mirror of https://github.com/ghostfolio/ghostfolio
dandevaud
1 year ago
committed by
GitHub
GitHub
411 changed files with 32992 additions and 15485 deletions
@ -0,0 +1,47 @@ |
|||||
|
name: Docker image CD - Branch |
||||
|
|
||||
|
on: |
||||
|
push: |
||||
|
branches: |
||||
|
- '*' |
||||
|
|
||||
|
jobs: |
||||
|
build_and_push: |
||||
|
runs-on: ubuntu-latest |
||||
|
steps: |
||||
|
- name: Checkout code |
||||
|
uses: actions/checkout@v3 |
||||
|
|
||||
|
- name: Docker metadata |
||||
|
id: meta |
||||
|
uses: docker/metadata-action@v4 |
||||
|
with: |
||||
|
images: dandevaud/ghostfolio |
||||
|
tags: | |
||||
|
type=semver,pattern={{major}} |
||||
|
type=semver,pattern={{version}} |
||||
|
|
||||
|
- name: Set up QEMU |
||||
|
uses: docker/setup-qemu-action@v2 |
||||
|
|
||||
|
- name: Set up Docker Buildx |
||||
|
id: buildx |
||||
|
uses: docker/setup-buildx-action@v2 |
||||
|
|
||||
|
- name: Login to DockerHub |
||||
|
if: github.event_name != 'pull_request' |
||||
|
uses: docker/login-action@v2 |
||||
|
with: |
||||
|
username: ${{ secrets.DOCKER_HUB_USERNAME }} |
||||
|
password: ${{ secrets.DOCKER_HUB_ACCESS_TOKEN }} |
||||
|
|
||||
|
- name: Build and push |
||||
|
uses: docker/build-push-action@v3 |
||||
|
with: |
||||
|
context: . |
||||
|
platforms: linux/amd64,linux/arm/v7,linux/arm64 |
||||
|
push: ${{ github.event_name != 'pull_request' }} |
||||
|
tags: dandevaud/ghostfolio:${{ github.ref_name }} |
||||
|
labels: ${{ steps.meta.output.labels }} |
||||
|
cache-from: type=gha |
||||
|
cache-to: type=gha,mode=max |
||||
@ -0,0 +1,12 @@ |
|||||
|
import { IsISO8601, IsNumber, IsUUID } from 'class-validator'; |
||||
|
|
||||
|
export class CreateAccountBalanceDto { |
||||
|
@IsUUID() |
||||
|
accountId: string; |
||||
|
|
||||
|
@IsNumber() |
||||
|
balance: number; |
||||
|
|
||||
|
@IsISO8601() |
||||
|
date: string; |
||||
|
} |
||||
@ -1,9 +1,12 @@ |
|||||
import { IsString } from 'class-validator'; |
import { IsString, IsUrl } from 'class-validator'; |
||||
|
|
||||
export class CreatePlatformDto { |
export class CreatePlatformDto { |
||||
@IsString() |
@IsString() |
||||
name: string; |
name: string; |
||||
|
|
||||
@IsString() |
@IsUrl({ |
||||
|
protocols: ['https'], |
||||
|
require_protocol: true |
||||
|
}) |
||||
url: string; |
url: string; |
||||
} |
} |
||||
|
|||||
@ -0,0 +1,302 @@ |
|||||
|
import { getFactor } from '@ghostfolio/api/helper/portfolio.helper'; |
||||
|
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper'; |
||||
|
import { |
||||
|
HistoricalDataItem, |
||||
|
SymbolMetrics, |
||||
|
UniqueAsset |
||||
|
} from '@ghostfolio/common/interfaces'; |
||||
|
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
||||
|
|
||||
|
import { Big } from 'big.js'; |
||||
|
import { addDays, eachDayOfInterval, format } from 'date-fns'; |
||||
|
|
||||
|
import { PortfolioOrder } from '../../interfaces/portfolio-order.interface'; |
||||
|
import { TWRPortfolioCalculator } from '../twr/portfolio-calculator'; |
||||
|
|
||||
|
export class CPRPortfolioCalculator extends TWRPortfolioCalculator { |
||||
|
private holdings: { [date: string]: { [symbol: string]: Big } } = {}; |
||||
|
private holdingCurrencies: { [symbol: string]: string } = {}; |
||||
|
|
||||
|
protected calculateOverallPerformance( |
||||
|
positions: TimelinePosition[] |
||||
|
): PortfolioSnapshot { |
||||
|
return super.calculateOverallPerformance(positions); |
||||
|
} |
||||
|
|
||||
|
protected getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode = false, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step = 1, |
||||
|
symbol |
||||
|
}: { |
||||
|
end: Date; |
||||
|
exchangeRates: { [dateString: string]: number }; |
||||
|
isChartMode?: boolean; |
||||
|
marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
}; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
} & UniqueAsset): SymbolMetrics { |
||||
|
return super.getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step, |
||||
|
symbol |
||||
|
}); |
||||
|
} |
||||
|
|
||||
|
public override async getChartData({ |
||||
|
end = new Date(Date.now()), |
||||
|
start, |
||||
|
step = 1 |
||||
|
}: { |
||||
|
end?: Date; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
}): Promise<HistoricalDataItem[]> { |
||||
|
const timelineHoldings = this.getHoldings(start, end); |
||||
|
const calculationDates = Object.keys(timelineHoldings) |
||||
|
.filter((date) => { |
||||
|
let parsed = parseDate(date); |
||||
|
parsed >= start && parsed <= end; |
||||
|
}) |
||||
|
.sort(); |
||||
|
let data: HistoricalDataItem[] = []; |
||||
|
const startString = format(start, DATE_FORMAT); |
||||
|
|
||||
|
data.push({ |
||||
|
date: startString, |
||||
|
netPerformanceInPercentage: 0, |
||||
|
netPerformanceInPercentageWithCurrencyEffect: 0, |
||||
|
investmentValueWithCurrencyEffect: 0, |
||||
|
netPerformance: 0, |
||||
|
netPerformanceWithCurrencyEffect: 0, |
||||
|
netWorth: 0, |
||||
|
totalAccountBalance: 0, |
||||
|
totalInvestment: 0, |
||||
|
totalInvestmentValueWithCurrencyEffect: 0, |
||||
|
value: 0, |
||||
|
valueWithCurrencyEffect: 0 |
||||
|
}); |
||||
|
|
||||
|
let totalInvestment = Object.keys(timelineHoldings[startString]).reduce( |
||||
|
(sum, holding) => { |
||||
|
return sum.plus( |
||||
|
timelineHoldings[startString][holding].mul( |
||||
|
this.marketMap[startString][holding] |
||||
|
) |
||||
|
); |
||||
|
}, |
||||
|
new Big(0) |
||||
|
); |
||||
|
|
||||
|
let previousNetPerformanceInPercentage = new Big(0); |
||||
|
let previousNetPerformanceInPercentageWithCurrencyEffect = new Big(0); |
||||
|
|
||||
|
for (let i = 1; i < calculationDates.length; i++) { |
||||
|
const date = calculationDates[i]; |
||||
|
const previousDate = calculationDates[i - 1]; |
||||
|
const holdings = timelineHoldings[previousDate]; |
||||
|
let newTotalInvestment = new Big(0); |
||||
|
let netPerformanceInPercentage = new Big(0); |
||||
|
let netPerformanceInPercentageWithCurrencyEffect = new Big(0); |
||||
|
|
||||
|
for (const holding of Object.keys(holdings)) { |
||||
|
({ |
||||
|
netPerformanceInPercentage, |
||||
|
netPerformanceInPercentageWithCurrencyEffect, |
||||
|
newTotalInvestment |
||||
|
} = await this.handleSingleHolding( |
||||
|
previousDate, |
||||
|
holding, |
||||
|
date, |
||||
|
totalInvestment, |
||||
|
timelineHoldings, |
||||
|
netPerformanceInPercentage, |
||||
|
netPerformanceInPercentageWithCurrencyEffect, |
||||
|
newTotalInvestment |
||||
|
)); |
||||
|
totalInvestment = newTotalInvestment; |
||||
|
} |
||||
|
|
||||
|
previousNetPerformanceInPercentage = |
||||
|
previousNetPerformanceInPercentage.mul( |
||||
|
netPerformanceInPercentage.plus(1) |
||||
|
); |
||||
|
previousNetPerformanceInPercentageWithCurrencyEffect = |
||||
|
previousNetPerformanceInPercentageWithCurrencyEffect.mul( |
||||
|
netPerformanceInPercentageWithCurrencyEffect.plus(1) |
||||
|
); |
||||
|
|
||||
|
data.push({ |
||||
|
date, |
||||
|
netPerformanceInPercentage: |
||||
|
previousNetPerformanceInPercentage.toNumber(), |
||||
|
netPerformanceInPercentageWithCurrencyEffect: |
||||
|
previousNetPerformanceInPercentageWithCurrencyEffect.toNumber() |
||||
|
}); |
||||
|
} |
||||
|
|
||||
|
return data; |
||||
|
} |
||||
|
|
||||
|
private async handleSingleHolding( |
||||
|
previousDate: string, |
||||
|
holding: string, |
||||
|
date: string, |
||||
|
totalInvestment, |
||||
|
timelineHoldings: { [date: string]: { [symbol: string]: Big } }, |
||||
|
netPerformanceInPercentage, |
||||
|
netPerformanceInPercentageWithCurrencyEffect, |
||||
|
newTotalInvestment |
||||
|
) { |
||||
|
