Feature/introduce portfolio calculator factory (#3214)
* Introduce portfolio calculator factory * Update changelog
This commit is contained in:
Francisco Silva
GitHub
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@ -15,6 +15,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
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### Changed
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- Improved the usability of the date range support by specific years (`2023`, `2022`, `2021`, etc.) in the assistant (experimental)
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- Introduced a factory for the portfolio calculations to support different algorithms in future
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## 2.69.0 - 2024-03-30
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@ -0,0 +1,37 @@
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import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator';
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import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface';
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import {
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SymbolMetrics,
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TimelinePosition,
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UniqueAsset
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} from '@ghostfolio/common/interfaces';
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export class MWRPortfolioCalculator extends PortfolioCalculator {
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protected calculateOverallPerformance(
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positions: TimelinePosition[]
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): CurrentPositions {
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throw new Error('Method not implemented.');
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}
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protected getSymbolMetrics({
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dataSource,
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end,
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exchangeRates,
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isChartMode = false,
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marketSymbolMap,
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start,
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step = 1,
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symbol
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}: {
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end: Date;
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exchangeRates: { [dateString: string]: number };
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isChartMode?: boolean;
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marketSymbolMap: {
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[date: string]: { [symbol: string]: Big };
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};
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start: Date;
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step?: number;
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} & UniqueAsset): SymbolMetrics {
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throw new Error('Method not implemented.');
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}
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}
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@ -0,0 +1,25 @@
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export const activityDummyData = {
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accountId: undefined,
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accountUserId: undefined,
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comment: undefined,
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createdAt: new Date(),
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feeInBaseCurrency: undefined,
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id: undefined,
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isDraft: false,
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symbolProfileId: undefined,
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updatedAt: new Date(),
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userId: undefined,
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value: undefined,
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valueInBaseCurrency: undefined
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};
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export const symbolProfileDummyData = {
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activitiesCount: undefined,
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assetClass: undefined,
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assetSubClass: undefined,
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countries: [],
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createdAt: undefined,
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id: undefined,
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sectors: [],
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updatedAt: undefined
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};
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@ -0,0 +1,51 @@
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
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import { Injectable } from '@nestjs/common';
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import { MWRPortfolioCalculator } from './mwr/portfolio-calculator';
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import { PortfolioCalculator } from './portfolio-calculator';
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import { TWRPortfolioCalculator } from './twr/portfolio-calculator';
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export enum PerformanceCalculationType {
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MWR = 'MWR', // Money-Weighted Rate of Return
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TWR = 'TWR' // Time-Weighted Rate of Return
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}
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@Injectable()
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export class PortfolioCalculatorFactory {
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public constructor(
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private readonly currentRateService: CurrentRateService,
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private readonly exchangeRateDataService: ExchangeRateDataService
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) {}
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public createCalculator({
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activities,
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calculationType,
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currency
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}: {
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activities: Activity[];
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calculationType: PerformanceCalculationType;
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currency: string;
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}): PortfolioCalculator {
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switch (calculationType) {
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case PerformanceCalculationType.MWR:
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return new MWRPortfolioCalculator({
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activities,
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currency,
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currentRateService: this.currentRateService,
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exchangeRateDataService: this.exchangeRateDataService
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});
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case PerformanceCalculationType.TWR:
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return new TWRPortfolioCalculator({
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activities,
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currency,
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currentRateService: this.currentRateService,
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exchangeRateDataService: this.exchangeRateDataService
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});
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default:
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throw new Error('Invalid calculation type');
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}
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}
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}
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788
apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
Normal file
788
apps/api/src/app/portfolio/calculator/portfolio-calculator.ts
Normal file
@ -0,0 +1,788 @@
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import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
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import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface';
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import { PortfolioOrder } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order.interface';
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import { TransactionPointSymbol } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point-symbol.interface';
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import { TransactionPoint } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point.interface';
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import { getFactor } from '@ghostfolio/api/helper/portfolio.helper';
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import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
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import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfaces';
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import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
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import {
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DataProviderInfo,
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HistoricalDataItem,
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InvestmentItem,
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ResponseError,
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SymbolMetrics,
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TimelinePosition,
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UniqueAsset
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} from '@ghostfolio/common/interfaces';
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import { GroupBy } from '@ghostfolio/common/types';
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import { Big } from 'big.js';
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import {
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eachDayOfInterval,
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endOfDay,
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format,
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isBefore,
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isSameDay,
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max,
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subDays
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} from 'date-fns';
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import { isNumber, last, uniq } from 'lodash';
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export abstract class PortfolioCalculator {
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protected static readonly ENABLE_LOGGING = false;
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protected orders: PortfolioOrder[];
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private currency: string;
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private currentRateService: CurrentRateService;
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private dataProviderInfos: DataProviderInfo[];
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private exchangeRateDataService: ExchangeRateDataService;
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private transactionPoints: TransactionPoint[];
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public constructor({
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activities,
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currency,
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currentRateService,
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exchangeRateDataService
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}: {
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activities: Activity[];
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currency: string;
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currentRateService: CurrentRateService;
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exchangeRateDataService: ExchangeRateDataService;
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}) {
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this.currency = currency;
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this.currentRateService = currentRateService;
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this.exchangeRateDataService = exchangeRateDataService;
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this.orders = activities.map(
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({ date, fee, quantity, SymbolProfile, type, unitPrice }) => {
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return {
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SymbolProfile,
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type,
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date: format(date, DATE_FORMAT),
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fee: new Big(fee),
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quantity: new Big(quantity),
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unitPrice: new Big(unitPrice)
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};
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}
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);
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this.orders.sort((a, b) => {
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return a.date?.localeCompare(b.date);
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});
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this.computeTransactionPoints();
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}
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protected abstract calculateOverallPerformance(
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positions: TimelinePosition[]
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): CurrentPositions;
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public getAnnualizedPerformancePercent({
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daysInMarket,
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netPerformancePercent
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}: {
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daysInMarket: number;
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netPerformancePercent: Big;
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}): Big {
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if (isNumber(daysInMarket) && daysInMarket > 0) {
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const exponent = new Big(365).div(daysInMarket).toNumber();
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return new Big(
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Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
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).minus(1);
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}
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return new Big(0);
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}
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public async getChartData({
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end = new Date(Date.now()),
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start,
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step = 1
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}: {
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end?: Date;
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start: Date;
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step?: number;
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}): Promise<HistoricalDataItem[]> {
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const symbols: { [symbol: string]: boolean } = {};
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const transactionPointsBeforeEndDate =
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this.transactionPoints?.filter((transactionPoint) => {
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return isBefore(parseDate(transactionPoint.date), end);
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}) ?? [];
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const currencies: { [symbol: string]: string } = {};
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const dataGatheringItems: IDataGatheringItem[] = [];
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const firstIndex = transactionPointsBeforeEndDate.length;
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let dates = eachDayOfInterval({ start, end }, { step }).map((date) => {
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return resetHours(date);
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});
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const includesEndDate = isSameDay(last(dates), end);
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if (!includesEndDate) {
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dates.push(resetHours(end));
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}
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if (transactionPointsBeforeEndDate.length > 0) {
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for (const {
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currency,
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dataSource,
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symbol
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} of transactionPointsBeforeEndDate[firstIndex - 1].items) {
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dataGatheringItems.push({
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dataSource,
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symbol
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});
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currencies[symbol] = currency;
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symbols[symbol] = true;
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}
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}
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const { dataProviderInfos, values: marketSymbols } =
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await this.currentRateService.getValues({
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dataGatheringItems,
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dateQuery: {
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in: dates
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}
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});
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this.dataProviderInfos = dataProviderInfos;
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const marketSymbolMap: {
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[date: string]: { [symbol: string]: Big };
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} = {};
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let exchangeRatesByCurrency =
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await this.exchangeRateDataService.getExchangeRatesByCurrency({
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currencies: uniq(Object.values(currencies)),
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endDate: endOfDay(end),
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startDate: this.getStartDate(),
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targetCurrency: this.currency
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});
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for (const marketSymbol of marketSymbols) {
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const dateString = format(marketSymbol.date, DATE_FORMAT);
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if (!marketSymbolMap[dateString]) {
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marketSymbolMap[dateString] = {};
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}
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if (marketSymbol.marketPrice) {
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marketSymbolMap[dateString][marketSymbol.symbol] = new Big(
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marketSymbol.marketPrice
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);
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}
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}
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const accumulatedValuesByDate: {
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[date: string]: {
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investmentValueWithCurrencyEffect: Big;
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totalCurrentValue: Big;
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totalCurrentValueWithCurrencyEffect: Big;
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totalInvestmentValue: Big;
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totalInvestmentValueWithCurrencyEffect: Big;
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totalNetPerformanceValue: Big;
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totalNetPerformanceValueWithCurrencyEffect: Big;
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totalTimeWeightedInvestmentValue: Big;
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totalTimeWeightedInvestmentValueWithCurrencyEffect: Big;
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};
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} = {};
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const valuesBySymbol: {
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[symbol: string]: {
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currentValues: { [date: string]: Big };
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currentValuesWithCurrencyEffect: { [date: string]: Big };
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investmentValuesAccumulated: { [date: string]: Big };
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investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big };
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investmentValuesWithCurrencyEffect: { [date: string]: Big };
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netPerformanceValues: { [date: string]: Big };
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netPerformanceValuesWithCurrencyEffect: { [date: string]: Big };
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timeWeightedInvestmentValues: { [date: string]: Big };
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timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big };
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};
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} = {};
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for (const symbol of Object.keys(symbols)) {
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const {
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currentValues,
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currentValuesWithCurrencyEffect,
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investmentValuesAccumulated,
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investmentValuesAccumulatedWithCurrencyEffect,
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investmentValuesWithCurrencyEffect,
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netPerformanceValues,
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netPerformanceValuesWithCurrencyEffect,
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timeWeightedInvestmentValues,
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timeWeightedInvestmentValuesWithCurrencyEffect
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} = this.getSymbolMetrics({
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end,
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marketSymbolMap,
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start,
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step,
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symbol,
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dataSource: null,
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exchangeRates:
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exchangeRatesByCurrency[`${currencies[symbol]}${this.currency}`],
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isChartMode: true
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});
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valuesBySymbol[symbol] = {
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currentValues,
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currentValuesWithCurrencyEffect,
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investmentValuesAccumulated,
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investmentValuesAccumulatedWithCurrencyEffect,
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investmentValuesWithCurrencyEffect,
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netPerformanceValues,
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netPerformanceValuesWithCurrencyEffect,
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timeWeightedInvestmentValues,
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timeWeightedInvestmentValuesWithCurrencyEffect
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};
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}
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for (const currentDate of dates) {
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const dateString = format(currentDate, DATE_FORMAT);
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for (const symbol of Object.keys(valuesBySymbol)) {
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const symbolValues = valuesBySymbol[symbol];
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const currentValue =
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symbolValues.currentValues?.[dateString] ?? new Big(0);
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const currentValueWithCurrencyEffect =
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symbolValues.currentValuesWithCurrencyEffect?.[dateString] ??
