Refactor Portfolio balance.

5 files changed, 287 insertions, 38 deletions

diff --git a/api/api.go b/api/api.go
index 42b9923..ece2a26 100644
--- a/api/api.go
+++ b/api/api.go
@@ -45,6 +45,18 @@ func (e Error) Error() string {
         return ""
 }
 
+func ErrorIs(err error, code ErrorCode) bool {
+        if err == nil {
+                return false
+        }
+
+        if apiError, ok := err.(*Error); !ok {
+                return false
+        } else {
+                return apiError.Code == code
+        }
+}
+
 func NewInternalError(err error) *Error {
         return &Error{InternalError, "internal error", err}
 }
diff --git a/api/const.go b/api/const.go
index d3e5f42..1f15c6e 100644
--- a/api/const.go
+++ b/api/const.go
@@ -6,7 +6,7 @@ import "net/http"
 type Status uint32
 type ErrorCode uint32
 
-const EXTERNAL_SERVICE_TIMEOUT_SECONDS = 10
+const EXTERNAL_SERVICE_TIMEOUT_SECONDS = 20
 
 const (
         OK Status = iota
diff --git a/api/market_config.go b/api/market_config.go
index c2248b3..81a92d1 100644
--- a/api/market_config.go
+++ b/api/market_config.go
@@ -5,11 +5,9 @@ import (
         "strings"
         "time"
 
-        "immae.eu/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Front/markets"
-
         "github.com/jloup/utils"
-        "github.com/shopspring/decimal"
         "immae.eu/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Front/db"
+        "immae.eu/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Front/markets"
 )
 
 type MarketConfigQuery struct {
@@ -56,45 +54,33 @@ func (q MarketConfigQuery) Run() (interface{}, *Error) {
         return config.Config, nil
 }
 
-type MarketBalanceQuery struct {
+type TestMarketCredentialsQuery struct {
         In struct {
-                User     db.User
-                Market   string
-                Currency string
+                User   db.User
+                Market string
         }
 }
 
-func (q MarketBalanceQuery) ValidateParams() *Error {
+func (q TestMarketCredentialsQuery) ValidateParams() *Error {
         if q.In.Market != "poloniex" {
                 return &Error{BadRequest, "invalid market name", fmt.Errorf("'%v' is not a valid market name", q.In.Market)}
         }
 
-        // TODO: we should request market for available currencies.
-        if q.In.Currency != "BTC" && q.In.Currency != "USDT" && q.In.Currency != "ETH" {
-                return &Error{BadRequest, "invalid currency, accept [BTC, USDT, ETH]", fmt.Errorf("'%v' is not a valid currency", q.In.Currency)}
-        }
-
         return nil
 }
 
-func (q MarketBalanceQuery) Run() (interface{}, *Error) {
+func (q TestMarketCredentialsQuery) Run() (interface{}, *Error) {
         config, err := db.GetUserMarketConfig(q.In.User.Id, q.In.Market)
         if err != nil {
                 return nil, NewInternalError(err)
         }
 
         if config.Config["key"] == "" || config.Config["secret"] == "" {
-                return nil, &Error{InvalidMarketCredentials, "your credentials for this market are not setup", fmt.Errorf("'%v' credentials are not setup", q.In.Market)}
+                return nil, &Error{InvalidMarketCredentials, "no market credentials", fmt.Errorf("market credentials are empty for marketId '%v'", q.In.Market)}
         }
 
-        result := struct {
-                Value         decimal.Decimal            `json:"value"`
-                ValueCurrency string                     `json:"valueCurrency"`
-                Balance       map[string]markets.Balance `json:"balance"`
-        }{}
-
         resultErr := CallExternalService(fmt.Sprintf("'%s' GetBalanceValue", q.In.Market), EXTERNAL_SERVICE_TIMEOUT_SECONDS*time.Second, func() *Error {
-                balance, err := Poloniex.GetBalance(config.Config["key"], config.Config["secret"])
+                err := Poloniex.TestCredentials(config.Config["key"], config.Config["secret"])
 
                 if utils.ErrIs(err, markets.InvalidCredentials) {
                         return &Error{InvalidMarketCredentials, "wrong market credentials", fmt.Errorf("wrong '%v' market credentials", q.In.Market)}
@@ -108,16 +94,6 @@ func (q MarketBalanceQuery) Run() (interface{}, *Error) {
                         return NewInternalError(err)
                 }
 