const previousPrice = this.marketMap[previousDate][holding]; |
||||
|
const currentPrice = this.marketMap[date][holding]; |
||||
|
const previousPriceInBaseCurrency = |
||||
|
await this.exchangeRateDataService.toCurrencyAtDate( |
||||
|
previousPrice.toNumber(), |
||||
|
this.getCurrency(holding), |
||||
|
this.currency, |
||||
|
parseDate(previousDate) |
||||
|
); |
||||
|
const portfolioWeight = totalInvestment |
||||
|
? timelineHoldings[previousDate][holding] |
||||
|
.mul(previousPriceInBaseCurrency) |
||||
|
.div(totalInvestment) |
||||
|
: 0; |
||||
|
|
||||
|
netPerformanceInPercentage = netPerformanceInPercentage.plus( |
||||
|
currentPrice.div(previousPrice).minus(1).mul(portfolioWeight) |
||||
|
); |
||||
|
|
||||
|
const priceInBaseCurrency = |
||||
|
await this.exchangeRateDataService.toCurrencyAtDate( |
||||
|
currentPrice.toNumber(), |
||||
|
this.getCurrency(holding), |
||||
|
this.currency, |
||||
|
parseDate(date) |
||||
|
); |
||||
|
netPerformanceInPercentageWithCurrencyEffect = |
||||
|
netPerformanceInPercentageWithCurrencyEffect.plus( |
||||
|
new Big(priceInBaseCurrency) |
||||
|
.div(new Big(previousPriceInBaseCurrency)) |
||||
|
.minus(1) |
||||
|
.mul(portfolioWeight) |
||||
|
); |
||||
|
|
||||
|
newTotalInvestment = newTotalInvestment.plus( |
||||
|
timelineHoldings[date][holding].mul(priceInBaseCurrency) |
||||
|
); |
||||
|
return { |
||||
|
netPerformanceInPercentage, |
||||
|
netPerformanceInPercentageWithCurrencyEffect, |
||||
|
newTotalInvestment |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
private getCurrency(symbol: string) { |
||||
|
if (!this.holdingCurrencies[symbol]) { |
||||
|
this.holdingCurrencies[symbol] = this.activities.find( |
||||
|
(a) => a.SymbolProfile.symbol === symbol |
||||
|
).SymbolProfile.currency; |
||||
|
} |
||||
|
|
||||
|
return this.holdingCurrencies[symbol]; |
||||
|
} |
||||
|
|
||||
|
private getHoldings(start: Date, end: Date) { |
||||
|
if ( |
||||
|
this.holdings && |
||||
|
Object.keys(this.holdings).some((h) => parseDate(h) >= end) && |
||||
|
Object.keys(this.holdings).some((h) => parseDate(h) <= start) |
||||
|
) { |
||||
|
return this.holdings; |
||||
|
} |
||||
|
|
||||
|
this.computeHoldings(start, end); |
||||
|
return this.holdings; |
||||
|
} |
||||
|
|
||||
|
private computeHoldings(start: Date, end: Date) { |
||||
|
const investmentByDate = this.getInvestmentByDate(); |
||||
|
const transactionDates = Object.keys(investmentByDate).sort(); |
||||
|
let dates = eachDayOfInterval({ start, end }, { step: 1 }) |
||||
|
.map((date) => { |
||||
|
return resetHours(date); |
||||
|
}) |
||||
|
.sort((a, b) => a.getTime() - b.getTime()); |
||||
|
let currentHoldings: { [date: string]: { [symbol: string]: Big } } = {}; |
||||
|
|
||||
|
this.calculateInitialHoldings(investmentByDate, start, currentHoldings); |
||||
|
|
||||
|
for (let i = 1; i < dates.length; i++) { |
||||
|
const dateString = format(dates[i], DATE_FORMAT); |
||||
|
const previousDateString = format(dates[i - 1], DATE_FORMAT); |
||||
|
if (transactionDates.some((d) => d === dateString)) { |
||||
|
let holdings = { ...currentHoldings[previousDateString] }; |
||||
|
investmentByDate[dateString].forEach((trade) => { |
||||
|
holdings[trade.SymbolProfile.symbol] ??= new Big(0); |
||||
|
holdings[trade.SymbolProfile.symbol] = holdings[ |
||||
|
trade.SymbolProfile.symbol |
||||
|
].plus(trade.quantity.mul(getFactor(trade.type))); |
||||
|
}); |
||||
|
currentHoldings[dateString] = holdings; |
||||
|
} else { |
||||
|
currentHoldings[dateString] = currentHoldings[previousDateString]; |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
this.holdings = currentHoldings; |
||||
|
} |
||||
|
|
||||
|
private calculateInitialHoldings( |
||||
|
investmentByDate: { [date: string]: PortfolioOrder[] }, |
||||
|
start: Date, |
||||
|
currentHoldings: { [date: string]: { [symbol: string]: Big } } |
||||
|
) { |
||||
|
const preRangeTrades = Object.keys(investmentByDate) |
||||
|
.filter((date) => resetHours(new Date(date)) <= start) |
||||
|
.map((date) => investmentByDate[date]) |
||||
|
.reduce((a, b) => a.concat(b), []) |
||||
|
.reduce((groupBySymbol, trade) => { |
||||
|
if (!groupBySymbol[trade.SymbolProfile.symbol]) { |
||||
|
groupBySymbol[trade.SymbolProfile.symbol] = []; |
||||
|
} |
||||
|
|
||||
|
groupBySymbol[trade.SymbolProfile.symbol].push(trade); |
||||
|
|
||||
|
return groupBySymbol; |
||||
|
}, {}); |
||||
|
|
||||
|
currentHoldings[format(start, DATE_FORMAT)] = {}; |
||||
|
|
||||
|
for (const symbol of Object.keys(preRangeTrades)) { |
||||
|
const trades: PortfolioOrder[] = preRangeTrades[symbol]; |
||||
|
let startQuantity = trades.reduce((sum, trade) => { |
||||
|
return sum.plus(trade.quantity.mul(getFactor(trade.type))); |
||||
|
}, new Big(0)); |
||||
|
currentHoldings[format(start, DATE_FORMAT)][symbol] = startQuantity; |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
private getInvestmentByDate(): { [date: string]: PortfolioOrder[] } { |
||||
|
return this.activities.reduce((groupedByDate, order) => { |
||||
|
if (!groupedByDate[order.date]) { |
||||
|
groupedByDate[order.date] = []; |
||||
|
} |
||||
|
|
||||
|
groupedByDate[order.date].push(order); |
||||
|
|
||||
|
return groupedByDate; |
||||
|
}, {}); |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,33 @@ |
|||||
|
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator'; |
||||
|
import { SymbolMetrics, UniqueAsset } from '@ghostfolio/common/interfaces'; |
||||
|
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
||||
|
|
||||
|
export class MWRPortfolioCalculator extends PortfolioCalculator { |
||||
|
protected calculateOverallPerformance( |
||||
|
positions: TimelinePosition[] |
||||
|
): PortfolioSnapshot { |
||||
|
throw new Error('Method not implemented.'); |
||||
|
} |
||||
|
|
||||
|
protected getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode = false, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step = 1, |
||||
|
symbol |
||||
|
}: { |
||||
|
end: Date; |
||||
|
exchangeRates: { [dateString: string]: number }; |
||||
|
isChartMode?: boolean; |
||||
|
marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
}; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
} & UniqueAsset): SymbolMetrics { |
||||
|
throw new Error('Method not implemented.'); |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,30 @@ |
|||||
|
export const activityDummyData = { |
||||
|
accountId: undefined, |
||||
|
accountUserId: undefined, |
||||
|
comment: undefined, |
||||
|
createdAt: new Date(), |
||||
|
currency: undefined, |
||||
|
feeInBaseCurrency: undefined, |
||||
|
id: undefined, |
||||
|
isDraft: false, |
||||
|
symbolProfileId: undefined, |
||||
|
updatedAt: new Date(), |
||||
|
userId: undefined, |
||||
|
value: undefined, |
||||
|
valueInBaseCurrency: undefined |
||||
|
}; |
||||
|
|
||||
|
export const symbolProfileDummyData = { |
||||
|
activitiesCount: undefined, |
||||
|
assetClass: undefined, |
||||
|
assetSubClass: undefined, |
||||
|
countries: [], |
||||
|
createdAt: undefined, |
||||
|
id: undefined, |
||||
|
sectors: [], |
||||
|
updatedAt: undefined |
||||
|
}; |
||||
|
|
||||
|
export const userDummyData = { |
||||
|
id: 'xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx' |
||||
|
}; |
||||
@ -0,0 +1,96 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
||||
|
import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { HistoricalDataItem } from '@ghostfolio/common/interfaces'; |
||||
|
import { DateRange, UserWithSettings } from '@ghostfolio/common/types'; |
||||
|
|
||||
|
import { Injectable } from '@nestjs/common'; |
||||
|
|
||||
