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Feature/Add exchange rate effects to portfolio calculation (#2834)

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* Add exchange rate effects to portfolio calculation

* Update changelog

---------

Co-authored-by: Thomas Kaul <4159106+dtslvr@users.noreply.github.com>
This commit is contained in:
gizmodus 2024-01-13 13:07:33 +01:00 committed by GitHub
parent a72e98f73c
commit be801b481e
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GPG Key ID: 4AEE18F83AFDEB23
25 changed files with 1267 additions and 419 deletions
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6
CHANGELOG.md
View File

@ -5,6 +5,12 @@ All notable changes to this project will be documented in this file.
The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
## Unreleased
### Changed
- Prepared the portfolio calculation for exchange rate effects
## 2.37.0 - 2024-01-11
### Changed

26
apps/api/src/app/benchmark/benchmark.service.ts
View File

@ -235,27 +235,17 @@ export class BenchmarkService {
})
]);
const exchangeRates = await this.exchangeRateDataService.getExchangeRates({
currencyFrom: currentSymbolItem.currency,
currencyTo: userCurrency,
dates: marketDataItems.map(({ date }) => {
return date;
})
const exchangeRates =
await this.exchangeRateDataService.getExchangeRatesByCurrency({
startDate,
currencies: [currentSymbolItem.currency],
targetCurrency: userCurrency
});
const exchangeRateAtStartDate =
exchangeRates[format(startDate, DATE_FORMAT)];
if (!exchangeRateAtStartDate) {
Logger.error(
`No exchange rate has been found for ${
currentSymbolItem.currency
}${userCurrency} at ${format(startDate, DATE_FORMAT)}`,
'BenchmarkService'
);
return { marketData };
}
exchangeRates[currentSymbolItem.currency]?.[
format(startDate, DATE_FORMAT)
];
const marketPriceAtStartDate = marketDataItems?.find(({ date }) => {
return isSameDay(date, startDate);

21
apps/api/src/app/portfolio/current-rate.service.mock.ts
View File

@ -33,6 +33,15 @@ function mockGetValue(symbol: string, date: Date) {
return { marketPrice: 0 };
case 'GOOGL':
if (isSameDay(parseDate('2023-01-03'), date)) {
return { marketPrice: 89.12 };
} else if (isSameDay(parseDate('2023-07-10'), date)) {
return { marketPrice: 116.45 };
}
return { marketPrice: 0 };
case 'NOVN.SW':
if (isSameDay(parseDate('2022-04-11'), date)) {
return { marketPrice: 87.8 };
@ -62,10 +71,8 @@ export const CurrentRateServiceMock = {
values.push({
date,
dataSource: dataGatheringItem.dataSource,
marketPriceInBaseCurrency: mockGetValue(
dataGatheringItem.symbol,
date
).marketPrice,
marketPrice: mockGetValue(dataGatheringItem.symbol, date)
.marketPrice,
symbol: dataGatheringItem.symbol
});
}
@ -76,10 +83,8 @@ export const CurrentRateServiceMock = {
values.push({
date,
dataSource: dataGatheringItem.dataSource,
marketPriceInBaseCurrency: mockGetValue(
dataGatheringItem.symbol,
date
).marketPrice,
marketPrice: mockGetValue(dataGatheringItem.symbol, date)
.marketPrice,
symbol: dataGatheringItem.symbol
});
}

21
apps/api/src/app/portfolio/current-rate.service.spec.ts
View File

@ -1,5 +1,4 @@
import { DataProviderService } from '@ghostfolio/api/services/data-provider/data-provider.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service';
import { PropertyService } from '@ghostfolio/api/services/property/property.service';
import { UniqueAsset } from '@ghostfolio/common/interfaces';
@ -67,7 +66,8 @@ jest.mock(
initialize: () => Promise.resolve(),
toCurrency: (value: number) => {
return 1 * value;
}
},
getExchangeRates: () => Promise.resolve()
};
})
};
@ -87,7 +87,6 @@ jest.mock('@ghostfolio/api/services/property/property.service', () => {
describe('CurrentRateService', () => {
let currentRateService: CurrentRateService;
let dataProviderService: DataProviderService;
let exchangeRateDataService: ExchangeRateDataService;
let marketDataService: MarketDataService;
let propertyService: PropertyService;
@ -102,19 +101,11 @@ describe('CurrentRateService', () => {
propertyService,
null
);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
marketDataService = new MarketDataService(null);
await exchangeRateDataService.initialize();
marketDataService = new MarketDataService(null);
currentRateService = new CurrentRateService(
dataProviderService,
exchangeRateDataService,
marketDataService
);
});
@ -122,13 +113,11 @@ describe('CurrentRateService', () => {
it('getValues', async () => {
expect(
await currentRateService.getValues({
currencies: { AMZN: 'USD' },
dataGatheringItems: [{ dataSource: DataSource.YAHOO, symbol: 'AMZN' }],
dateQuery: {
lt: new Date(Date.UTC(2020, 0, 2, 0, 0, 0)),
gte: new Date(Date.UTC(2020, 0, 1, 0, 0, 0))
},
userCurrency: 'CHF'
}
})
).toMatchObject<GetValuesObject>({
dataProviderInfos: [],
@ -137,7 +126,7 @@ describe('CurrentRateService', () => {
{
dataSource: 'YAHOO',
date: undefined,
marketPriceInBaseCurrency: 1841.823902,
marketPrice: 1841.823902,
symbol: 'AMZN'
}
]

