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Feature/optimize portfolio calculations with smarter date interval selection (#3829)

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* Optimize portfolio calculations with smarter date interval selection

* Update changelog
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ceroma 2024-10-02 06:59:57 -03:00 committed by GitHub
parent 24a3d92da0
commit 2ad91e5796
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CHANGELOG.md
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@ -13,6 +13,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
### Changed
- Optimized the portfolio calculations with smarter date interval selection
- Improved the language localization for German (`de`)
## 2.111.0 - 2024-09-28

42
apps/api/src/app/portfolio/calculator/twr/portfolio-calculator.ts
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@ -16,13 +16,14 @@ import {
addDays,
addMilliseconds,
differenceInDays,
eachDayOfInterval,
format,
isBefore
} from 'date-fns';
import { cloneDeep, first, last, sortBy } from 'lodash';
export class TWRPortfolioCalculator extends PortfolioCalculator {
private chartDatesDescending: string[];
protected calculateOverallPerformance(
positions: TimelinePosition[]
): PortfolioSnapshot {
@ -820,31 +821,35 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
startDate = start;
}
const endDateString = format(endDate, DATE_FORMAT);
const startDateString = format(startDate, DATE_FORMAT);
const currentValuesAtDateRangeStartWithCurrencyEffect =
currentValuesWithCurrencyEffect[format(startDate, DATE_FORMAT)] ??
new Big(0);
currentValuesWithCurrencyEffect[startDateString] ?? new Big(0);
const investmentValuesAccumulatedAtStartDateWithCurrencyEffect =
investmentValuesAccumulatedWithCurrencyEffect[
format(startDate, DATE_FORMAT)
] ?? new Big(0);
investmentValuesAccumulatedWithCurrencyEffect[startDateString] ??
new Big(0);
const grossPerformanceAtDateRangeStartWithCurrencyEffect =
currentValuesAtDateRangeStartWithCurrencyEffect.minus(
investmentValuesAccumulatedAtStartDateWithCurrencyEffect
);
const dates = eachDayOfInterval({
end: endDate,
start: startDate
}).map((date) => {
return format(date, DATE_FORMAT);
});
let average = new Big(0);
let dayCount = 0;
for (const date of dates) {
if (!this.chartDatesDescending) {
this.chartDatesDescending = Object.keys(chartDateMap).sort().reverse();
}
for (const date of this.chartDatesDescending) {
if (date > endDateString) {
continue;
} else if (date < startDateString) {
break;
}
if (
investmentValuesAccumulatedWithCurrencyEffect[date] instanceof Big &&
investmentValuesAccumulatedWithCurrencyEffect[date].gt(0)
@ -864,17 +869,14 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
}
netPerformanceWithCurrencyEffectMap[dateRange] =
netPerformanceValuesWithCurrencyEffect[
format(endDate, DATE_FORMAT)
]?.minus(
netPerformanceValuesWithCurrencyEffect[endDateString]?.minus(
// If the date range is 'max', take 0 as a start value. Otherwise,
// the value of the end of the day of the start date is taken which
// differs from the buying price.
dateRange === 'max'
? new Big(0)
: (netPerformanceValuesWithCurrencyEffect[
format(startDate, DATE_FORMAT)
] ?? new Big(0))
: (netPerformanceValuesWithCurrencyEffect[startDateString] ??
new Big(0))
) ?? new Big(0);
netPerformancePercentageWithCurrencyEffectMap[dateRange] = average.gt(0)