@barchart/portfolio-api-common 1.19.0 → 1.21.0

package/lib/calculators/ValuationCalculator.js

@@ -0,0 +1,99 @@
+const Decimal = require('@barchart/common-js/lang/Decimal'),
+	is = require('@barchart/common-js/lang/is');
+
+const InstrumentType = require('./../data/InstrumentType');
+
+module.exports = (() => {
+	'use strict';
+
+	/**
+	 * Static utilities for calculating the value of a position.
+	 *
+	 * @public
+	 */
+	class ValuationCalculator {
+		constructor() {
+
+		}
+
+		/**
+		 * Calculates the value of a position.
+		 *
+		 * @public
+		 * @static
+		 * @param {Object} instrument
+		 * @param {Decimal|Number} price
+		 * @param {Decimal|Number} quantity
+		 * @returns {null|Decimal}
+		 */
+		static calculate(instrument, price, quantity) {
+			let priceToUse = null;
+
+			if (is.number(price)) {
+				priceToUse = new Decimal(price);
+			} else if (price instanceof Decimal) {
+				priceToUse = price;
+			}
+
+			if (priceToUse === null) {
+				return null;
+			}
+
+			const calculator = calculators.get(instrument.type);
+
+			return calculator(instrument, priceToUse, quantity);
+		}
+
+		toString() {
+			return `[ValuationCalculator]`;
+		}
+	}
+
+	function calculateForCash(instrument, price, quantity) {
+		return new Decimal(quantity);
+	}
+
+	function calculateForEquity(instrument, price, quantity) {
+		return price.multiply(quantity);
+	}
+
+	function calculateForEquityOption(instrument, price, quantity) {
+		const priceMultiplier = instrument.option.multiplier;
+
+		return price.multiply(priceMultiplier).multiply(quantity);
+	}
+
+	function calculateForFund(instrument, price, quantity) {
+		return price.multiply(quantity);
+	}
+
+	function calculateForFuture(instrument, price, quantity) {
+		const minimumTick = instrument.future.tick;
+		const minimumTickValue = instrument.future.value;
+
+		return price.divide(minimumTick).multiply(minimumTickValue).multiply(quantity);
+	}
+
+	function calculateForFutureOption(instrument, price, quantity) {
+		const minimumTick = instrument.option.tick;
+		const minimumTickValue = instrument.option.value;
+
+		return price.divide(minimumTick).multiply(minimumTickValue).multiply(quantity);
+	}
+
+	function calculateForOther(instrument, price, quantity) {
+		return price.multiply(quantity);
+	}
+
+	const calculators = new Map();
+
+	calculators.set(InstrumentType.CASH, calculateForCash);
+	calculators.set(InstrumentType.EQUITY, calculateForEquity);
+	calculators.set(InstrumentType.EQUITY_OPTION, calculateForEquityOption);
+	calculators.set(InstrumentType.FUND, calculateForFund);
+	calculators.set(InstrumentType.FUTURE, calculateForFuture);
+	calculators.set(InstrumentType.FUTURE_OPTION, calculateForFutureOption);
+	calculators.set(InstrumentType.OTHER, calculateForOther);
+
+	return ValuationCalculator;
+})();

package/lib/processing/PositionGroup.js

@@ -122,9 +122,11 @@ module.exports = (() => {
 
 			this._dataActual.currentPrice = null;
 			this._dataActual.basis = null;
+			this._dataActual.basis2 = null;
 			this._dataActual.realized = null;
 			this._dataActual.income = null;
 			this._dataActual.market = null;
+			this._dataActual.market2 = null;
 			this._dataActual.marketPercent = null;
 			this._dataActual.marketPercentPortfolio = null;
 			this._dataActual.unrealized = null;
@@ -145,10 +147,12 @@ module.exports = (() => {
 
