feat(performance): investment performance vs Moscow Exchange index (WealthLedger/main#54) (#200)

src/modules/investments/performance/domain/performance-flows.ts

@@ -0,0 +1,116 @@
+import { add, type Decimal, decimalFromString, formatDecimal } from '#src/common/decimal';
+import { TbankOperationType } from '#src/integrations/tbank/tbank-protocol';
+
+import { moscowDate } from '../../investment-calendar';
+
+const ZERO: Decimal = { value: 0n, scale: 0 };
+const ZERO_UNITS = 0n;
+const NANO_SCALE = 9;
+const TRANSFER_WINDOW_MS = 300_000;
+
+export type PerformanceFlow = { accountId: string; amount: Decimal; at: Date; date: string };
+export type Candidate = { accountIds: [string, string]; type: 'cash' };
+
+type Operation = {
+  accountId: string;
+  instrumentUid: null | string;
+  occurredAt: Date;
+  payload: unknown;
+};
+
+const deposits = new Set<string>([
+  TbankOperationType.InpMulti, TbankOperationType.Input,
+  TbankOperationType.InputAcquiring, TbankOperationType.InputSwift,
+]);
+const withdrawals = new Set<string>([
+  TbankOperationType.OutMulti, TbankOperationType.Output,
+  TbankOperationType.OutputAcquiring, TbankOperationType.OutputSwift,
+]);
+const securities = new Set<string>([
+  TbankOperationType.InputSecurities, TbankOperationType.OutputSecurities,
+  TbankOperationType.TransBsBs, TbankOperationType.TransIisBs,
+]);
+
+function record(value: unknown): Record<string, unknown> {
+  return value !== null && typeof value === 'object' && !Array.isArray(value)
+    ? value as Record<string, unknown>
+    : {};
+}
+
+function money(value: unknown): null | { currency: string; value: Decimal } {
+  const source = record(value);
+  if (typeof source.currency !== 'string') return null;
+  const units = typeof source.units === 'string' || typeof source.units === 'number'
+    ? String(source.units)
+    : '0';
+  let nano = ZERO_UNITS;
+  if (typeof source.nano === 'number' && Number.isInteger(source.nano)) nano = BigInt(source.nano);
+  if (typeof source.nano === 'string' && /^-?\d+$/.test(source.nano)) nano = BigInt(source.nano);
+  const whole = decimalFromString(units);
+  return {
+    currency: source.currency.toUpperCase(),
+    value: add(whole, { value: nano, scale: NANO_SCALE }),
+  };
+}
+
+function magnitude(value: Decimal): Decimal {
+  return { value: value.value < ZERO_UNITS ? -value.value : value.value, scale: value.scale };
+}
+
+function appendCashFlow(
+  operation: Operation,
+  payload: Record<string, unknown>,
+  value: null | { currency: string; value: Decimal },
+  flows: PerformanceFlow[],
+  missingAmountAccounts: Set<string>,
+) {
+  if (!value) {
+    missingAmountAccounts.add(operation.accountId);
+    return;
+  }
+  if (value.currency !== 'RUB') return;
+  const amount = magnitude(value.value);
+  flows.push({
+    accountId: operation.accountId,
+    amount: deposits.has(payload.type as string) ? amount : { value: -amount.value, scale: amount.scale },
+    date: moscowDate(operation.occurredAt), at: operation.occurredAt,
+  });
+}
+
+export function readPerformanceOperations(operations: Operation[]) {
+  const flows: PerformanceFlow[] = [];
+  const nonRubAccounts = new Set<string>();
+  const unvaluedAccounts = new Set<string>();
+  const missingAmountAccounts = new Set<string>();
+  for (const operation of operations) {
+    const payload = record(operation.payload);
+    if (typeof payload.type !== 'string') continue;
+    const value = money(payload.payment);
+    if (deposits.has(payload.type) || withdrawals.has(payload.type)) {
+      if (value && value.currency !== 'RUB') nonRubAccounts.add(operation.accountId);
+      appendCashFlow(operation, payload, value, flows, missingAmountAccounts);
+    } else if (securities.has(payload.type)) {
+      // Securities moved in or out carry no money amount for the flow.
+      unvaluedAccounts.add(operation.accountId);
+    }
+  }
+  return { flows, missingAmountAccounts, nonRubAccounts, unvaluedAccounts };
+}
+
+export function candidateTransfers(input: ReturnType<typeof readPerformanceOperations>): Candidate[] {
+  const candidates: Candidate[] = [];
+  for (const out of input.flows.filter((flow) => flow.amount.value < ZERO_UNITS)) {
+    for (const incoming of input.flows.filter((flow) => flow.amount.value > ZERO_UNITS)) {
+      if (out.accountId !== incoming.accountId &&
+        Math.abs(out.at.valueOf() - incoming.at.valueOf()) <= TRANSFER_WINDOW_MS &&
+        formatDecimal(magnitude(out.amount)) === formatDecimal(incoming.amount)) {
+        candidates.push({ accountIds: [out.accountId, incoming.accountId], type: 'cash' });
+      }
+    }
+  }
+  return candidates;
+}
+
+export function sumFlows(flows: PerformanceFlow[]): Decimal {
+  return flows.reduce((sum, flow) => add(sum, flow.amount), ZERO);
+}