wbfdm 1.43.1__py2.py3-none-any.whl

wbfdm/migrations/0023_instrument_unique_ric_instrument_unique_rmc_and_more.py

@@ -0,0 +1,53 @@
+# Generated by Django 5.0.6 on 2024-07-04 07:38
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ("currency", "0001_initial"),
+        ("geography", "0001_initial"),
+        ("io", "0007_alter_exportsource_query_params"),
+        ("tags", "0001_initial"),
+        ("wbfdm", "0022_instrument_cusip_option_open_interest_20d_and_more"),
+    ]
+
+    operations = [
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("refinitiv_identifier_code",), name="unique_ric"
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("refinitiv_mnemonic_code",), name="unique_rmc"
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("isin",), name="unique_isin"
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("sedol",), name="unique_sedol"
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("valoren",), name="unique_valoren"
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True)), fields=("cusip",), name="unique_cusip"
+            ),
+        ),
+    ]

wbfdm/migrations/0024_option_open_interest_10d_option_volume_10d_and_more.py

@@ -0,0 +1,36 @@
+# Generated by Django 5.0.6 on 2024-07-08 11:12
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+    dependencies = [
+        ("wbfdm", "0023_instrument_unique_ric_instrument_unique_rmc_and_more"),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name="option",
+            name="open_interest_10d",
+            field=models.FloatField(
+                blank=True, help_text="Option Open Interest (10D)", null=True, verbose_name="Open Interest 10D"
+            ),
+        ),
+        migrations.AddField(
+            model_name="option",
+            name="volume_10d",
+            field=models.FloatField(blank=True, help_text="Option Volume (10D)", null=True, verbose_name="Volume 10D"),
+        ),
+        migrations.AddField(
+            model_name="optionaggregate",
+            name="open_interest_10d",
+            field=models.FloatField(
+                blank=True, help_text="Option Open Interest (10D)", null=True, verbose_name="Open Interest 10D"
+            ),
+        ),
+        migrations.AddField(
+            model_name="optionaggregate",
+            name="volume_10d",
+            field=models.FloatField(blank=True, help_text="Option Volume (10D)", null=True, verbose_name="Volume 10D"),
+        ),
+    ]

wbfdm/migrations/0025_instrument_is_primary_and_more.py

@@ -0,0 +1,29 @@
+# Generated by Django 5.0.8 on 2024-08-09 14:20
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+    dependencies = [
+        ("currency", "0001_initial"),
+        ("geography", "0001_initial"),
+        ("io", "0007_alter_exportsource_query_params"),
+        ("tags", "0001_initial"),
+        ("wbfdm", "0024_option_open_interest_10d_option_volume_10d_and_more"),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name="instrument",
+            name="is_primary",
+            field=models.BooleanField(blank=True, null=True),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_primary", True)),
+                fields=("parent", "is_primary"),
+                name="unique_instrument_primary",
+            ),
+        ),
+    ]

wbfdm/migrations/0026_instrument_is_cash_equivalent.py

@@ -0,0 +1,30 @@
+# Generated by Django 5.0.8 on 2024-09-25 09:37
+
+from django.db import migrations, models
+from wbcore.contrib.currency.models import Currency
+from wbfdm.models import Instrument, InstrumentType
+
+
+def create_cash_equivalents(apps, schema_editor):
+    for currency in Currency.objects.all():
+        Instrument.objects.create(
+            name=f"Cash Equivalent {currency.key}",
+            instrument_type=InstrumentType.CASHEQUIVALENT,
+            currency=currency,
+            is_cash_equivalent=True,
+        )
+
+
+class Migration(migrations.Migration):
+    dependencies = [
+        ("wbfdm", "0025_instrument_is_primary_and_more"),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name="instrument",
+            name="is_cash_equivalent",
+            field=models.BooleanField(default=False),
+        ),
+        migrations.RunPython(create_cash_equivalents),
+    ]