|
import { CPRPortfolioCalculator } from './constantPortfolioReturn/portfolio-calculator'; |
||||
|
import { MWRPortfolioCalculator } from './mwr/portfolio-calculator'; |
||||
|
import { PortfolioCalculator } from './portfolio-calculator'; |
||||
|
import { TWRPortfolioCalculator } from './twr/portfolio-calculator'; |
||||
|
|
||||
|
export enum PerformanceCalculationType { |
||||
|
MWR = 'MWR', // Money-Weighted Rate of Return
|
||||
|
TWR = 'TWR', // Time-Weighted Rate of Return
|
||||
|
CPR = 'CPR' // Constant Portfolio Rate of Return
|
||||
|
} |
||||
|
|
||||
|
@Injectable() |
||||
|
export class PortfolioCalculatorFactory { |
||||
|
public constructor( |
||||
|
private readonly configurationService: ConfigurationService, |
||||
|
private readonly currentRateService: CurrentRateService, |
||||
|
private readonly exchangeRateDataService: ExchangeRateDataService, |
||||
|
private readonly redisCacheService: RedisCacheService |
||||
|
) {} |
||||
|
|
||||
|
public createCalculator({ |
||||
|
accountBalanceItems = [], |
||||
|
activities, |
||||
|
calculationType, |
||||
|
currency, |
||||
|
dateRange = 'max', |
||||
|
hasFilters, |
||||
|
isExperimentalFeatures = false, |
||||
|
userId |
||||
|
}: { |
||||
|
accountBalanceItems?: HistoricalDataItem[]; |
||||
|
activities: Activity[]; |
||||
|
calculationType: PerformanceCalculationType; |
||||
|
currency: string; |
||||
|
dateRange?: DateRange; |
||||
|
hasFilters: boolean; |
||||
|
isExperimentalFeatures?: boolean; |
||||
|
userId: string; |
||||
|
}): PortfolioCalculator { |
||||
|
const useCache = !hasFilters && isExperimentalFeatures; |
||||
|
|
||||
|
switch (calculationType) { |
||||
|
case PerformanceCalculationType.MWR: |
||||
|
return new MWRPortfolioCalculator({ |
||||
|
accountBalanceItems, |
||||
|
activities, |
||||
|
currency, |
||||
|
dateRange, |
||||
|
useCache, |
||||
|
userId, |
||||
|
configurationService: this.configurationService, |
||||
|
currentRateService: this.currentRateService, |
||||
|
exchangeRateDataService: this.exchangeRateDataService, |
||||
|
redisCacheService: this.redisCacheService |
||||
|
}); |
||||
|
case PerformanceCalculationType.TWR: |
||||
|
return new TWRPortfolioCalculator({ |
||||
|
accountBalanceItems, |
||||
|
activities, |
||||
|
currency, |
||||
|
currentRateService: this.currentRateService, |
||||
|
dateRange, |
||||
|
useCache, |
||||
|
userId, |
||||
|
configurationService: this.configurationService, |
||||
|
exchangeRateDataService: this.exchangeRateDataService, |
||||
|
redisCacheService: this.redisCacheService |
||||
|
}); |
||||
|
case PerformanceCalculationType.CPR: |
||||
|
return new CPRPortfolioCalculator({ |
||||
|
accountBalanceItems, |
||||
|
activities, |
||||
|
currency, |
||||
|
currentRateService: this.currentRateService, |
||||
|
dateRange, |
||||
|
useCache, |
||||
|
userId, |
||||
|
configurationService: this.configurationService, |
||||
|
exchangeRateDataService: this.exchangeRateDataService, |
||||
|
redisCacheService: this.redisCacheService |
||||
|
}); |
||||
|
default: |
||||
|
throw new Error('Invalid calculation type'); |
||||
|
} |
||||
|
} |
||||
|
} |
||||
File diff suppressed because it is too large
@ -0,0 +1,218 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { |
||||
|
activityDummyData, |
||||
|
symbolProfileDummyData, |
||||
|
userDummyData |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
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; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
describe('get current positions', () => { |
||||
|
it.only('with BALN.SW buy and sell in two activities', async () => { |
||||
|
const spy = jest |
||||
|
.spyOn(Date, 'now') |
||||
|
.mockImplementation(() => parseDate('2021-12-18').getTime()); |
||||
|
|
||||
|
const activities: Activity[] = [ |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-11-22'), |
||||
|
fee: 1.55, |
||||
|
quantity: 2, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'CHF', |
||||
|
dataSource: 'YAHOO', |
||||
|
name: 'Bâloise Holding AG', |
||||
|
symbol: 'BALN.SW' |
||||
|
}, |
||||
|
type: 'BUY', |
||||
|
unitPrice: 142.9 |
||||
|
}, |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-11-30'), |
||||
|
fee: 1.65, |
||||
|
quantity: 1, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'CHF', |
||||
|
dataSource: 'YAHOO', |
||||
|
name: 'Bâloise Holding AG', |
||||
|
symbol: 'BALN.SW' |
||||
|
}, |
||||
|
type: 'SELL', |
||||
|
unitPrice: 136.6 |
||||
|
}, |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-11-30'), |
||||
|
fee: 0, |
||||
|
quantity: 1, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'CHF', |
||||
|
dataSource: 'YAHOO', |
||||
|
name: 'Bâloise Holding AG', |
||||
|
symbol: 'BALN.SW' |
||||
|
}, |
||||
|
type: 'SELL', |
||||
|
unitPrice: 136.6 |
||||
|
} |
||||
|
]; |
||||
|
|
||||
|
const portfolioCalculator = factory.createCalculator({ |
||||
|
activities, |
||||
|
calculationType: PerformanceCalculationType.TWR, |
||||
|
currency: 'CHF', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
const chartData = await portfolioCalculator.getChartData({ |
||||
|
start: parseDate('2021-11-22') |
||||
|
}); |
||||
|
|
||||
|
const portfolioSnapshot = await portfolioCalculator.computeSnapshot( |
||||
|
parseDate('2021-11-22') |
||||
|
); |
||||
|
|
||||
|
const investments = portfolioCalculator.getInvestments(); |
||||
|
|
||||
|
const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
||||
|
data: chartData, |
||||
|
groupBy: 'month' |
||||
|
}); |
||||
|
|
||||
|
spy.mockRestore(); |
||||
|
|
||||
|
expect(portfolioSnapshot).toEqual({ |
||||
|
currentValueInBaseCurrency: new Big('0'), |
||||
|
errors: [], |
||||
|
grossPerformance: new Big('-12.6'), |
||||
|
grossPerformancePercentage: new Big('-0.04408677396780965649'), |
||||
|
grossPerformancePercentageWithCurrencyEffect: new Big( |
||||
|
'-0.04408677396780965649' |
||||
|
), |
||||
|
grossPerformanceWithCurrencyEffect: new Big('-12.6'), |
||||
|
hasErrors: false, |
||||
|
netPerformance: new Big('-15.8'), |
||||
|
netPerformancePercentage: new Big('-0.05528341497550734703'), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big( |
||||
|
'-0.05528341497550734703' |
||||
|
), |
||||
|
netPerformanceWithCurrencyEffect: new Big('-15.8'), |
||||
|
positions: [ |
||||
|
{ |
||||
|
averagePrice: new Big('0'), |
||||
|
currency: 'CHF', |
||||
|
dataSource: 'YAHOO', |
||||
|
dividend: new Big('0'), |
||||
|
dividendInBaseCurrency: new Big('0'), |
||||
|
fee: new Big('3.2'), |
||||
|
firstBuyDate: '2021-11-22', |
||||
|
grossPerformance: new Big('-12.6'), |
||||
|
grossPerformancePercentage: new Big('-0.04408677396780965649'), |
||||
|
grossPerformancePercentageWithCurrencyEffect: new Big( |
||||
|
'-0.04408677396780965649' |
||||
|
), |
||||
|
grossPerformanceWithCurrencyEffect: new Big('-12.6'), |
||||
|
investment: new Big('0'), |
||||
|
investmentWithCurrencyEffect: new Big('0'), |
||||
|
netPerformance: new Big('-15.8'), |
||||
|
netPerformancePercentage: new Big('-0.05528341497550734703'), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big( |
||||
|
'-0.05528341497550734703' |
||||
|
), |
||||
|
netPerformanceWithCurrencyEffect: new Big('-15.8'), |
||||
|
marketPrice: 148.9, |
||||
|
marketPriceInBaseCurrency: 148.9, |
||||
|
quantity: new Big('0'), |
||||
|
symbol: 'BALN.SW', |
||||
|
tags: [], |
||||
|
timeWeightedInvestment: new Big('285.80000000000000396627'), |
||||
|
timeWeightedInvestmentWithCurrencyEffect: new Big( |
||||
|
'285.80000000000000396627' |
||||
|
), |
||||
|
transactionCount: 3, |
||||
|
valueInBaseCurrency: new Big('0') |
||||
|
} |
||||
|
], |
||||