34
apps/api/src/app/portfolio/current-rate.service.ts
View File

@ -1,5 +1,4 @@
import { DataProviderService } from '@ghostfolio/api/services/data-provider/data-provider.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { MarketDataService } from '@ghostfolio/api/services/market-data/market-data.service';
import { resetHours } from '@ghostfolio/common/helper';
import {
@ -19,17 +18,15 @@ import { GetValuesParams } from './interfaces/get-values-params.interface';
export class CurrentRateService {
public constructor(
private readonly dataProviderService: DataProviderService,
private readonly exchangeRateDataService: ExchangeRateDataService,
private readonly marketDataService: MarketDataService
) {}
public async getValues({
currencies,
dataGatheringItems,
dateQuery,
userCurrency
dateQuery
}: GetValuesParams): Promise<GetValuesObject> {
const dataProviderInfos: DataProviderInfo[] = [];
const includeToday =
(!dateQuery.lt || isBefore(new Date(), dateQuery.lt)) &&
(!dateQuery.gte || isBefore(dateQuery.gte, new Date())) &&
@ -45,6 +42,7 @@ export class CurrentRateService {
.getQuotes({ items: dataGatheringItems })
.then((dataResultProvider) => {
const result: GetValueObject[] = [];
for (const dataGatheringItem of dataGatheringItems) {
if (
dataResultProvider?.[dataGatheringItem.symbol]?.dataProviderInfo
@ -58,13 +56,8 @@ export class CurrentRateService {
result.push({
dataSource: dataGatheringItem.dataSource,
date: today,
marketPriceInBaseCurrency:
this.exchangeRateDataService.toCurrency(
dataResultProvider?.[dataGatheringItem.symbol]
?.marketPrice,
dataResultProvider?.[dataGatheringItem.symbol]?.currency,
userCurrency
),
marketPrice:
dataResultProvider?.[dataGatheringItem.symbol]?.marketPrice,
symbol: dataGatheringItem.symbol
});
} else {
@ -97,13 +90,8 @@ export class CurrentRateService {
return {
dataSource,
date,
symbol,
marketPriceInBaseCurrency:
this.exchangeRateDataService.toCurrency(
marketPrice,
currencies[symbol],
userCurrency
)
symbol
};
});
})
@ -132,7 +120,7 @@ export class CurrentRateService {
dataSource,
symbol,
date: today,
marketPriceInBaseCurrency: 0
marketPrice: 0
};
response.values.push(value);
@ -140,10 +128,7 @@ export class CurrentRateService {
const [latestValue] = response.values
.filter((currentValue) => {
return (
currentValue.symbol === symbol &&
currentValue.marketPriceInBaseCurrency
);
return currentValue.symbol === symbol && currentValue.marketPrice;
})
.sort((a, b) => {
if (a.date < b.date) {
@ -157,8 +142,7 @@ export class CurrentRateService {
return 0;
});
value.marketPriceInBaseCurrency =
latestValue.marketPriceInBaseCurrency;
value.marketPrice = latestValue.marketPrice;
} catch {}
}
}

5
apps/api/src/app/portfolio/interfaces/current-positions.interface.ts
View File

@ -4,10 +4,15 @@ import Big from 'big.js';
export interface CurrentPositions extends ResponseError {
positions: TimelinePosition[];
grossPerformance: Big;
grossPerformanceWithCurrencyEffect: Big;
grossPerformancePercentage: Big;
grossPerformancePercentageWithCurrencyEffect: Big;
netAnnualizedPerformance?: Big;
netAnnualizedPerformanceWithCurrencyEffect?: Big;
netPerformance: Big;
netPerformanceWithCurrencyEffect: Big;
netPerformancePercentage: Big;
netPerformancePercentageWithCurrencyEffect: Big;
currentValue: Big;
totalInvestment: Big;
}

2
apps/api/src/app/portfolio/interfaces/get-value-object.interface.ts
View File

@ -2,5 +2,5 @@ import { UniqueAsset } from '@ghostfolio/common/interfaces';
export interface GetValueObject extends UniqueAsset {
date: Date;
marketPriceInBaseCurrency: number;
marketPrice: number;
}

2
apps/api/src/app/portfolio/interfaces/get-values-params.interface.ts
View File

@ -3,8 +3,6 @@ import { IDataGatheringItem } from '@ghostfolio/api/services/interfaces/interfac
import { DateQuery } from './date-query.interface';
export interface GetValuesParams {
currencies: { [symbol: string]: string };
dataGatheringItems: IDataGatheringItem[];
dateQuery: DateQuery;
userCurrency: string;
}

4
apps/api/src/app/portfolio/interfaces/portfolio-calculator.interface.ts
View File

@ -1,5 +1,9 @@
import Big from 'big.js';
import { PortfolioOrder } from './portfolio-order.interface';
export interface PortfolioOrderItem extends PortfolioOrder {
itemType?: '' | 'start' | 'end';
unitPriceInBaseCurrency?: Big;
unitPriceInBaseCurrencyWithCurrencyEffect?: Big;
}

4
apps/api/src/app/portfolio/interfaces/portfolio-position-detail.interface.ts
View File

@ -14,6 +14,8 @@ export interface PortfolioPositionDetail {
firstBuyDate: string;
grossPerformance: number;
grossPerformancePercent: number;
grossPerformancePercentWithCurrencyEffect: number;
grossPerformanceWithCurrencyEffect: number;
historicalData: HistoricalDataItem[];
investment: number;
marketPrice: number;
@ -21,6 +23,8 @@ export interface PortfolioPositionDetail {
minPrice: number;
netPerformance: number;
netPerformancePercent: number;
netPerformancePercentWithCurrencyEffect: number;
netPerformanceWithCurrencyEffect: number;
orders: OrderWithAccount[];
quantity: number;
SymbolProfile: EnhancedSymbolProfile;

34
apps/api/src/app/portfolio/portfolio-calculator-baln-buy-and-sell.spec.ts
View File

@ -1,4 +1,5 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -16,15 +17,24 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with BALN.SW buy and sell', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
@ -74,9 +84,17 @@ describe('PortfolioCalculator', () => {
errors: [],
grossPerformance: new Big('-12.6'),
grossPerformancePercentage: new Big('-0.0440867739678096571'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'-0.0440867739678096571'
),
grossPerformanceWithCurrencyEffect: new Big('-12.6'),
hasErrors: false,
netPerformance: new Big('-15.8'),
netPerformancePercentage: new Big('-0.0552834149755073478'),
netPerformancePercentageWithCurrencyEffect: new Big(
'-0.0552834149755073478'
),
netPerformanceWithCurrencyEffect: new Big('-15.8'),
positions: [
{
averagePrice: new Big('0'),
@ -86,17 +104,29 @@ describe('PortfolioCalculator', () => {
firstBuyDate: '2021-11-22',
grossPerformance: new Big('-12.6'),
grossPerformancePercentage: new Big('-0.0440867739678096571'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'-0.0440867739678096571'
),
grossPerformanceWithCurrencyEffect: new Big('-12.6'),
investment: new Big('0'),
investmentWithCurrencyEffect: new Big('0'),
netPerformance: new Big('-15.8'),
netPerformancePercentage: new Big('-0.0552834149755073478'),
netPerformancePercentageWithCurrencyEffect: new Big(
'-0.0552834149755073478'
),
netPerformanceWithCurrencyEffect: new Big('-15.8'),
marketPrice: 148.9,
marketPriceInBaseCurrency: 148.9,
quantity: new Big('0'),
symbol: 'BALN.SW',
timeWeightedInvestment: new Big('285.8'),
timeWeightedInvestmentWithCurrencyEffect: new Big('285.8'),
transactionCount: 2
}
],
totalInvestment: new Big('0')
totalInvestment: new Big('0'),
totalInvestmentWithCurrencyEffect: new Big('0')
});
expect(investments).toEqual([