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new Big(0);
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const investmentValueAccumulated =
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symbolValues.investmentValuesAccumulated?.[dateString] ?? new Big(0);
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const investmentValueAccumulatedWithCurrencyEffect =
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symbolValues.investmentValuesAccumulatedWithCurrencyEffect?.[
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dateString
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] ?? new Big(0);
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const investmentValueWithCurrencyEffect =
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symbolValues.investmentValuesWithCurrencyEffect?.[dateString] ??
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new Big(0);
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const netPerformanceValue =
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symbolValues.netPerformanceValues?.[dateString] ?? new Big(0);
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const netPerformanceValueWithCurrencyEffect =
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symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ??
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new Big(0);
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const timeWeightedInvestmentValue =
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symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0);
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const timeWeightedInvestmentValueWithCurrencyEffect =
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symbolValues.timeWeightedInvestmentValuesWithCurrencyEffect?.[
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dateString
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] ?? new Big(0);
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accumulatedValuesByDate[dateString] = {
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investmentValueWithCurrencyEffect: (
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accumulatedValuesByDate[dateString]
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?.investmentValueWithCurrencyEffect ?? new Big(0)
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).add(investmentValueWithCurrencyEffect),
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totalCurrentValue: (
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accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0)
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).add(currentValue),
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totalCurrentValueWithCurrencyEffect: (
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accumulatedValuesByDate[dateString]
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?.totalCurrentValueWithCurrencyEffect ?? new Big(0)
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).add(currentValueWithCurrencyEffect),
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totalInvestmentValue: (
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accumulatedValuesByDate[dateString]?.totalInvestmentValue ??
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new Big(0)
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).add(investmentValueAccumulated),
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totalInvestmentValueWithCurrencyEffect: (
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accumulatedValuesByDate[dateString]
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?.totalInvestmentValueWithCurrencyEffect ?? new Big(0)
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).add(investmentValueAccumulatedWithCurrencyEffect),
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totalNetPerformanceValue: (
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accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ??
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new Big(0)
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).add(netPerformanceValue),
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totalNetPerformanceValueWithCurrencyEffect: (
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accumulatedValuesByDate[dateString]
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?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0)
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).add(netPerformanceValueWithCurrencyEffect),
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totalTimeWeightedInvestmentValue: (
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accumulatedValuesByDate[dateString]
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?.totalTimeWeightedInvestmentValue ?? new Big(0)
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).add(timeWeightedInvestmentValue),
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totalTimeWeightedInvestmentValueWithCurrencyEffect: (
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accumulatedValuesByDate[dateString]
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?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0)
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).add(timeWeightedInvestmentValueWithCurrencyEffect)
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};
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}
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}
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return Object.entries(accumulatedValuesByDate).map(([date, values]) => {
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const {
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investmentValueWithCurrencyEffect,
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totalCurrentValue,
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totalCurrentValueWithCurrencyEffect,
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totalInvestmentValue,
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totalInvestmentValueWithCurrencyEffect,
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totalNetPerformanceValue,
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totalNetPerformanceValueWithCurrencyEffect,
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totalTimeWeightedInvestmentValue,
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totalTimeWeightedInvestmentValueWithCurrencyEffect
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} = values;
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const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
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? 0
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: totalNetPerformanceValue
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.div(totalTimeWeightedInvestmentValue)
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.mul(100)
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.toNumber();
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const netPerformanceInPercentageWithCurrencyEffect =
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totalTimeWeightedInvestmentValueWithCurrencyEffect.eq(0)
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? 0
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: totalNetPerformanceValueWithCurrencyEffect
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.div(totalTimeWeightedInvestmentValueWithCurrencyEffect)
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.mul(100)
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.toNumber();
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return {
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date,
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netPerformanceInPercentage,
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netPerformanceInPercentageWithCurrencyEffect,
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investmentValueWithCurrencyEffect:
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investmentValueWithCurrencyEffect.toNumber(),
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netPerformance: totalNetPerformanceValue.toNumber(),
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netPerformanceWithCurrencyEffect:
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totalNetPerformanceValueWithCurrencyEffect.toNumber(),
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totalInvestment: totalInvestmentValue.toNumber(),
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totalInvestmentValueWithCurrencyEffect:
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totalInvestmentValueWithCurrencyEffect.toNumber(),
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value: totalCurrentValue.toNumber(),
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valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber()
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};
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});
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}
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public async getCurrentPositions(
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start: Date,
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end?: Date
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): Promise<CurrentPositions> {
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const lastTransactionPoint = last(this.transactionPoints);
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let endDate = end;
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if (!endDate) {
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endDate = new Date(Date.now());
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|
||||
if (lastTransactionPoint) {
|
||||
endDate = max([endDate, parseDate(lastTransactionPoint.date)]);
|
||||
}
|
||||
}
|
||||
|
||||
const transactionPoints = this.transactionPoints?.filter(({ date }) => {
|
||||
return isBefore(parseDate(date), endDate);
|
||||
});
|
||||
|
||||
if (!transactionPoints.length) {
|
||||
return {
|
||||
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: [],
|
||||
totalInvestment: new Big(0),
|
||||
totalInvestmentWithCurrencyEffect: new Big(0)
|
||||
};
|
||||
}
|
||||
|
||||
const currencies: { [symbol: string]: string } = {};
|
||||
const dataGatheringItems: IDataGatheringItem[] = [];
|
||||
let dates: Date[] = [];
|
||||
let firstIndex = transactionPoints.length;
|
||||
let firstTransactionPoint: TransactionPoint = null;
|
||||
|
||||
dates.push(resetHours(start));
|
||||
|
||||
for (const { currency, dataSource, symbol } of transactionPoints[
