Feature/time weighted return

.migrations/006_self_enriched_tx.up.sql

@@ -0,0 +1,281 @@
+--  create view
+drop view if exists transactions_ext;
+
+create view
+  if not exists transactions_ext as
+with
+  quantity_ext_cte as (
+    select
+      *,
+      case
+        when type = 'buy' then quantity
+        else - quantity
+      end as quantity_ext
+    from
+      transactions
+  ),
+  running_holding_cte as (
+    select
+      *,
+      case
+      -- if less then one ten millionth
+        when sum(quantity_ext) over up_to_here < 1e-7 then 0
+        else sum(quantity_ext) over up_to_here
+      end as running_holding
+    from
+      quantity_ext_cte
+    window
+      up_to_here as (
+        partition by
+          asset_id
+        order by
+          id,
+          date
+      )
+  ),
+  stretch_cte as (
+    select
+      *,
+      sum(
+        case
+          when running_holding <= 0 then 1
+          else 0
+        end
+      ) over stretch_w as stretch
+    from
+      running_holding_cte
+    window
+      stretch_w as (
+        partition by
+          asset_id
+        order by
+          id,
+          date
+      )
+  ),
+  stretch_ext_cte as (
+    select
+      *,
+      lag (stretch, 1, 0) over stretch_w as stretch_ext
+    from
+      stretch_cte
+    window
+      stretch_w as (
+        partition by
+          asset_id
+        order by
+          id,
+          date
+      )
+  ),
+  running_cost_cte as (
+    select
+      *,
+      quantity_ext / max(running_holding) over entire_stretch as contribution,
+      case
+        when sum(quantity_ext * price) over true_stretch <= 1e-7 then 0
+        else sum(quantity_ext * price) over true_stretch
+      end as running_cost,
+      sum(quantity_ext * price) over true_stretch / running_holding as raw_avg_price
+    from
+      stretch_ext_cte
+    window
+      true_stretch as (
+        partition by
+          asset_id,
+          stretch_ext
+        order by
+          id,
+          date
+      ),
+      entire_stretch as (
+        partition by
+          asset_id,
+          stretch_ext
+        order by
+          id,
+          date range between unbounded preceding
+          and unbounded following
+      )
+  ),
+  avg_price_cte as (
+    select
+      *,
+      round(sum(contribution) over true_stretch, 9) as running_contribution,
+      case
+        when quantity_ext < 0 then lag (raw_avg_price, 1) over true_stretch
+        else raw_avg_price
+      end as running_average_price,
+      stretch_ext = max(stretch_ext) over extended_stretch
+      and last_value (running_holding) over extended_stretch > 0 as final_stretch
+    from
+      running_cost_cte
+    window
+      true_stretch as (
+        partition by
+          asset_id,
+          stretch_ext
+        order by
+          id,
+          date
+      ),
+      extended_stretch as (
+        partition by
+          asset_id
+        order by
+          id,
+          date range between unbounded preceding
+          and unbounded following
+      )
+  ),
+  txs_ext_cte as (
+    select
+      *,
+      case
+        when quantity_ext > 0
+        and not final_stretch then last_value (price) over true_stretch
+        when quantity_ext < 0 then price
+        else null
+      end as sold_price,
+      case
+        when quantity_ext > 0
+        and not final_stretch then
+        -- sold price * qty - cost_basis
+        last_value (price) over true_stretch * quantity - (running_average_price * quantity)
+        when quantity_ext < 0 then price * quantity - running_average_price * quantity
+        else null
+      end as pnl,
+      strftime ('%s', date) as timestamp,
+      quantity_ext * price as cost,
+      stretch_ext as stretch,
+      quantity_ext * running_average_price as cost_basis,
+      running_average_price * running_holding as running_break_even,
+      case
+        when quantity_ext < 0 then (price - running_average_price) * quantity
+        else 0
+      end as realized_pnl
+    from
+      avg_price_cte
+    window
+      true_stretch as (
+        partition by
+          asset_id,
+          stretch_ext
+        order by
+          id,
+          date range between unbounded preceding
+          and unbounded following
+      )
+  )
+select
+  t.id,
+  t.asset_id,
+  t.type,
+  t.quantity,
+  t.quantity_ext,
+  t.price,
+  t.date,
+  t.timestamp,
+  t.running_holding,
+  t.running_cost,
+  t.running_average_price,
+  t.running_break_even,
+  t.running_contribution,
+  t.stretch,
+  t.final_stretch,
+  t.sold_price,
+  t.pnl,
+  t.pnl / t.cost_basis as pnl_pct,
+  t.sold_price * t.quantity as value,
+  t.realized_pnl,
+  t.cost,
+  t.cost_basis,
+  t.contribution,
+  t.comments,
+  t.created,
+  t.modified,
+  a.name as asset_name,
+  a.ticker as asset_ticker,
+  p.name as portfolio_name,
+  p.description as portfolio_description,
+  p.user_id
+from
+  txs_ext_cte t
+  inner join assets a on a.id = t.asset_id
+  inner join portfolios p on p.id = a.portfolio_id;
+
+-- assets ext
+drop view if exists assets_ext;
+
+create view
+  if not exists assets_ext as
+with
+  tx_aggregates as (
+    select
+      max(id) as id,
+      asset_id,
+      running_holding as holdings,
+      running_cost as cost,
+      running_average_price as avg_price,
+      running_break_even as break_even,
+      sum(realized_pnl) as realized_pnl,
+      max(date) as last_activity,
+      max(timestamp) as last_activity_ts,
+      count(id) as num_txs
+    from
+      transactions_ext
+    group by
+      asset_id
+    window
+      asset_window as (
+        partition by
+          asset_id
+        order by
+          stretch,
+          timestamp,
+          id
+      )
+  ),
+  assets_info as (
+    select
+      a.*,
+      p.user_id,
+      coalesce(t.holdings, 0) as holdings,
+      coalesce(t.cost, 0) as invested,
+      coalesce(t.avg_price, 0) as avg_price,
+      coalesce(t.break_even, 0) as break_even,
+      coalesce(t.realized_pnl, 0) as realized_pnl,
+      coalesce(t.num_txs, 0) as num_txs,
+      t.last_activity,
+      t.last_activity_ts
+    from
+      assets a
+      left join tx_aggregates t on a.id = t.asset_id
+      inner join portfolios p on p.id = a.portfolio_id
+  )
+select
+  *
+from
+  assets_info;
+
+-- portfolios_ext
+drop view if exists portfolios_ext;
+
+create view
+  portfolios_ext as
+with
+  portfolio_assets as (
+    select
+      portfolio_id,
+      count(id) as num_assets
+    from
+      assets_ext
+    group by
+      portfolio_id
+  )
+select
+  p.*,
+  coalesce(pa.num_assets, 0) as num_assets
+from
+  portfolios p
+  left join portfolio_assets as pa on p.id = pa.portfolio_id;

TODO.md

@@ -23,6 +23,9 @@
 [x] delete non empty portfolio bug
 [x] preferences should reset breadcrumb
 1.8
-[ ] research chart merges to Polars
-[ ] time-weighted return calc
-[ ] money-weighted return calc ??
+[-] research chart merges to Polars
+[ ] time-weighted return calc (via polars)
+[ ] money-weighted return calc (via polars)
+[ ] realized PnL calc (via polars)
+[ ] chart shows transactions
+[ ] break even line