34
apps/api/src/app/portfolio/portfolio-calculator-baln-buy.spec.ts
View File

@ -1,4 +1,5 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -16,15 +17,24 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with BALN.SW buy', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
@ -63,9 +73,17 @@ describe('PortfolioCalculator', () => {
errors: [],
grossPerformance: new Big('24.6'),
grossPerformancePercentage: new Big('0.09004392386530014641'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.09004392386530014641'
),
grossPerformanceWithCurrencyEffect: new Big('24.6'),
hasErrors: false,
netPerformance: new Big('23.05'),
netPerformancePercentage: new Big('0.08437042459736456808'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.08437042459736456808'
),
netPerformanceWithCurrencyEffect: new Big('23.05'),
positions: [
{
averagePrice: new Big('136.6'),
@ -75,17 +93,29 @@ describe('PortfolioCalculator', () => {
firstBuyDate: '2021-11-30',
grossPerformance: new Big('24.6'),
grossPerformancePercentage: new Big('0.09004392386530014641'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.09004392386530014641'
),
grossPerformanceWithCurrencyEffect: new Big('24.6'),
investment: new Big('273.2'),
investmentWithCurrencyEffect: new Big('273.2'),
netPerformance: new Big('23.05'),
netPerformancePercentage: new Big('0.08437042459736456808'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.08437042459736456808'
),
netPerformanceWithCurrencyEffect: new Big('23.05'),
marketPrice: 148.9,
marketPriceInBaseCurrency: 148.9,
quantity: new Big('2'),
symbol: 'BALN.SW',
timeWeightedInvestment: new Big('273.2'),
timeWeightedInvestmentWithCurrencyEffect: new Big('273.2'),
transactionCount: 1
}
],
totalInvestment: new Big('273.2')
totalInvestment: new Big('273.2'),
totalInvestmentWithCurrencyEffect: new Big('273.2')
});
expect(investments).toEqual([

64
apps/api/src/app/portfolio/portfolio-calculator-btcusd-buy-and-sell-partially.spec.ts
View File

@ -1,4 +1,6 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { ExchangeRateDataServiceMock } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service.mock';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -14,21 +16,42 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
};
});
jest.mock(
'@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service',
() => {
return {
// eslint-disable-next-line @typescript-eslint/naming-convention
ExchangeRateDataService: jest.fn().mockImplementation(() => {
return ExchangeRateDataServiceMock;
})
};
}
);
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with BTCUSD buy and sell partially', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
currency: 'CHF',
currency: 'USD',
date: '2015-01-01',
dataSource: 'YAHOO',
fee: new Big(0),
@ -39,7 +62,7 @@ describe('PortfolioCalculator', () => {
unitPrice: new Big(320.43)
},
{
currency: 'CHF',
currency: 'USD',
date: '2017-12-31',
dataSource: 'YAHOO',
fee: new Big(0),
@ -70,33 +93,60 @@ describe('PortfolioCalculator', () => {
spy.mockRestore();
expect(currentPositions).toEqual({
currentValue: new Big('13657.2'),
currentValue: new Big('13298.425356'),
errors: [],
grossPerformance: new Big('27172.74'),
grossPerformancePercentage: new Big('42.41978276196153750666'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'41.6401219622042072686'
),
grossPerformanceWithCurrencyEffect: new Big('26516.208701400000064086'),
hasErrors: false,
netPerformance: new Big('27172.74'),
netPerformancePercentage: new Big('42.41978276196153750666'),
netPerformancePercentageWithCurrencyEffect: new Big(
'41.6401219622042072686'
),
netPerformanceWithCurrencyEffect: new Big('26516.208701400000064086'),
positions: [
{
averagePrice: new Big('320.43'),
currency: 'CHF',
currency: 'USD',
dataSource: 'YAHOO',
fee: new Big('0'),
firstBuyDate: '2015-01-01',
grossPerformance: new Big('27172.74'),
grossPerformancePercentage: new Big('42.41978276196153750666'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'41.6401219622042072686'
),
grossPerformanceWithCurrencyEffect: new Big(
'26516.208701400000064086'
),
investment: new Big('320.43'),
investmentWithCurrencyEffect: new Big('318.542667299999967957'),
marketPrice: 13657.2,
marketPriceInBaseCurrency: 13298.425356,
netPerformance: new Big('27172.74'),
netPerformancePercentage: new Big('42.41978276196153750666'),
marketPrice: 13657.2,
netPerformancePercentageWithCurrencyEffect: new Big(
'41.6401219622042072686'
),
netPerformanceWithCurrencyEffect: new Big(
'26516.208701400000064086'
),
quantity: new Big('1'),
symbol: 'BTCUSD',
tags: undefined,
timeWeightedInvestment: new Big('640.56763686131386861314'),
timeWeightedInvestmentWithCurrencyEffect: new Big(
'636.79469348020066587024'
),
transactionCount: 2
}
],
totalInvestment: new Big('320.43')
totalInvestment: new Big('320.43'),
totalInvestmentWithCurrencyEffect: new Big('318.542667299999967957')
});
expect(investments).toEqual([

144
apps/api/src/app/portfolio/portfolio-calculator-googl-buy.spec.ts Normal file
View File

