gloomberb 0.2.0 → 0.3.2

package/src/plugins/builtin/portfolio-list/metrics.ts

@@ -0,0 +1,460 @@
+import type { CollectionSortPreference } from "../../../state/app-context";
+import type { ColumnConfig } from "../../../types/config";
+import type { TickerFinancials } from "../../../types/financials";
+import type { TickerRecord } from "../../../types/ticker";
+import { priceColor } from "../../../theme/colors";
+import { clampQuoteTimestamp, formatQuoteAgeWithSource } from "../../../utils/quote-time";
+import { convertCurrency, formatCompact, formatCurrency, formatNumber, formatPercentRaw, formatPrice } from "../../../utils/format";
+import { getActiveQuoteDisplay, type ActiveQuoteDisplay } from "../../../utils/market-status";
+import { formatOptionTicker } from "../../../utils/options";
+
+export interface ColumnContext {
+  activeTab?: string;
+  baseCurrency: string;
+  exchangeRates: Map<string, number>;
+  now: number;
+}
+
+interface PortfolioPositionMetrics {
+  positionCurrency: string;
+  totalShares: number;
+  totalCost: number;
+  totalCostUnits: number;
+  totalPriceUnits: number;
+  brokerMktValue: number;
+  hasBrokerMktValue: boolean;
+  brokerPnl: number;
+  hasBrokerPnl: boolean;
+  brokerMarkPrice: number | undefined;
+}
+
+export interface PortfolioSummaryTotals {
+  totalMktValue: number;
+  dailyPnl: number;
+  dailyPnlPct: number;
+  totalCostBasis: number;
+  hasPositions: boolean;
+  unrealizedPnl: number;
+  unrealizedPnlPct: number;
+  avgWatchlistChange: number;
+  watchlistCount: number;
+}
+
+const EMPTY_SORT_PREFERENCE: CollectionSortPreference = {
+  columnId: null,
+  direction: "asc",
+};
+
+const DEFAULT_PORTFOLIO_SORT_PREFERENCE: CollectionSortPreference = {
+  columnId: "mkt_value",
+  direction: "desc",
+};
+
+function getPositionCurrency(
+  positions: TickerRecord["metadata"]["positions"],
+  fallbackCurrency: string,
+): string {
+  return positions.find((position) => position.currency)?.currency || fallbackCurrency;
+}
+
+function normalizePositionMultiplier(multiplier: number | undefined): number {
+  return typeof multiplier === "number" && Number.isFinite(multiplier) && multiplier > 0
+    ? multiplier
+    : 1;
+}
+
+function resolvePositionCostMultiplier(
+  position: TickerRecord["metadata"]["positions"][number],
+): number {
+  const priceMultiplier = normalizePositionMultiplier(position.multiplier);
+  if (priceMultiplier === 1) return 1;
+
+  if (position.marketValue == null || position.unrealizedPnl == null) {
+    return priceMultiplier;
+  }
+
+  const costWithoutMultiplier = position.shares * position.avgCost;
+  const costWithMultiplier = costWithoutMultiplier * priceMultiplier;
+  const withoutMultiplierError = Math.abs((position.marketValue - costWithoutMultiplier) - position.unrealizedPnl);
+  const withMultiplierError = Math.abs((position.marketValue - costWithMultiplier) - position.unrealizedPnl);
+
+  // IBKR gateway derivatives can report avgCost already scaled to the contract.