|
||||
firstIndex - 1
|
||||
].items) {
|
||||
dataGatheringItems.push({
|
||||
dataSource,
|
||||
symbol
|
||||
});
|
||||
|
||||
currencies[symbol] = currency;
|
||||
}
|
||||
|
||||
for (let i = 0; i < transactionPoints.length; i++) {
|
||||
if (
|
||||
!isBefore(parseDate(transactionPoints[i].date), start) &&
|
||||
firstTransactionPoint === null
|
||||
) {
|
||||
firstTransactionPoint = transactionPoints[i];
|
||||
firstIndex = i;
|
||||
}
|
||||
|
||||
if (firstTransactionPoint !== null) {
|
||||
dates.push(resetHours(parseDate(transactionPoints[i].date)));
|
||||
}
|
||||
}
|
||||
|
||||
dates.push(resetHours(endDate));
|
||||
|
||||
// Add dates of last week for fallback
|
||||
dates.push(subDays(resetHours(new Date()), 7));
|
||||
dates.push(subDays(resetHours(new Date()), 6));
|
||||
dates.push(subDays(resetHours(new Date()), 5));
|
||||
dates.push(subDays(resetHours(new Date()), 4));
|
||||
dates.push(subDays(resetHours(new Date()), 3));
|
||||
dates.push(subDays(resetHours(new Date()), 2));
|
||||
dates.push(subDays(resetHours(new Date()), 1));
|
||||
dates.push(resetHours(new Date()));
|
||||
|
||||
dates = uniq(
|
||||
dates.map((date) => {
|
||||
return date.getTime();
|
||||
})
|
||||
)
|
||||
.map((timestamp) => {
|
||||
return new Date(timestamp);
|
||||
})
|
||||
.sort((a, b) => {
|
||||
return a.getTime() - b.getTime();
|
||||
});
|
||||
|
||||
let exchangeRatesByCurrency =
|
||||
await this.exchangeRateDataService.getExchangeRatesByCurrency({
|
||||
currencies: uniq(Object.values(currencies)),
|
||||
endDate: endOfDay(endDate),
|
||||
startDate: this.getStartDate(),
|
||||
targetCurrency: this.currency
|
||||
});
|
||||
|
||||
const {
|
||||
dataProviderInfos,
|
||||
errors: currentRateErrors,
|
||||
values: marketSymbols
|
||||
} = await this.currentRateService.getValues({
|
||||
dataGatheringItems,
|
||||
dateQuery: {
|
||||
in: dates
|
||||
}
|
||||
});
|
||||
|
||||
this.dataProviderInfos = dataProviderInfos;
|
||||
|
||||
const marketSymbolMap: {
|
||||
[date: string]: { [symbol: string]: Big };
|
||||
} = {};
|
||||
|
||||
for (const marketSymbol of marketSymbols) {
|
||||
const date = format(marketSymbol.date, DATE_FORMAT);
|
||||
|
||||
if (!marketSymbolMap[date]) {
|
||||
marketSymbolMap[date] = {};
|
||||
}
|
||||
|
||||
if (marketSymbol.marketPrice) {
|
||||
marketSymbolMap[date][marketSymbol.symbol] = new Big(
|
||||
marketSymbol.marketPrice
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
const endDateString = format(endDate, DATE_FORMAT);
|
||||
|
||||
if (firstIndex > 0) {
|
||||
firstIndex--;
|
||||
}
|
||||
|
||||
const positions: TimelinePosition[] = [];
|
||||
let hasAnySymbolMetricsErrors = false;
|
||||
|
||||
const errors: ResponseError['errors'] = [];
|
||||
|
||||
for (const item of lastTransactionPoint.items) {
|
||||
const marketPriceInBaseCurrency = (
|
||||
marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice
|
||||
).mul(
|
||||
exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[
|
||||
endDateString
|
||||
]
|
||||
);
|
||||
|
||||
const {
|
||||
grossPerformance,
|
||||
grossPerformancePercentage,
|
||||
grossPerformancePercentageWithCurrencyEffect,
|
||||
grossPerformanceWithCurrencyEffect,
|
||||
hasErrors,
|
||||
netPerformance,
|
||||
netPerformancePercentage,
|
||||
netPerformancePercentageWithCurrencyEffect,
|
||||
netPerformanceWithCurrencyEffect,
|
||||
timeWeightedInvestment,
|
||||
timeWeightedInvestmentWithCurrencyEffect,
|
||||
totalDividend,
|
||||
totalDividendInBaseCurrency,
|
||||
totalInvestment,
|
||||
totalInvestmentWithCurrencyEffect
|
||||
} = this.getSymbolMetrics({
|
||||
marketSymbolMap,
|
||||
start,
|
||||
dataSource: item.dataSource,
|
||||
end: endDate,
|
||||
exchangeRates:
|
||||
exchangeRatesByCurrency[`${item.currency}${this.currency}`],
|
||||
symbol: item.symbol
|
||||
});
|
||||
|
||||
hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
|
||||
|
||||
positions.push({
|
||||
dividend: totalDividend,
|
||||
dividendInBaseCurrency: totalDividendInBaseCurrency,
|
||||
timeWeightedInvestment,
|
||||
timeWeightedInvestmentWithCurrencyEffect,
|
||||
averagePrice: item.averagePrice,
|
||||
currency: item.currency,
|
||||
dataSource: item.dataSource,
|
||||
fee: item.fee,
|
||||
firstBuyDate: item.firstBuyDate,
|
||||
grossPerformance: !hasErrors ? grossPerformance ?? null : null,
|
||||
grossPerformancePercentage: !hasErrors
|
||||
? grossPerformancePercentage ?? null
|
||||
: null,
|
||||
grossPerformancePercentageWithCurrencyEffect: !hasErrors
|
||||
? grossPerformancePercentageWithCurrencyEffect ?? null
|
||||
: null,
|
||||
grossPerformanceWithCurrencyEffect: !hasErrors
|
||||
? grossPerformanceWithCurrencyEffect ?? null
|
||||
: null,
|
||||
investment: totalInvestment,
|
||||
investmentWithCurrencyEffect: totalInvestmentWithCurrencyEffect,
|
||||
marketPrice:
|
||||
marketSymbolMap[endDateString]?.[item.symbol]?.toNumber() ?? null,
|
||||
marketPriceInBaseCurrency:
|
||||
marketPriceInBaseCurrency?.toNumber() ?? null,
|
||||
netPerformance: !hasErrors ? netPerformance ?? null : null,
|
||||
netPerformancePercentage: !hasErrors
|
||||
? netPerformancePercentage ?? null
|
||||
: null,
|
||||
netPerformancePercentageWithCurrencyEffect: !hasErrors
|
||||
? netPerformancePercentageWithCurrencyEffect ?? null
|
||||
: null,
|
||||
netPerformanceWithCurrencyEffect: !hasErrors
|
||||
? netPerformanceWithCurrencyEffect ?? null
|
||||
: null,
|
||||
quantity: item.quantity,
|
||||
symbol: item.symbol,
|
||||
tags: item.tags,
|
||||
transactionCount: item.transactionCount,
|
||||
valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul(
|
||||
item.quantity
|
||||
)
|
||||
});
|
||||
|
||||
if (
|
||||
(hasErrors ||
|
||||
currentRateErrors.find(({ dataSource, symbol }) => {
|
||||
return dataSource === item.dataSource && symbol === item.symbol;
|
||||
})) &&
|
||||
item.investment.gt(0)
|
||||
) {
|
||||
errors.push({ dataSource: item.dataSource, symbol: item.symbol });
|
||||
}
|
||||
}
|
||||
|
||||
const overall = this.calculateOverallPerformance(positions);
|
||||
|
||||
return {
|
||||
...overall,
|
||||
errors,
|
||||
positions,
|
||||
hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors
|
||||
};
|
||||
}
|
||||
|
||||
public getDataProviderInfos() {
|
||||
return this.dataProviderInfos;
|
||||
}
|
||||
|
||||
public getInvestments(): { date: string; investment: Big }[] {
|
||||
if (this.transactionPoints.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return this.transactionPoints.map((transactionPoint) => {
|
||||
return {
|
||||
date: transactionPoint.date,
|
||||
investment: transactionPoint.items.reduce(
|
||||
(investment, transactionPointSymbol) =>
|
||||
investment.plus(transactionPointSymbol.investment),
|
||||
new Big(0)
|
||||
)
|
||||
};
|
||||
});
|
||||
}
|
||||
|
||||
public getInvestmentsByGroup({
|
||||
data,
|
||||
groupBy
|
||||
}: {
|
||||
data: HistoricalDataItem[];
|
||||
groupBy: GroupBy;
|
||||
}): InvestmentItem[] {
|
||||
const groupedData: { [dateGroup: string]: Big } = {};
|
||||
|
||||
for (const { date, investmentValueWithCurrencyEffect } of data) {
|
||||
const dateGroup =
|
||||
groupBy === 'month' ? date.substring(0, 7) : date.substring(0, 4);
|
||||
groupedData[dateGroup] = (groupedData[dateGroup] ?? new Big(0)).plus(
|
||||
investmentValueWithCurrencyEffect
|
||||
);
|
||||
}
|
||||
|
||||
return Object.keys(groupedData).map((dateGroup) => ({
|
||||
date: groupBy === 'month' ? `${dateGroup}-01` : `${dateGroup}-01-01`,
|
||||
investment: groupedData[dateGroup].toNumber()
|
||||
}));
|
||||
}
|
||||
|
||||
public getStartDate() {
|
||||
return this.transactionPoints.length > 0
|
||||
? parseDate(this.transactionPoints[0].date)
|
||||
: new Date();
|
||||
}
|
||||
|
||||
protected abstract getSymbolMetrics({
|
||||
dataSource,
|
||||
end,
|
||||
exchangeRates,
|
||||
isChartMode,
|
||||
marketSymbolMap,
|
||||
start,
|
||||
step,
|
||||
symbol
|
||||
}: {
|
||||
end: Date;
|
||||
exchangeRates: { [dateString: string]: number };
|
||||
isChartMode?: boolean;
|
||||
marketSymbolMap: {
|
||||
[date: string]: { [symbol: string]: Big };
|
||||
};
|
||||
start: Date;
|
||||
step?: number;
|
||||
} & UniqueAsset): SymbolMetrics;
|
||||
|
||||
public getTransactionPoints() {
|
||||
return this.transactionPoints;
|
||||
}
|
||||
|
||||
private computeTransactionPoints() {
|
||||
this.transactionPoints = [];
|
||||
const symbols: { [symbol: string]: TransactionPointSymbol } = {};
|
||||
|
||||
let lastDate: string = null;
|
||||
let lastTransactionPoint: TransactionPoint = null;
|
||||
|
||||
for (const {
|
||||
fee,
|
||||
date,
|
||||
quantity,
|
||||
SymbolProfile,
|
||||
tags,
|
||||
type,
|
||||
unitPrice
|
||||
} of this.orders) {
|
||||
let currentTransactionPointItem: TransactionPointSymbol;
|
||||
const oldAccumulatedSymbol = symbols[SymbolProfile.symbol];
|
||||
|
||||
const factor = getFactor(type);
|
||||
|
||||
if (oldAccumulatedSymbol) {
|
||||
let investment = oldAccumulatedSymbol.investment;
|
||||
|
||||
const newQuantity = quantity
|
||||
.mul(factor)
|
||||
.plus(oldAccumulatedSymbol.quantity);
|
||||
|
||||
if (type === 'BUY') {
|
||||
investment = oldAccumulatedSymbol.investment.plus(
|
||||
quantity.mul(unitPrice)
|
||||
);
|
||||
} else if (type === 'SELL') {
|
||||
investment = oldAccumulatedSymbol.investment.minus(
|
||||
quantity.mul(oldAccumulatedSymbol.averagePrice)
|
||||
);
|
||||
}
|
||||
|
||||
currentTransactionPointItem = {
|
||||
investment,
|
||||
tags,
|
||||
averagePrice: newQuantity.gt(0)
|
||||
? investment.div(newQuantity)
|
||||
: new Big(0),
|
||||
currency: SymbolProfile.currency,
|
||||
dataSource: SymbolProfile.dataSource,
|
||||
dividend: new Big(0),
|
||||
fee: fee.plus(oldAccumulatedSymbol.fee),
|
||||
firstBuyDate: oldAccumulatedSymbol.firstBuyDate,
|
||||
quantity: newQuantity,
|
||||
symbol: SymbolProfile.symbol,
|
||||
transactionCount: oldAccumulatedSymbol.transactionCount + 1
|
||||
};
|
||||
} else {
|
||||
currentTransactionPointItem = {
|
||||
fee,
|
||||
tags,
|
||||
averagePrice: unitPrice,
|
||||
currency: SymbolProfile.currency,
|
||||
dataSource: SymbolProfile.dataSource,
|
||||
dividend: new Big(0),
|
||||
firstBuyDate: date,
|
||||
investment: unitPrice.mul(quantity).mul(factor),
|
||||
quantity: quantity.mul(factor),
|
||||
symbol: SymbolProfile.symbol,
|
||||
transactionCount: 1
|
||||
};
|
||||
}
|
||||
|
||||
symbols[SymbolProfile.symbol] = currentTransactionPointItem;
|
||||
|
||||
const items = lastTransactionPoint?.items ?? [];
|
||||
|
||||
const newItems = items.filter(({ symbol }) => {
|
||||
return symbol !== SymbolProfile.symbol;
