luxorasap 0.1.9__py3-none-any.whl → 0.1.10__py3-none-any.whl

luxorasap/__init__.py

@@ -13,7 +13,7 @@ from types import ModuleType
 try:
     __version__: str = metadata.version(__name__)
 except metadata.PackageNotFoundError:  # editable install
-    __version__ = "0.1.9"
+    __version__ = "0.1.10"
 
 # ─── Lazy loader ─────────────────────────────────────────────────
 def __getattr__(name: str) -> ModuleType:

luxorasap/datareader/core.py

@@ -572,7 +572,9 @@ class LuxorQuery:
             query_asset = asset
             if asset == 'bmfxclco curncy':
                 query_asset = 'usdbrl curncy'
-            variation = self.get_pct_change(query_asset, recent_date=today, previous_date=last_date)
+            variation = 0
+            if today > last_date:
+                variation = self.get_pct_change(query_asset, recent_date=today, previous_date=last_date)
             # vamos ajustar o preco com a variacao
             last_price = last_price * (1 + variation)
             # vamos colocar na base na data de hoje
@@ -977,9 +979,10 @@ class LuxorQuery:
             
         # A partir de uma data pegar o trimestre anterior
         elif period == 'qtr':
-            start_date = ref_date - pd.DateOffset(months=3) 
-            start_date = start_date.date()
-            start_date = self.get_month_end(start_date)
+            # Deve retornar sempre a ultima data do final do trimestre anterior
+            current_quarter = (ref_date.month - 1) // 3 + 1
+            start_of_current_quarter = dt.date(ref_date.year, (current_quarter - 1) * 3 + 1, 1)
+            start_date = start_of_current_quarter - dt.timedelta(days=1) # Last day of previous quarter
         
         if force_bday:
             start_date = self.get_bday_offset(start_date, offset=0, location=holiday_location)
@@ -1263,7 +1266,7 @@ class LuxorQuery:
         return self.get_price(price_key, px_date=date) * usdbrl/bdr_size
 
 
-    def normalize_trades(self, trades, currency, asset_id_columns="Asset_ID"):
+    def normalize_trades(self, trades, currency, asset_id_columns="Asset_ID", usdbrl_ticker="bmfxclco curncy"):
         """ Para um dado dataframe de trades, converte para moeda indicada.
             Trades devem conter as colunas Asset, Ticker e Delta_Shares.
             BDR: Usa o peso do BDR e a quantidade de BDR operada para chegar na quantidade do ativo original.
@@ -1312,7 +1315,7 @@ class LuxorQuery:
         #trades["Delta_Shares"] = np.where(trades["Ticker"] == 'brk/a us equity', trades["Delta_Shares"] * brkA_brkB_ratio, trades["Delta_Shares"])
 
         # Adicionando coluna de usdbrl de fechamento em cada dia
-        hist_usdbrl = self.get_prices("bmfxclco curncy", previous_date=previous_date, recent_date=recent_date).rename(columns={"Last_Price": "USDBRL"})
+        hist_usdbrl = self.get_prices(usdbrl_ticker, previous_date=previous_date, recent_date=recent_date).rename(columns={"Last_Price": "USDBRL"})
         
         trades = pd.merge(trades, hist_usdbrl[["Date", "USDBRL"]], on="Date")
         
@@ -1416,7 +1419,7 @@ class LuxorQuery:
 
     def __get_positions_and_movements(self, fund_name, tickers=None,
             recent_date=dt.date.today(), previous_date=dt.date.today()-dt.timedelta(days=1),
-            period=None, holiday_location="all", currency="usd"):
+            period=None, holiday_location="all", currency="usd", usdbrl_ticker="bmfxclco curncy"):
         """
         Args:
             fund_name (str): 
@@ -1501,7 +1504,7 @@ class LuxorQuery:
         #trades["Trade_Side"] = np.where(trades["Delta_Shares"] < 0, "sell", "buy")
 
         # Ordenando boletas, por padrao vamos sempre comprar antes de vender.
-        trades = self.normalize_trades(trades, currency=currency).sort_values(by=["Date"], kind="stable")
+        trades = self.normalize_trades(trades, currency=currency, usdbrl_ticker=usdbrl_ticker).sort_values(by=["Date"], kind="stable")
         # Apos normalizar os trades, eh necessario recalcular o preco da boleta
         
