Feature/optimize portfolio snapshot computation by reusing date intervals (#3855)

* Optimize portfolio snapshot computation by reusing date intervals

* Update changelog

CHANGELOG.md

@@ -12,6 +12,10 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - Set up a git-hook via `husky` to lint and format the changes before a commit
 - Added the `typescript-eslint/recommended-type-checked` rule to the `eslint` configuration
 
+### Changed
+
+- Optimized the portfolio calculations by reusing date intervals
+
 ### Fixed
 
 - Handled an exception in the historical market data gathering of derived currencies

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

@@ -22,7 +22,7 @@ import {
 import { cloneDeep, first, last, sortBy } from 'lodash';
 
 export class TWRPortfolioCalculator extends PortfolioCalculator {
-  private chartDatesDescending: string[];
+  private chartDates: string[];
 
   protected calculateOverallPerformance(
     positions: TimelinePosition[]
@@ -228,11 +228,11 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
 
     const dateOfFirstTransaction = new Date(first(orders).date);
 
-    const unitPriceAtStartDate =
-      marketSymbolMap[format(start, DATE_FORMAT)]?.[symbol];
+    const endDateString = format(end, DATE_FORMAT);
+    const startDateString = format(start, DATE_FORMAT);
 
-    const unitPriceAtEndDate =
-      marketSymbolMap[format(end, DATE_FORMAT)]?.[symbol];
+    const unitPriceAtStartDate = marketSymbolMap[startDateString]?.[symbol];
+    const unitPriceAtEndDate = marketSymbolMap[endDateString]?.[symbol];
 
     if (
       !unitPriceAtEndDate ||
@@ -278,7 +278,7 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
 
     // Add a synthetic order at the start and the end date
     orders.push({
-      date: format(start, DATE_FORMAT),
+      date: startDateString,
       fee: new Big(0),
       feeInBaseCurrency: new Big(0),
       itemType: 'start',
@@ -292,7 +292,7 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
     });
 
     orders.push({
-      date: format(end, DATE_FORMAT),
+      date: endDateString,
       fee: new Big(0),
       feeInBaseCurrency: new Big(0),
       itemType: 'end',
@@ -305,7 +305,6 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       unitPrice: unitPriceAtEndDate
     });
 
-    let day = start;
     let lastUnitPrice: Big;
 
     const ordersByDate: { [date: string]: PortfolioOrderItem[] } = {};
@@ -315,15 +314,23 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       ordersByDate[order.date].push(order);
     }
 
-    while (isBefore(day, end)) {
-      const dateString = format(day, DATE_FORMAT);
+    if (!this.chartDates) {
+      this.chartDates = Object.keys(chartDateMap).sort();
+    }
+
+    for (const dateString of this.chartDates) {
+      if (dateString < startDateString) {
+        continue;
+      } else if (dateString > endDateString) {
+        break;
+      }
 
       if (ordersByDate[dateString]?.length > 0) {
         for (let order of ordersByDate[dateString]) {
           order.unitPriceFromMarketData =
             marketSymbolMap[dateString]?.[symbol] ?? lastUnitPrice;
         }
-      } else if (chartDateMap[dateString]) {
+      } else {
         orders.push({
           date: dateString,
           fee: new Big(0),
@@ -343,8 +350,6 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       const lastOrder = last(orders);
 
       lastUnitPrice = lastOrder.unitPriceFromMarketData ?? lastOrder.unitPrice;
-
-      day = addDays(day, 1);
     }
 
     // Sort orders so that the start and end placeholder order are at the correct
@@ -821,14 +826,14 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
         startDate = start;
       }
 
-      const endDateString = format(endDate, DATE_FORMAT);
-      const startDateString = format(startDate, DATE_FORMAT);
+      const rangeEndDateString = format(endDate, DATE_FORMAT);
+      const rangeStartDateString = format(startDate, DATE_FORMAT);
 
       const currentValuesAtDateRangeStartWithCurrencyEffect =
-        currentValuesWithCurrencyEffect[startDateString] ?? new Big(0);
+        currentValuesWithCurrencyEffect[rangeStartDateString] ?? new Big(0);
 
       const investmentValuesAccumulatedAtStartDateWithCurrencyEffect =
-        investmentValuesAccumulatedWithCurrencyEffect[startDateString] ??
+        investmentValuesAccumulatedWithCurrencyEffect[rangeStartDateString] ??
         new Big(0);
 
       const grossPerformanceAtDateRangeStartWithCurrencyEffect =
@@ -839,14 +844,12 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       let average = new Big(0);
       let dayCount = 0;
 
-      if (!this.chartDatesDescending) {
-        this.chartDatesDescending = Object.keys(chartDateMap).sort().reverse();
-      }
+      for (let i = this.chartDates.length - 1; i >= 0; i -= 1) {
+        const date = this.chartDates[i];
 
-      for (const date of this.chartDatesDescending) {
-        if (date > endDateString) {
+        if (date > rangeEndDateString) {
           continue;
-        } else if (date < startDateString) {
+        } else if (date < rangeStartDateString) {
           break;
         }
 
@@ -869,13 +872,13 @@ export class TWRPortfolioCalculator extends PortfolioCalculator {
       }
 
       netPerformanceWithCurrencyEffectMap[dateRange] =
-        netPerformanceValuesWithCurrencyEffect[endDateString]?.minus(
+        netPerformanceValuesWithCurrencyEffect[rangeEndDateString]?.minus(
           // If the date range is 'max', take 0 as a start value. Otherwise,
           // the value of the end of the day of the start date is taken which
           // differs from the buying price.
           dateRange === 'max'
             ? new Big(0)
-            : (netPerformanceValuesWithCurrencyEffect[startDateString] ??
+            : (netPerformanceValuesWithCurrencyEffect[rangeStartDateString] ??
                 new Big(0))
         ) ?? new Big(0);