|
totalFeesWithCurrencyEffect: new Big('3.2'), |
||||
|
totalInterestWithCurrencyEffect: new Big('0'), |
||||
|
totalInvestment: new Big('0'), |
||||
|
totalInvestmentWithCurrencyEffect: new Big('0'), |
||||
|
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
||||
|
totalValuablesWithCurrencyEffect: new Big('0') |
||||
|
}); |
||||
|
|
||||
|
expect(investments).toEqual([ |
||||
|
{ date: '2021-11-22', investment: new Big('285.8') }, |
||||
|
{ date: '2021-11-30', investment: new Big('0') } |
||||
|
]); |
||||
|
|
||||
|
expect(investmentsByMonth).toEqual([ |
||||
|
{ date: '2021-11-01', investment: 0 }, |
||||
|
{ date: '2021-12-01', investment: 0 } |
||||
|
]); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,157 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { |
||||
|
activityDummyData, |
||||
|
symbolProfileDummyData, |
||||
|
userDummyData |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
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; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
describe('compute portfolio snapshot', () => { |
||||
|
it.only('with fee activity', async () => { |
||||
|
const spy = jest |
||||
|
.spyOn(Date, 'now') |
||||
|
.mockImplementation(() => parseDate('2021-12-18').getTime()); |
||||
|
|
||||
|
const activities: Activity[] = [ |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-09-01'), |
||||
|
fee: 49, |
||||
|
quantity: 0, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'USD', |
||||
|
dataSource: 'MANUAL', |
||||
|
name: 'Account Opening Fee', |
||||
|
symbol: '2c463fb3-af07-486e-adb0-8301b3d72141' |
||||
|
}, |
||||
|
type: 'FEE', |
||||
|
unitPrice: 0 |
||||
|
} |
||||
|
]; |
||||
|
|
||||
|
const portfolioCalculator = factory.createCalculator({ |
||||
|
activities, |
||||
|
calculationType: PerformanceCalculationType.TWR, |
||||
|
currency: 'USD', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
const portfolioSnapshot = await portfolioCalculator.computeSnapshot( |
||||
|
parseDate('2021-11-30') |
||||
|
); |
||||
|
|
||||
|
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('0'), |
||||
|
currency: 'USD', |
||||
|
dataSource: 'MANUAL', |
||||
|
dividend: new Big('0'), |
||||
|
dividendInBaseCurrency: new Big('0'), |
||||
|
fee: new Big('49'), |
||||
|
firstBuyDate: '2021-09-01', |
||||
|
grossPerformance: null, |
||||
|
grossPerformancePercentage: null, |
||||
|
grossPerformancePercentageWithCurrencyEffect: null, |
||||
|
grossPerformanceWithCurrencyEffect: null, |
||||
|
investment: new Big('0'), |
||||
|
investmentWithCurrencyEffect: new Big('0'), |
||||
|
marketPrice: null, |
||||
|
marketPriceInBaseCurrency: 0, |
||||
|
netPerformance: null, |
||||
|
netPerformancePercentage: null, |
||||
|
netPerformancePercentageWithCurrencyEffect: null, |
||||
|
netPerformanceWithCurrencyEffect: null, |
||||
|
quantity: new Big('0'), |
||||
|
symbol: '2c463fb3-af07-486e-adb0-8301b3d72141', |
||||
|
tags: [], |
||||
|
timeWeightedInvestment: new Big('0'), |
||||
|
timeWeightedInvestmentWithCurrencyEffect: new Big('0'), |
||||
|
transactionCount: 1, |
||||
|
valueInBaseCurrency: new Big('0') |
||||
|
} |
||||
|
], |
||||
|
totalFeesWithCurrencyEffect: new Big('49'), |
||||
|
totalInterestWithCurrencyEffect: new Big('0'), |
||||
|
totalInvestment: new Big('0'), |
||||
|
totalInvestmentWithCurrencyEffect: new Big('0'), |
||||
|
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
||||
|
totalValuablesWithCurrencyEffect: new Big('0') |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,157 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { |
||||
|
activityDummyData, |
||||
|
symbolProfileDummyData, |
||||
|
userDummyData |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
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; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
describe('compute portfolio snapshot', () => { |
||||
|
it.only('with item 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: 'Penthouse Apartment', |
||||
|
symbol: 'dac95060-d4f2-4653-a253-2c45e6fb5cde' |
||||
|
}, |
||||
|
type: 'ITEM', |
||||
|
unitPrice: 500000 |
||||
|
} |
||||
|
]; |
||||
|
|
||||
|
const portfolioCalculator = factory.createCalculator({ |
||||
|
activities, |
||||
|
calculationType: PerformanceCalculationType.TWR, |
||||
|
currency: 'USD', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
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('500000'), |
||||
|
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: 500000, |
||||
|
netPerformance: null, |
||||
|
netPerformancePercentage: null, |
||||
|
netPerformancePercentageWithCurrencyEffect: null, |
||||
|
netPerformanceWithCurrencyEffect: null, |
||||
|
quantity: new Big('0'), |
||||
|
symbol: 'dac95060-d4f2-4653-a253-2c45e6fb5cde', |
||||
|
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') |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,108 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { |
||||
|
activityDummyData, |
||||
|
symbolProfileDummyData, |
||||
|
userDummyData |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
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; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
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('2023-01-01'), // Date in future
|
||||
|
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', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
spy.mockRestore(); |
||||
|
|
||||
|
const liabilitiesInBaseCurrency = |
||||
|
await portfolioCalculator.getLiabilitiesInBaseCurrency(); |
||||
|
|
||||
|
expect(liabilitiesInBaseCurrency).toEqual(new Big(3000)); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,165 @@ |
|||||
|
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
|
import { |
||||
|
activityDummyData, |
||||
|
symbolProfileDummyData, |
||||
|
userDummyData |
||||
|
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
||||
|
import { |
||||
|
PerformanceCalculationType, |
||||
|
PortfolioCalculatorFactory |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { ExchangeRateDataServiceMock } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service.mock'; |
||||
|
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; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock( |
||||
|
'@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service', |
||||
|
() => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
ExchangeRateDataService: jest.fn().mockImplementation(() => { |
||||
|
return ExchangeRateDataServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
} |
||||
|
); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
describe('get current positions', () => { |
||||
|
it.only('with MSFT buy', async () => { |
||||
|
const spy = jest |
||||
|
.spyOn(Date, 'now') |
||||
|
.mockImplementation(() => parseDate('2023-07-10').getTime()); |
||||
|
|
||||
|
const activities: Activity[] = [ |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-09-16'), |
||||
|
fee: 19, |
||||
|
quantity: 1, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'USD', |
||||
|
dataSource: 'YAHOO', |
||||
|
name: 'Microsoft Inc.', |
||||
|
symbol: 'MSFT' |
||||
|
}, |
||||
|
type: 'BUY', |
||||
|
unitPrice: 298.58 |
||||
|
}, |
||||
|
{ |
||||
|
...activityDummyData, |
||||
|
date: new Date('2021-11-16'), |
||||
|
fee: 0, |
||||
|
quantity: 1, |
||||
|
SymbolProfile: { |
||||
|
...symbolProfileDummyData, |
||||
|
currency: 'USD', |
||||
|
dataSource: 'YAHOO', |
||||
|
name: 'Microsoft Inc.', |
||||
|
symbol: 'MSFT' |
||||
|
}, |
||||
|
type: 'DIVIDEND', |
||||
|
unitPrice: 0.62 |
||||
|
} |
||||
|
]; |
||||
|
|
||||
|