         # Agrupando boletas de forma a ter apenas uma boleta por dia por codigo de ativo
@@ -1528,7 +1531,7 @@ class LuxorQuery:
 
     def get_positions_and_movements(self, fund_name, tickers=None,
             recent_date=dt.date.today(), previous_date=dt.date.today()-dt.timedelta(days=1),
-            period=None, holiday_location="all", currency="usd"):
+            period=None, holiday_location="all", currency="usd", usdbrl_ticker="bmfxclco curncy"):
         
         """
         Args:
@@ -1546,7 +1549,7 @@ class LuxorQuery:
         df = self.__run_return_analysis(fund_name, tickers=tickers,
                                     recent_date=recent_date, previous_date=previous_date,
                                     period=period, holiday_location=holiday_location,
-                                    currency=currency, agregate_by_name=False
+                                    currency=currency, agregate_by_name=False, usdbrl_ticker=usdbrl_ticker
                                     )
         # Vamos obter os precos de fechamento em cada dia
         # Preenchendo primeiro todo o historico
@@ -1554,9 +1557,9 @@ class LuxorQuery:
         price_keys = list(df["Price_Key"].unique())
         prices = self.get_prices(
                     tickers=price_keys, previous_date=prices_previous_date, currency=currency,
-                    get_intraday_prices=True
+                    get_intraday_prices=True, usdbrl_ticker=usdbrl_ticker
                     ).rename(columns={"Asset":"Price_Key"})
-        
+
         df = df.merge(prices, on=["Date", "Price_Key"], how="left")
         # Finalmente, vamos atualizar com o preco mais recente do ativo na data de hoje
         #df_prev = df.query("Date < @dt.date.today()").copy()
@@ -1585,17 +1588,20 @@ class LuxorQuery:
         return df
 
     
-    def run_return_analysis(self, fund_name, tickers=None, recent_date=dt.date.today(), previous_date=dt.date.today()-dt.timedelta(days=1), period=None, holiday_location="all"):
+    def run_return_analysis(self, fund_name, tickers=None, recent_date=dt.date.today(), previous_date=dt.date.today()-dt.timedelta(days=1),
+                            period=None, holiday_location="all", usdbrl_ticker="bmfxclco curncy"):
 
         currency = "usd"
         positions_and_movements_usd = self.__run_return_analysis(fund_name, tickers=tickers, recent_date=recent_date,
                                                                         previous_date=previous_date, period=period,
-                                                                        holiday_location=holiday_location, currency=currency)
+                                                                        holiday_location=holiday_location, currency=currency,
+                                                                        usdbrl_ticker=usdbrl_ticker)
         currency = "brl"
 
         positions_and_movements_brl = self.__run_return_analysis(fund_name, tickers=tickers, recent_date=recent_date,
                                                                         previous_date=previous_date, period=period,
-                                                                        holiday_location=holiday_location, currency=currency)
+                                                                        holiday_location=holiday_location, currency=currency,
+                                                                        usdbrl_ticker=usdbrl_ticker)
         if (positions_and_movements_usd is None) and (positions_and_movements_brl is None): return None
 
         return pd.concat([positions_and_movements_usd, positions_and_movements_brl])
@@ -1623,11 +1629,12 @@ class LuxorQuery:
 
     def __run_return_analysis(self, fund_name, tickers=None, recent_date=dt.date.today(),
             previous_date=dt.date.today()-dt.timedelta(days=1), period=None, holiday_location="all",
-            currency="usd", agregate_by_name=True):
+            currency="usd", agregate_by_name=True, usdbrl_ticker="bmfxclco curncy"):
 
         assert(currency in ["usd", "brl"])
 
-        positions_and_movements = self.__get_positions_and_movements(fund_name, tickers, recent_date, previous_date, period, holiday_location, currency=currency)
+        positions_and_movements = self.__get_positions_and_movements(fund_name, tickers, recent_date, previous_date, period, holiday_location,
+                                                                     currency=currency, usdbrl_ticker=usdbrl_ticker)
         
         # -> Shares_Bought : Delta_Shares > 0
         positions_and_movements["Shares_Bought"] = np.where(positions_and_movements["Delta_Shares"] > 0, positions_and_movements["Delta_Shares"], 0)
@@ -1688,7 +1695,8 @@ class LuxorQuery:
 