|
||||
});
|
||||
|
||||
newItems.push(currentTransactionPointItem);
|
||||
|
||||
newItems.sort((a, b) => {
|
||||
return a.symbol?.localeCompare(b.symbol);
|
||||
});
|
||||
|
||||
if (lastDate !== date || lastTransactionPoint === null) {
|
||||
lastTransactionPoint = {
|
||||
date,
|
||||
items: newItems
|
||||
};
|
||||
|
||||
this.transactionPoints.push(lastTransactionPoint);
|
||||
} else {
|
||||
lastTransactionPoint.items = newItems;
|
||||
}
|
||||
|
||||
lastDate = date;
|
||||
}
|
||||
}
|
||||
}
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils';
|
||||
import {
|
||||
PortfolioCalculatorFactory,
|
||||
PerformanceCalculationType
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +14,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +26,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,54 +37,66 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with BALN.SW buy and sell in two activities', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2021-11-22'),
|
||||
fee: 1.55,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 142.9
|
||||
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'
|
||||
},
|
||||
{
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 1.65,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 136.6
|
||||
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'
|
||||
},
|
||||
{
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 0,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 136.6
|
||||
}
|
||||
],
|
||||
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'
|
||||
});
|
||||
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} 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 { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +14,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +26,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,41 +37,51 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with BALN.SW buy and sell', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2021-11-22'),
|
||||
fee: 1.55,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 142.9
|
||||
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'
|
||||
},
|
||||
{
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 1.65,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 136.6
|
||||
}
|
||||
],
|
||||
type: 'BUY',
|
||||
unitPrice: 142.9
|
||||
},
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 1.65,
|
||||
quantity: 2,
|
||||
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'
|
||||
});
|
||||
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils';
|
||||
import {
|
||||
PortfolioCalculatorFactory,
|
||||
PerformanceCalculationType
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +14,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +26,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,28 +37,36 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with BALN.SW buy', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 1.55,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 136.6
|
||||
}
|
||||
],
|
||||
const activities: Activity[] = [
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2021-11-30'),
|
||||
fee: 1.55,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bâloise Holding AG',
|
||||
symbol: 'BALN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 136.6
|
||||
}
|
||||
];
|
||||
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities,
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils';
|
||||
import {
|
||||
PortfolioCalculatorFactory,
|
||||
PerformanceCalculationType
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -7,8 +15,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -33,6 +39,7 @@ jest.mock(
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -43,41 +50,51 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with BTCUSD buy and sell partially', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2015-01-01'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bitcoin USD',
|
||||
symbol: 'BTCUSD'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 320.43
|
||||
const activities: Activity[] = [
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2015-01-01'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bitcoin USD',
|
||||
symbol: 'BTCUSD'
|
||||
},
|
||||
{
|
||||
date: new Date('2017-12-31'),
|
||||
fee: 0,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bitcoin USD',
|
||||
symbol: 'BTCUSD'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 14156.4
|
||||
}
|
||||
],
|
||||
type: 'BUY',
|
||||
unitPrice: 320.43
|
||||
},
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2017-12-31'),
|
||||
fee: 0,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Bitcoin USD',
|
||||
symbol: 'BTCUSD'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 14156.4
|
||||
}
|
||||
];
|
||||
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities,
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator-test-utils';
|
||||
import {
|
||||
PortfolioCalculatorFactory,
|
||||
PerformanceCalculationType
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { CurrentRateServiceMock } from '@ghostfolio/api/app/portfolio/current-rate.service.mock';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -7,8 +15,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -33,6 +39,7 @@ jest.mock(
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -43,28 +50,36 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with GOOGL buy', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2023-01-03'),
|
||||
fee: 1,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Alphabet Inc.',
|
||||
symbol: 'GOOGL'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 89.12
|
||||
}
|
||||
],
|
||||
const activities: Activity[] = [
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2023-01-03'),
|
||||
fee: 1,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Alphabet Inc.',
|
||||
symbol: 'GOOGL'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 89.12
|
||||
}
|
||||
];
|
||||
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities,
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} 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 { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -7,8 +15,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -33,6 +39,7 @@ jest.mock(
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -43,41 +50,51 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with MSFT buy', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2021-09-16'),
|
||||
fee: 19,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Microsoft Inc.',
|
||||
symbol: 'MSFT'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 298.58
|
||||
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'
|
||||
},
|
||||
{
|
||||
date: new Date('2021-11-16'),
|
||||
fee: 0,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'USD',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Microsoft Inc.',
|
||||
symbol: 'MSFT'
|
||||
},
|
||||
type: 'DIVIDEND',
|
||||
unitPrice: 0.62
|
||||
}
|
||||
],
|
||||
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'
|
||||
});
|
||||
|
||||
|
||||
@ -1,3 +1,7 @@
|
||||
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 { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +10,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
import { Big } from 'big.js';
|
||||
import { subDays } from 'date-fns';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +22,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,14 +33,18 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it('with no orders', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities: [],
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
@ -73,7 +80,8 @@ describe('PortfolioCalculator', () => {
|
||||
netPerformancePercentageWithCurrencyEffect: new Big(0),
|
||||
netPerformanceWithCurrencyEffect: new Big(0),
|
||||
positions: [],
|
||||
totalInvestment: new Big(0)
|
||||
totalInvestment: new Big(0),
|
||||
totalInvestmentWithCurrencyEffect: new Big(0)
|
||||
});
|
||||
|
||||
expect(investments).toEqual([]);
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} 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 { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +14,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +26,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,44 +37,53 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with NOVN.SW buy and sell partially', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2022-03-07'),
|
||||
fee: 1.3,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 75.8
|
||||
const activities: Activity[] = [
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2022-03-07'),
|
||||
fee: 1.3,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
{
|
||||
date: new Date('2022-04-08'),
|
||||
fee: 2.95,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 85.73
|
||||
}
|
||||
],
|
||||
type: 'BUY',
|
||||
unitPrice: 75.8
|
||||
},
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2022-04-08'),
|
||||
fee: 2.95,
|
||||
quantity: 1,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 85.73
|
||||
}
|
||||
];
|
||||
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities,
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
const spy = jest
|
||||
.spyOn(Date, 'now')
|
||||
.mockImplementation(() => parseDate('2022-04-11').getTime());
|
||||
|
||||
@ -1,4 +1,12 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import {
|
||||
activityDummyData,
|
||||
symbolProfileDummyData
|
||||
} 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 { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
@ -6,8 +14,6 @@ import { parseDate } from '@ghostfolio/common/helper';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
return {
|
||||
// eslint-disable-next-line @typescript-eslint/naming-convention
|
||||
@ -20,6 +26,7 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -30,41 +37,51 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('get current positions', () => {
|
||||
it.only('with NOVN.SW buy and sell', async () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
activities: <Activity[]>[
|
||||
{
|
||||
date: new Date('2022-03-07'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'BUY',
|
||||
unitPrice: 75.8
|
||||
const activities: Activity[] = [
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2022-03-07'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
{
|
||||
date: new Date('2022-04-08'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 85.73
|
||||
}
|
||||
],
|
||||
type: 'BUY',
|
||||
unitPrice: 75.8
|
||||
},
|
||||
{
|
||||