-                for currency, value := range balance.Balances {
-                        if value.BTCValue.Abs().LessThan(decimal.NewFromFloat(0.0001)) {
-                                delete(balance.Balances, currency)
-                        }
-                }
-
-                result.Balance = balance.Balances
-                result.ValueCurrency = "BTC"
-                result.Value = balance.BTCValue.Round(8)
-
                 return nil
         })
 
@@ -125,7 +101,7 @@ func (q MarketBalanceQuery) Run() (interface{}, *Error) {
                 return nil, resultErr
         }
 
-        return &result, nil
+        return nil, nil
 }
 
 type UpdateMarketConfigQuery struct {
@@ -164,3 +140,36 @@ func (q UpdateMarketConfigQuery) Run() (interface{}, *Error) {
 
         return nil, nil
 }
+
+type GetPortfolioQuery struct {
+        In struct {
+                User   db.User
+                Market string
+        }
+}
+
+func (q GetPortfolioQuery) ValidateParams() *Error {
+        if q.In.Market != "poloniex" {
+                return &Error{BadRequest, "invalid market name", fmt.Errorf("'%v' is not a valid market name", q.In.Market)}
+        }
+
+        return nil
+}
+
+func (q GetPortfolioQuery) Run() (interface{}, *Error) {
+        marketConfig, err := db.GetUserMarketConfig(q.In.User.Id, q.In.Market)
+        if err != nil {
+                return nil, NewInternalError(err)
+        }
+
+        report, err := GetWeekPortfolio(*marketConfig)
+        if ErrorIs(err, NotFound) {
+                return nil, err.(*Error)
+        }
+
+        if err != nil {
+                return nil, NewInternalError(err)
+        }
+
+        return report.Round(), nil
+}
diff --git a/api/portfolio.go b/api/portfolio.go
new file mode 100644
index 0000000..0fef94c
--- /dev/null
+++ b/api/portfolio.go
@@ -0,0 +1,219 @@
+package api
+
+import (
+        "fmt"
+        "time"
+
+        "github.com/shopspring/decimal"
+        "immae.eu/Immae/Projets/Cryptomonnaies/Cryptoportfolio/Front/db"
+)
+
+func init() {
+        decimal.MarshalJSONWithoutQuotes = true
+}
+
+const MARGIN_POSITION_SECURED_RATIO = 1.0
+
+const BTC_DIGITS = 3
+
+var MINIMAL_BTC_VALUE_TRESHOLD decimal.Decimal = decimal.NewFromFloat(10.0).Pow(decimal.NewFromFloat(-3.0))
+
+type ValuePerformance struct {
+        Value      decimal.Decimal `json:"value"`
+        Variation  decimal.Decimal `json:"variation"`
+        VariationP decimal.Decimal `json:"variationP"`
+}
+
+func NewValuePerformance(fromValue, toValue decimal.Decimal) ValuePerformance {
+        variation := toValue.Sub(fromValue)
+
+        return ValuePerformance{
+                Value:      toValue,
+                Variation:  variation,
+                VariationP: variation.Div(fromValue).Mul(decimal.NewFromFloat(100.0)),
+        }
+}
+
+type PositionType string
+
+const POSITION_SHORT PositionType = "short"
+const POSITION_LONG PositionType = "long"
+
+type PortfolioBalance struct {
+        PositionType         PositionType    `json:"positionType"`
+        Quantity             decimal.Decimal `json:"quantity"`
+        QuantityLocked       decimal.Decimal `json:"quantityLocked"`
+        BTCValue             decimal.Decimal `json:"BTCValue"`
+        PositionPerformanceP decimal.Decimal `json:"positionPerformanceP"`
+        Weight               decimal.Decimal `json:"weight"`
+}
+
+type Portfolio struct {
+        PeriodStart time.Time                   `json:"periodStart"`
+        PeriodEnd   time.Time                   `json:"periodEnd"`
+        Balances    map[string]PortfolioBalance `json:"balances"`
+        Value       decimal.Decimal             `json:"value"`
+        Performance ValuePerformance            `json:"performance"`
+}
+
+func (p Portfolio) Round() Portfolio {
+        p.Value = p.Value.Round(BTC_DIGITS)