@ -0,0 +1,144 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { ExchangeRateDataServiceMock } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service.mock';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
import { CurrentRateServiceMock } from './current-rate.service.mock';
import { PortfolioCalculator } from './portfolio-calculator';
jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
return {
// eslint-disable-next-line @typescript-eslint/naming-convention
CurrentRateService: jest.fn().mockImplementation(() => {
return CurrentRateServiceMock;
})
};
});
jest.mock(
'@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service',
() => {
return {
// eslint-disable-next-line @typescript-eslint/naming-convention
ExchangeRateDataService: jest.fn().mockImplementation(() => {
return ExchangeRateDataServiceMock;
})
};
}
);
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with GOOGL buy', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
currency: 'USD',
date: '2023-01-03',
dataSource: 'YAHOO',
fee: new Big(1),
name: 'Alphabet Inc.',
quantity: new Big(1),
symbol: 'GOOGL',
type: 'BUY',
unitPrice: new Big(89.12)
}
]
});
portfolioCalculator.computeTransactionPoints();
const spy = jest
.spyOn(Date, 'now')
.mockImplementation(() => parseDate('2023-07-10').getTime());
const currentPositions = await portfolioCalculator.getCurrentPositions(
parseDate('2023-01-03')
);
const investments = portfolioCalculator.getInvestments();
const investmentsByMonth =
portfolioCalculator.getInvestmentsByGroup('month');
spy.mockRestore();
expect(currentPositions).toEqual({
currentValue: new Big('103.10483'),
errors: [],
grossPerformance: new Big('27.33'),
grossPerformancePercentage: new Big('0.3066651705565529623'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.25235044599563974109'
),
grossPerformanceWithCurrencyEffect: new Big('20.775774'),
hasErrors: false,
netPerformance: new Big('26.33'),
netPerformancePercentage: new Big('0.29544434470377019749'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.24112962014285697628'
),
netPerformanceWithCurrencyEffect: new Big('19.851974'),
positions: [
{
averagePrice: new Big('89.12'),
currency: 'USD',
dataSource: 'YAHOO',
fee: new Big('1'),
firstBuyDate: '2023-01-03',
grossPerformance: new Big('27.33'),
grossPerformancePercentage: new Big('0.3066651705565529623'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.25235044599563974109'
),
grossPerformanceWithCurrencyEffect: new Big('20.775774'),
investment: new Big('89.12'),
investmentWithCurrencyEffect: new Big('82.329056'),
netPerformance: new Big('26.33'),
netPerformancePercentage: new Big('0.29544434470377019749'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.24112962014285697628'
),
netPerformanceWithCurrencyEffect: new Big('19.851974'),
marketPrice: 116.45,
marketPriceInBaseCurrency: 103.10483,
quantity: new Big('1'),
symbol: 'GOOGL',
tags: undefined,
timeWeightedInvestment: new Big('89.12'),
timeWeightedInvestmentWithCurrencyEffect: new Big('82.329056'),
transactionCount: 1
}
],
totalInvestment: new Big('89.12'),
totalInvestmentWithCurrencyEffect: new Big('82.329056')
});
expect(investments).toEqual([
{ date: '2023-01-03', investment: new Big('89.12') }
]);
expect(investmentsByMonth).toEqual([
{ date: '2023-01-01', investment: new Big('89.12') }
]);
});
});
});

16
apps/api/src/app/portfolio/portfolio-calculator-no-orders.spec.ts
View File

@ -1,4 +1,5 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -16,15 +17,24 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it('with no orders', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: []
});
@ -50,9 +60,13 @@ describe('PortfolioCalculator', () => {
currentValue: new Big(0),
grossPerformance: new Big(0),
grossPerformancePercentage: new Big(0),
grossPerformancePercentageWithCurrencyEffect: new Big(0),
grossPerformanceWithCurrencyEffect: new Big(0),
hasErrors: false,
netPerformance: new Big(0),
netPerformancePercentage: new Big(0),
netPerformancePercentageWithCurrencyEffect: new Big(0),
netPerformanceWithCurrencyEffect: new Big(0),
positions: [],
totalInvestment: new Big(0)
});

36
apps/api/src/app/portfolio/portfolio-calculator-novn-buy-and-sell-partially.spec.ts
View File

@ -1,4 +1,5 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -16,15 +17,24 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with NOVN.SW buy and sell partially', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
@ -74,9 +84,17 @@ describe('PortfolioCalculator', () => {
errors: [],
grossPerformance: new Big('21.93'),
grossPerformancePercentage: new Big('0.15113417083448194384'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.15113417083448194384'
),
grossPerformanceWithCurrencyEffect: new Big('21.93'),
hasErrors: false,
netPerformance: new Big('17.68'),
netPerformancePercentage: new Big('0.12184460284330327256'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.12184460284330327256'
),
netPerformanceWithCurrencyEffect: new Big('17.68'),
positions: [
{
averagePrice: new Big('75.80'),
@ -86,17 +104,31 @@ describe('PortfolioCalculator', () => {
firstBuyDate: '2022-03-07',
grossPerformance: new Big('21.93'),
grossPerformancePercentage: new Big('0.15113417083448194384'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.15113417083448194384'
),
grossPerformanceWithCurrencyEffect: new Big('21.93'),
investment: new Big('75.80'),
investmentWithCurrencyEffect: new Big('75.80'),
netPerformance: new Big('17.68'),
netPerformancePercentage: new Big('0.12184460284330327256'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.12184460284330327256'
),
netPerformanceWithCurrencyEffect: new Big('17.68'),
marketPrice: 87.8,
marketPriceInBaseCurrency: 87.8,
quantity: new Big('1'),
symbol: 'NOVN.SW',
timeWeightedInvestment: new Big('145.10285714285714285714'),
timeWeightedInvestmentWithCurrencyEffect: new Big(
'145.10285714285714285714'
),
transactionCount: 2
}
],
totalInvestment: new Big('75.80')
totalInvestment: new Big('75.80'),
totalInvestmentWithCurrencyEffect: new Big('75.80')
});
expect(investments).toEqual([

50
apps/api/src/app/portfolio/portfolio-calculator-novn-buy-and-sell.spec.ts
View File