wbfdm/migrations/0027_remove_instrument_unique_ric_and_more.py

@@ -0,0 +1,100 @@
+# Generated by Django 5.0.9 on 2024-10-11 08:34
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+    dependencies = [
+        ("currency", "0001_initial"),
+        ("geography", "0001_initial"),
+        ("io", "0007_alter_exportsource_query_params"),
+        ("tags", "0001_initial"),
+        ("wbfdm", "0026_instrument_is_cash_equivalent"),
+    ]
+
+    operations = [
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_ric",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_rmc",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_isin",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_sedol",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_valoren",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_cusip",
+        ),
+        migrations.RemoveConstraint(
+            model_name="instrument",
+            name="unique_instrument_primary",
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("refinitiv_identifier_code",),
+                name="unique_ric",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("refinitiv_mnemonic_code",),
+                name="unique_rmc",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("isin",),
+                name="unique_isin",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("sedol",),
+                name="unique_sedol",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("valoren",),
+                name="unique_valoren",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_security", True), ("delisted_date__isnull", True)),
+                fields=("cusip",),
+                name="unique_cusip",
+            ),
+        ),
+        migrations.AddConstraint(
+            model_name="instrument",
+            constraint=models.UniqueConstraint(
+                condition=models.Q(("is_primary", True), ("is_managed", False)),
+                fields=("parent", "is_primary"),
+                name="unique_instrument_primary",
+            ),
+        ),
+    ]

wbfdm/migrations/0028_instrumentprice_annualized_daily_volatility.py

@@ -0,0 +1,17 @@
+# Generated by Django 5.0.9 on 2024-12-19 12:56
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+    dependencies = [
+        ("wbfdm", "0027_remove_instrument_unique_ric_and_more"),
+    ]
+
+    operations = [
+        migrations.AddField(
+            model_name="instrumentprice",
+            name="annualized_daily_volatility",
+            field=models.FloatField(blank=True, null=True, verbose_name="Annualized Volatility"),
+        ),
+    ]

wbfdm/models/__init__.py

@@ -0,0 +1,4 @@
+from .esg import *
+from .exchanges import *
+from .instruments import *
+from .exchanges import *

wbfdm/models/esg/__init__.py

@@ -0,0 +1 @@
+from .controversies import *

wbfdm/models/esg/controversies.py

@@ -0,0 +1,81 @@
+from typing import Any, Self
+
+from django.db import models
+from wbfdm.enums import (
+    ESGControveryFlag,
+    ESGControverySeverity,
+    ESGControveryStatus,
+    ESGControveryType,
+)
+from wbfdm.models.instruments.instruments import Instrument
+
+
+class Controversy(models.Model):
+    external_id = models.CharField(max_length=512, unique=True)
+    instrument = models.ForeignKey("wbfdm.Instrument", on_delete=models.CASCADE, limit_choices_to=models.Q(level=0))
+    headline = models.TextField(verbose_name="Headline")
+    description = models.TextField(verbose_name="Description")
+    source = models.TextField(
+        verbose_name="Source", null=True, blank=True
+    )  # Source is usually a sentence but can be a whole text
+    status = models.CharField(
+        max_length=64,
+        choices=ESGControveryStatus.choices,
+        verbose_name="Status",
+        default=ESGControveryStatus.ONGOING.value,
+        null=True,
+        blank=True,
+    )
+    type = models.CharField(
+        max_length=64,
+        choices=ESGControveryType.choices,
+        verbose_name="Type",
+        default=ESGControveryType.STRUCTURAL.value,
+        null=True,
+        blank=True,
+    )
+    severity = models.CharField(
+        max_length=64,
+        choices=ESGControverySeverity.choices,
+        verbose_name="Severity",
+        default=ESGControverySeverity.MINOR.value,
+        null=True,
+        blank=True,
+    )
+    flag = models.CharField(
+        max_length=64,
+        choices=ESGControveryFlag.choices,
+        verbose_name="Flag",
+        default=ESGControveryFlag.GREEN.value,
+        null=True,
+        blank=True,
+    )
+    direct_involvement = models.BooleanField(default=True, verbose_name="Direct Involvement")
+    company_response = models.CharField(max_length=512, null=True, blank=True)
+
+    review = models.DateField(verbose_name="Reviewed")
+    initiated = models.DateField(verbose_name="initiated", null=True, blank=True)
+
+    @classmethod
+    def sync_from_dataloader(cls, controversy: dict[str, Any]) -> Self:
+        instrument = Instrument.objects.get(
+            pk=controversy["instrument_id"]
+        ).get_root()  # we link it only to root level
+
+        return cls.objects.update_or_create(
+            external_id=controversy["id"],
+            defaults={
+                "instrument": instrument,
+                "headline": controversy["headline"],
+                "description": controversy["narrative"],
+                "source": controversy["source"],
+                "direct_involvement": controversy.get("direct_involvement", True),
+                "company_response": controversy["response"],
+                "review": controversy["review"],
+                "initiated": controversy["initiated"],
+                "flag": controversy["flag"],
+                "status": controversy["status"],
+                "type": controversy["type"],
+                "severity": controversy["assessment"],
+            },
+        )[0]

