implement support for buy-sell(-buy) scenario (#262)

Co-authored-by: Valentin Zickner <github@zickner.ch>

apps/api/src/app/core/portfolio-calculator.spec.ts

@@ -396,115 +396,9 @@ describe('PortfolioCalculator', () => {
       const portfolioItemsAtTransactionPoints =
         portfolioCalculator.getTransactionPoints();
 
-      expect(portfolioItemsAtTransactionPoints).toEqual([
-        {
-          date: '2019-02-01',
-          items: [
-            {
-              quantity: new Big('10'),
-              symbol: 'VTI',
-              investment: new Big('1443.8'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 1
-            }
-          ]
-        },
-        {
-          date: '2019-08-03',
-          items: [
-            {
-              quantity: new Big('20'),
-              symbol: 'VTI',
-              investment: new Big('2923.7'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 2
-            }
-          ]
-        },
-        {
-          date: '2019-09-01',
-          items: [
-            {
-              quantity: new Big('5'),
-              symbol: 'AMZN',
-              investment: new Big('10109.95'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-09-01',
-              transactionCount: 1
-            },
-            {
-              quantity: new Big('20'),
-              symbol: 'VTI',
-              investment: new Big('2923.7'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 2
-            }
-          ]
-        },
-        {
-          date: '2020-02-02',
-          items: [
-            {
-              quantity: new Big('5'),
-              symbol: 'AMZN',
-              investment: new Big('10109.95'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-09-01',
-              transactionCount: 1
-            },
-            {
-              quantity: new Big('5'),
-              symbol: 'VTI',
-              investment: new Big('652.55'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 3
-            }
-          ]
-        },
-        {
-          date: '2020-08-02',
-          items: [
-            {
-              quantity: new Big('5'),
-              symbol: 'VTI',
-              investment: new Big('652.55'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 3
-            }
-          ]
-        },
-        {
-          date: '2021-02-01',
-          items: [
-            {
-              quantity: new Big('15'),
-              symbol: 'VTI',
-              investment: new Big('2684.05'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 4
-            }
-          ]
-        },
-        {
-          date: '2021-08-01',
-          items: [
-            {
-              quantity: new Big('25'),
-              symbol: 'VTI',
-              investment: new Big('4460.95'),
-              currency: Currency.USD,
-              firstBuyDate: '2019-02-01',
-              transactionCount: 5
-            }
-          ]
-        }
-      ]);
+      expect(portfolioItemsAtTransactionPoints).toEqual(
+        transactionPointsBuyAndSell
+      );
     });
 
     it('with mixed symbols', () => {
@@ -740,6 +634,138 @@ describe('PortfolioCalculator', () => {
       });
     });
 