@ -1,4 +1,5 @@
import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import { parseDate } from '@ghostfolio/common/helper';
import Big from 'big.js';
@ -16,15 +17,24 @@ jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('get current positions', () => {
it.only('with NOVN.SW buy and sell', async () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'CHF',
orders: [
{
@ -75,18 +85,26 @@ describe('PortfolioCalculator', () => {
expect(chartData[0]).toEqual({
date: '2022-03-07',
netPerformanceInPercentage: 0,
netPerformance: 0,
netPerformanceInPercentage: 0,
netPerformanceInPercentageWithCurrencyEffect: 0,
netPerformanceWithCurrencyEffect: 0,
totalInvestment: 151.6,
value: 151.6
totalInvestmentValueWithCurrencyEffect: 151.6,
value: 151.6,
valueWithCurrencyEffect: 151.6
});
expect(chartData[chartData.length - 1]).toEqual({
date: '2022-04-11',
netPerformanceInPercentage: 13.100263852242744,
netPerformance: 19.86,
netPerformanceInPercentage: 13.100263852242744,
netPerformanceInPercentageWithCurrencyEffect: 13.100263852242744,
netPerformanceWithCurrencyEffect: 19.86,
totalInvestment: 0,
value: 0
totalInvestmentValueWithCurrencyEffect: 0,
value: 0,
valueWithCurrencyEffect: 0
});
expect(currentPositions).toEqual({
@ -94,9 +112,17 @@ describe('PortfolioCalculator', () => {
errors: [],
grossPerformance: new Big('19.86'),
grossPerformancePercentage: new Big('0.13100263852242744063'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.13100263852242744063'
),
grossPerformanceWithCurrencyEffect: new Big('19.86'),
hasErrors: false,
netPerformance: new Big('19.86'),
netPerformancePercentage: new Big('0.13100263852242744063'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.13100263852242744063'
),
netPerformanceWithCurrencyEffect: new Big('19.86'),
positions: [
{
averagePrice: new Big('0'),
@ -106,17 +132,29 @@ describe('PortfolioCalculator', () => {
firstBuyDate: '2022-03-07',
grossPerformance: new Big('19.86'),
grossPerformancePercentage: new Big('0.13100263852242744063'),
grossPerformancePercentageWithCurrencyEffect: new Big(
'0.13100263852242744063'
),
grossPerformanceWithCurrencyEffect: new Big('19.86'),
investment: new Big('0'),
investmentWithCurrencyEffect: new Big('0'),
netPerformance: new Big('19.86'),
netPerformancePercentage: new Big('0.13100263852242744063'),
netPerformancePercentageWithCurrencyEffect: new Big(
'0.13100263852242744063'
),
netPerformanceWithCurrencyEffect: new Big('19.86'),
marketPrice: 87.8,
marketPriceInBaseCurrency: 87.8,
quantity: new Big('0'),
symbol: 'NOVN.SW',
timeWeightedInvestment: new Big('151.6'),
timeWeightedInvestmentWithCurrencyEffect: new Big('151.6'),
transactionCount: 2
}
],
totalInvestment: new Big('0')
totalInvestment: new Big('0'),
totalInvestmentWithCurrencyEffect: new Big('0')
});
expect(investments).toEqual([

12
apps/api/src/app/portfolio/portfolio-calculator.spec.ts
View File

@ -1,3 +1,4 @@
import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
import Big from 'big.js';
import { CurrentRateService } from './current-rate.service';
@ -5,14 +6,23 @@ import { PortfolioCalculator } from './portfolio-calculator';
describe('PortfolioCalculator', () => {
let currentRateService: CurrentRateService;
let exchangeRateDataService: ExchangeRateDataService;
beforeEach(() => {
currentRateService = new CurrentRateService(null, null, null);
currentRateService = new CurrentRateService(null, null);
exchangeRateDataService = new ExchangeRateDataService(
null,
null,
null,
null
);
});
describe('annualized performance percentage', () => {
const portfolioCalculator = new PortfolioCalculator({
currentRateService,
exchangeRateDataService,
currency: 'USD',
orders: []
});

674
apps/api/src/app/portfolio/portfolio-calculator.ts
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File diff suppressed because it is too large Load Diff

