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-rw-r--r--src/FundLab.Api/Persistence.fs229
1 files changed, 228 insertions, 1 deletions
diff --git a/src/FundLab.Api/Persistence.fs b/src/FundLab.Api/Persistence.fs
index 973544f..a8abd94 100644
--- a/src/FundLab.Api/Persistence.fs
+++ b/src/FundLab.Api/Persistence.fs
@@ -142,6 +142,7 @@ type FundRecord =
AvailableCash: decimal
ReservedCash: decimal
Status: string
+ CreatedAt: DateTimeOffset
}
type FundWriteResult =
@@ -433,6 +434,30 @@ type CapitalDepositWriteResult =
| CapitalDepositInvalid of string
| CapitalDepositFundNotFound
+/// One reconstructed end-of-day fund valuation. `TotalAssets`/`UnitNav`/
+/// `HoldingsValue`/`CumulativeReturn` are `None` when a held instrument has no
+/// NAV observation dated on or before `Date`: the value is unknown, never zero.
+type FundReturnsPoint =
+ {
+ Date: DateOnly
+ Pending: bool
+ TotalAssets: decimal option
+ UnitNav: decimal option
+ Cash: decimal
+ ReservedCash: decimal
+ HoldingsValue: decimal option
+ CumulativeReturn: decimal option
+ NetExternalFlow: decimal
+ }
+
+type FundReturns =
+ {
+ FundId: Guid
+ Pending: bool
+ DataUpdatedAt: DateTimeOffset option
+ Points: FundReturnsPoint list
+ }
+
type FundRepository(connectionString: string) =
let cashMaximum = 999999999999999999.99m
let unitNavMaximum = 99999999999999999999.99999999m
@@ -731,6 +756,7 @@ type FundRepository(connectionString: string) =
AvailableCash = fund.AvailableCash
ReservedCash = fund.FrozenCash
Status = statusText fund.Status
+ CreatedAt = DateTimeOffset.UtcNow
}
let recordFromReader (reader: DbDataReader) =
@@ -744,6 +770,7 @@ type FundRepository(connectionString: string) =
AvailableCash = reader.GetDecimal(6)
ReservedCash = reader.GetDecimal(7)
Status = reader.GetString(8)
+ CreatedAt = reader.GetFieldValue<DateTimeOffset>(9)
}
let dateTimeOffsetFromReader (reader: DbDataReader) index =
@@ -811,7 +838,7 @@ type FundRepository(connectionString: string) =
transaction
"""
SELECT id, name, currency, initial_cash, initial_unit_nav,
- is_synthetic, available_cash, reserved_cash, status
+ is_synthetic, available_cash, reserved_cash, status, created_at
FROM funds
WHERE id = @fund_id
"""
@@ -4043,3 +4070,203 @@ type FundRepository(connectionString: string) =
)
records |> Seq.toList
+
+ /// Reconstructs the fund's asset and unit-NAV history from confirmed ledger
+ /// events plus persisted NAV observations. Unit NAV is rebuilt by issuing fund
+ /// units for external capital deposits at the previously known unit NAV, so a
+ /// deposit never moves the unit NAV. Values that cannot be known at a date stay
+ /// `None`; nothing is filled with zero.
+ member this.GetFundReturns(fundId: Guid) : FundReturns option =
+ match this.GetFund fundId with
+ | None -> None
+ | Some fund ->
+ let today = ConfirmationPolicy.shanghaiDate DateTimeOffset.UtcNow
+ let deposits = this.GetCapitalDeposits fundId
+ let orders = this.GetSubscriptionOrders fundId
+ let redemptions = this.GetRedemptionOrders fundId
+ let dividends = this.GetDividendRecords fundId
+
+ let heldCodes =
+ [ yield! orders |> List.map (fun order -> order.FundCode)
+ yield! redemptions |> List.map (fun order -> order.InstrumentCode) ]
+ |> List.distinct
+
+ let navByCode =
+ heldCodes
+ |> List.map (fun code -> code, this.GetNav(code, None, Some today))
+ |> Map.ofList
+
+ let firstHoldingDate (code: string) =
+ orders
+ |> List.filter (fun order -> order.FundCode = code && order.Status = "confirmed")
+ |> List.map (fun order -> order.TradeDate)
+ |> List.sort
+ |> List.tryHead
+
+ let navDates =
+ heldCodes
+ |> List.collect (fun code ->
+ match firstHoldingDate code with
+ | None -> []
+ | Some startDate ->
+ navByCode.[code]
+ |> List.filter (fun observation ->
+ observation.NavDate >= startDate && observation.NavDate <= today)
+ |> List.map (fun observation -> observation.NavDate))
+ |> Set.ofList
+
+ let creationDate = ConfirmationPolicy.shanghaiDate fund.CreatedAt
+
+ let dividendCredited =
+ dividends
+ |> List.filter (fun record -> record.Status = "cash_credited" || record.Status = "succeeded")
+
+ let hasActivity =
+ not (List.isEmpty deposits)
+ || not (List.isEmpty orders)
+ || not (List.isEmpty redemptions)
+ || not (List.isEmpty dividendCredited)
+ || not (Set.isEmpty navDates)
+