const portfolioCalculator = factory.createCalculator({ |
||||
|
activities, |
||||
|
calculationType: PerformanceCalculationType.TWR, |
||||
|
currency: 'USD', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
const portfolioSnapshot = await portfolioCalculator.computeSnapshot( |
||||
|
parseDate('2023-07-10') |
||||
|
); |
||||
|
|
||||
|
spy.mockRestore(); |
||||
|
|
||||
|
expect(portfolioSnapshot).toMatchObject({ |
||||
|
errors: [], |
||||
|
hasErrors: false, |
||||
|
positions: [ |
||||
|
{ |
||||
|
averagePrice: new Big('298.58'), |
||||
|
currency: 'USD', |
||||
|
dataSource: 'YAHOO', |
||||
|
dividend: new Big('0.62'), |
||||
|
dividendInBaseCurrency: new Big('0.62'), |
||||
|
fee: new Big('19'), |
||||
|
firstBuyDate: '2021-09-16', |
||||
|
investment: new Big('298.58'), |
||||
|
investmentWithCurrencyEffect: new Big('298.58'), |
||||
|
marketPrice: 331.83, |
||||
|
marketPriceInBaseCurrency: 331.83, |
||||
|
quantity: new Big('1'), |
||||
|
symbol: 'MSFT', |
||||
|
tags: [], |
||||
|
transactionCount: 2 |
||||
|
} |
||||
|
], |
||||
|
totalFeesWithCurrencyEffect: new Big('19'), |
||||
|
totalInterestWithCurrencyEffect: new Big('0'), |
||||
|
totalInvestment: new Big('298.58'), |
||||
|
totalInvestmentWithCurrencyEffect: new Big('298.58'), |
||||
|
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
||||
|
totalValuablesWithCurrencyEffect: new Big('0') |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,124 @@ |
|||||
|
import { userDummyData } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils'; |
||||
|
import { |
||||
|
PerformanceCalculationType, |
||||
|
PortfolioCalculatorFactory |
||||
|
} 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 { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { RedisCacheServiceMock } from '@ghostfolio/api/app/redis-cache/redis-cache.service.mock'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
import { parseDate } from '@ghostfolio/common/helper'; |
||||
|
|
||||
|
import { Big } from 'big.js'; |
||||
|
import { subDays } from 'date-fns'; |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
CurrentRateService: jest.fn().mockImplementation(() => { |
||||
|
return CurrentRateServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
jest.mock('@ghostfolio/api/app/redis-cache/redis-cache.service', () => { |
||||
|
return { |
||||
|
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
|
RedisCacheService: jest.fn().mockImplementation(() => { |
||||
|
return RedisCacheServiceMock; |
||||
|
}) |
||||
|
}; |
||||
|
}); |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
describe('get current positions', () => { |
||||
|
it('with no orders', async () => { |
||||
|
const spy = jest |
||||
|
.spyOn(Date, 'now') |
||||
|
.mockImplementation(() => parseDate('2021-12-18').getTime()); |
||||
|
|
||||
|
const portfolioCalculator = factory.createCalculator({ |
||||
|
activities: [], |
||||
|
calculationType: PerformanceCalculationType.TWR, |
||||
|
currency: 'CHF', |
||||
|
hasFilters: false, |
||||
|
userId: userDummyData.id |
||||
|
}); |
||||
|
|
||||
|
const start = subDays(new Date(Date.now()), 10); |
||||
|
|
||||
|
const chartData = await portfolioCalculator.getChartData({ start }); |
||||
|
|
||||
|
const portfolioSnapshot = |
||||
|
await portfolioCalculator.computeSnapshot(start); |
||||
|
|
||||
|
const investments = portfolioCalculator.getInvestments(); |
||||
|
|
||||
|
const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
||||
|
data: chartData, |
||||
|
groupBy: 'month' |
||||
|
}); |
||||
|
|
||||
|
spy.mockRestore(); |
||||
|
|
||||
|
expect(portfolioSnapshot).toEqual({ |
||||
|
currentValueInBaseCurrency: new Big(0), |
||||
|
grossPerformance: new Big(0), |
||||
|
grossPerformancePercentage: new Big(0), |
||||
|
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
grossPerformanceWithCurrencyEffect: new Big(0), |
||||
|
hasErrors: false, |
||||
|
netPerformance: new Big(0), |
||||
|
netPerformancePercentage: new Big(0), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
netPerformanceWithCurrencyEffect: new Big(0), |
||||
|
positions: [], |
||||
|
totalFeesWithCurrencyEffect: new Big('0'), |
||||
|
totalInterestWithCurrencyEffect: new Big('0'), |
||||
|
totalInvestment: new Big(0), |
||||
|
totalInvestmentWithCurrencyEffect: new Big(0), |
||||
|
totalLiabilitiesWithCurrencyEffect: new Big('0'), |
||||
|
totalValuablesWithCurrencyEffect: new Big('0') |
||||
|
}); |
||||
|
|
||||
|
expect(investments).toEqual([]); |
||||
|
|
||||
|
expect(investmentsByMonth).toEqual([ |
||||
|
{ |
||||
|
date: '2021-12-01', |
||||
|
investment: 0 |
||||
|
} |
||||
|
]); |
||||
|
}); |
||||
|
}); |
||||
|
}); |
||||
@ -0,0 +1,37 @@ |
|||||
|
import { PortfolioCalculatorFactory } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory'; |
||||
|
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
||||
|
import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
import { ConfigurationService } from '@ghostfolio/api/services/configuration/configuration.service'; |
||||
|
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
||||
|
|
||||
|
describe('PortfolioCalculator', () => { |
||||
|
let configurationService: ConfigurationService; |
||||
|
let currentRateService: CurrentRateService; |
||||
|
let exchangeRateDataService: ExchangeRateDataService; |
||||
|
let factory: PortfolioCalculatorFactory; |
||||
|
let redisCacheService: RedisCacheService; |
||||
|
|
||||
|
beforeEach(() => { |
||||
|
configurationService = new ConfigurationService(); |
||||
|
|
||||
|
currentRateService = new CurrentRateService(null, null, null, null); |
||||
|
|
||||
|
exchangeRateDataService = new ExchangeRateDataService( |
||||
|
null, |
||||
|
null, |
||||
|
null, |
||||
|
null |
||||
|
); |
||||
|
|
||||
|
redisCacheService = new RedisCacheService(null, null); |
||||
|
|
||||
|
factory = new PortfolioCalculatorFactory( |
||||
|
configurationService, |
||||
|
currentRateService, |
||||
|
exchangeRateDataService, |
||||
|
redisCacheService |
||||
|
); |
||||
|
}); |
||||
|
|
||||
|
test.skip('Skip empty test', () => 1); |
||||
|
}); |
||||
@ -0,0 +1,922 @@ |
|||||
|
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 { DATE_FORMAT } from '@ghostfolio/common/helper'; |
||||
|
import { SymbolMetrics, UniqueAsset } from '@ghostfolio/common/interfaces'; |
||||
|
import { PortfolioSnapshot, TimelinePosition } from '@ghostfolio/common/models'; |
||||
|
|
||||
|
import { Logger } from '@nestjs/common'; |
||||
|
import { Big } from 'big.js'; |
||||
|
import { |
||||
|
addDays, |
||||
|
addMilliseconds, |
||||
|
differenceInDays, |
||||
|
format, |
||||
|
isBefore |
||||
|
} from 'date-fns'; |
||||
|
import { cloneDeep, first, last, sortBy } from 'lodash'; |
||||
|
|
||||
|
export class TWRPortfolioCalculator extends PortfolioCalculator { |
||||
|
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 netPerformanceWithCurrencyEffect = new Big(0); |
||||
|
let totalFeesWithCurrencyEffect = new Big(0); |
||||
|
let 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.fee) { |
||||
|
totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus( |
||||
|
currentPosition.fee |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
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); |
||||
|
|
||||
|
netPerformanceWithCurrencyEffect = |
||||
|
netPerformanceWithCurrencyEffect.plus( |
||||
|
currentPosition.netPerformanceWithCurrencyEffect |
||||
|
); |
||||
|
} 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, |
||||
|
grossPerformance, |
||||
|
grossPerformanceWithCurrencyEffect, |
||||
|
hasErrors, |
||||
|
netPerformance, |
||||
|
netPerformanceWithCurrencyEffect, |