         # -> pegar precos e colocar no diario
         previous_date = positions_and_movements["Date"].min().date()
-        prices = self.get_prices(tickers = list(positions_and_movements["Price_Key"].unique()), previous_date=previous_date-dt.timedelta(days=100), currency=currency).rename(columns={"Asset":"Price_Key"})
+        prices = self.get_prices(tickers = list(positions_and_movements["Price_Key"].unique()), previous_date=previous_date-dt.timedelta(days=100), currency=currency,
+                                                    usdbrl_ticker=usdbrl_ticker).rename(columns={"Asset":"Price_Key"})
         
         positions_and_movements = positions_and_movements.merge(prices, on=["Date", "Price_Key"])
         
@@ -1745,7 +1753,8 @@ class LuxorQuery:
         positions_and_movements = self.normalize_price_key(positions_and_movements)
         # A normalizacao pode acabar inserindo algum ticker generico que ainda nao estava calculado. Logo, temos que pegar os precos novamente.
         prices = self.get_prices(tickers = list(positions_and_movements["Price_Key"].unique()),
-                                        previous_date=previous_date-dt.timedelta(days=100), currency=currency).rename(columns={"Asset":"Price_Key"})
+                                        previous_date=previous_date-dt.timedelta(days=100), currency=currency,
+                                        usdbrl_ticker=usdbrl_ticker).rename(columns={"Asset":"Price_Key"})
 
         positions_and_movements = positions_and_movements.merge(prices[["Date", "Price_Key", "Last_Price"]], on=["Date","Price_Key"])
 
@@ -1777,7 +1786,8 @@ class LuxorQuery:
         
         positions_and_movements["Days_Since_Start"] = (positions_and_movements["Date"] - positions_and_movements["Start_Date"]).dt.days
 
-        spx_prices = self.get_prices("inx index", recent_date=recent_date, previous_date=previous_date, currency=currency)[["Date", "Last_Price"]].rename(columns={"Last_Price" : "spx_index"})
+        spx_prices = self.get_prices("inx index", recent_date=recent_date, previous_date=previous_date, currency=currency,
+                                     usdbrl_ticker=usdbrl_ticker)[["Date", "Last_Price"]].rename(columns={"Last_Price" : "spx_index"})
         positions_and_movements = positions_and_movements.merge(spx_prices, on="Date", how="left")
         
         #positions_and_movements["spx_index"] = (positions_and_movements["spx_index"].pct_change().fillna(0)+1).cumprod()-1
@@ -1838,21 +1848,21 @@ class LuxorQuery:
             cash = cash.drop(columns=["usdbrl"])
 
         # Vamos calcular o preco de fechamento com o rendimento do dia
-        bz_cash_index = self.get_prices("bzacselc index", period="60m", currency=currency)
+        bz_cash_index = self.get_prices("bzacselc index", period="60m", currency=currency, usdbrl_ticker=usdbrl_ticker)
         bz_cash_index["Date"] = bz_cash_index["Date"].dt.date
         bz_cash_index = (bz_cash_index[["Date", "Last_Price"]]
                             .rename(columns={"Last_Price":"bz_cash_index"})
                             .set_index("Date").pct_change()
                             .fillna(0)+1).reset_index()
         
-        us_cash_index = self.get_prices("sofrindx index", period="60m", currency=currency)
+        us_cash_index = self.get_prices("sofrindx index", period="60m", currency=currency, usdbrl_ticker=usdbrl_ticker)
         us_cash_index["Date"] = us_cash_index["Date"].dt.date
         us_cash_index = (us_cash_index[["Date", "Last_Price"]]
                             .rename(columns={"Last_Price":"us_cash_index"})
                             .set_index("Date").pct_change()
                             .fillna(0)+1).reset_index()
         
-        us_margin_cost = self.get_prices("sofr + 75bps", period="60m", currency=currency)
+        us_margin_cost = self.get_prices("sofr + 75bps", period="60m", currency=currency, usdbrl_ticker=usdbrl_ticker)
         us_margin_cost["Date"] = us_margin_cost["Date"].dt.date
         us_margin_cost = (us_margin_cost[["Date", "Last_Price"]]
                             .rename(columns={"Last_Price":"us_margin_cost"})
@@ -1885,7 +1895,7 @@ class LuxorQuery:
 