+    it('with buy and sell', async () => {
+      const portfolioCalculator = new PortfolioCalculator(
+        currentRateService,
+        Currency.USD
+      );
+      portfolioCalculator.setTransactionPoints(transactionPointsBuyAndSell);
+
+      const spy = jest
+        .spyOn(Date, 'now')
+        .mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24
+      const currentPositions = await portfolioCalculator.getCurrentPositions(
+        parseDate('2019-01-01')
+      );
+      spy.mockRestore();
+
+      expect(currentPositions).toEqual({
+        hasErrors: false,
+        currentValue: new Big('4871.5'),
+        grossPerformance: new Big('240.4'),
+        grossPerformancePercentage: new Big('0.01104605615757711361'),
+        totalInvestment: new Big('4460.95'),
+        positions: [
+          {
+            averagePrice: new Big('0'),
+            currency: 'USD',
+            firstBuyDate: '2019-09-01',
+            grossPerformance: new Big('0'),
+            grossPerformancePercentage: new Big('0'),
+            investment: new Big('0'),
+            marketPrice: 2021.99,
+            quantity: new Big('0'),
+            symbol: 'AMZN',
+            transactionCount: 2
+          },
+          {
+            averagePrice: new Big('178.438'),
+            currency: 'USD',
+            firstBuyDate: '2019-02-01',
+            grossPerformance: new Big('240.4'),
+            grossPerformancePercentage: new Big(
+              '0.08839407904876477101219019935616297754969945667391763908415656216989674494965785538864363782688167989866968512455219637257546280462751601552'
+            ),
+            investment: new Big('4460.95'),
+            marketPrice: 194.86,
+            quantity: new Big('25'),
+            symbol: 'VTI',
+            transactionCount: 5
+          }
+        ]
+      });
+    });
+
+    it('with buy, sell, buy', async () => {
+      const portfolioCalculator = new PortfolioCalculator(
+        currentRateService,
+        Currency.USD
+      );
+      portfolioCalculator.setTransactionPoints([
+        {
+          date: '2019-09-01',
+          items: [
+            {
+              quantity: new Big('5'),
+              symbol: 'VTI',
+              investment: new Big('805.9'),
+              currency: Currency.USD,
+              firstBuyDate: '2019-09-01',
+              transactionCount: 1
+            }
+          ]
+        },
+        {
+          date: '2020-08-02',
+          items: [
+            {
+              quantity: new Big('0'),
+              symbol: 'VTI',
+              investment: new Big('0'),
+              currency: Currency.USD,
+              firstBuyDate: '2019-09-01',
+              transactionCount: 2
+            }
+          ]
+        },
+        {
+          date: '2021-02-01',
+          items: [
+            {
+              quantity: new Big('5'),
+              symbol: 'VTI',
+              investment: new Big('1013.9'),
+              currency: Currency.USD,
+              firstBuyDate: '2019-09-01',
+              transactionCount: 3
+            }
+          ]
+        }
+      ]);
+
+      const spy = jest
+        .spyOn(Date, 'now')
+        .mockImplementation(() => new Date(Date.UTC(2021, 7, 1)).getTime()); // 2021-08-01
+      const currentPositions = await portfolioCalculator.getCurrentPositions(
+        parseDate('2019-02-01')
+      );
+      spy.mockRestore();
+
+      expect(currentPositions).toEqual({
+        hasErrors: false,
+        currentValue: new Big('1086.7'),
+        grossPerformance: new Big('207.6'),
+        grossPerformancePercentage: new Big('0.2516103956224511062'),
+        totalInvestment: new Big('1013.9'),
+        positions: [
+          {
+            averagePrice: new Big('202.78'),
+            currency: 'USD',
+            firstBuyDate: '2019-09-01',
+            grossPerformance: new Big('207.6'),
+            grossPerformancePercentage: new Big(
+              '0.2516103956224511061954915466429950404846'
+            ),
+            investment: new Big('1013.9'),
+            marketPrice: 217.34,
+            quantity: new Big('5'),
+            symbol: 'VTI',
+            transactionCount: 3
+          }
+        ]
+      });
+    });
+
     it('with performance since Jan 1st, 2020', async () => {
       const portfolioCalculator = new PortfolioCalculator(
         currentRateService,
@@ -1776,3 +1802,137 @@ const ordersVTITransactionPoints: TransactionPoint[] = [
     ]
   }
 ];
+
+const transactionPointsBuyAndSell = [
+  {
+    date: '2019-02-01',
+    items: [
+      {
+        quantity: new Big('10'),
+        symbol: 'VTI',
+        investment: new Big('1443.8'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 1
+      }
+    ]
+  },
+  {
+    date: '2019-08-03',
+    items: [
+      {
+        quantity: new Big('20'),
+        symbol: 'VTI',
+        investment: new Big('2923.7'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 2
+      }
+    ]
+  },
+  {
+    date: '2019-09-01',
+    items: [
+      {
+        quantity: new Big('5'),
+        symbol: 'AMZN',
+        investment: new Big('10109.95'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-09-01',
+        transactionCount: 1
+      },
+      {
+        quantity: new Big('20'),
+        symbol: 'VTI',
+        investment: new Big('2923.7'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 2
+      }
+    ]
+  },
+  {
+    date: '2020-02-02',
+    items: [
+      {
+        quantity: new Big('5'),
+        symbol: 'AMZN',
+        investment: new Big('10109.95'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-09-01',
+        transactionCount: 1
+      },
+      {
+        quantity: new Big('5'),
+        symbol: 'VTI',
+        investment: new Big('652.55'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 3
+      }
+    ]
+  },
+  {
+    date: '2020-08-02',
+    items: [
+      {
+        quantity: new Big('0'),
+        symbol: 'AMZN',
+        investment: new Big('0'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-09-01',
+        transactionCount: 2
+      },
+      {
+        quantity: new Big('5'),
+        symbol: 'VTI',
+        investment: new Big('652.55'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 3
+      }
+    ]
+  },
+  {
+    date: '2021-02-01',
+    items: [
+      {
+        quantity: new Big('0'),
+        symbol: 'AMZN',
+        investment: new Big('0'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-09-01',
+        transactionCount: 2
+      },
+      {
+        quantity: new Big('15'),
+        symbol: 'VTI',
+        investment: new Big('2684.05'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 4
+      }
+    ]
+  },
+  {
+    date: '2021-08-01',
+    items: [
+      {
+        quantity: new Big('0'),
+        symbol: 'AMZN',
+        investment: new Big('0'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-09-01',
+        transactionCount: 2
+      },
+      {
+        quantity: new Big('25'),
+        symbol: 'VTI',
+        investment: new Big('4460.95'),
+        currency: Currency.USD,
+        firstBuyDate: '2019-02-01',
+        transactionCount: 5
+      }
+    ]
+  }
+];