+        for currency := range p.Balances {
+                balance := p.Balances[currency]
+                balance.Quantity = balance.Quantity.Round(2)
+                balance.BTCValue = balance.BTCValue.Round(BTC_DIGITS)
+                balance.Weight = balance.Weight.Round(1)
+                balance.PositionPerformanceP = balance.PositionPerformanceP.Round(1)
+                p.Balances[currency] = balance
+        }
+
+        p.Performance.VariationP = p.Performance.VariationP.Round(1)
+        p.Performance.Variation = p.Performance.Variation.Round(BTC_DIGITS)
+        p.Performance.Value = p.Performance.Value.Round(BTC_DIGITS)
+        return p
+}
+
+func GetCurrenciesPerformance(from, to db.ReportTickers) map[string]ValuePerformance {
+        performances := make(map[string]ValuePerformance)
+        currencies := make(map[string]struct{})
+        for currency := range to.Balances {
+                if to.Balances[currency].Abs().LessThan(MINIMAL_BTC_VALUE_TRESHOLD) {
+                        continue
+                }
+                currencies[currency] = struct{}{}
+        }
+
+        for currency := range currencies {
+                performances[currency] = NewValuePerformance(from.GetBTCRate(currency), to.GetBTCRate(currency))
+        }
+
+        return performances
+}
+
+func UserMovements(from db.Report, to db.Report) (decimal.Decimal, error) {
+        if from.Tag != db.BUY_END || (to.Tag != db.SELL_BEGIN && to.Tag != db.INTERMADIATE_STATE) {
+                return decimal.Zero, fmt.Errorf("cannot compare reports: '%s' -> '%s'", from.Tag, to.Tag)
+        }
+
+        var deltaBTC decimal.Decimal
+
+        currencies := make(map[string]struct{})
+        for currency := range to.Balances {
+                currencies[currency] = struct{}{}
+        }
+        for currency := range from.Balances {
+                currencies[currency] = struct{}{}
+        }
+
+        for currency := range currencies {
+                balanceFrom := from.Balances[currency]
+                balanceTo := to.Balances[currency]
+
+                delta := balanceTo.Total.Sub(balanceFrom.Total)
+                if !delta.Equals(decimal.Zero) {
+                        deltaBTC = deltaBTC.Add(delta.Mul(to.Tickers.GetBTCRate(currency)).Neg())
+                }
+
+        }
+
+        return deltaBTC, nil
+}
+
+// Computes plus-value, ignoring positions took by users.
+func ComputePlusValue(from db.Report, to db.Report) (decimal.Decimal, error) {
+        if from.Tag != db.BUY_END || (to.Tag != db.SELL_BEGIN && to.Tag != db.INTERMADIATE_STATE) {
+                return decimal.Zero, fmt.Errorf("cannot compare reports: '%s' -> '%s'", from.Tag, to.Tag)
+        }
+
+        diff, err := UserMovements(from, to)
+        if err != nil {
+                return decimal.Zero, err
+        }
+
+        return to.Tickers.Total.Sub(from.Tickers.Total).Add(diff), nil
+}
+
+func ComputeWeights(report db.Report) map[string]decimal.Decimal {
+        weights := make(map[string]decimal.Decimal)
+
+        for currency := range report.Balances {
+
+                if report.Tickers.Balances[currency].Abs().LessThan(MINIMAL_BTC_VALUE_TRESHOLD) {
+                        continue
+                }
+
+                quantityBlocked := report.Balances[currency].MarginInPosition.Mul(decimal.NewFromFloat(1.0 + MARGIN_POSITION_SECURED_RATIO))
+                weights[currency] = report.Tickers.Balances[currency].
+                        Sub(quantityBlocked.Mul(report.Tickers.GetBTCRate(currency))).
+                        Abs().
+                        Div(report.Tickers.Total).
+                        Mul(decimal.NewFromFloat(100))
+        }
+
+        return weights
+}
+
+func GetWeekPortfolio(marketConfig db.MarketConfig) (Portfolio, error) {