 			this._dataFormat.currentPrice = null;
 			this._dataFormat.basis = null;
+			this._dataFormat.basis2 = null;
 			this._dataFormat.realized = null;
 			this._dataFormat.realizedPercent = null;
 			this._dataFormat.income = null;
 			this._dataFormat.market = null;
+			this._dataFormat.market2 = null;
 			this._dataFormat.marketPercent = null;
 			this._dataFormat.marketPercentPortfolio = null;
 			this._dataFormat.marketDirection = null;
@@ -716,6 +720,15 @@ module.exports = (() => {
 
 		let updates = items.reduce((updates, item) => {
 			updates.basis = updates.basis.add(translate(item, item.data.basis));
+
+			if (item.position.instrument.type === InstrumentType.FUTURE) {
+				if (group.single) {
+					updates.basis2 = null;
+				}
+			} else {
+				updates.basis2 = updates.basis2.add(translate(item, item.data.basis));
+			}
+
 			updates.realized = updates.realized.add(translate(item, item.data.realized));
 			updates.unrealized = updates.unrealized.add(translate(item, item.data.unrealized));
 			updates.income = updates.income.add(translate(item, item.data.income));
@@ -741,6 +754,7 @@ module.exports = (() => {
 			return updates;
 		}, {
 			basis: Decimal.ZERO,
+			basis2: Decimal.ZERO,
 			realized: Decimal.ZERO,
 			unrealized: Decimal.ZERO,
 			income: Decimal.ZERO,
@@ -760,6 +774,7 @@ module.exports = (() => {
 		});
 
 		actual.basis = updates.basis;
+		actual.basis2 = updates.basis2;
 		actual.realized = updates.realized;
 		actual.unrealized = updates.unrealized;
 		actual.income = updates.income;
@@ -778,6 +793,7 @@ module.exports = (() => {
 		actual.periodDivisorPrevious2 = updates.periodDivisorPrevious2;
 
 		format.basis = formatCurrency(actual.basis, currency);
+		format.basis2 = formatCurrency(actual.basis2, currency);
 		format.realized = formatCurrency(actual.realized, currency);
 		format.unrealized = formatCurrency(actual.unrealized, currency);
 		format.income = formatCurrency(actual.income, currency);
@@ -877,6 +893,13 @@ module.exports = (() => {
 
 			updates = items.reduce((updates, item) => {
 				updates.market = updates.market.add(translate(item, item.data.market));
+
+				if (item.position.instrument.type === InstrumentType.FUTURE) {
+					updates.market2 = updates.market2.add(translate(item, item.data.unrealized));
+				} else {
+					updates.market2 = updates.market2.add(translate(item, item.data.market));
+				}
+
 				updates.marketAbsolute = updates.marketAbsolute.add(translate(item, item.data.marketAbsolute));
 				updates.unrealized = updates.unrealized.add(translate(item, item.data.unrealized));
 				updates.unrealizedToday = updates.unrealizedToday.add(translate(item, item.data.unrealizedToday));
@@ -886,6 +909,7 @@ module.exports = (() => {
 				return updates;
 			}, {
 				market: Decimal.ZERO,
+				market2: Decimal.ZERO,
 				marketAbsolute: Decimal.ZERO,
 				marketDirection: unchanged,
 				unrealized: Decimal.ZERO,
@@ -894,18 +918,26 @@ module.exports = (() => {
 				periodUnrealized: Decimal.ZERO
 			});
 		} else {
-			updates = {
-				market: actual.market.add(translate(item, item.data.marketChange)),
-				marketAbsolute: actual.marketAbsolute.add(translate(item, item.data.marketAbsoluteChange)),
-				marketDirection: { up: item.data.marketChange.getIsPositive(), down: item.data.marketChange.getIsNegative() },
-				unrealized: actual.unrealized.add(translate(item, item.data.unrealizedChange)),
-				unrealizedToday: actual.unrealizedToday.add(translate(item, item.data.unrealizedTodayChange)),
-				summaryTotalCurrent: actual.summaryTotalCurrent.add(translate(item, item.data.periodGainChange)),
-				periodUnrealized: actual.periodUnrealized.add(translate(item, item.data.periodUnrealizedChange))
-			};
+			updates = { };
+
+			updates.market = actual.market.add(translate(item, item.data.marketChange));
+
+			if (item.position.instrument.type === InstrumentType.FUTURE) {
+				updates.market2 = actual.market2.add(translate(item, item.data.unrealizedChange));
+			} else {
+				updates.market2 = actual.market2.add(translate(item, item.data.marketChange));
+			}
+
+			updates.marketAbsolute = actual.marketAbsolute.add(translate(item, item.data.marketAbsoluteChange));
+			updates.marketDirection = { up: item.data.marketChange.getIsPositive(), down: item.data.marketChange.getIsNegative() };
+			updates.unrealized = actual.unrealized.add(translate(item, item.data.unrealizedChange));
+			updates.unrealizedToday = actual.unrealizedToday.add(translate(item, item.data.unrealizedTodayChange));
+			updates.summaryTotalCurrent = actual.summaryTotalCurrent.add(translate(item, item.data.periodGainChange));
+			updates.periodUnrealized = actual.periodUnrealized.add(translate(item, item.data.periodUnrealizedChange));
 		}
 