+  return withoutMultiplierError < withMultiplierError ? 1 : priceMultiplier;
+}
+
+function getPortfolioPositionMetrics(
+  ticker: TickerRecord,
+  activeTab: string | undefined,
+  fallbackCurrency: string,
+): PortfolioPositionMetrics {
+  const tabPositions = activeTab
+    ? ticker.metadata.positions.filter((position) => position.portfolio === activeTab)
+    : ticker.metadata.positions;
+  const positionCurrency = getPositionCurrency(tabPositions, fallbackCurrency);
+  let totalShares = 0;
+  let totalCost = 0;
+  let totalCostUnits = 0;
+  let totalPriceUnits = 0;
+  let brokerMktValue = 0;
+  let hasBrokerMktValue = false;
+  let brokerPnl = 0;
+  let hasBrokerPnl = false;
+  for (const position of tabPositions) {
+    const direction = position.side === "short" ? -1 : 1;
+    const priceMultiplier = normalizePositionMultiplier(position.multiplier);
+    const costMultiplier = resolvePositionCostMultiplier(position);
+
+    totalShares += position.shares * direction;
+    totalCost += position.shares * position.avgCost * costMultiplier;
+    totalCostUnits += position.shares * costMultiplier;
+    totalPriceUnits += position.shares * priceMultiplier * direction;
+
+    if (position.marketValue != null) {
+      brokerMktValue += position.marketValue;
+      hasBrokerMktValue = true;
+    }
+    if (position.unrealizedPnl != null) {
+      brokerPnl += position.unrealizedPnl;
+      hasBrokerPnl = true;
+    }
+  }
+
+  return {
+    positionCurrency,
+    totalShares,
+    totalCost,
+    totalCostUnits,
+    totalPriceUnits,
+    brokerMktValue,
+    hasBrokerMktValue,
+    brokerPnl,
+    hasBrokerPnl,
+    brokerMarkPrice: tabPositions.length === 1 ? tabPositions[0]?.markPrice : undefined,
+  };
+}
+
+function resolveBrokerFallbackMarketValue(metrics: PortfolioPositionMetrics): number | null {
+  if (metrics.hasBrokerMktValue) return metrics.brokerMktValue;
+  if (metrics.brokerMarkPrice != null && metrics.totalPriceUnits !== 0) {
+    return Math.abs(metrics.totalPriceUnits) * metrics.brokerMarkPrice;
+  }
+  if (metrics.hasBrokerPnl) {
+    return metrics.totalCost + metrics.brokerPnl;
+  }
+  return null;
+}
+
+function resolveBrokerFallbackPnl(metrics: PortfolioPositionMetrics, brokerMarketValue: number | null): number | null {
+  if (metrics.hasBrokerPnl) return metrics.brokerPnl;
+  if (brokerMarketValue != null && metrics.totalCost !== 0) {
+    return brokerMarketValue - metrics.totalCost;
+  }
+  return null;
+}
+
+export function resolvePortfolioPriceValue(
+  activeQuote: ActiveQuoteDisplay | null,
+  brokerMarkPrice: number | undefined,
+): { text: string; color?: string } {
+  if (activeQuote) {
+    return {
+      text: formatPrice(activeQuote.price),
+      color: priceColor(activeQuote.change),
+    };
+  }
+  if (brokerMarkPrice != null) {
+    return { text: formatPrice(brokerMarkPrice) };
+  }
+  return { text: "—" };
+}
+
+export function getColumnValue(
+  col: ColumnConfig,
+  ticker: TickerRecord,
+  financials: TickerFinancials | undefined,
+  ctx: ColumnContext,
+): { text: string; color?: string } {
+  const quote = financials?.quote;
+  const activeQuote = getActiveQuoteDisplay(quote);
+  const fundamentals = financials?.fundamentals;
+  const quoteCurrency = quote?.currency || ticker.metadata.currency || "USD";
+
+  const positionMetrics = getPortfolioPositionMetrics(ticker, ctx.activeTab, quoteCurrency);
+  const { positionCurrency, totalShares, totalCost, totalCostUnits, totalPriceUnits, brokerMarkPrice } = positionMetrics;
+  const brokerFallbackMktValue = resolveBrokerFallbackMarketValue(positionMetrics);
+  const brokerFallbackPnl = resolveBrokerFallbackPnl(positionMetrics, brokerFallbackMktValue);
+  const toBaseQuote = (value: number) =>
+    convertCurrency(value, quoteCurrency, ctx.baseCurrency, ctx.exchangeRates);
+  const toBasePosition = (value: number) =>
+    convertCurrency(value, positionCurrency, ctx.baseCurrency, ctx.exchangeRates);