||||
|
positions, |
||||
|
totalFeesWithCurrencyEffect, |
||||
|
totalInterestWithCurrencyEffect, |
||||
|
totalInvestment, |
||||
|
totalInvestmentWithCurrencyEffect, |
||||
|
netPerformancePercentage: totalTimeWeightedInvestment.eq(0) |
||||
|
? new Big(0) |
||||
|
: netPerformance.div(totalTimeWeightedInvestment), |
||||
|
netPerformancePercentageWithCurrencyEffect: |
||||
|
totalTimeWeightedInvestmentWithCurrencyEffect.eq(0) |
||||
|
? new Big(0) |
||||
|
: netPerformanceWithCurrencyEffect.div( |
||||
|
totalTimeWeightedInvestmentWithCurrencyEffect |
||||
|
), |
||||
|
grossPerformancePercentage: totalTimeWeightedInvestment.eq(0) |
||||
|
? new Big(0) |
||||
|
: grossPerformance.div(totalTimeWeightedInvestment), |
||||
|
grossPerformancePercentageWithCurrencyEffect: |
||||
|
totalTimeWeightedInvestmentWithCurrencyEffect.eq(0) |
||||
|
? new Big(0) |
||||
|
: grossPerformanceWithCurrencyEffect.div( |
||||
|
totalTimeWeightedInvestmentWithCurrencyEffect |
||||
|
), |
||||
|
totalLiabilitiesWithCurrencyEffect: new Big(0), |
||||
|
totalValuablesWithCurrencyEffect: new Big(0) |
||||
|
}; |
||||
|
} |
||||
|
|
||||
|
protected getSymbolMetrics({ |
||||
|
dataSource, |
||||
|
end, |
||||
|
exchangeRates, |
||||
|
isChartMode = false, |
||||
|
marketSymbolMap, |
||||
|
start, |
||||
|
step = 1, |
||||
|
symbol |
||||
|
}: { |
||||
|
end: Date; |
||||
|
exchangeRates: { [dateString: string]: number }; |
||||
|
isChartMode?: boolean; |
||||
|
marketSymbolMap: { |
||||
|
[date: string]: { [symbol: string]: Big }; |
||||
|
}; |
||||
|
start: Date; |
||||
|
step?: number; |
||||
|
} & UniqueAsset): 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; |
||||
|
} = {}; |
||||
|
|
||||
|
let totalAccountBalanceInBaseCurrency = new Big(0); |
||||
|
let totalDividend = new Big(0); |
||||
|
let totalStakeRewards = 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: {}, |
||||
|
unitPrices: {}, |
||||
|
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), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
netPerformanceValues: {}, |
||||
|
netPerformanceValuesWithCurrencyEffect: {}, |
||||
|
netPerformanceValuesPercentage: {}, |
||||
|
netPerformanceWithCurrencyEffect: new Big(0), |
||||
|
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(first(orders).date); |
||||
|
|
||||
|
const unitPriceAtStartDate = |
||||
|
marketSymbolMap[format(start, DATE_FORMAT)]?.[symbol]; |
||||
|
|
||||
|
const unitPriceAtEndDate = |
||||
|
marketSymbolMap[format(end, DATE_FORMAT)]?.[symbol]; |
||||
|
|
||||
|
if ( |
||||
|
!unitPriceAtEndDate || |
||||
|
(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start)) |
||||
|
) { |
||||
|
return { |
||||
|
currentValues: {}, |
||||
|
currentValuesWithCurrencyEffect: {}, |
||||
|
unitPrices: {}, |
||||
|
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), |
||||
|
netPerformancePercentageWithCurrencyEffect: new Big(0), |
||||
|
netPerformanceValues: {}, |
||||
|
netPerformanceValuesWithCurrencyEffect: {}, |
||||
|
netPerformanceValuesPercentage: {}, |
||||
|
netPerformanceWithCurrencyEffect: new Big(0), |
||||
|
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: format(start, DATE_FORMAT), |
||||
|
fee: new Big(0), |
||||
|
feeInBaseCurrency: new Big(0), |
||||
|
itemType: 'start', |
||||
|
quantity: new Big(0), |
||||
|
SymbolProfile: { |
||||
|
dataSource, |
||||
|
symbol |
||||
|
}, |
||||
|
type: 'BUY', |
||||
|
unitPrice: unitPriceAtStartDate |
||||
|
}); |
||||
|
|
||||
|
orders.push({ |
||||
|
date: format(end, DATE_FORMAT), |
||||
|
fee: new Big(0), |
||||
|
feeInBaseCurrency: new Big(0), |
||||
|
itemType: 'end', |
||||
|
SymbolProfile: { |
||||
|
dataSource, |
||||
|
symbol |
||||
|
}, |
||||
|
quantity: new Big(0), |
||||
|
type: 'BUY', |
||||
|
unitPrice: unitPriceAtEndDate |
||||
|
}); |
||||
|
|
||||
|
let day = start; |
||||
|
let lastUnitPrice: Big; |
||||
|
|
||||
|
if (isChartMode) { |
||||
|
const datesWithOrders = {}; |
||||
|
|
||||
|
for (const { date, type } of orders) { |
||||
|
if (['BUY', 'SELL', 'STAKE'].includes(type)) { |
||||
|
datesWithOrders[date] = true; |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
while (isBefore(day, end)) { |
||||
|
const hasDate = datesWithOrders[format(day, DATE_FORMAT)]; |
||||
|
|
||||
|
if (!hasDate) { |
||||
|
orders.push({ |
||||
|
date: format(day, DATE_FORMAT), |
||||
|
fee: new Big(0), |
||||
|
feeInBaseCurrency: new Big(0), |
||||
|
quantity: new Big(0), |
||||
|
SymbolProfile: { |
||||
|
dataSource, |
||||
|
symbol |
||||
|
}, |
||||
|
type: 'BUY', |
||||
|
unitPrice: |
||||
|
marketSymbolMap[format(day, DATE_FORMAT)]?.[symbol] ?? |
||||
|
lastUnitPrice |
||||
|
}); |
||||
|
} |
||||
|
|
||||
|
lastUnitPrice = last(orders).unitPrice; |
||||
|
|
||||
|
day = addDays(day, step); |
||||
|
} |
||||
|
} |
||||
|
|
||||
|
// 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 |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
if (order.type === 'STAKE') { |
||||
|
order.unitPrice = marketSymbolMap[order.date]?.[symbol] ?? new Big(0); |
||||
|
} |
||||
|
|
||||
|
if (order.unitPrice) { |
||||
|
order.unitPriceInBaseCurrency = order.unitPrice.mul( |
||||
|
currentExchangeRate ?? 1 |
||||
|
); |
||||
|
|
||||
|
order.unitPriceInBaseCurrencyWithCurrencyEffect = order.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 && |
||||
|
['BUY', 'SELL', 'STAKE'].includes(order.type) |
||||
|
) { |
||||
|
// Only consider periods with an investment for the calculation of
|
||||
|
// the time weighted investment
|
||||
|
if (valueOfInvestmentBeforeTransaction.gt(0)) { |
||||
|
// 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) |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
if (isChartMode) { |
||||
|
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 totalNetPerformanceWithCurrencyEffect = |
||||
|
grossPerformanceWithCurrencyEffect |
||||
|
.minus(grossPerformanceAtStartDateWithCurrencyEffect) |
||||
|
.minus(feesWithCurrencyEffect.minus(feesAtStartDateWithCurrencyEffect)); |
||||
|
|
||||
|
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 netPerformancePercentageWithCurrencyEffect = |
||||
|
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect.gt( |
||||
|
0 |
||||
|
) |
||||
|
? totalNetPerformanceWithCurrencyEffect.div( |
||||
|
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
||||
|
) |
||||
|
: 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: ${totalNetPerformanceWithCurrencyEffect.toFixed( |
||||
|
2 |
||||
|
)} / ${netPerformancePercentageWithCurrencyEffect.mul(100).toFixed(2)}%` |
||||
|
); |
||||
|
} |
||||
|
|
||||
|
let unitPrices = Object.keys(marketSymbolMap) |
||||
|
.map((date) => { |
||||
|
return { [date]: marketSymbolMap[date][symbol] }; |
||||
|
}) |
||||
|
.reduce((map, u) => { |
||||
|
return { ...u, ...map }; |
||||
|
}, {}); |
||||
|
|
||||
|
return { |
||||
|
currentValues, |
||||
|
currentValuesWithCurrencyEffect, |
||||
|
unitPrices, |
||||
|
feesWithCurrencyEffect, |
||||
|
grossPerformancePercentage, |
||||
|
grossPerformancePercentageWithCurrencyEffect, |
||||
|
initialValue, |
||||
|
initialValueWithCurrencyEffect, |
||||
|
investmentValuesAccumulated, |
||||
|
investmentValuesAccumulatedWithCurrencyEffect, |
||||
|
investmentValuesWithCurrencyEffect, |
||||
|
netPerformancePercentage, |
||||
|
netPerformancePercentageWithCurrencyEffect, |
||||
|
netPerformanceValues, |
||||
|
netPerformanceValuesWithCurrencyEffect, |
||||
|
netPerformanceValuesPercentage: {}, |
||||
|
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, |
||||
|
netPerformanceWithCurrencyEffect: totalNetPerformanceWithCurrencyEffect, |
