicalData: HistoricalDataItem[] = Object.entries( |
|
|
|
accumulatedValuesByDate |
|
|
|
).map(([date, values]) => { |
|
|
|
const { |
|
|
|
investmentValueWithCurrencyEffect, |
|
|
|
totalAccountBalanceWithCurrencyEffect, |
|
|
|
@ -749,7 +542,6 @@ export abstract class PortfolioCalculator { |
|
|
|
? 0 |
|
|
|
: totalNetPerformanceValue |
|
|
|
.div(totalTimeWeightedInvestmentValue) |
|
|
|
.mul(100) |
|
|
|
.toNumber(); |
|
|
|
|
|
|
|
const netPerformanceInPercentageWithCurrencyEffect = |
|
|
|
@ -757,7 +549,6 @@ export abstract class PortfolioCalculator { |
|
|
|
? 0 |
|
|
|
: totalNetPerformanceValueWithCurrencyEffect |
|
|
|
.div(totalTimeWeightedInvestmentValueWithCurrencyEffect) |
|
|
|
.mul(100) |
|
|
|
.toNumber(); |
|
|
|
|
|
|
|
return { |
|
|
|
@ -781,6 +572,19 @@ export abstract class PortfolioCalculator { |
|
|
|
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber() |
|
|
|
}; |
|
|
|
}); |
|
|
|
|
|
|
|
const overall = this.calculateOverallPerformance(positions); |
|
|
|
|
|
|
|
return { |
|
|
|
...overall, |
|
|
|
errors, |
|
|
|
historicalData, |
|
|
|
positions, |
|
|
|
totalInterestWithCurrencyEffect, |
|
|
|
totalLiabilitiesWithCurrencyEffect, |
|
|
|
totalValuablesWithCurrencyEffect, |
|
|
|
hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors |
|
|
|
}; |
|
|
|
} |
|
|
|
|
|
|
|
public getDataProviderInfos() { |
|
|
|
@ -861,6 +665,70 @@ export abstract class PortfolioCalculator { |
|
|
|
return this.snapshot; |
|
|
|
} |
|
|
|
|
|
|
|
public async getPerformance({ end, start }) { |
|
|
|
await this.snapshotPromise; |
|
|
|
|
|
|
|
const { historicalData } = this.snapshot; |
|
|
|
|
|
|
|
const chart: HistoricalDataItem[] = []; |
|
|
|
|
|
|
|
let netPerformanceAtStartDate: number; |
|
|
|
let netPerformanceWithCurrencyEffectAtStartDate: number; |
|
|
|
let totalInvestmentValuesWithCurrencyEffect: number[] = []; |
|
|
|
|
|
|
|
for (let historicalDataItem of historicalData) { |
|
|
|
const date = resetHours(parseDate(historicalDataItem.date)); |
|
|
|
|
|
|
|
if (!isBefore(date, start) && !isAfter(date, end)) { |
|
|
|
if (!isNumber(netPerformanceAtStartDate)) { |
|
|
|
netPerformanceAtStartDate = historicalDataItem.netPerformance; |
|
|
|
|
|
|
|
netPerformanceWithCurrencyEffectAtStartDate = |
|
|
|
historicalDataItem.netPerformanceWithCurrencyEffect; |
|
|
|
} |
|
|
|
|
|
|
|
const netPerformanceSinceStartDate = |
|
|
|
historicalDataItem.netPerformance - netPerformanceAtStartDate; |
|
|
|
|
|
|
|
const netPerformanceWithCurrencyEffectSinceStartDate = |
|
|
|
historicalDataItem.netPerformanceWithCurrencyEffect - |
|
|
|
netPerformanceWithCurrencyEffectAtStartDate; |
|
|
|
|
|
|
|
if (historicalDataItem.totalInvestmentValueWithCurrencyEffect > 0) { |
|
|
|
totalInvestmentValuesWithCurrencyEffect.push( |
|
|
|
historicalDataItem.totalInvestmentValueWithCurrencyEffect |
|
|
|
); |
|
|
|
} |
|
|
|
|
|
|
|
const timeWeightedInvestmentValue = |
|
|
|
totalInvestmentValuesWithCurrencyEffect.length > 0 |
|
|
|
? sum(totalInvestmentValuesWithCurrencyEffect) / |
|
|
|
totalInvestmentValuesWithCurrencyEffect.length |
|
|
|
: 0; |
|
|
|
|
|
|
|
chart.push({ |
|
|
|
...historicalDataItem, |
|
|
|
netPerformance: |
|
|
|
historicalDataItem.netPerformance - netPerformanceAtStartDate, |
|
|
|
netPerformanceWithCurrencyEffect: |
|
|
|
netPerformanceWithCurrencyEffectSinceStartDate, |
|
|
|
netPerformanceInPercentage: |
|
|
|
netPerformanceSinceStartDate / timeWeightedInvestmentValue, |
|
|
|
netPerformanceInPercentageWithCurrencyEffect: |
|
|
|
netPerformanceWithCurrencyEffectSinceStartDate / |
|
|
|
timeWeightedInvestmentValue, |
|
|
|
// TODO: Add net worth with valuables
|
|
|
|
// netWorth: totalCurrentValueWithCurrencyEffect
|
|
|
|
// .plus(totalAccountBalanceWithCurrencyEffect)
|
|
|
|
// .toNumber()
|
|
|
|
netWorth: 0 |
|
|
|
}); |
|
|
|
} |
|
|
|
} |
|
|
|
|
|
|
|
return { chart }; |
|
|
|
} |
|
|
|
|
|
|
|
public getStartDate() { |
|
|
|
let firstAccountBalanceDate: Date; |
|
|
|
let firstActivityDate: Date; |
|
|
|
@ -889,23 +757,21 @@ export abstract class PortfolioCalculator { |
|
|
|
} |
|
|
|
|
|
|
|
protected abstract getSymbolMetrics({ |
|
|
|
chartDateMap, |
|
|
|
dataSource, |
|
|
|
end, |
|
|
|
exchangeRates, |
|
|
|
isChartMode, |
|
|
|
marketSymbolMap, |
|
|
|
start, |
|
|
|
step, |
|
|
|
symbol |
|
|
|
}: { |
|
|
|
chartDateMap: { [date: string]: boolean }; |
|
|
|
end: Date; |
|
|
|
exchangeRates: { [dateString: string]: number }; |
|
|
|
isChartMode?: boolean; |
|
|
|
marketSymbolMap: { |
|
|
|
[date: string]: { [symbol: string]: Big }; |
|
|
|
}; |
|
|
|
start: Date; |
|
|
|
step?: number; |
|
|
|
} & AssetProfileIdentifier): SymbolMetrics; |
|
|
|
|
|
|
|
public getTransactionPoints() { |
|
|
|
@ -918,6 +784,66 @@ export abstract class PortfolioCalculator { |
|
|
|
return this.snapshot.totalValuablesWithCurrencyEffect; |
|
|
|
} |
|
|
|
|
|
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private getChartDateMap({ |
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endDate, |
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startDate, |
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step |
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}: { |
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endDate: Date; |
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startDate: Date; |
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step: number; |
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}) { |
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// Create a map of all relevant chart dates:
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// 1. Add transaction point dates
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let chartDateMap = this.transactionPoints.reduce((result, { date }) => { |
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result[date] = true; |
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return result; |
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}, {}); |
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// 2. Add dates between transactions respecting the specified step size