+
+  switch (col.id) {
+    case "ticker": {
+      const marketState = quote?.marketState;
+      const statusDot = marketState === "REGULAR" ? "\u25CF" : "\u25CB";
+      const displayName = ticker.metadata.assetCategory === "OPT"
+        ? formatOptionTicker(ticker.metadata.ticker)
+        : ticker.metadata.ticker;
+      return { text: `${statusDot} ${displayName}` };
+    }
+    case "price":
+      return resolvePortfolioPriceValue(activeQuote, brokerMarkPrice);
+    case "change":
+      if (!activeQuote) return { text: "—" };
+      return {
+        text: (activeQuote.change >= 0 ? "+" : "") + activeQuote.change.toFixed(2),
+        color: priceColor(activeQuote.change),
+      };
+    case "bid":
+      return { text: quote?.bid != null ? formatPrice(quote.bid) : "—" };
+    case "ask":
+      return { text: quote?.ask != null ? formatPrice(quote.ask) : "—" };
+    case "spread":
+      return {
+        text: quote?.bid != null && quote?.ask != null
+          ? formatCurrency(quote.ask - quote.bid, quoteCurrency)
+          : "—",
+      };
+    case "change_pct":
+      return activeQuote
+        ? { text: formatPercentRaw(activeQuote.changePercent), color: priceColor(activeQuote.changePercent) }
+        : { text: quote ? formatPercentRaw(quote.changePercent) : "—", color: quote ? priceColor(quote.changePercent) : undefined };
+    case "market_cap":
+      if (!quote?.marketCap) return { text: "—" };
+      return { text: formatCompact(toBaseQuote(quote.marketCap)) };
+    case "pe":
+      return { text: fundamentals?.trailingPE ? formatNumber(fundamentals.trailingPE, 1) : "—" };
+    case "forward_pe":
+      return { text: fundamentals?.forwardPE ? formatNumber(fundamentals.forwardPE, 1) : "—" };
+    case "dividend_yield":
+      return {
+        text: fundamentals?.dividendYield != null ? `${(fundamentals.dividendYield * 100).toFixed(2)}%` : "—",
+      };
+    case "ext_hours":
+      if ((quote?.marketState === "PRE" || quote?.marketState === "PREPRE") && quote.preMarketPrice != null) {
+        const changePercent = activeQuote?.changePercent ?? quote.preMarketChangePercent ?? 0;
+        return { text: formatPercentRaw(changePercent), color: priceColor(changePercent) };
+      }
+      if ((quote?.marketState === "POST" || quote?.marketState === "POSTPOST") && quote.postMarketPrice != null) {
+        const changePercent = activeQuote?.changePercent ?? quote.postMarketChangePercent ?? 0;
+        return { text: formatPercentRaw(changePercent), color: priceColor(changePercent) };
+      }
+      return { text: "—" };
+    case "shares":
+      return { text: totalShares !== 0 ? formatCompact(totalShares) : "—" };
+    case "avg_cost":
+      if (totalCostUnits === 0) return { text: "—" };
+      return { text: formatPrice(totalCost / Math.abs(totalCostUnits)) };
+    case "cost_basis":
+      if (totalCost === 0) return { text: "—" };
+      return { text: formatCompact(toBasePosition(totalCost)) };
+    case "mkt_value":
+      if (activeQuote && totalPriceUnits !== 0) {
+        return { text: formatCompact(toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price)) };
+      }
+      if (brokerFallbackMktValue != null) {
+        return { text: formatCompact(toBasePosition(brokerFallbackMktValue)) };
+      }
+      return { text: "—" };
+    case "pnl":
+      if (activeQuote && totalPriceUnits !== 0) {
+        const pnl = toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price) - toBasePosition(totalCost);
+        return { text: `${pnl >= 0 ? "+" : ""}${formatCompact(pnl)}`, color: priceColor(pnl) };
+      }
+      if (brokerFallbackPnl != null) {
+        const pnl = toBasePosition(brokerFallbackPnl);
+        return { text: `${pnl >= 0 ? "+" : ""}${formatCompact(pnl)}`, color: priceColor(pnl) };
+      }
+      return { text: "—" };
+    case "pnl_pct":
+      if (activeQuote && totalCost !== 0) {