...activityDummyData,
|
||||
date: new Date('2022-04-08'),
|
||||
fee: 0,
|
||||
quantity: 2,
|
||||
SymbolProfile: {
|
||||
...symbolProfileDummyData,
|
||||
currency: 'CHF',
|
||||
dataSource: 'YAHOO',
|
||||
name: 'Novartis AG',
|
||||
symbol: 'NOVN.SW'
|
||||
},
|
||||
type: 'SELL',
|
||||
unitPrice: 85.73
|
||||
}
|
||||
];
|
||||
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities,
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
|
||||
@ -1,13 +1,16 @@
|
||||
import {
|
||||
PerformanceCalculationType,
|
||||
PortfolioCalculatorFactory
|
||||
} from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
|
||||
import { Big } from 'big.js';
|
||||
|
||||
import { PortfolioCalculator } from './portfolio-calculator';
|
||||
|
||||
describe('PortfolioCalculator', () => {
|
||||
let currentRateService: CurrentRateService;
|
||||
let exchangeRateDataService: ExchangeRateDataService;
|
||||
let factory: PortfolioCalculatorFactory;
|
||||
|
||||
beforeEach(() => {
|
||||
currentRateService = new CurrentRateService(null, null, null, null);
|
||||
@ -18,17 +21,21 @@ describe('PortfolioCalculator', () => {
|
||||
null,
|
||||
null
|
||||
);
|
||||
|
||||
factory = new PortfolioCalculatorFactory(
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
);
|
||||
});
|
||||
|
||||
describe('annualized performance percentage', () => {
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
activities: [],
|
||||
currentRateService,
|
||||
exchangeRateDataService,
|
||||
currency: 'USD'
|
||||
});
|
||||
|
||||
it('Get annualized performance', async () => {
|
||||
const portfolioCalculator = factory.createCalculator({
|
||||
activities: [],
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: 'CHF'
|
||||
});
|
||||
|
||||
expect(
|
||||
portfolioCalculator
|
||||
.getAnnualizedPerformancePercent({
|
||||
|
||||
@ -1,24 +1,13 @@
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator';
|
||||
import { CurrentPositions } from '@ghostfolio/api/app/portfolio/interfaces/current-positions.interface';
|
||||
import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator.interface';
|
||||
import { PortfolioOrder } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order.interface';
|
||||
import { TransactionPointSymbol } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point-symbol.interface';
|
||||
import { TransactionPoint } from '@ghostfolio/api/app/portfolio/interfaces/transaction-point.interface';
|
||||
import { PortfolioOrderItem } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-order-item.interface';
|
||||
import { getFactor } from '@ghostfolio/api/helper/portfolio.helper';
|
||||
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
|
||||
import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfaces';
|
||||
import { DATE_FORMAT, parseDate, resetHours } from '@ghostfolio/common/helper';
|
||||
import { DATE_FORMAT } from '@ghostfolio/common/helper';
|
||||
import {
|
||||
DataProviderInfo,
|
||||
HistoricalDataItem,
|
||||
InvestmentItem,
|
||||
ResponseError,
|
||||
SymbolMetrics,
|
||||
TimelinePosition,
|
||||
UniqueAsset
|
||||
} from '@ghostfolio/common/interfaces';
|
||||
import { GroupBy } from '@ghostfolio/common/types';
|
||||
|
||||
import { Logger } from '@nestjs/common';
|
||||
import { Big } from 'big.js';
|
||||
@ -26,638 +15,15 @@ import {
|
||||
addDays,
|
||||
addMilliseconds,
|
||||
differenceInDays,
|
||||
eachDayOfInterval,
|
||||
endOfDay,
|
||||
format,
|
||||
isBefore,
|
||||
isSameDay,
|
||||
max,
|
||||
subDays
|
||||
isBefore
|
||||
} from 'date-fns';
|
||||
import { cloneDeep, first, isNumber, last, sortBy, uniq } from 'lodash';
|
||||
import { cloneDeep, first, last, sortBy } from 'lodash';
|
||||
|
||||
export class PortfolioCalculator {
|
||||
private static readonly ENABLE_LOGGING = false;
|
||||
|
||||
private currency: string;
|
||||
private currentRateService: CurrentRateService;
|
||||
private dataProviderInfos: DataProviderInfo[];
|
||||
private exchangeRateDataService: ExchangeRateDataService;
|
||||
private orders: PortfolioOrder[];
|
||||
private transactionPoints: TransactionPoint[];
|
||||
|
||||
public constructor({
|
||||
activities,
|
||||
currency,
|
||||
currentRateService,
|
||||
exchangeRateDataService
|
||||
}: {
|
||||
activities: Activity[];
|
||||
currency: string;
|
||||
currentRateService: CurrentRateService;
|
||||
exchangeRateDataService: ExchangeRateDataService;
|
||||
}) {
|
||||
this.currency = currency;
|
||||
this.currentRateService = currentRateService;
|
||||
this.exchangeRateDataService = exchangeRateDataService;
|
||||
this.orders = activities.map(
|
||||
({ date, fee, quantity, SymbolProfile, type, unitPrice }) => {
|
||||
return {
|
||||
SymbolProfile,
|
||||
type,
|
||||
date: format(date, DATE_FORMAT),
|
||||
fee: new Big(fee),
|
||||
quantity: new Big(quantity),
|
||||
unitPrice: new Big(unitPrice)
|
||||
};
|
||||
}
|
||||
);
|
||||
|
||||
this.orders.sort((a, b) => {
|
||||
return a.date?.localeCompare(b.date);
|
||||
});
|
||||
|
||||
this.computeTransactionPoints();
|
||||
}
|
||||
|
||||
public getAnnualizedPerformancePercent({
|
||||
daysInMarket,
|
||||
netPerformancePercent
|
||||
}: {
|
||||
daysInMarket: number;
|
||||
netPerformancePercent: Big;
|
||||
}): Big {
|
||||
if (isNumber(daysInMarket) && daysInMarket > 0) {
|
||||
const exponent = new Big(365).div(daysInMarket).toNumber();
|
||||
return new Big(
|
||||
Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
|
||||
).minus(1);
|
||||
}
|
||||
|
||||
return new Big(0);
|
||||
}
|
||||
|
||||
public async getChartData({
|
||||
end = new Date(Date.now()),
|
||||
start,
|
||||
step = 1
|
||||
}: {
|
||||
end?: Date;
|
||||
start: Date;
|
||||
step?: number;
|
||||
}): Promise<HistoricalDataItem[]> {
|
||||
const symbols: { [symbol: string]: boolean } = {};
|
||||
|
||||
const transactionPointsBeforeEndDate =
|
||||
this.transactionPoints?.filter((transactionPoint) => {
|
||||
return isBefore(parseDate(transactionPoint.date), end);
|
||||
}) ?? [];
|
||||
|
||||
const currencies: { [symbol: string]: string } = {};
|
||||
const dataGatheringItems: IDataGatheringItem[] = [];
|
||||
const firstIndex = transactionPointsBeforeEndDate.length;
|
||||
|
||||
let dates = eachDayOfInterval({ start, end }, { step }).map((date) => {
|
||||
return resetHours(date);
|
||||
});
|
||||
|
||||
const includesEndDate = isSameDay(last(dates), end);
|
||||
|
||||
if (!includesEndDate) {
|
||||
dates.push(resetHours(end));
|
||||
}
|
||||
|
||||
if (transactionPointsBeforeEndDate.length > 0) {
|
||||
for (const {
|
||||
currency,
|
||||
dataSource,
|
||||
symbol
|
||||
} of transactionPointsBeforeEndDate[firstIndex - 1].items) {
|
||||
dataGatheringItems.push({
|
||||
dataSource,
|
||||
symbol
|
||||
});
|
||||
currencies[symbol] = currency;
|
||||
symbols[symbol] = true;
|
||||
}
|
||||
}
|
||||
|
||||
const { dataProviderInfos, values: marketSymbols } =
|
||||
await this.currentRateService.getValues({
|
||||
dataGatheringItems,
|
||||
dateQuery: {
|
||||
in: dates
|
||||
}
|
||||
});
|
||||
|
||||
this.dataProviderInfos = dataProviderInfos;
|
||||
|
||||
const marketSymbolMap: {
|
||||
[date: string]: { [symbol: string]: Big };
|
||||
} = {};
|
||||
|
||||
let exchangeRatesByCurrency =
|
||||
await this.exchangeRateDataService.getExchangeRatesByCurrency({
|
||||
currencies: uniq(Object.values(currencies)),
|
||||
endDate: endOfDay(end),
|
||||
startDate: this.getStartDate(),
|
||||
targetCurrency: this.currency
|
||||
});
|
||||
|
||||
for (const marketSymbol of marketSymbols) {
|
||||
const dateString = format(marketSymbol.date, DATE_FORMAT);
|
||||
if (!marketSymbolMap[dateString]) {
|
||||
marketSymbolMap[dateString] = {};
|
||||
}
|
||||
if (marketSymbol.marketPrice) {
|
||||
marketSymbolMap[dateString][marketSymbol.symbol] = new Big(
|
||||
marketSymbol.marketPrice
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
const accumulatedValuesByDate: {
|
||||
[date: string]: {
|
||||
investmentValueWithCurrencyEffect: Big;
|
||||
totalCurrentValue: Big;
|
||||
totalCurrentValueWithCurrencyEffect: Big;
|
||||
totalInvestmentValue: Big;
|
||||
totalInvestmentValueWithCurrencyEffect: Big;
|
||||
totalNetPerformanceValue: Big;
|
||||
totalNetPerformanceValueWithCurrencyEffect: Big;
|
||||
totalTimeWeightedInvestmentValue: Big;
|
||||
totalTimeWeightedInvestmentValueWithCurrencyEffect: Big;
|
||||
};
|
||||
} = {};
|
||||
|
||||
const valuesBySymbol: {
|
||||
[symbol: string]: {
|
||||
currentValues: { [date: string]: Big };
|
||||
currentValuesWithCurrencyEffect: { [date: string]: Big };
|
||||
investmentValuesAccumulated: { [date: string]: Big };
|
||||
investmentValuesAccumulatedWithCurrencyEffect: { [date: string]: Big };
|
||||
investmentValuesWithCurrencyEffect: { [date: string]: Big };
|
||||
netPerformanceValues: { [date: string]: Big };
|
||||
netPerformanceValuesWithCurrencyEffect: { [date: string]: Big };
|
||||
timeWeightedInvestmentValues: { [date: string]: Big };
|
||||
timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big };
|
||||
};
|
||||
} = {};
|
||||
|
||||
for (const symbol of Object.keys(symbols)) {
|
||||
const {
|
||||
currentValues,
|
||||
currentValuesWithCurrencyEffect,
|
||||
investmentValuesAccumulated,
|
||||
investmentValuesAccumulatedWithCurrencyEffect,
|
||||
investmentValuesWithCurrencyEffect,
|
||||
netPerformanceValues,
|
||||
netPerformanceValuesWithCurrencyEffect,
|
||||
timeWeightedInvestmentValues,
|
||||
timeWeightedInvestmentValuesWithCurrencyEffect
|
||||
} = this.getSymbolMetrics({
|
||||
end,
|
||||
marketSymbolMap,
|
||||
start,
|
||||
step,
|
||||
symbol,
|
||||
dataSource: null,
|
||||
exchangeRates:
|
||||
exchangeRatesByCurrency[`${currencies[symbol]}${this.currency}`],
|
||||
isChartMode: true
|
||||
});
|
||||
|
||||
valuesBySymbol[symbol] = {
|
||||
currentValues,
|
||||
currentValuesWithCurrencyEffect,
|
||||
investmentValuesAccumulated,
|
||||
investmentValuesAccumulatedWithCurrencyEffect,
|
||||
investmentValuesWithCurrencyEffect,
|
||||
netPerformanceValues,
|
||||
netPerformanceValuesWithCurrencyEffect,
|
||||
timeWeightedInvestmentValues,
|
||||
timeWeightedInvestmentValuesWithCurrencyEffect
|
||||
};
|
||||
}
|
||||
|
||||
for (const currentDate of dates) {
|
||||
const dateString = format(currentDate, DATE_FORMAT);
|
||||
|
||||
for (const symbol of Object.keys(valuesBySymbol)) {
|
||||
const symbolValues = valuesBySymbol[symbol];
|
||||
|
||||
const currentValue =
|
||||
symbolValues.currentValues?.[dateString] ?? new Big(0);
|
||||
|
||||
const currentValueWithCurrencyEffect =
|
||||
symbolValues.currentValuesWithCurrencyEffect?.[dateString] ??