apps/api/src/app/core/portfolio-calculator.ts

@@ -52,16 +52,19 @@ export class PortfolioCalculator {
       const factor = this.getFactor(order.type);
       const unitPrice = new Big(order.unitPrice);
       if (oldAccumulatedSymbol) {
+        const newQuantity = order.quantity
+          .mul(factor)
+          .plus(oldAccumulatedSymbol.quantity);
         currentTransactionPointItem = {
           currency: order.currency,
           firstBuyDate: oldAccumulatedSymbol.firstBuyDate,
-          investment: unitPrice
-            .mul(order.quantity)
-            .mul(factor)
-            .add(oldAccumulatedSymbol.investment),
-          quantity: order.quantity
-            .mul(factor)
-            .plus(oldAccumulatedSymbol.quantity),
+          investment: newQuantity.eq(0)
+            ? new Big(0)
+            : unitPrice
+                .mul(order.quantity)
+                .mul(factor)
+                .add(oldAccumulatedSymbol.investment),
+          quantity: newQuantity,
           symbol: order.symbol,
           transactionCount: oldAccumulatedSymbol.transactionCount + 1
         };
@@ -82,11 +85,7 @@ export class PortfolioCalculator {
       const newItems = items.filter(
         (transactionPointItem) => transactionPointItem.symbol !== order.symbol
       );
-      if (!currentTransactionPointItem.quantity.eq(0)) {
-        newItems.push(currentTransactionPointItem);
-      } else {
-        delete symbols[order.symbol];
-      }
+      newItems.push(currentTransactionPointItem);
       newItems.sort((a, b) => a.symbol.localeCompare(b.symbol));
       if (lastDate !== currentDate || lastTransactionPoint === null) {
         lastTransactionPoint = {
@@ -231,31 +230,32 @@ export class PortfolioCalculator {
         if (i === firstIndex || !initialValues[item.symbol]) {
           initialValues[item.symbol] = initialValue;
         }
-        if (!initialValue) {
-          invalidSymbols.push(item.symbol);
-          hasErrors = true;
-          console.error(
-            `Missing value for symbol ${item.symbol} at ${currentDate}`
-          );
-          continue;
-        }
+        if (!item.quantity.eq(0)) {
+          if (!initialValue) {
+            invalidSymbols.push(item.symbol);
+            hasErrors = true;
+            console.error(
+              `Missing value for symbol ${item.symbol} at ${currentDate}`
+            );
+            continue;
+          }
 