         cash["Type"] = cash["Group"]
         cash["Name"] = cash["Group"].str.replace("_", " ").str.title()
-        cash["Asset_ID"] = cash["Type"]+"_"+cash["Type"]
+        cash["Asset_ID"] = cash["Type"].str.replace("_"," ")+"_"+cash["Type"].str.replace("_"," ")
         cash["Price_Key"] = cash["Type"]
         
         cash["Delta_Shares"] = cash.groupby(["Group"])["Close_Quantity"].diff().fillna(0)
@@ -1948,7 +1958,7 @@ class LuxorQuery:
     def calculate_daily_pnl(self, fund, ref_date, currency, holiday_location="all", bdays=10,
             group_filters=[], type_filters=[], classification_filters=[], location_filters=[], asset_filters=[],
             currency_exposure_filters=[], include_cash=True, include_cash_debt=False, ticker_filters=[], annual_adm_fee=0,
-            ignore_small_pnl=True): #test_op_fix=False):
+            ignore_small_pnl=True, usdbrl_ticker="bmfxclco curncy"): #test_op_fix=False):
         """ Calcula o PnL do dia de cada ativo no fundo.
             (Nao inclui o PnL das taxas!).
         Args:
@@ -1964,7 +1974,7 @@ class LuxorQuery:
         previous_date = self.get_bday_offset(ref_date, -bdays,
                                         location=holiday_location)
         df = self.get_positions_and_movements(fund, previous_date=previous_date,
-                                            recent_date=ref_date, currency=currency)
+                                            recent_date=ref_date, currency=currency, usdbrl_ticker=usdbrl_ticker)
         assets = self.get_table("assets").rename(columns={"Key":"Asset_ID",
                                                           "Currency Exposure":"Currency_Exposure"})
         
@@ -2008,7 +2018,7 @@ class LuxorQuery:
         #if test_op_fix:
             
         df_op_fix = df.query("Type.isin(@types_to_fix_open_price)").copy()
-        df_op_fix = self.__fix_open_price(df_op_fix, currency, ref_date, previous_date)
+        df_op_fix = self.__fix_open_price(df_op_fix, currency, ref_date, previous_date, usdbrl_ticker=usdbrl_ticker)
         
         df = df.query("~Type.isin(@types_to_fix_open_price)").copy()
         
@@ -2021,7 +2031,8 @@ class LuxorQuery:
 
         # Podemos puxar o caixa aqui e concatenar para as proximas operacoes
         if include_cash:
-            cash = self.get_hist_cash_movements(fund, ref_date, currency=currency, bdays=bdays, holiday_location=holiday_location)
+            cash = self.get_hist_cash_movements(fund, ref_date, currency=currency, bdays=bdays, holiday_location=holiday_location,
+                                                usdbrl_ticker=usdbrl_ticker)
             cash["Today"] = pd.to_datetime(cash["Today"])
             cash = cash.query("Close_Mkt_Value >= 0").copy()
             cash["Luxor_Classification"] = 'fixed income'
@@ -2035,7 +2046,8 @@ class LuxorQuery:
         
         # Vamos segregar como dívida o caixa virado.
         if include_cash_debt:
-            cash_debt = self.get_hist_cash_movements(fund, ref_date, currency=currency, bdays=bdays, holiday_location=holiday_location)
+            cash_debt = self.get_hist_cash_movements(fund, ref_date, currency=currency, bdays=bdays, holiday_location=holiday_location,
+                                                     usdbrl_ticker=usdbrl_ticker)
             cash_debt["Today"] = pd.to_datetime(cash_debt["Today"])
             cash_debt = cash_debt.query("Close_Mkt_Value < 0").copy()
             cash_debt["Luxor_Classification"] = 'debt'
@@ -2115,7 +2127,7 @@ class LuxorQuery:
         df["Cash_Flow"] = abs(df["Shares_Bought_Cost"]) + -abs(df["Amount_Sold"])
 
         hist_dividends = self.get_dividends(fund, ref_date, previous_date, currency=currency,
-                                            holiday_location=holiday_location)
+                                            holiday_location=holiday_location, usdbrl_ticker=usdbrl_ticker)
         hist_dividends = pd.merge(assets[["Asset_ID", "Ticker"]],
                             hist_dividends, on="Ticker",how="left")[["Date", "Asset_ID", "Amount"]]
         hist_dividends = hist_dividends.rename(columns={"Date": "Today", "Amount":"Dividends"})