|
||||
new Big(0);
|
||||
|
||||
const investmentValueAccumulated =
|
||||
symbolValues.investmentValuesAccumulated?.[dateString] ?? new Big(0);
|
||||
|
||||
const investmentValueAccumulatedWithCurrencyEffect =
|
||||
symbolValues.investmentValuesAccumulatedWithCurrencyEffect?.[
|
||||
dateString
|
||||
] ?? new Big(0);
|
||||
|
||||
const investmentValueWithCurrencyEffect =
|
||||
symbolValues.investmentValuesWithCurrencyEffect?.[dateString] ??
|
||||
new Big(0);
|
||||
|
||||
const netPerformanceValue =
|
||||
symbolValues.netPerformanceValues?.[dateString] ?? new Big(0);
|
||||
|
||||
const netPerformanceValueWithCurrencyEffect =
|
||||
symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ??
|
||||
new Big(0);
|
||||
|
||||
const timeWeightedInvestmentValue =
|
||||
symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0);
|
||||
|
||||
const timeWeightedInvestmentValueWithCurrencyEffect =
|
||||
symbolValues.timeWeightedInvestmentValuesWithCurrencyEffect?.[
|
||||
dateString
|
||||
] ?? new Big(0);
|
||||
|
||||
accumulatedValuesByDate[dateString] = {
|
||||
investmentValueWithCurrencyEffect: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.investmentValueWithCurrencyEffect ?? new Big(0)
|
||||
).add(investmentValueWithCurrencyEffect),
|
||||
totalCurrentValue: (
|
||||
accumulatedValuesByDate[dateString]?.totalCurrentValue ?? new Big(0)
|
||||
).add(currentValue),
|
||||
totalCurrentValueWithCurrencyEffect: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.totalCurrentValueWithCurrencyEffect ?? new Big(0)
|
||||
).add(currentValueWithCurrencyEffect),
|
||||
totalInvestmentValue: (
|
||||
accumulatedValuesByDate[dateString]?.totalInvestmentValue ??
|
||||
new Big(0)
|
||||
).add(investmentValueAccumulated),
|
||||
totalInvestmentValueWithCurrencyEffect: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.totalInvestmentValueWithCurrencyEffect ?? new Big(0)
|
||||
).add(investmentValueAccumulatedWithCurrencyEffect),
|
||||
totalNetPerformanceValue: (
|
||||
accumulatedValuesByDate[dateString]?.totalNetPerformanceValue ??
|
||||
new Big(0)
|
||||
).add(netPerformanceValue),
|
||||
totalNetPerformanceValueWithCurrencyEffect: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0)
|
||||
).add(netPerformanceValueWithCurrencyEffect),
|
||||
totalTimeWeightedInvestmentValue: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.totalTimeWeightedInvestmentValue ?? new Big(0)
|
||||
).add(timeWeightedInvestmentValue),
|
||||
totalTimeWeightedInvestmentValueWithCurrencyEffect: (
|
||||
accumulatedValuesByDate[dateString]
|
||||
?.totalTimeWeightedInvestmentValueWithCurrencyEffect ?? new Big(0)
|
||||
).add(timeWeightedInvestmentValueWithCurrencyEffect)
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
return Object.entries(accumulatedValuesByDate).map(([date, values]) => {
|
||||
const {
|
||||
investmentValueWithCurrencyEffect,
|
||||
totalCurrentValue,
|
||||
totalCurrentValueWithCurrencyEffect,
|
||||
totalInvestmentValue,
|
||||
totalInvestmentValueWithCurrencyEffect,
|
||||
totalNetPerformanceValue,
|
||||
totalNetPerformanceValueWithCurrencyEffect,
|
||||
totalTimeWeightedInvestmentValue,
|
||||
totalTimeWeightedInvestmentValueWithCurrencyEffect
|
||||
} = values;
|
||||
|
||||
const netPerformanceInPercentage = totalTimeWeightedInvestmentValue.eq(0)
|
||||
? 0
|
||||
: totalNetPerformanceValue
|
||||
.div(totalTimeWeightedInvestmentValue)
|
||||
.mul(100)
|
||||
.toNumber();
|
||||
|
||||
const netPerformanceInPercentageWithCurrencyEffect =
|
||||
totalTimeWeightedInvestmentValueWithCurrencyEffect.eq(0)
|
||||
? 0
|
||||
: totalNetPerformanceValueWithCurrencyEffect
|
||||
.div(totalTimeWeightedInvestmentValueWithCurrencyEffect)
|
||||
.mul(100)
|
||||
.toNumber();
|
||||
|
||||
return {
|
||||
date,
|
||||
netPerformanceInPercentage,
|
||||
netPerformanceInPercentageWithCurrencyEffect,
|
||||
investmentValueWithCurrencyEffect:
|
||||
investmentValueWithCurrencyEffect.toNumber(),
|
||||
netPerformance: totalNetPerformanceValue.toNumber(),
|
||||
netPerformanceWithCurrencyEffect:
|
||||
totalNetPerformanceValueWithCurrencyEffect.toNumber(),
|
||||
totalInvestment: totalInvestmentValue.toNumber(),
|
||||
totalInvestmentValueWithCurrencyEffect:
|
||||
totalInvestmentValueWithCurrencyEffect.toNumber(),
|
||||
value: totalCurrentValue.toNumber(),
|
||||
valueWithCurrencyEffect: totalCurrentValueWithCurrencyEffect.toNumber()
|
||||
};
|
||||
});
|
||||
}
|
||||
|
||||
public async getCurrentPositions(
|
||||
start: Date,
|
||||
end?: Date
|
||||
): Promise<CurrentPositions> {
|
||||
const lastTransactionPoint = last(this.transactionPoints);
|
||||
|
||||
let endDate = end;
|
||||
|
||||
if (!endDate) {
|
||||
endDate = new Date(Date.now());
|
||||
|
||||
if (lastTransactionPoint) {
|
||||
endDate = max([endDate, parseDate(lastTransactionPoint.date)]);
|
||||
}
|
||||
}
|
||||
|
||||
const transactionPoints = this.transactionPoints?.filter(({ date }) => {
|
||||
return isBefore(parseDate(date), endDate);
|
||||
});
|
||||
|
||||
if (!transactionPoints.length) {
|
||||
return {
|
||||
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: [],
|
||||
totalInvestment: new Big(0)
|
||||
};
|
||||
}
|
||||
|
||||
const currencies: { [symbol: string]: string } = {};
|
||||
const dataGatheringItems: IDataGatheringItem[] = [];
|
||||
let dates: Date[] = [];
|
||||
let firstIndex = transactionPoints.length;
|
||||
let firstTransactionPoint: TransactionPoint = null;
|
||||
|
||||
dates.push(resetHours(start));
|
||||
|
||||
for (const { currency, dataSource, symbol } of transactionPoints[
|
||||
firstIndex - 1
|
||||
].items) {
|
||||
dataGatheringItems.push({
|
||||
dataSource,
|
||||
symbol
|
||||
});
|
||||
|
||||
currencies[symbol] = currency;
|
||||
}
|
||||
|
||||
for (let i = 0; i < transactionPoints.length; i++) {
|
||||
if (
|
||||
!isBefore(parseDate(transactionPoints[i].date), start) &&
|
||||
firstTransactionPoint === null
|
||||
) {
|
||||
firstTransactionPoint = transactionPoints[i];
|
||||
firstIndex = i;
|
||||
}
|
||||
|
||||
if (firstTransactionPoint !== null) {
|
||||
dates.push(resetHours(parseDate(transactionPoints[i].date)));
|
||||
}
|
||||
}
|
||||
|
||||
dates.push(resetHours(endDate));
|
||||
|
||||
// Add dates of last week for fallback
|
||||
dates.push(subDays(resetHours(new Date()), 7));
|
||||
dates.push(subDays(resetHours(new Date()), 6));
|
||||
dates.push(subDays(resetHours(new Date()), 5));
|
||||
dates.push(subDays(resetHours(new Date()), 4));
|
||||
dates.push(subDays(resetHours(new Date()), 3));
|
||||
dates.push(subDays(resetHours(new Date()), 2));
|
||||
dates.push(subDays(resetHours(new Date()), 1));
|
||||
dates.push(resetHours(new Date()));
|
||||
|
||||
dates = uniq(
|
||||
dates.map((date) => {
|
||||
return date.getTime();
|
||||
})
|
||||
)
|
||||
.map((timestamp) => {
|
||||
return new Date(timestamp);
|
||||
})
|
||||
.sort((a, b) => {
|
||||
return a.getTime() - b.getTime();
|
||||
});
|
||||
|
||||
let exchangeRatesByCurrency =
|
||||
await this.exchangeRateDataService.getExchangeRatesByCurrency({
|
||||
currencies: uniq(Object.values(currencies)),
|
||||
endDate: endOfDay(endDate),
|
||||
startDate: this.getStartDate(),
|
||||
targetCurrency: this.currency
|
||||
});
|
||||
|
||||
const {
|
||||
dataProviderInfos,
|
||||
errors: currentRateErrors,
|
||||
values: marketSymbols
|
||||
} = await this.currentRateService.getValues({
|
||||
dataGatheringItems,
|
||||
dateQuery: {
|
||||
in: dates
|
||||
}
|
||||
});
|
||||
|
||||
this.dataProviderInfos = dataProviderInfos;
|
||||
|
||||
const marketSymbolMap: {
|
||||
[date: string]: { [symbol: string]: Big };
|
||||
} = {};
|
||||
|
||||
for (const marketSymbol of marketSymbols) {
|
||||