 		actual.market = updates.market;
+		actual.market2 = updates.market2;
 		actual.marketAbsolute = updates.marketAbsolute;
 		actual.unrealized = updates.unrealized;
 		actual.unrealizedToday = updates.unrealizedToday;
@@ -934,6 +966,7 @@ module.exports = (() => {
 		actual.marketChangePercent = marketChangePercent;
 
 		format.market = formatCurrency(actual.market, currency);
+		format.market2 = formatCurrency(actual.market2, currency);
 
 		if (updates.marketDirection.up || updates.marketDirection.down) {
 			format.marketDirection = unchanged;

package/lib/processing/PositionItem.js

@@ -8,6 +8,8 @@ const assert = require('@barchart/common-js/lang/assert'),
 const InstrumentType = require('./../data/InstrumentType'),
 	PositionDirection = require('./../data/PositionDirection');
 
+const ValuationCalculator = require('./../calculators/ValuationCalculator');
+
 module.exports = (() => {
 	'use strict';
 
@@ -514,18 +516,8 @@ module.exports = (() => {
 			market = snapshot.value;
 		} else if (position.instrument.type === InstrumentType.CASH) {
 			market = snapshot.open;
-		} else if (position.instrument.type === InstrumentType.FUTURE) {
-			market = getFuturesValue(position.instrument, snapshot.open, price) || snapshot.value;
-		} else if (position.instrument.type === InstrumentType.FUTURE_OPTION) {
-			market = getFuturesOptionValue(position.instrument, snapshot.open, price) || snapshot.value;
-		} else if (position.instrument.type === InstrumentType.EQUITY_OPTION) {
-			market = getEquityOptionValue(position.instrument, snapshot.open, price) || snapshot.value;
 		} else {
-			if (price) {
-				market = snapshot.open.multiply(price);
-			} else {
-				market = snapshot.value;
-			}
+			market = ValuationCalculator.calculate(position.instrument, price, snapshot.open) || snapshot.value;
 		}
 
 		let marketChange;
@@ -555,17 +547,7 @@ module.exports = (() => {
 		let unrealizedTodayChange;
 
 		if (data.previousPrice && price) {
-			let unrealizedTodayBase;
-
-			if (position.instrument.type === InstrumentType.FUTURE) {
-				unrealizedTodayBase = getFuturesValue(position.instrument, snapshot.open, data.previousPrice);
-			} else if (position.instrument.type === InstrumentType.FUTURE_OPTION) {
-				unrealizedTodayBase = getFuturesOptionValue(position.instrument, snapshot.open, data.previousPrice);
-			} else if (position.instrument.type === InstrumentType.EQUITY_OPTION) {
-				unrealizedTodayBase = getEquityOptionValue(position.instrument, snapshot.open, data.previousPrice);
-			} else {
-				unrealizedTodayBase = snapshot.open.multiply(data.previousPrice);
-			}
+			const unrealizedTodayBase = ValuationCalculator.calculate(position.instrument, data.previousPrice, snapshot.open);
 
 			unrealizedToday = market.subtract(unrealizedTodayBase);
 