137
apps/api/src/app/portfolio/portfolio.service.ts
View File

@ -285,6 +285,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: this.request.user.Settings.settings.baseCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -407,6 +408,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -480,7 +482,7 @@ export class PortfolioService {
continue;
}
const value = item.quantity.mul(item.marketPrice ?? 0);
const value = item.quantity.mul(item.marketPriceInBaseCurrency ?? 0);
const symbolProfile = symbolProfileMap[item.symbol];
const dataProviderResponse = dataProviderResponses[item.symbol];
@ -704,6 +706,8 @@ export class PortfolioService {
firstBuyDate: undefined,
grossPerformance: undefined,
grossPerformancePercent: undefined,
grossPerformancePercentWithCurrencyEffect: undefined,
grossPerformanceWithCurrencyEffect: undefined,
historicalData: [],
investment: undefined,
marketPrice: undefined,
@ -711,6 +715,8 @@ export class PortfolioService {
minPrice: undefined,
netPerformance: undefined,
netPerformancePercent: undefined,
netPerformancePercentWithCurrencyEffect: undefined,
netPerformanceWithCurrencyEffect: undefined,
orders: [],
quantity: undefined,
SymbolProfile: undefined,
@ -719,7 +725,6 @@ export class PortfolioService {
};
}
const positionCurrency = orders[0].SymbolProfile.currency;
const [SymbolProfile] = await this.symbolProfileService.getSymbolProfiles([
{ dataSource: aDataSource, symbol: aSymbol }
]);
@ -746,8 +751,9 @@ export class PortfolioService {
tags = uniqBy(tags, 'id');
const portfolioCalculator = new PortfolioCalculator({
currency: positionCurrency,
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -755,6 +761,7 @@ export class PortfolioService {
const transactionPoints = portfolioCalculator.getTransactionPoints();
const portfolioStart = parseDate(transactionPoints[0].date);
const currentPositions =
await portfolioCalculator.getCurrentPositions(portfolioStart);
@ -784,23 +791,6 @@ export class PortfolioService {
})
);
// Convert investment, gross and net performance to currency of user
const investment = this.exchangeRateDataService.toCurrency(
position.investment?.toNumber(),
currency,
userCurrency
);
const grossPerformance = this.exchangeRateDataService.toCurrency(
position.grossPerformance?.toNumber(),
currency,
userCurrency
);
const netPerformance = this.exchangeRateDataService.toCurrency(
position.netPerformance?.toNumber(),
currency,
userCurrency
);
const historicalData = await this.dataProviderService.getHistorical(
[{ dataSource, symbol: aSymbol }],
'day',
@ -865,12 +855,9 @@ export class PortfolioService {
return {
firstBuyDate,
grossPerformance,
investment,
marketPrice,
maxPrice,
minPrice,
netPerformance,
orders,
SymbolProfile,
tags,
@ -883,10 +870,21 @@ export class PortfolioService {
SymbolProfile.currency,
userCurrency
),
grossPerformance: position.grossPerformance?.toNumber(),
grossPerformancePercent:
position.grossPerformancePercentage?.toNumber(),
grossPerformancePercentWithCurrencyEffect:
position.grossPerformancePercentageWithCurrencyEffect?.toNumber(),
grossPerformanceWithCurrencyEffect:
position.grossPerformanceWithCurrencyEffect?.toNumber(),
historicalData: historicalDataArray,
investment: position.investment?.toNumber(),
netPerformance: position.netPerformance?.toNumber(),
netPerformancePercent: position.netPerformancePercentage?.toNumber(),
netPerformancePercentWithCurrencyEffect:
position.netPerformancePercentageWithCurrencyEffect?.toNumber(),
netPerformanceWithCurrencyEffect:
position.netPerformanceWithCurrencyEffect?.toNumber(),
quantity: quantity.toNumber(),
value: this.exchangeRateDataService.toCurrency(
quantity.mul(marketPrice ?? 0).toNumber(),
@ -945,10 +943,14 @@ export class PortfolioService {
firstBuyDate: undefined,
grossPerformance: undefined,
grossPerformancePercent: undefined,
grossPerformancePercentWithCurrencyEffect: undefined,
grossPerformanceWithCurrencyEffect: undefined,
historicalData: historicalDataArray,
investment: 0,
netPerformance: undefined,
netPerformancePercent: undefined,
netPerformancePercentWithCurrencyEffect: undefined,
netPerformanceWithCurrencyEffect: undefined,
quantity: 0,
transactionCount: undefined,
value: 0
@ -986,6 +988,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: this.request.user.Settings.settings.baseCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -1017,6 +1020,7 @@ export class PortfolioService {
]);
const symbolProfileMap: { [symbol: string]: EnhancedSymbolProfile } = {};
for (const symbolProfile of symbolProfiles) {
symbolProfileMap[symbolProfile.symbol] = symbolProfile;
}
@ -1041,13 +1045,20 @@ export class PortfolioService {
currency,
dataSource,
firstBuyDate,
investment,
grossPerformance,
grossPerformancePercentage,
grossPerformancePercentageWithCurrencyEffect,
grossPerformanceWithCurrencyEffect,
investment,
investmentWithCurrencyEffect,
netPerformance,
netPerformancePercentage,
netPerformancePercentageWithCurrencyEffect,
netPerformanceWithCurrencyEffect,
quantity,
symbol,
timeWeightedInvestment,
timeWeightedInvestmentWithCurrencyEffect,
transactionCount
}) => {
return {
@ -1062,14 +1073,27 @@ export class PortfolioService {
grossPerformance: grossPerformance?.toNumber() ?? null,
grossPerformancePercentage:
grossPerformancePercentage?.toNumber() ?? null,
grossPerformancePercentageWithCurrencyEffect:
grossPerformancePercentageWithCurrencyEffect?.toNumber() ?? null,
grossPerformanceWithCurrencyEffect:
grossPerformanceWithCurrencyEffect?.toNumber() ?? null,
investment: investment.toNumber(),
investmentWithCurrencyEffect:
investmentWithCurrencyEffect?.toNumber(),
marketState:
dataProviderResponses[symbol]?.marketState ?? 'delayed',
name: symbolProfileMap[symbol].name,
netPerformance: netPerformance?.toNumber() ?? null,
netPerformancePercentage:
netPerformancePercentage?.toNumber() ?? null,
quantity: quantity.toNumber()
netPerformancePercentageWithCurrencyEffect:
netPerformancePercentageWithCurrencyEffect?.toNumber() ?? null,
netPerformanceWithCurrencyEffect:
netPerformanceWithCurrencyEffect?.toNumber() ?? null,
quantity: quantity.toNumber(),
timeWeightedInvestment: timeWeightedInvestment?.toNumber(),
timeWeightedInvestmentWithCurrencyEffect:
timeWeightedInvestmentWithCurrencyEffect?.toNumber()
};
}
)
@ -1128,6 +1152,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -1139,8 +1164,12 @@ export class PortfolioService {
performance: {
currentGrossPerformance: 0,
currentGrossPerformancePercent: 0,
currentGrossPerformancePercentWithCurrencyEffect: 0,
currentGrossPerformanceWithCurrencyEffect: 0,
currentNetPerformance: 0,
currentNetPerformancePercent: 0,
currentNetPerformancePercentWithCurrencyEffect: 0,
currentNetPerformanceWithCurrencyEffect: 0,
currentNetWorth: 0,
currentValue: 0,
totalInvestment: 0
@ -1165,17 +1194,26 @@ export class PortfolioService {
errors,
grossPerformance,
grossPerformancePercentage,
grossPerformancePercentageWithCurrencyEffect,
grossPerformanceWithCurrencyEffect,
hasErrors,
netPerformance,
netPerformancePercentage,
netPerformancePercentageWithCurrencyEffect,
netPerformanceWithCurrencyEffect,
totalInvestment
} = await portfolioCalculator.getCurrentPositions(startDate);
const currentGrossPerformance = grossPerformance;
const currentGrossPerformancePercent = grossPerformancePercentage;
let currentNetPerformance = netPerformance;
let currentNetPerformancePercent = netPerformancePercentage;
let currentNetPerformancePercentWithCurrencyEffect =
netPerformancePercentageWithCurrencyEffect;
let currentNetPerformanceWithCurrencyEffect =
netPerformanceWithCurrencyEffect;
const { items } = await this.getChart({
dateRange,
impersonationId,
@ -1191,9 +1229,18 @@ export class PortfolioService {
if (itemOfToday) {
currentNetPerformance = new Big(itemOfToday.netPerformance);
currentNetPerformancePercent = new Big(
itemOfToday.netPerformanceInPercentage
).div(100);
currentNetPerformancePercentWithCurrencyEffect = new Big(
itemOfToday.netPerformanceInPercentageWithCurrencyEffect
).div(100);
currentNetPerformanceWithCurrencyEffect = new Big(
itemOfToday.netPerformanceWithCurrencyEffect
);
}
accountBalanceItems = accountBalanceItems.filter(({ date }) => {
@ -1226,11 +1273,18 @@ export class PortfolioService {
firstOrderDate: parseDate(items[0]?.date),
performance: {
currentNetWorth,
currentGrossPerformance: currentGrossPerformance.toNumber(),
currentGrossPerformancePercent:
currentGrossPerformancePercent.toNumber(),
currentGrossPerformance: grossPerformance.toNumber(),
currentGrossPerformancePercent: grossPerformancePercentage.toNumber(),
currentGrossPerformancePercentWithCurrencyEffect:
grossPerformancePercentageWithCurrencyEffect.toNumber(),
currentGrossPerformanceWithCurrencyEffect:
grossPerformanceWithCurrencyEffect.toNumber(),
currentNetPerformance: currentNetPerformance.toNumber(),
currentNetPerformancePercent: currentNetPerformancePercent.toNumber(),
currentNetPerformancePercentWithCurrencyEffect:
currentNetPerformancePercentWithCurrencyEffect.toNumber(),
currentNetPerformanceWithCurrencyEffect:
currentNetPerformanceWithCurrencyEffect.toNumber(),
currentValue: currentValue.toNumber(),
totalInvestment: totalInvestment.toNumber()
}
@ -1250,6 +1304,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -1413,6 +1468,7 @@ export class PortfolioService {
const portfolioCalculator = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -1757,6 +1813,7 @@ export class PortfolioService {
const annualizedPerformancePercent = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: []
})
.getAnnualizedPerformancePercent({
@ -1866,30 +1923,19 @@ export class PortfolioService {
currency: order.SymbolProfile.currency,
dataSource: order.SymbolProfile.dataSource,
date: format(order.date, DATE_FORMAT),
fee: new Big(
this.exchangeRateDataService.toCurrency(
order.fee,
order.SymbolProfile.currency,
userCurrency
)
),
fee: new Big(order.fee),
name: order.SymbolProfile?.name,
quantity: new Big(order.quantity),
symbol: order.SymbolProfile.symbol,
tags: order.tags,
type: order.type,
unitPrice: new Big(
this.exchangeRateDataService.toCurrency(
order.unitPrice,
order.SymbolProfile.currency,
userCurrency
)
)
unitPrice: new Big(order.unitPrice)
}));
const portfolioCalculator = new PortfolioCalculator({
currency: userCurrency,
currentRateService: this.currentRateService,
exchangeRateDataService: this.exchangeRateDataService,
orders: portfolioOrders
});
@ -2025,7 +2071,8 @@ export class PortfolioService {
for (const order of ordersByAccount) {
let currentValueOfSymbolInBaseCurrency =
order.quantity *
(portfolioItemsNow[order.SymbolProfile.symbol]?.marketPrice ??
(portfolioItemsNow[order.SymbolProfile.symbol]
?.marketPriceInBaseCurrency ??
order.unitPrice ??
0);