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for (let date of eachDayOfInterval( |
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{ end: endDate, start: startDate }, |
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{ step } |
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)) { |
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chartDateMap[format(date, DATE_FORMAT)] = true; |
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} |
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if (step > 1) { |
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// Reduce the step size of recent dates
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for (let date of eachDayOfInterval( |
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{ end: endDate, start: subDays(endDate, 90) }, |
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{ step: 1 } |
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)) { |
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chartDateMap[format(date, DATE_FORMAT)] = true; |
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} |
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} |
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// Make sure the end date is present
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chartDateMap[format(endDate, DATE_FORMAT)] = true; |
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// Make sure some key dates are present
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for (let dateRange of ['1d', '1y', '5y', 'max', 'mtd', 'wtd', 'ytd']) { |
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const { endDate: dateRangeEnd, startDate: dateRangeStart } = |
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getIntervalFromDateRange(dateRange); |
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if ( |
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!isBefore(dateRangeStart, startDate) && |
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!isAfter(dateRangeStart, endDate) |
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) { |
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chartDateMap[format(dateRangeStart, DATE_FORMAT)] = true; |
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} |
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if ( |
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!isBefore(dateRangeEnd, startDate) && |
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!isAfter(dateRangeEnd, endDate) |
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) { |
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chartDateMap[format(dateRangeEnd, DATE_FORMAT)] = true; |
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} |
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} |
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return chartDateMap; |
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} |
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private computeTransactionPoints() { |
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this.transactionPoints = []; |
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const symbols: { [symbol: string]: TransactionPointSymbol } = {}; |
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@ -1057,11 +983,11 @@ export abstract class PortfolioCalculator { |
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} |
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private async initialize() { |
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if (this.useCache) { |
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const startTimeTotal = performance.now(); |
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const cachedSnapshot = await this.redisCacheService.get( |
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this.redisCacheService.getPortfolioSnapshotKey({ |
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filters: this.filters, |
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userId: this.userId |
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}) |
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); |
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@ -1080,13 +1006,11 @@ export abstract class PortfolioCalculator { |
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'PortfolioCalculator' |
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); |
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} else { |
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this.snapshot = await this.computeSnapshot( |
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this.startDate, |
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this.endDate |
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); |
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this.snapshot = await this.computeSnapshot(); |
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this.redisCacheService.set( |
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this.redisCacheService.getPortfolioSnapshotKey({ |
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filters: this.filters, |
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userId: this.userId |
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}), |
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JSON.stringify(this.snapshot), |
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@ -1101,8 +1025,5 @@ export abstract class PortfolioCalculator { |
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'PortfolioCalculator' |
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); |
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} |
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} else { |
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this.snapshot = await this.computeSnapshot(this.startDate, this.endDate); |
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} |
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} |
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} |
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gizmodus
7 months ago
GitHub