const date = format(marketSymbol.date, DATE_FORMAT);
|
||||
|
||||
if (!marketSymbolMap[date]) {
|
||||
marketSymbolMap[date] = {};
|
||||
}
|
||||
|
||||
if (marketSymbol.marketPrice) {
|
||||
marketSymbolMap[date][marketSymbol.symbol] = new Big(
|
||||
marketSymbol.marketPrice
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
const endDateString = format(endDate, DATE_FORMAT);
|
||||
|
||||
if (firstIndex > 0) {
|
||||
firstIndex--;
|
||||
}
|
||||
|
||||
const positions: TimelinePosition[] = [];
|
||||
let hasAnySymbolMetricsErrors = false;
|
||||
|
||||
const errors: ResponseError['errors'] = [];
|
||||
|
||||
for (const item of lastTransactionPoint.items) {
|
||||
const marketPriceInBaseCurrency = (
|
||||
marketSymbolMap[endDateString]?.[item.symbol] ?? item.averagePrice
|
||||
).mul(
|
||||
exchangeRatesByCurrency[`${item.currency}${this.currency}`]?.[
|
||||
endDateString
|
||||
]
|
||||
);
|
||||
|
||||
const {
|
||||
grossPerformance,
|
||||
grossPerformancePercentage,
|
||||
grossPerformancePercentageWithCurrencyEffect,
|
||||
grossPerformanceWithCurrencyEffect,
|
||||
hasErrors,
|
||||
netPerformance,
|
||||
netPerformancePercentage,
|
||||
netPerformancePercentageWithCurrencyEffect,
|
||||
netPerformanceWithCurrencyEffect,
|
||||
timeWeightedInvestment,
|
||||
timeWeightedInvestmentWithCurrencyEffect,
|
||||
totalDividend,
|
||||
totalDividendInBaseCurrency,
|
||||
totalInvestment,
|
||||
totalInvestmentWithCurrencyEffect
|
||||
} = this.getSymbolMetrics({
|
||||
marketSymbolMap,
|
||||
start,
|
||||
dataSource: item.dataSource,
|
||||
end: endDate,
|
||||
exchangeRates:
|
||||
exchangeRatesByCurrency[`${item.currency}${this.currency}`],
|
||||
symbol: item.symbol
|
||||
});
|
||||
|
||||
hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
|
||||
|
||||
positions.push({
|
||||
dividend: totalDividend,
|
||||
dividendInBaseCurrency: totalDividendInBaseCurrency,
|
||||
timeWeightedInvestment,
|
||||
timeWeightedInvestmentWithCurrencyEffect,
|
||||
averagePrice: item.averagePrice,
|
||||
currency: item.currency,
|
||||
dataSource: item.dataSource,
|
||||
fee: item.fee,
|
||||
firstBuyDate: item.firstBuyDate,
|
||||
grossPerformance: !hasErrors ? grossPerformance ?? null : null,
|
||||
grossPerformancePercentage: !hasErrors
|
||||
? grossPerformancePercentage ?? null
|
||||
: null,
|
||||
grossPerformancePercentageWithCurrencyEffect: !hasErrors
|
||||
? grossPerformancePercentageWithCurrencyEffect ?? null
|
||||
: null,
|
||||
grossPerformanceWithCurrencyEffect: !hasErrors
|
||||
? grossPerformanceWithCurrencyEffect ?? null
|
||||
: null,
|
||||
investment: totalInvestment,
|
||||
investmentWithCurrencyEffect: totalInvestmentWithCurrencyEffect,
|
||||
marketPrice:
|
||||
marketSymbolMap[endDateString]?.[item.symbol]?.toNumber() ?? null,
|
||||
marketPriceInBaseCurrency:
|
||||
marketPriceInBaseCurrency?.toNumber() ?? null,
|
||||
netPerformance: !hasErrors ? netPerformance ?? null : null,
|
||||
netPerformancePercentage: !hasErrors
|
||||
? netPerformancePercentage ?? null
|
||||
: null,
|
||||
netPerformancePercentageWithCurrencyEffect: !hasErrors
|
||||
? netPerformancePercentageWithCurrencyEffect ?? null
|
||||
: null,
|
||||
netPerformanceWithCurrencyEffect: !hasErrors
|
||||
? netPerformanceWithCurrencyEffect ?? null
|
||||
: null,
|
||||
quantity: item.quantity,
|
||||
symbol: item.symbol,
|
||||
tags: item.tags,
|
||||
transactionCount: item.transactionCount,
|
||||
valueInBaseCurrency: new Big(marketPriceInBaseCurrency).mul(
|
||||
item.quantity
|
||||
)
|
||||
});
|
||||
|
||||
if (
|
||||
(hasErrors ||
|
||||
currentRateErrors.find(({ dataSource, symbol }) => {
|
||||
return dataSource === item.dataSource && symbol === item.symbol;
|
||||
})) &&
|
||||
item.investment.gt(0)
|
||||
) {
|
||||
errors.push({ dataSource: item.dataSource, symbol: item.symbol });
|
||||
}
|
||||
}
|
||||
|
||||
const overall = this.calculateOverallPerformance(positions);
|
||||
|
||||
return {
|
||||
...overall,
|
||||
errors,
|
||||
positions,
|
||||
hasErrors: hasAnySymbolMetricsErrors || overall.hasErrors
|
||||
};
|
||||
}
|
||||
|
||||
public getDataProviderInfos() {
|
||||
return this.dataProviderInfos;
|
||||
}
|
||||
|
||||
public getInvestments(): { date: string; investment: Big }[] {
|
||||
if (this.transactionPoints.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return this.transactionPoints.map((transactionPoint) => {
|
||||
return {
|
||||
date: transactionPoint.date,
|
||||
investment: transactionPoint.items.reduce(
|
||||
(investment, transactionPointSymbol) =>
|
||||
investment.plus(transactionPointSymbol.investment),
|
||||
new Big(0)
|
||||
)
|
||||
};
|
||||
});
|
||||
}
|
||||
|
||||
public getInvestmentsByGroup({
|
||||
data,
|
||||
groupBy
|
||||
}: {
|
||||
data: HistoricalDataItem[];
|
||||
groupBy: GroupBy;
|
||||
}): InvestmentItem[] {
|
||||
const groupedData: { [dateGroup: string]: Big } = {};
|
||||
|
||||
for (const { date, investmentValueWithCurrencyEffect } of data) {
|
||||
const dateGroup =
|
||||
groupBy === 'month' ? date.substring(0, 7) : date.substring(0, 4);
|
||||
groupedData[dateGroup] = (groupedData[dateGroup] ?? new Big(0)).plus(
|
||||
investmentValueWithCurrencyEffect
|
||||
);
|
||||
}
|
||||
|
||||
return Object.keys(groupedData).map((dateGroup) => ({
|
||||
date: groupBy === 'month' ? `${dateGroup}-01` : `${dateGroup}-01-01`,
|
||||
investment: groupedData[dateGroup].toNumber()
|
||||
}));
|
||||
}
|
||||
|
||||
private calculateOverallPerformance(positions: TimelinePosition[]) {
|
||||
export class TWRPortfolioCalculator extends PortfolioCalculator {
|
||||
protected calculateOverallPerformance(
|
||||
positions: TimelinePosition[]
|
||||
): CurrentPositions {
|
||||
let currentValueInBaseCurrency = new Big(0);
|
||||
let grossPerformance = new Big(0);
|
||||
let grossPerformanceWithCurrencyEffect = new Big(0);
|
||||
@ -754,119 +120,12 @@ export class PortfolioCalculator {
|
||||
? new Big(0)
|
||||
: grossPerformanceWithCurrencyEffect.div(
|
||||
totalTimeWeightedInvestmentWithCurrencyEffect
|
||||
)
|
||||
),
|
||||
positions
|
||||
};
|
||||
}
|
||||
|
||||
public getStartDate() {
|
||||
return this.transactionPoints.length > 0
|
||||
? parseDate(this.transactionPoints[0].date)
|
||||
: new Date();
|
||||
}
|
||||
|
||||
public getTransactionPoints() {
|
||||
return this.transactionPoints;
|
||||
}
|
||||
|
||||
private computeTransactionPoints() {
|
||||
this.transactionPoints = [];
|
||||
const symbols: { [symbol: string]: TransactionPointSymbol } = {};
|
||||
|
||||
let lastDate: string = null;
|
||||
let lastTransactionPoint: TransactionPoint = null;
|
||||
|
||||
for (const {
|
||||
fee,
|
||||
date,
|
||||
quantity,
|
||||
SymbolProfile,
|
||||
tags,
|
||||
type,
|
||||
unitPrice
|
||||
} of this.orders) {
|
||||
let currentTransactionPointItem: TransactionPointSymbol;
|
||||
const oldAccumulatedSymbol = symbols[SymbolProfile.symbol];
|
||||
|
||||
const factor = getFactor(type);
|
||||
|
||||
if (oldAccumulatedSymbol) {
|
||||
let investment = oldAccumulatedSymbol.investment;
|
||||
|
||||
const newQuantity = quantity
|
||||
.mul(factor)
|
||||
.plus(oldAccumulatedSymbol.quantity);
|
||||
|
||||
if (type === 'BUY') {
|
||||
investment = oldAccumulatedSymbol.investment.plus(
|
||||
quantity.mul(unitPrice)
|
||||
);
|
||||
} else if (type === 'SELL') {
|
||||
investment = oldAccumulatedSymbol.investment.minus(
|
||||
quantity.mul(oldAccumulatedSymbol.averagePrice)
|
||||
);
|
||||
}
|
||||
|
||||
currentTransactionPointItem = {
|
||||
investment,
|
||||
tags,
|
||||
averagePrice: newQuantity.gt(0)
|
||||
? investment.div(newQuantity)
|
||||
: new Big(0),
|
||||
currency: SymbolProfile.currency,
|
||||