-        const cashFlow = lastInvestment;
-        const endValue = marketSymbolMap[nextDate][item.symbol].mul(
-          item.quantity
-        );
+          const cashFlow = lastInvestment;
+          const endValue = marketSymbolMap[nextDate][item.symbol].mul(
+            item.quantity
+          );
 
-        const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
-        holdingPeriodReturns[item.symbol] =
-          oldHoldingPeriodReturn.mul(holdingPeriodReturn);
-        let oldGrossPerformance = grossPerformance[item.symbol];
-        if (!oldGrossPerformance) {
-          oldGrossPerformance = new Big(0);
+          const holdingPeriodReturn = endValue.div(initialValue.plus(cashFlow));
+          holdingPeriodReturns[item.symbol] =
+            oldHoldingPeriodReturn.mul(holdingPeriodReturn);
+          let oldGrossPerformance = grossPerformance[item.symbol];
+          if (!oldGrossPerformance) {
+            oldGrossPerformance = new Big(0);
+          }
+          const currentPerformance = endValue.minus(investedValue);
+          grossPerformance[item.symbol] =
+            oldGrossPerformance.plus(currentPerformance);
         }
-        const currentPerformance = endValue.minus(investedValue);
-        grossPerformance[item.symbol] =
-          oldGrossPerformance.plus(currentPerformance);
-
         lastInvestments[item.symbol] = item.investment;
         lastQuantities[item.symbol] = item.quantity;
       }
@@ -267,7 +267,9 @@ export class PortfolioCalculator {
       const marketValue = marketSymbolMap[todayString]?.[item.symbol];
       const isValid = invalidSymbols.indexOf(item.symbol) === -1;
       positions.push({
-        averagePrice: item.investment.div(item.quantity),
+        averagePrice: item.quantity.eq(0)
+          ? new Big(0)
+          : item.investment.div(item.quantity),
         currency: item.currency,
         firstBuyDate: item.firstBuyDate,
         grossPerformance: isValid
@@ -398,7 +400,7 @@ export class PortfolioCalculator {
         grossPerformance = grossPerformance.plus(
           currentPosition.grossPerformance
         );
-      } else {
+      } else if (!currentPosition.quantity.eq(0)) {
         hasErrors = true;
       }
 
@@ -411,7 +413,7 @@ export class PortfolioCalculator {
         grossPerformancePercentage = grossPerformancePercentage.plus(
           currentPosition.grossPerformancePercentage.mul(currentInitialValue)
         );
-      } else {
+      } else if (!currentPosition.quantity.eq(0)) {
         console.error(
           `Initial value is missing for symbol ${currentPosition.symbol}`
         );

apps/api/src/app/portfolio/portfolio.service.ts

@@ -358,9 +358,9 @@ export class PortfolioService {
             (item) => item.symbol === aSymbol
           );
           if (currentSymbol) {
-            currentAveragePrice = currentSymbol.investment
-              .div(currentSymbol.quantity)
-              .toNumber();
+            currentAveragePrice = currentSymbol.quantity.eq(0)
+              ? 0
+              : currentSymbol.investment.div(currentSymbol.quantity).toNumber();
           }
 
           historicalDataArray.push({
@@ -470,9 +470,10 @@ export class PortfolioService {
       startDate
     );
 
-    const symbols = currentPositions.positions.map(
-      (position) => position.symbol
+    const positions = currentPositions.positions.filter(
+      (item) => !item.quantity.eq(0)
     );
+    const symbols = positions.map((position) => position.symbol);
 
     const [dataProviderResponses, symbolProfiles] = await Promise.all([
       this.dataProviderService.get(symbols),
@@ -486,7 +487,7 @@ export class PortfolioService {
 
     return {
       hasErrors: currentPositions.hasErrors,
-      positions: currentPositions.positions.map((position) => {
+      positions: positions.map((position) => {
         return {
           ...position,
           averagePrice: new Big(position.averagePrice).toNumber(),