+        const marketValue = toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price);
+        const costBasis = toBasePosition(totalCost);
+        const percent = costBasis !== 0 ? ((marketValue - costBasis) / costBasis) * 100 : 0;
+        return { text: formatPercentRaw(percent), color: priceColor(percent) };
+      }
+      if (brokerFallbackPnl != null && totalCost !== 0) {
+        const costBasis = toBasePosition(totalCost);
+        const pnl = toBasePosition(brokerFallbackPnl);
+        const percent = costBasis !== 0 ? (pnl / costBasis) * 100 : 0;
+        return { text: formatPercentRaw(percent), color: priceColor(percent) };
+      }
+      return { text: "—" };
+    case "latency":
+      return { text: formatQuoteAgeWithSource(quote, ctx.now) };
+    default:
+      return { text: "—" };
+  }
+}
+
+export function getSortValue(
+  col: ColumnConfig,
+  ticker: TickerRecord,
+  financials: TickerFinancials | undefined,
+  ctx: ColumnContext,
+): number | string | null {
+  const quote = financials?.quote;
+  const activeQuote = getActiveQuoteDisplay(quote);
+  const fundamentals = financials?.fundamentals;
+  const quoteCurrency = quote?.currency || ticker.metadata.currency || "USD";
+
+  const positionMetrics = getPortfolioPositionMetrics(ticker, ctx.activeTab, quoteCurrency);
+  const { positionCurrency, totalShares, totalCost, totalCostUnits, totalPriceUnits, brokerMarkPrice } = positionMetrics;
+  const brokerFallbackMktValue = resolveBrokerFallbackMarketValue(positionMetrics);
+  const brokerFallbackPnl = resolveBrokerFallbackPnl(positionMetrics, brokerFallbackMktValue);
+  const toBaseQuote = (value: number) =>
+    convertCurrency(value, quoteCurrency, ctx.baseCurrency, ctx.exchangeRates);
+  const toBasePosition = (value: number) =>
+    convertCurrency(value, positionCurrency, ctx.baseCurrency, ctx.exchangeRates);
+
+  switch (col.id) {
+    case "ticker":
+      return ticker.metadata.ticker;
+    case "price":
+      if (activeQuote) return activeQuote.price;
+      if (brokerMarkPrice != null) return brokerMarkPrice;
+      return null;
+    case "bid":
+      return quote?.bid ?? null;
+    case "ask":
+      return quote?.ask ?? null;
+    case "spread":
+      return quote?.bid != null && quote?.ask != null ? quote.ask - quote.bid : null;
+    case "change":
+      return activeQuote ? activeQuote.change : null;
+    case "change_pct":
+      return activeQuote?.changePercent ?? null;
+    case "market_cap":
+      return quote?.marketCap ? toBaseQuote(quote.marketCap) : null;
+    case "pe":
+      return fundamentals?.trailingPE ?? null;
+    case "forward_pe":
+      return fundamentals?.forwardPE ?? null;
+    case "dividend_yield":
+      return fundamentals?.dividendYield ?? null;
+    case "ext_hours":
+      if ((quote?.marketState === "PRE" || quote?.marketState === "PREPRE") && quote.preMarketPrice != null) {
+        return activeQuote?.changePercent ?? quote.preMarketChangePercent ?? 0;
+      }
+      if ((quote?.marketState === "POST" || quote?.marketState === "POSTPOST") && quote.postMarketPrice != null) {
+        return activeQuote?.changePercent ?? quote.postMarketChangePercent ?? 0;
+      }
+      return null;
+    case "shares":
+      return totalShares !== 0 ? totalShares : null;
+    case "avg_cost":
+      return totalCostUnits !== 0 ? totalCost / Math.abs(totalCostUnits) : null;
+    case "cost_basis":
+      return totalCost !== 0 ? toBasePosition(totalCost) : null;
+    case "mkt_value":
+      if (activeQuote && totalPriceUnits !== 0) {
+        return toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price);
+      }
+      if (brokerFallbackMktValue != null) {
+        return toBasePosition(brokerFallbackMktValue);
+      }
+      return null;
+    case "pnl":
+      if (activeQuote && totalPriceUnits !== 0) {
+        return toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price) - toBasePosition(totalCost);
+      }