||||
|
timeWeightedInvestment: |
||||
|
timeWeightedAverageInvestmentBetweenStartAndEndDate, |
||||
|
timeWeightedInvestmentWithCurrencyEffect: |
||||
|
timeWeightedAverageInvestmentBetweenStartAndEndDateWithCurrencyEffect |
||||
|
}; |
||||
|
} |
||||
|
} |
||||
@ -1,19 +0,0 @@ |
|||||
import { ResponseError, TimelinePosition } from '@ghostfolio/common/interfaces'; |
|
||||
|
|
||||
import Big from 'big.js'; |
|
||||
|
|
||||
export interface CurrentPositions extends ResponseError { |
|
||||
positions: TimelinePosition[]; |
|
||||
grossPerformance: Big; |
|
||||
grossPerformanceWithCurrencyEffect: Big; |
|
||||
grossPerformancePercentage: Big; |
|
||||
grossPerformancePercentageWithCurrencyEffect: Big; |
|
||||
netAnnualizedPerformance?: Big; |
|
||||
netAnnualizedPerformanceWithCurrencyEffect?: Big; |
|
||||
netPerformance: Big; |
|
||||
netPerformanceWithCurrencyEffect: Big; |
|
||||
netPerformancePercentage: Big; |
|
||||
netPerformancePercentageWithCurrencyEffect: Big; |
|
||||
currentValue: Big; |
|
||||
totalInvestment: Big; |
|
||||
} |
|
||||
@ -1,11 +1,11 @@ |
|||||
import Big from 'big.js'; |
import { Big } from 'big.js'; |
||||
|
|
||||
import { PortfolioOrder } from './portfolio-order.interface'; |
import { PortfolioOrder } from './portfolio-order.interface'; |
||||
|
|
||||
export interface PortfolioOrderItem extends PortfolioOrder { |
export interface PortfolioOrderItem extends PortfolioOrder { |
||||
feeInBaseCurrency?: Big; |
feeInBaseCurrency?: Big; |
||||
feeInBaseCurrencyWithCurrencyEffect?: Big; |
feeInBaseCurrencyWithCurrencyEffect?: Big; |
||||
itemType?: '' | 'start' | 'end'; |
itemType?: 'end' | 'start'; |
||||
unitPriceInBaseCurrency?: Big; |
unitPriceInBaseCurrency?: Big; |
||||
unitPriceInBaseCurrencyWithCurrencyEffect?: Big; |
unitPriceInBaseCurrencyWithCurrencyEffect?: Big; |
||||
} |
} |
||||
@ -1,15 +1,12 @@ |
|||||
import { DataSource, Tag, Type as TypeOfOrder } from '@prisma/client'; |
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface'; |
||||
import Big from 'big.js'; |
|
||||
|
|
||||
export interface PortfolioOrder { |
export interface PortfolioOrder extends Pick<Activity, 'tags' | 'type'> { |
||||
currency: string; |
|
||||
date: string; |
date: string; |
||||
dataSource: DataSource; |
|
||||
fee: Big; |
fee: Big; |
||||
name: string; |
|
||||
quantity: Big; |
quantity: Big; |
||||
symbol: string; |
SymbolProfile: Pick< |
||||
tags?: Tag[]; |
Activity['SymbolProfile'], |
||||
type: TypeOfOrder; |
'currency' | 'dataSource' | 'name' | 'symbol' |
||||
|
>; |
||||
unitPrice: Big; |
unitPrice: Big; |
||||
} |
} |
||||
|
|||||
@ -1,5 +0,0 @@ |
|||||
import { Position } from '@ghostfolio/common/interfaces'; |
|
||||
|
|
||||
export interface PortfolioPositions { |
|
||||
positions: Position[]; |
|
||||
} |
|
||||
@ -1,6 +1,12 @@ |
|||||
|
import { Big } from 'big.js'; |
||||
|
|
||||
import { TransactionPointSymbol } from './transaction-point-symbol.interface'; |
import { TransactionPointSymbol } from './transaction-point-symbol.interface'; |
||||
|
|
||||
export interface TransactionPoint { |
export interface TransactionPoint { |
||||
date: string; |
date: string; |
||||
|
fees: Big; |
||||
|
interest: Big; |
||||
items: TransactionPointSymbol[]; |
items: TransactionPointSymbol[]; |
||||
|
liabilities: Big; |
||||
|
valuables: Big; |
||||
} |
} |
||||
|
|||||
@ -1,86 +0,0 @@ |
|||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
|
||||
import { parseDate } from '@ghostfolio/common/helper'; |
|
||||
|
|
||||
import Big from 'big.js'; |
|
||||
|
|
||||
import { CurrentRateServiceMock } from './current-rate.service.mock'; |
|
||||
import { PortfolioCalculator } from './portfolio-calculator'; |
|
||||
|
|
||||
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; |
|
||||
|
|
||||
beforeEach(() => { |
|
||||
currentRateService = new CurrentRateService(null, null, null, null); |
|
||||
|
|
||||
exchangeRateDataService = new ExchangeRateDataService( |
|
||||
null, |
|
||||
null, |
|
||||
null, |
|
||||
null |
|
||||
); |
|
||||
}); |
|
||||
|
|
||||
describe('get current positions', () => { |
|
||||
it('with no orders', async () => { |
|
||||
const portfolioCalculator = new PortfolioCalculator({ |
|
||||
currentRateService, |
|
||||
exchangeRateDataService, |
|
||||
currency: 'CHF', |
|
||||
orders: [] |
|
||||
}); |
|
||||
|
|
||||
portfolioCalculator.computeTransactionPoints(); |
|
||||
|
|
||||
const spy = jest |
|
||||
.spyOn(Date, 'now') |
|
||||
.mockImplementation(() => parseDate('2021-12-18').getTime()); |
|
||||
|
|
||||
const chartData = await portfolioCalculator.getChartData({ |
|
||||
start: new Date() |
|
||||
}); |
|
||||
|
|
||||
const currentPositions = await portfolioCalculator.getCurrentPositions( |
|
||||
new Date() |
|
||||
); |
|
||||
|
|
||||
const investments = portfolioCalculator.getInvestments(); |
|
||||
|
|
||||
const investmentsByMonth = portfolioCalculator.getInvestmentsByGroup({ |
|
||||
data: chartData, |
|
||||
groupBy: 'month' |
|
||||
}); |
|
||||
|
|
||||
spy.mockRestore(); |
|
||||
|
|
||||
expect(currentPositions).toEqual({ |
|
||||
currentValue: new Big(0), |
|
||||
grossPerformance: new Big(0), |
|
||||
grossPerformancePercentage: new Big(0), |
|
||||
grossPerformancePercentageWithCurrencyEffect: new Big(0), |
|
||||
grossPerformanceWithCurrencyEffect: new Big(0), |
|
||||
hasErrors: false, |
|
||||
netPerformance: new Big(0), |
|
||||
netPerformancePercentage: new Big(0), |
|
||||
netPerformancePercentageWithCurrencyEffect: new Big(0), |
|
||||
netPerformanceWithCurrencyEffect: new Big(0), |
|
||||
positions: [], |
|
||||
totalInvestment: new Big(0) |
|
||||
}); |
|
||||
|
|
||||
expect(investments).toEqual([]); |
|
||||
|
|
||||
expect(investmentsByMonth).toEqual([]); |
|
||||
}); |
|
||||
}); |
|
||||
}); |
|
||||
@ -1,152 +0,0 @@ |
|||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service'; |
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service'; |
|
||||
import { parseDate } from '@ghostfolio/common/helper'; |
|
||||
|
|
||||
import Big from 'big.js'; |
|
||||
|
|
||||
import { CurrentRateServiceMock } from './current-rate.service.mock'; |
|
||||
import { PortfolioCalculator } from './portfolio-calculator'; |
|
||||
|
|
||||
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; |
|
||||
|
|
||||
beforeEach(() => { |
|
||||
currentRateService = new CurrentRateService(null, null, null, null); |
|
||||
|
|
||||
exchangeRateDataService = new ExchangeRateDataService( |
|
||||
null, |
|
||||
null, |
|
||||
null, |
|
||||
null |
|
||||
); |
|
||||
}); |
|
||||
|
|
||||
describe('get current positions', () => { |
|
||||
it.only('with NOVN.SW and BALN.SW buy and sell', async () => { |
|
||||
const portfolioCalculator = new PortfolioCalculator({ |
|
||||
currentRateService, |
|
||||
exchangeRateDataService, |
|
||||
currency: 'CHF', |
|
||||
orders: [ |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-03-07', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(0), |
|
||||
name: 'Novartis AG', |
|
||||
quantity: new Big(2), |
|
||||
symbol: 'NOVN.SW', |
|
||||
type: 'BUY', |
|
||||
unitPrice: new Big(75.8) |
|
||||
}, |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-04-01', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(0), |
|
||||
name: 'Novartis AG', |
|
||||
quantity: new Big(0), |
|
||||
symbol: 'NOVN.SW', |
|
||||
type: 'BUY', |
|
||||
unitPrice: new Big(80.0) |
|
||||
}, |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-04-08', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(0), |
|
||||
name: 'Novartis AG', |
|
||||
quantity: new Big(2), |
|
||||