{luxorasap-0.1.9.dist-info → luxorasap-0.1.10.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: luxorasap
-Version: 0.1.9
+Version: 0.1.10
 Summary: Toolbox da Luxor para ingestão, análise e automação de dados financeiros.
 Author-email: Luxor Group <backoffice@luxor.com.br>
 License: Proprietary – All rights reserved

{luxorasap-0.1.9.dist-info → luxorasap-0.1.10.dist-info}/RECORD

@@ -1,10 +1,10 @@
-luxorasap/__init__.py,sha256=gChf0kJo8keSBj-o1REIFsc97DXoE3_-ynR8tzb3Pk0,1355
+luxorasap/__init__.py,sha256=40Cplh9skQUZbSyL9SL8_HCi5C2Lzadr2iCHssWhKow,1356
 luxorasap/btgapi/__init__.py,sha256=QUlfb5oiBY6K1Q5x4-a-x2wECe1At5wc2962I5odOJk,620
 luxorasap/btgapi/auth.py,sha256=PvyCtbEyBO2B1CIeAlNXWugKW1OgiKfPcVzS6K5FBnQ,1872
 luxorasap/btgapi/reports.py,sha256=ZVEMLoJPXc0r3XjPJPMsKQN0zZd1Npd7umNpAj1bncs,8040
 luxorasap/btgapi/trades.py,sha256=956HZ9BvN9C_VQvKTyBLN0x6ZygwVqBZN11F7OnNbDI,5985
 luxorasap/datareader/__init__.py,sha256=41RAvbrQ4R6oj67S32CrKqolx0CJ2W8cbOF6g5Cqm2g,120
-luxorasap/datareader/core.py,sha256=LpXe5g4lZpfEqaz_gjjHizVA-vPEjBi5yJKg_7K0Nkw,153205
+luxorasap/datareader/core.py,sha256=TWcqokzMgahZx5mxBhrkJ05EWSsibZIww6hJz7unuFc,154641
 luxorasap/ingest/__init__.py,sha256=XhxDTN2ar-u6UCPhnxNU_to-nWiit-SpQ6cA_N9eMSs,795
 luxorasap/ingest/cloud/__init__.py,sha256=Hm-43YkjRhu3UiFVt1Zx7DmQuNJnK2GVWfCx1T3gKNc,2052
 luxorasap/ingest/legacy_local/dataloader.py,sha256=zKPhuiBSFwkuWN6d8g2s60KkbVk1R_1cGMCtQM9j-0c,11908
@@ -14,8 +14,8 @@ luxorasap/utils/dataframe/reader.py,sha256=Vzjdw-AeS1lnWEHQ8RZNh0kK93NWTp0NWVi_B
 luxorasap/utils/dataframe/transforms.py,sha256=Bm_cv9L9923QIXH82Fa_M4pM94f2AJRPu62Vv_i7tto,1684
 luxorasap/utils/storage/__init__.py,sha256=U3XRq94yzRp3kgBSUcRzs2tQgJ4o8h8a1ZzwiscA5XM,67
 luxorasap/utils/storage/blob.py,sha256=pcEixGxwXM9y5iPPpkX__ySWq0milghJGketYZlRL-0,3171
-luxorasap-0.1.9.dist-info/METADATA,sha256=_RAaTxzxjeqxi3RzXnaK526ih1HAkuv5W-VnUave5Kk,3803
-luxorasap-0.1.9.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
-luxorasap-0.1.9.dist-info/entry_points.txt,sha256=XFh-dOwUhlya9DmGvgookMI0ezyUJjcOvTIHDEYS44g,52
-luxorasap-0.1.9.dist-info/top_level.txt,sha256=9YOL6bUIpzY06XFBRkUW1e4rgB32Ds91fQPGwUEjxzU,10
-luxorasap-0.1.9.dist-info/RECORD,,
+luxorasap-0.1.10.dist-info/METADATA,sha256=Ey_ftFQQB3iRQmgesvVZ5qF0w8OTy0m0cyMKOj16krM,3804
+luxorasap-0.1.10.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+luxorasap-0.1.10.dist-info/entry_points.txt,sha256=XFh-dOwUhlya9DmGvgookMI0ezyUJjcOvTIHDEYS44g,52
+luxorasap-0.1.10.dist-info/top_level.txt,sha256=9YOL6bUIpzY06XFBRkUW1e4rgB32Ds91fQPGwUEjxzU,10
+luxorasap-0.1.10.dist-info/RECORD,,