+      if (brokerFallbackPnl != null) {
+        return toBasePosition(brokerFallbackPnl);
+      }
+      return null;
+    case "pnl_pct":
+      if (activeQuote && totalCost !== 0) {
+        const marketValue = toBaseQuote(Math.abs(totalPriceUnits) * activeQuote.price);
+        const costBasis = toBasePosition(totalCost);
+        return costBasis !== 0 ? ((marketValue - costBasis) / costBasis) * 100 : null;
+      }
+      if (brokerFallbackPnl != null && totalCost !== 0) {
+        const costBasis = toBasePosition(totalCost);
+        const pnl = toBasePosition(brokerFallbackPnl);
+        return costBasis !== 0 ? (pnl / costBasis) * 100 : null;
+      }
+      return null;
+    case "latency":
+      return quote?.lastUpdated != null ? ctx.now - (clampQuoteTimestamp(quote.lastUpdated, ctx.now) ?? ctx.now) : null;
+    default:
+      return null;
+  }
+}
+
+export function resolveCollectionSortPreference(
+  collectionId: string | null,
+  isPortfolio: boolean,
+  collectionSorts: Record<string, CollectionSortPreference>,
+): CollectionSortPreference {
+  if (!collectionId) return EMPTY_SORT_PREFERENCE;
+  return collectionSorts[collectionId] ?? (isPortfolio ? DEFAULT_PORTFOLIO_SORT_PREFERENCE : EMPTY_SORT_PREFERENCE);
+}
+
+export function calculatePortfolioSummaryTotals(
+  tickers: TickerRecord[],
+  financialsMap: Map<string, TickerFinancials>,
+  baseCurrency: string,
+  exchangeRates: Map<string, number>,
+  isPortfolio: boolean,
+  collectionId: string | null,
+): PortfolioSummaryTotals {
+  let totalMktValue = 0;
+  let totalPrevValue = 0;
+  let totalCostBasis = 0;
+  let hasPositions = false;
+  let watchlistChangeSum = 0;
+  let watchlistCount = 0;
+
+  for (const ticker of tickers) {
+    const financials = financialsMap.get(ticker.metadata.ticker);
+    const quote = financials?.quote;
+    const activeQuote = getActiveQuoteDisplay(quote);
+    const quoteCurrency = quote?.currency || ticker.metadata.currency || "USD";
+
+    if (!isPortfolio) {
+      if (quote?.changePercent != null) {
+        watchlistChangeSum += quote.changePercent;
+        watchlistCount++;
+      }
+      continue;
+    }
+
+    const positionMetrics = getPortfolioPositionMetrics(ticker, collectionId ?? undefined, quoteCurrency);
+    const { positionCurrency, totalPriceUnits, totalCost } = positionMetrics;
+    const brokerFallbackMktValue = resolveBrokerFallbackMarketValue(positionMetrics);
+    const toBaseQuote = (value: number) => convertCurrency(value, quoteCurrency, baseCurrency, exchangeRates);
+    const toBasePosition = (value: number) => convertCurrency(value, positionCurrency, baseCurrency, exchangeRates);
+
+    if (quote && activeQuote && totalPriceUnits !== 0) {
+      hasPositions = true;
+      const marketValue = Math.abs(totalPriceUnits) * activeQuote.price;
+      totalMktValue += toBaseQuote(marketValue);
+      const previousClose = quote.previousClose || (activeQuote.price - activeQuote.change);
+      totalPrevValue += toBaseQuote(Math.abs(totalPriceUnits) * previousClose);
+      totalCostBasis += toBasePosition(totalCost);
+    } else if (brokerFallbackMktValue != null) {
+      hasPositions = true;
+      totalMktValue += toBasePosition(brokerFallbackMktValue);
+      totalCostBasis += toBasePosition(totalCost);
+      totalPrevValue += toBasePosition(brokerFallbackMktValue);
+    }
+  }
+
+  const dailyPnl = totalMktValue - totalPrevValue;
+  const dailyPnlPct = totalPrevValue !== 0 ? (dailyPnl / totalPrevValue) * 100 : 0;
+  const unrealizedPnl = totalMktValue - totalCostBasis;
+  const unrealizedPnlPct = totalCostBasis !== 0 ? (unrealizedPnl / totalCostBasis) * 100 : 0;
+  const avgWatchlistChange = watchlistCount > 0 ? watchlistChangeSum / watchlistCount : 0;
+
+  return {
+    totalMktValue,
+    dailyPnl,
+    dailyPnlPct,
+    totalCostBasis,
+    hasPositions,
+    unrealizedPnl,
+    unrealizedPnlPct,
+    avgWatchlistChange,
+    watchlistCount,
+  };
+}