symbol: 'NOVN.SW', |
|
||||
type: 'SELL', |
|
||||
unitPrice: new Big(85.73) |
|
||||
}, |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-03-22', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(1.55), |
|
||||
name: 'Bâloise Holding AG', |
|
||||
quantity: new Big(2), |
|
||||
symbol: 'BALN.SW', |
|
||||
type: 'BUY', |
|
||||
unitPrice: new Big(142.9) |
|
||||
}, |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-04-01', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(0), |
|
||||
name: 'Bâloise Holding AG', |
|
||||
quantity: new Big(0), |
|
||||
symbol: 'BALN.SW', |
|
||||
type: 'BUY', |
|
||||
unitPrice: new Big(138) |
|
||||
}, |
|
||||
{ |
|
||||
currency: 'CHF', |
|
||||
date: '2022-04-10', |
|
||||
dataSource: 'YAHOO', |
|
||||
fee: new Big(1.65), |
|
||||
name: 'Bâloise Holding AG', |
|
||||
quantity: new Big(2), |
|
||||
symbol: 'BALN.SW', |
|
||||
type: 'SELL', |
|
||||
unitPrice: new Big(136.6) |
|
||||
} |
|
||||
] |
|
||||
}); |
|
||||
|
|
||||
portfolioCalculator.computeTransactionPoints(); |
|
||||
|
|
||||
const spy = jest |
|
||||
.spyOn(Date, 'now') |
|
||||
.mockImplementation(() => parseDate('2022-04-11').getTime()); |
|
||||
|
|
||||
const chartData = await portfolioCalculator.getChartData({ |
|
||||
start: parseDate('2022-03-07'), |
|
||||
calculateTimeWeightedPerformance: true |
|
||||
}); |
|
||||
|
|
||||
spy.mockRestore(); |
|
||||
|
|
||||
expect(chartData[0]).toEqual({ |
|
||||
date: '2022-03-07', |
|
||||
investmentValueWithCurrencyEffect: 151.6, |
|
||||
netPerformance: 0, |
|
||||
netPerformanceInPercentage: 0, |
|
||||
netPerformanceInPercentageWithCurrencyEffect: 0, |
|
||||
netPerformanceWithCurrencyEffect: 0, |
|
||||
timeWeightedPerformance: 0, |
|
||||
totalInvestment: 151.6, |
|
||||
totalInvestmentValueWithCurrencyEffect: 151.6, |
|
||||
value: 151.6, |
|
||||
valueWithCurrencyEffect: 151.6 |
|
||||
}); |
|
||||
|
|
||||
expect(chartData[chartData.length - 1]).toEqual({ |
|
||||
date: '2022-04-11', |
|
||||
investmentValueWithCurrencyEffect: 0, |
|
||||
netPerformance: 19.86, |
|
||||
netPerformanceInPercentage: 13.100263852242744, |
|
||||
netPerformanceInPercentageWithCurrencyEffect: 13.100263852242744, |
|
||||
netPerformanceWithCurrencyEffect: 19.86, |
|
||||
timeWeightedPerformance: 0, |
|
||||
totalInvestment: 0, |
|
||||
totalInvestmentValueWithCurrencyEffect: 0, |
|
||||
value: 0, |
|
||||
valueWithCurrencyEffect: 0 |
|
||||
}); |
|
||||
}); |
|
||||
}); |
|
||||
}); |
|
||||
File diff suppressed because it is too large
File diff suppressed because it is too large
@ -0,0 +1,13 @@ |
|||||
|
import { RedisCacheService } from './redis-cache.service'; |
||||
|
|
||||
|
export const RedisCacheServiceMock = { |
||||
|
get: (key: string): Promise<string> => { |
||||
|
return Promise.resolve(null); |
||||
|
}, |
||||
|
getPortfolioSnapshotKey: (userId: string): string => { |
||||
|
return `portfolio-snapshot-${userId}`; |
||||
|
}, |
||||
|
set: (key: string, value: string, ttlInSeconds?: number): Promise<string> => { |
||||
|
return Promise.resolve(value); |
||||
|
} |
||||
|
}; |
||||
@ -1,4 +1,4 @@ |
|||||
export const environment = { |
export const environment = { |
||||
production: true, |
production: true, |
||||
version: `v${require('../../../../package.json').version}` |
version: `${require('../../../../package.json').version}` |
||||
}; |
}; |
||||
|
|||||
@ -0,0 +1,11 @@ |
|||||
|
import { RedisCacheModule } from '@ghostfolio/api/app/redis-cache/redis-cache.module'; |
||||
|
|
||||
|
import { Module } from '@nestjs/common'; |
||||
|
|
||||
|
import { PortfolioChangedListener } from './portfolio-changed.listener'; |
||||
|
|
||||
|
@Module({ |
||||
|
imports: [RedisCacheModule], |
||||
|
providers: [PortfolioChangedListener] |
||||
|
}) |
||||
|
export class EventsModule {} |
||||
@ -0,0 +1,15 @@ |
|||||
|
export class PortfolioChangedEvent { |
||||
|
private userId: string; |
||||
|
|
||||
|
public constructor({ userId }: { userId: string }) { |
||||
|
this.userId = userId; |
||||
|
} |
||||
|
|
||||
|
public static getName() { |
||||
|
return 'portfolio.changed'; |
||||
|
} |
||||
|
|
||||
|
public getUserId() { |
||||
|
return this.userId; |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,25 @@ |
|||||
|
import { RedisCacheService } from '@ghostfolio/api/app/redis-cache/redis-cache.service'; |
||||
|
|
||||
|
import { Injectable, Logger } from '@nestjs/common'; |
||||
|
import { OnEvent } from '@nestjs/event-emitter'; |
||||
|
|
||||
|
import { PortfolioChangedEvent } from './portfolio-changed.event'; |
||||
|
|
||||
|
@Injectable() |
||||
|
export class PortfolioChangedListener { |
||||
|
public constructor(private readonly redisCacheService: RedisCacheService) {} |
||||
|
|
||||
|
@OnEvent(PortfolioChangedEvent.getName()) |
||||
|
handlePortfolioChangedEvent(event: PortfolioChangedEvent) { |
||||
|
Logger.log( |
||||
|
`Portfolio of user '${event.getUserId()}' has changed`, |
||||
|
'PortfolioChangedListener' |
||||
|
); |
||||
|
|
||||
|
this.redisCacheService.remove( |
||||
|
this.redisCacheService.getPortfolioSnapshotKey({ |
||||
|
userId: event.getUserId() |
||||
|
}) |
||||
|
); |
||||
|
} |
||||
|
} |
||||
@ -0,0 +1,91 @@ |
|||||
|
import { resetHours } from '@ghostfolio/common/helper'; |
||||
|
import { DateRange } from '@ghostfolio/common/types'; |
||||
|
|
||||
|
import { Type as ActivityType } from '@prisma/client'; |
||||
|
import { |
||||
|
endOfDay, |
||||
|
max, |
||||
|
subDays, |
||||
|
startOfMonth, |
||||
|
startOfWeek, |
||||
|
startOfYear, |
||||
|
subYears, |
||||
|
endOfYear |
||||
|
} from 'date-fns'; |
||||
|
|
||||
|
export function getFactor(activityType: ActivityType) { |
||||
|
let factor: number; |
||||
|
|
||||
|
switch (activityType) { |
||||
|
case 'BUY': |
||||
|
case 'STAKE': |
||||
|
factor = 1; |
||||
|
break; |
||||
|
case 'SELL': |
||||
|
factor = -1; |
||||
|
break; |
||||
|
default: |
||||
|
factor = 0; |
||||
|
break; |
||||
|
} |
||||
|
|
||||
|
return factor; |
||||
|
} |
||||
|
|
||||
|
export function getInterval( |
||||
|
aDateRange: DateRange, |
||||
|
portfolioStart = new Date(0) |
||||
|
) { |
||||
|
let endDate = endOfDay(new Date(Date.now())); |
||||
|
let startDate = portfolioStart; |
||||
|
|
||||
|
switch (aDateRange) { |
||||
|
case '1d': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subDays(resetHours(new Date(Date.now())), 1) |
||||
|
]); |
||||
|
break; |
||||
|
case 'mtd': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subDays(startOfMonth(resetHours(new Date(Date.now()))), 1) |
||||
|
]); |
||||
|
break; |
||||
|
case 'wtd': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subDays( |
||||
|
startOfWeek(resetHours(new Date(Date.now())), { weekStartsOn: 1 }), |
||||
|
1 |
||||
|
) |
||||
|
]); |
||||
|
break; |
||||
|
case 'ytd': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subDays(startOfYear(resetHours(new Date(Date.now()))), 1) |
||||
|
]); |
||||
|
break; |
||||
|
case '1y': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subYears(resetHours(new Date(Date.now())), 1) |
||||
|
]); |
||||
|
break; |
||||
|
case '5y': |
||||
|
startDate = max([ |
||||
|
startDate, |
||||
|
subYears(resetHours(new Date(Date.now())), 5) |
||||
|
]); |
||||
|
break; |
||||
|
case 'max': |
||||
|
break; |
||||
|
default: |
||||
|
// '2024', '2023', '2022', etc.
|
||||
|
endDate = endOfYear(new Date(aDateRange)); |
||||
|
startDate = max([startDate, new Date(aDateRange)]); |
||||
|
} |
||||
|
|
||||
|
return { endDate, startDate }; |
||||
|
} |
||||
Some files were not shown because too many files changed in this diff
Loading…
Reference in new issue