+        portfolio := Portfolio{
+                Balances: make(map[string]PortfolioBalance),
+        }
+
+        report, err := db.GetLastPortfolioBegin(marketConfig)
+        if err != nil {
+                return portfolio, err
+        }
+
+        if report == nil {
+                return portfolio, &Error{NotFound, "no report", fmt.Errorf("no reports for marketConfigId '%v'", marketConfig.Id)}
+        }
+
+        liveReport, err := db.GetLatestReport(marketConfig)
+        if err != nil {
+                return portfolio, err
+        }
+
+        weights := ComputeWeights(*report)
+        currenciesPerformances := GetCurrenciesPerformance(report.Tickers, liveReport.Tickers)
+
+        portfolio.PeriodStart = report.Date.Truncate(time.Second).UTC()
+        portfolio.PeriodEnd = liveReport.Date.Truncate(time.Second).UTC()
+
+        for currency := range liveReport.Balances {
+                balance := liveReport.Balances[currency]
+                btcTicker := liveReport.Tickers.Balances[currency]
+
+                if btcTicker.Abs().LessThan(MINIMAL_BTC_VALUE_TRESHOLD) {
+                        continue
+                }
+
+                var positionType PositionType
+                var perfMul decimal.Decimal
+
+                if balance.Total.LessThan(decimal.Zero) {
+                        positionType = POSITION_SHORT
+                        perfMul = decimal.NewFromFloat(-1.0)
+                } else {
+                        positionType = POSITION_LONG
+                        perfMul = decimal.NewFromFloat(1.0)
+                }
+
+                portfolio.Balances[currency] = PortfolioBalance{
+                        PositionType:         positionType,
+                        Quantity:             balance.Total,
+                        BTCValue:             btcTicker,
+                        QuantityLocked:       balance.MarginInPosition.Mul(decimal.NewFromFloat(1.0 + MARGIN_POSITION_SECURED_RATIO)),
+                        Weight:               weights[currency],
+                        PositionPerformanceP: currenciesPerformances[currency].VariationP.Mul(perfMul),
+                }
+        }
+
+        portfolio.Value = liveReport.Tickers.Total
+        plusValue, err := ComputePlusValue(*report, liveReport)
+        if err != nil {
+                return portfolio, err
+        }
+
+        portfolio.Performance = NewValuePerformance(liveReport.Tickers.Total.Sub(plusValue), liveReport.Tickers.Total)
+
+        return portfolio, nil
+}
diff --git a/api/routes.go b/api/routes.go
index 22af0e7..d7b316d 100644
--- a/api/routes.go
+++ b/api/routes.go
@@ -43,7 +43,8 @@ var Groups = []Group{
                 []Route{
                         {"GET", []gin.HandlerFunc{GetMarketConfig}, "/:name"},
                         {"POST", []gin.HandlerFunc{UpdateMarketConfig}, "/:name/update"},
-                        {"GET", []gin.HandlerFunc{GetMarketBalance}, "/:name/balance"},
+                        {"GET", []gin.HandlerFunc{TestMarketCredentials}, "/:name/test-credentials"},
+                        {"GET", []gin.HandlerFunc{GetPortfolio}, "/:name/portfolio"},
                 },
         },
 }
@@ -114,12 +115,20 @@ func GetMarketConfig(c *gin.Context) {
         RunQuery(query, c)
 }
 
-func GetMarketBalance(c *gin.Context) {
-        query := &MarketBalanceQuery{}
+func TestMarketCredentials(c *gin.Context) {
+        query := &TestMarketCredentialsQuery{}
+
+        query.In.User = GetUser(c)
+        query.In.Market = c.Param("name")
+
+        RunQuery(query, c)
+}
+
+func GetPortfolio(c *gin.Context) {
+        query := &GetPortfolioQuery{}
 
         query.In.User = GetUser(c)
         query.In.Market = c.Param("name")
-        query.In.Currency = c.Query("currency")
 
         RunQuery(query, c)
 }