dataSource: SymbolProfile.dataSource,
|
||||
dividend: new Big(0),
|
||||
fee: fee.plus(oldAccumulatedSymbol.fee),
|
||||
firstBuyDate: oldAccumulatedSymbol.firstBuyDate,
|
||||
quantity: newQuantity,
|
||||
symbol: SymbolProfile.symbol,
|
||||
transactionCount: oldAccumulatedSymbol.transactionCount + 1
|
||||
};
|
||||
} else {
|
||||
currentTransactionPointItem = {
|
||||
fee,
|
||||
tags,
|
||||
averagePrice: unitPrice,
|
||||
currency: SymbolProfile.currency,
|
||||
dataSource: SymbolProfile.dataSource,
|
||||
dividend: new Big(0),
|
||||
firstBuyDate: date,
|
||||
investment: unitPrice.mul(quantity).mul(factor),
|
||||
quantity: quantity.mul(factor),
|
||||
symbol: SymbolProfile.symbol,
|
||||
transactionCount: 1
|
||||
};
|
||||
}
|
||||
|
||||
symbols[SymbolProfile.symbol] = currentTransactionPointItem;
|
||||
|
||||
const items = lastTransactionPoint?.items ?? [];
|
||||
|
||||
const newItems = items.filter(({ symbol }) => {
|
||||
return symbol !== SymbolProfile.symbol;
|
||||
});
|
||||
|
||||
newItems.push(currentTransactionPointItem);
|
||||
|
||||
newItems.sort((a, b) => {
|
||||
return a.symbol?.localeCompare(b.symbol);
|
||||
});
|
||||
|
||||
if (lastDate !== date || lastTransactionPoint === null) {
|
||||
lastTransactionPoint = {
|
||||
date,
|
||||
items: newItems
|
||||
};
|
||||
|
||||
this.transactionPoints.push(lastTransactionPoint);
|
||||
} else {
|
||||
lastTransactionPoint.items = newItems;
|
||||
}
|
||||
|
||||
lastDate = date;
|
||||
}
|
||||
}
|
||||
|
||||
private getSymbolMetrics({
|
||||
protected getSymbolMetrics({
|
||||
dataSource,
|
||||
end,
|
||||
exchangeRates,
|
||||
|
||||
@ -16,4 +16,5 @@ export interface CurrentPositions extends ResponseError {
|
||||
netPerformancePercentageWithCurrencyEffect: Big;
|
||||
positions: TimelinePosition[];
|
||||
totalInvestment: Big;
|
||||
totalInvestmentWithCurrencyEffect: Big;
|
||||
}
|
||||
|
||||
@ -15,6 +15,7 @@ import { SymbolProfileModule } from '@ghostfolio/api/services/symbol-profile/sym
|
||||
|
||||
import { Module } from '@nestjs/common';
|
||||
|
||||
import { PortfolioCalculatorFactory } from './calculator/portfolio-calculator.factory';
|
||||
import { CurrentRateService } from './current-rate.service';
|
||||
import { PortfolioController } from './portfolio.controller';
|
||||
import { PortfolioService } from './portfolio.service';
|
||||
@ -41,6 +42,7 @@ import { RulesService } from './rules.service';
|
||||
AccountBalanceService,
|
||||
AccountService,
|
||||
CurrentRateService,
|
||||
PortfolioCalculatorFactory,
|
||||
PortfolioService,
|
||||
RulesService
|
||||
]
|
||||
|
||||
@ -3,7 +3,6 @@ import { AccountService } from '@ghostfolio/api/app/account/account.service';
|
||||
import { CashDetails } from '@ghostfolio/api/app/account/interfaces/cash-details.interface';
|
||||
import { Activity } from '@ghostfolio/api/app/order/interfaces/activities.interface';
|
||||
import { OrderService } from '@ghostfolio/api/app/order/order.service';
|
||||
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
|
||||
import { UserService } from '@ghostfolio/api/app/user/user.service';
|
||||
import {
|
||||
getFactor,
|
||||
@ -81,7 +80,11 @@ import {
|
||||
} from 'date-fns';
|
||||
import { isEmpty, last, uniq, uniqBy } from 'lodash';
|
||||
|
||||
import { PortfolioCalculator } from './calculator/twr/portfolio-calculator';
|
||||
import { PortfolioCalculator } from './calculator/portfolio-calculator';
|
||||
import {
|
||||
PerformanceCalculationType,
|
||||
PortfolioCalculatorFactory
|
||||
} from './calculator/portfolio-calculator.factory';
|
||||
import {
|
||||
HistoricalDataContainer,
|
||||
PortfolioPositionDetail
|
||||
@ -98,7 +101,7 @@ export class PortfolioService {
|
||||
public constructor(
|
||||
private readonly accountBalanceService: AccountBalanceService,
|
||||
private readonly accountService: AccountService,
|
||||
private readonly currentRateService: CurrentRateService,
|
||||
private readonly calculatorFactory: PortfolioCalculatorFactory,
|
||||
private readonly dataProviderService: DataProviderService,
|
||||
private readonly exchangeRateDataService: ExchangeRateDataService,
|
||||
private readonly impersonationService: ImpersonationService,
|
||||
@ -265,11 +268,10 @@ export class PortfolioService {
|
||||
};
|
||||
}
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities,
|
||||
currency: this.request.user.Settings.settings.baseCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: this.request.user.Settings.settings.baseCurrency
|
||||
});
|
||||
|
||||
const { items } = await this.getChart({
|
||||
@ -354,11 +356,10 @@ export class PortfolioService {
|
||||
withExcludedAccounts
|
||||
});
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities,
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: userCurrency
|
||||
});
|
||||
|
||||
const { startDate } = getInterval(
|
||||
@ -720,15 +721,14 @@ export class PortfolioService {
|
||||
|
||||
tags = uniqBy(tags, 'id');
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities: orders.filter((order) => {
|
||||
tags = tags.concat(order.tags);
|
||||
|
||||
return ['BUY', 'DIVIDEND', 'ITEM', 'SELL'].includes(order.type);
|
||||
}),
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: userCurrency
|
||||
});
|
||||
|
||||
const portfolioStart = portfolioCalculator.getStartDate();
|
||||
@ -963,11 +963,10 @@ export class PortfolioService {
|
||||
};
|
||||
}
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities,
|
||||
currency: this.request.user.Settings.settings.baseCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: this.request.user.Settings.settings.baseCurrency
|
||||
});
|
||||
|
||||
const currentPositions = await portfolioCalculator.getCurrentPositions(
|
||||
@ -1152,11 +1151,10 @@ export class PortfolioService {
|
||||
};
|
||||
}
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities,
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: userCurrency
|
||||
});
|
||||
|
||||
const {
|
||||
@ -1270,11 +1268,10 @@ export class PortfolioService {
|
||||
types: ['BUY', 'SELL']
|
||||
});
|
||||
|
||||
const portfolioCalculator = new PortfolioCalculator({
|
||||
const portfolioCalculator = this.calculatorFactory.createCalculator({
|
||||
activities,
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: this.request.user.Settings.settings.baseCurrency
|
||||
});
|
||||
|
||||
const currentPositions = await portfolioCalculator.getCurrentPositions(
|
||||
@ -1772,12 +1769,12 @@ export class PortfolioService {
|
||||
|
||||
const daysInMarket = differenceInDays(new Date(), firstOrderDate);
|
||||
|
||||
const annualizedPerformancePercent = new PortfolioCalculator({
|
||||
activities: [],
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
})
|
||||
const annualizedPerformancePercent = this.calculatorFactory
|
||||
.createCalculator({
|
||||
activities: [],
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: userCurrency
|
||||
})
|
||||
.getAnnualizedPerformancePercent({
|
||||
daysInMarket,
|
||||
netPerformancePercent: new Big(
|
||||
@ -1787,12 +1784,12 @@ export class PortfolioService {
|
||||
?.toNumber();
|
||||
|
||||
const annualizedPerformancePercentWithCurrencyEffect =
|
||||
new PortfolioCalculator({
|
||||
activities: [],
|
||||
currency: userCurrency,
|
||||
currentRateService: this.currentRateService,
|
||||
exchangeRateDataService: this.exchangeRateDataService
|
||||
})
|
||||
this.calculatorFactory
|
||||
.createCalculator({
|
||||
activities: [],
|
||||
calculationType: PerformanceCalculationType.TWR,
|
||||
currency: userCurrency
|
||||
})
|
||||
.getAnnualizedPerformancePercent({
|
||||
daysInMarket,
|
||||
netPerformancePercent: new Big(
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user