+ if not hasActivity then
+ Some
+ {
+ FundId = fundId
+ Pending = false
+ DataUpdatedAt = None
+ Points = []
+ }
+ else
+ let eventDates =
+ [ yield creationDate
+ yield! deposits |> List.map (fun deposit -> ConfirmationPolicy.shanghaiDate deposit.CreatedAt)
+ yield! orders |> List.map (fun order -> order.TradeDate)
+ yield! redemptions |> List.map (fun order -> order.TradeDate)
+ yield! dividendCredited |> List.map (fun record -> record.NavDate) ]
+ |> Set.ofList
+
+ let dates =
+ Set.union eventDates navDates
+ |> Set.toList
+ |> List.sort
+
+ let dataUpdatedAt =
+ navByCode
+ |> Map.toList
+ |> List.collect snd
+ |> List.map (fun observation -> observation.LastSeenAt)
+ |> List.sortDescending
+ |> List.tryHead
+
+ let latestNavOnOrBefore (code: string) (date: DateOnly) =
+ match Map.tryFind code navByCode with
+ | None -> None
+ | Some observations ->
+ observations
+ |> List.filter (fun observation -> observation.NavDate <= date && observation.Nav > 0m)
+ |> List.sortByDescending (fun observation -> observation.NavDate, observation.SourceCollectedAt)
+ |> List.tryHead
+
+ let mutable availableCash = fund.InitialCash
+ let mutable reservedCash = 0m
+ let mutable fundUnits = if fund.InitialUnitNav > 0m then fund.InitialCash / fund.InitialUnitNav else 0m
+ let mutable lastKnownNav = if fund.InitialUnitNav > 0m then Some fund.InitialUnitNav else None
+ let positions = System.Collections.Generic.Dictionary<string, decimal>()
+ let mutable cumulativeDeposits = 0m
+ let points = ResizeArray<FundReturnsPoint>()
+
+ for date in dates do
+ for deposit in deposits do
+ if ConfirmationPolicy.shanghaiDate deposit.CreatedAt = date then
+ availableCash <- availableCash + deposit.Amount
+ cumulativeDeposits <- cumulativeDeposits + deposit.Amount
+
+ match lastKnownNav with
+ | Some nav when nav > 0m -> fundUnits <- fundUnits + deposit.Amount / nav
+ | _ -> ()
+
+ for order in orders do
+ if order.TradeDate = date then
+ if order.Status = "confirmed" then
+ let residual = order.ConfirmedResidualCash |> Option.defaultValue 0m
+ availableCash <- availableCash + residual - order.ReservedTotal
+
+ let units = order.ConfirmedUnits |> Option.defaultValue 0m
+ let current =
+ match positions.TryGetValue order.FundCode with
+ | true, value -> value
+ | _ -> 0m
+
+ positions.[order.FundCode] <- current + units
+ else
+ availableCash <- availableCash - order.ReservedTotal
+ reservedCash <- reservedCash + order.ReservedTotal
+
+ for order in redemptions do
+ if order.TradeDate = date && order.Status = "confirmed" then
+ let current =
+ match positions.TryGetValue order.InstrumentCode with
+ | true, value -> value
+ | _ -> 0m
+
+ positions.[order.InstrumentCode] <- current - order.Units
+ availableCash <- availableCash + (order.ConfirmedProceeds |> Option.defaultValue 0m)
+
+ for record in dividendCredited do
+ if record.NavDate = date then
+ availableCash <- availableCash + (record.GrossCash |> Option.defaultValue 0m)
+
+ let mutable pending = false
+ let mutable holdingsValue = 0m
+
+ for KeyValue(code, units) in positions do
+ if units > 0m then
+ match latestNavOnOrBefore code date with
+ | Some observation -> holdingsValue <- holdingsValue + units * observation.Nav
+ | None -> pending <- true
+
+ let netExternalFlow = fund.InitialCash + cumulativeDeposits
+
+ if pending then
+ points.Add(
+ {
+ Date = date
+ Pending = true
+ TotalAssets = None
+ UnitNav = None
+ Cash = availableCash
+ ReservedCash = reservedCash
+ HoldingsValue = None
+ CumulativeReturn = None
+ NetExternalFlow = netExternalFlow
+ }
+ )
+ else
+ let totalAssets = availableCash + reservedCash + holdingsValue
+ let unitNav = if fundUnits > 0m then Some(totalAssets / fundUnits) else None
+
+ match unitNav with
+ | Some nav -> lastKnownNav <- Some nav
+ | None -> ()
+
+ points.Add(
+ {
+ Date = date
+ Pending = false
+ TotalAssets = Some totalAssets
+ UnitNav = unitNav
+ Cash = availableCash
+ ReservedCash = reservedCash
+ HoldingsValue = Some holdingsValue
+ CumulativeReturn = Some(totalAssets - netExternalFlow)
+ NetExternalFlow = netExternalFlow
+ }
+ )
+
+ Some
+ {
+ FundId = fundId
+ Pending = points |> Seq.exists (fun point -> point.Pending)
+ DataUpdatedAt = dataUpdatedAt
+ Points = points |> Seq.toList
+ }
generated by cgit v1.2.3 (git 2.39.1) at 2026-10-04 17:26:59 +0000