29
apps/api/src/services/exchange-rate-data/exchange-rate-data.service.mock.ts Normal file
View File

@ -0,0 +1,29 @@
export const ExchangeRateDataServiceMock = {
getExchangeRatesByCurrency: ({
currencies,
endDate,
startDate,
targetCurrency
}): Promise<any> => {
if (targetCurrency === 'CHF') {
return Promise.resolve({
CHF: {
'2015-01-01': 1,
'2017-12-31': 1,
'2018-01-01': 1,
'2023-01-03': 1,
'2023-07-10': 1
},
USD: {
'2015-01-01': 0.9941099999999999,
'2017-12-31': 0.9787,
'2018-01-01': 0.97373,
'2023-01-03': 0.9238,
'2023-07-10': 0.8854
}
});
}
return Promise.resolve({});
}
};

272
apps/api/src/services/exchange-rate-data/exchange-rate-data.service.ts
View File

@ -7,9 +7,19 @@ import {
DEFAULT_CURRENCY,
PROPERTY_CURRENCIES
} from '@ghostfolio/common/config';
import { DATE_FORMAT, getYesterday } from '@ghostfolio/common/helper';
import {
DATE_FORMAT,
getYesterday,
resetHours
} from '@ghostfolio/common/helper';
import { Injectable, Logger } from '@nestjs/common';
import { format, isToday } from 'date-fns';
import {
eachDayOfInterval,
format,
isBefore,
isToday,
subDays
} from 'date-fns';
import { isNumber, uniq } from 'lodash';
import ms from 'ms';
@ -34,123 +44,60 @@ export class ExchangeRateDataService {
return this.currencyPairs;
}
public async getExchangeRates({
currencyFrom,
currencyTo,
dates
public async getExchangeRatesByCurrency({
currencies,
endDate = new Date(),
startDate,
targetCurrency
}: {
currencyFrom: string;
currencyTo: string;
dates: Date[];
currencies: string[];
endDate?: Date;
startDate: Date;
targetCurrency: string;
}) {
let factors: { [dateString: string]: number } = {};
if (currencyFrom === currencyTo) {
for (const date of dates) {
factors[format(date, DATE_FORMAT)] = 1;
if (!startDate) {
return {};
}
} else {
const dataSource =
this.dataProviderService.getDataSourceForExchangeRates();
const symbol = `${currencyFrom}${currencyTo}`;
const marketData = await this.marketDataService.getRange({
dateQuery: { in: dates },
uniqueAssets: [
{
dataSource,
symbol
}
]
});
if (marketData?.length > 0) {
for (const { date, marketPrice } of marketData) {
factors[format(date, DATE_FORMAT)] = marketPrice;
}
} else {
// Calculate indirectly via base currency
let marketPriceBaseCurrencyFromCurrency: {
[dateString: string]: number;
} = {};
let marketPriceBaseCurrencyToCurrency: {
[dateString: string]: number;
let exchangeRatesByCurrency: {
[currency: string]: { [dateString: string]: number };
} = {};
try {
if (currencyFrom === DEFAULT_CURRENCY) {
for (const date of dates) {
marketPriceBaseCurrencyFromCurrency[format(date, DATE_FORMAT)] =
1;
}
} else {
const marketData = await this.marketDataService.getRange({
dateQuery: { in: dates },
uniqueAssets: [
{
dataSource,
symbol: `${DEFAULT_CURRENCY}${currencyFrom}`
}
]
for (let currency of currencies) {
exchangeRatesByCurrency[currency] = await this.getExchangeRates({
startDate,
currencyFrom: currency,
currencyTo: targetCurrency
});
for (const { date, marketPrice } of marketData) {
marketPriceBaseCurrencyFromCurrency[format(date, DATE_FORMAT)] =
marketPrice;
}
}
} catch {}
let previousExchangeRate = 1;
try {
if (currencyTo === DEFAULT_CURRENCY) {
for (const date of dates) {
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)] = 1;
}
} else {
const marketData = await this.marketDataService.getRange({
dateQuery: {
in: dates
},
uniqueAssets: [
{
dataSource,
symbol: `${DEFAULT_CURRENCY}${currencyTo}`
}
]
});
// Start from the most recent date and fill in missing exchange rates
// using the latest available rate
for (
let date = endDate;
!isBefore(date, startDate);
date = subDays(resetHours(date), 1)
) {
let dateString = format(date, DATE_FORMAT);
for (const { date, marketPrice } of marketData) {
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)] =
marketPrice;
}
}
} catch {}
// Check if the exchange rate for the current date is missing
if (isNaN(exchangeRatesByCurrency[currency][dateString])) {
// If missing, fill with the previous exchange rate
exchangeRatesByCurrency[currency][dateString] = previousExchangeRate;
for (const date of dates) {
try {
const factor =
(1 /
marketPriceBaseCurrencyFromCurrency[
format(date, DATE_FORMAT)
]) *
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)];
factors[format(date, DATE_FORMAT)] = factor;
} catch {
Logger.error(
`No exchange rate has been found for ${currencyFrom}${currencyTo} at ${format(
date,
DATE_FORMAT
)}`,
`No exchange rate has been found for ${DEFAULT_CURRENCY}${targetCurrency} at ${dateString}`,
'ExchangeRateDataService'
);
}
} else {
// If available, update the previous exchange rate
previousExchangeRate = exchangeRatesByCurrency[currency][dateString];
}
}
}
return factors;
return exchangeRatesByCurrency;
}
public hasCurrencyPair(currency1: string, currency2: string) {
@ -396,6 +343,129 @@ export class ExchangeRateDataService {
return undefined;
}
private async getExchangeRates({
currencyFrom,
currencyTo,
endDate = new Date(),
startDate
}: {
currencyFrom: string;
currencyTo: string;
endDate?: Date;
startDate: Date;
}) {
const dates = eachDayOfInterval({ end: endDate, start: startDate });
let factors: { [dateString: string]: number } = {};
if (currencyFrom === currencyTo) {
for (const date of dates) {
factors[format(date, DATE_FORMAT)] = 1;
}
} else {
const dataSource =
this.dataProviderService.getDataSourceForExchangeRates();
const symbol = `${currencyFrom}${currencyTo}`;
const marketData = await this.marketDataService.getRange({
dateQuery: { gte: startDate, lt: endDate },
uniqueAssets: [
{
dataSource,
symbol
}
]
});
if (marketData?.length > 0) {
for (const { date, marketPrice } of marketData) {
factors[format(date, DATE_FORMAT)] = marketPrice;
}
} else {
// Calculate indirectly via base currency
let marketPriceBaseCurrencyFromCurrency: {
[dateString: string]: number;
} = {};
let marketPriceBaseCurrencyToCurrency: {
[dateString: string]: number;
} = {};
try {
if (currencyFrom === DEFAULT_CURRENCY) {
for (const date of dates) {
marketPriceBaseCurrencyFromCurrency[format(date, DATE_FORMAT)] =
1;
}
} else {
const marketData = await this.marketDataService.getRange({
dateQuery: { gte: startDate, lt: endDate },
uniqueAssets: [
{
dataSource,
symbol: `${DEFAULT_CURRENCY}${currencyFrom}`
}
]
});
for (const { date, marketPrice } of marketData) {
marketPriceBaseCurrencyFromCurrency[format(date, DATE_FORMAT)] =
marketPrice;
}
}
} catch {}
try {
if (currencyTo === DEFAULT_CURRENCY) {
for (const date of dates) {
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)] = 1;
}
} else {
const marketData = await this.marketDataService.getRange({
dateQuery: {
gte: startDate,
lt: endDate
},
uniqueAssets: [
{
dataSource,
symbol: `${DEFAULT_CURRENCY}${currencyTo}`
}
]
});
for (const { date, marketPrice } of marketData) {
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)] =
marketPrice;
}
}
} catch {}
for (const date of dates) {
try {
const factor =
(1 /
marketPriceBaseCurrencyFromCurrency[
format(date, DATE_FORMAT)
]) *
marketPriceBaseCurrencyToCurrency[format(date, DATE_FORMAT)];
factors[format(date, DATE_FORMAT)] = factor;
} catch {
Logger.error(
`No exchange rate has been found for ${currencyFrom}${currencyTo} at ${format(
date,
DATE_FORMAT
)}`,
'ExchangeRateDataService'
);
}
}
}
}
return factors;
}
private async prepareCurrencies(): Promise<string[]> {
let currencies: string[] = [];

4
libs/common/src/lib/interfaces/historical-data-item.interface.ts
View File

@ -5,11 +5,15 @@ export interface HistoricalDataItem {
marketPrice?: number;
netPerformance?: number;
netPerformanceInPercentage?: number;
netPerformanceInPercentageWithCurrencyEffect?: number;
netPerformanceWithCurrencyEffect?: number;
netWorth?: number;
netWorthInPercentage?: number;
quantity?: number;
totalAccountBalance?: number;
totalInvestment?: number;
totalInvestmentValueWithCurrencyEffect?: number;
value?: number;
valueInPercentage?: number;
valueWithCurrencyEffect?: number;
}

4
libs/common/src/lib/interfaces/portfolio-performance.interface.ts
View File

@ -2,8 +2,12 @@ export interface PortfolioPerformance {
annualizedPerformancePercent?: number;
currentGrossPerformance: number;
currentGrossPerformancePercent: number;
currentGrossPerformancePercentWithCurrencyEffect: number;
currentGrossPerformanceWithCurrencyEffect: number;
currentNetPerformance: number;
currentNetPerformancePercent: number;
currentNetPerformancePercentWithCurrencyEffect: number;
currentNetPerformanceWithCurrencyEffect: number;
currentNetWorth: number;
currentValue: number;
totalInvestment: number;

7
libs/common/src/lib/interfaces/timeline-position.interface.ts
View File

@ -9,13 +9,20 @@ export interface TimelinePosition {
firstBuyDate: string;
grossPerformance: Big;
grossPerformancePercentage: Big;
grossPerformancePercentageWithCurrencyEffect: Big;
grossPerformanceWithCurrencyEffect: Big;
investment: Big;
investmentWithCurrencyEffect: Big;
marketPrice: number;
marketPriceInBaseCurrency: number;
netPerformance: Big;
netPerformancePercentage: Big;
netPerformancePercentageWithCurrencyEffect: Big;
netPerformanceWithCurrencyEffect: Big;
quantity: Big;
symbol: string;
tags?: Tag[];
timeWeightedInvestment: Big;
timeWeightedInvestmentWithCurrencyEffect: Big;
transactionCount: number;
}