@@ -599,17 +581,7 @@ module.exports = (() => {
 			}
 
 			if (priceToUse !== null) {
-				let unrealized;
-
-				if (position.instrument.type === InstrumentType.FUTURE) {
-					unrealized = getFuturesValue(position.instrument, currentSummary.end.open, priceToUse).add(currentSummary.end.basis);
-				} else if (position.instrument.type === InstrumentType.FUTURE_OPTION) {
-					unrealized = getFuturesOptionValue(position.instrument, currentSummary.end.open, priceToUse).add(currentSummary.end.basis);
-				} else if (position.instrument.type === InstrumentType.EQUITY_OPTION) {
-					unrealized = getEquityOptionValue(position.instrument, currentSummary.end.open, priceToUse).add(currentSummary.end.basis);
-				} else {
-					unrealized = currentSummary.end.open.multiply(priceToUse).add(currentSummary.end.basis);
-				}
+				const unrealized = ValuationCalculator.calculate(position.instrument, priceToUse, currentSummary.end.open).add(currentSummary.end.basis);
 
 				let unrealizedChange;
 
@@ -694,15 +666,7 @@ module.exports = (() => {
 			let endValue;
 
 			if (overridePrice) {
-				if (type === InstrumentType.FUTURE) {
-					endValue = getFuturesValue(instrument, currentSummary.end.open, overridePrice);
-				} else if (type === InstrumentType.FUTURE_OPTION) {
-					endValue = getFuturesOptionValue(instrument, currentSummary.end.open, overridePrice);
-				} else if (type === InstrumentType.EQUITY_OPTION) {
-					endValue = getEquityOptionValue(instrument, currentSummary.end.open, overridePrice);
-				} else {
-					endValue = currentSummary.end.open.multiply(overridePrice);
-				}
+				endValue = ValuationCalculator.calculate(instrument, overridePrice, currentSummary.end.open);
 			} else {
 				endValue = currentSummary.end.value;
 			}
@@ -823,44 +787,5 @@ module.exports = (() => {
 		return snapshot;
 	}
 
-	function getFuturesValue(instrument, contracts, price) {
-		if (price || price === 0) {
-			const priceDecimal = new Decimal(price);
-
-			const minimumTick = instrument.future.tick;
-			const minimumTickValue = instrument.future.value;
-
-			return priceDecimal.divide(minimumTick).multiply(minimumTickValue).multiply(contracts);
-		} else {
-			return null;
-		}
-	}
-
-	function getFuturesOptionValue(instrument, contracts, price) {
-		if (price || price === 0) {
-			const priceDecimal = new Decimal(price);
-
-			const minimumTick = instrument.option.tick;
-			const minimumTickValue = instrument.option.value;
-
-			const multiplier = instrument.option.multiplier;
-
-			return priceDecimal.divide(minimumTick).multiply(minimumTickValue).multiply(multiplier).multiply(contracts);
-		} else {
-			return null;
-		}
-	}
-
-	function getEquityOptionValue(instrument, contracts, price) {
-		if (price || price === 0) {
-			const priceDecimal = new Decimal(price);
-			const multiplier = instrument.option.multiplier;
-
-			return priceDecimal.multiply(contracts).multiply(multiplier);
-		} else {
-			return null;
-		}
-	}
-
 	return PositionItem;
 })();

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@barchart/portfolio-api-common",
-  "version": "1.19.0",
+  "version": "1.21.0",
   "description": "Common JavaScript code used by Barchart's Portfolio Service",
   "author": {
     "name": "Bryan Ingle",