wbfdm/models/exchanges/__init__.py

@@ -0,0 +1 @@
+from .exchanges import Exchange

wbfdm/models/exchanges/exchanges.py

@@ -0,0 +1,223 @@
+from django.contrib.postgres.fields import ArrayField
+from django.db import models
+from django.db.models import Q
+from django.utils.translation import gettext_lazy as _
+from wbcore.models import WBModel
+
+
+class ExchangeManager(models.Manager):
+    def get_by_bbg(self, bbg):
+        """
+        If passed in a bbg ticker, we don't know whether it is a normal exchange code or a composite code.
+        Therefore we return either the exchange where this code is the bbg_exchange_codes, or the exchange where this composite code
+        exists, but only if it is the primary exchange
+        """
+        return self.get(Q(bbg_exchange_codes__contains=[bbg]) | (Q(bbg_composite=bbg) & Q(bbg_composite_primary=True)))
+
+
+class Exchange(WBModel):
+    source_id = models.CharField(max_length=64, null=True, blank=True)
+    source = models.CharField(max_length=64, null=True, blank=True)
+    name = models.CharField(
+        max_length=265, null=True, blank=True, verbose_name="Exchange Name", help_text="Name of the Exchange."
+    )
+
+    opening_time = models.TimeField(
+        blank=True, null=True, verbose_name="Exchange Opening time", help_text="The opening time of the exchange"
+    )
+    closing_time = models.TimeField(
+        blank=True, null=True, verbose_name="Exchange Closing time", help_text="The closing time of the exchange"
+    )
+
+    mic_code = models.CharField(
+        max_length=4,
+        null=True,
+        blank=True,
+        verbose_name="MIC (ISO)",
+        unique=True,
+        help_text="Market Identifier Code.",
+    )
+    mic_name = models.CharField(
+        max_length=126,
+        null=True,
+        blank=True,
+        verbose_name="MIC (ISO) Name",
+        help_text="Market Identifier Name.",
+    )
+    operating_mic_code = models.CharField(
+        max_length=4,
+        null=True,
+        blank=True,
+        verbose_name="Operating MIC Code",
+        help_text="Operating Market Identifier Code.",
+    )
+    operating_mic_name = models.CharField(
+        max_length=126,
+        null=True,
+        blank=True,
+        verbose_name="Operating MIC Name",
+        help_text="Operating Market Identifier Name.",
+    )
+    ########################################################
+    #                       Bloomberg                      #
+    ########################################################
+
+    bbg_exchange_codes = ArrayField(
+        models.CharField(
+            max_length=4,
+        ),
+        blank=True,
+        default=list,
+        verbose_name="BBG Exchange Code",
+        help_text="Bloomberg Exchange Code.",
+    )
+
+    bbg_composite_primary = models.BooleanField(
+        default=False,
+        verbose_name="BBG Primary composite",
+        help_text="Indicates the primary exchange for this BBG Composite Code.",
+    )
+
+    bbg_composite = models.CharField(
+        max_length=4,
+        null=True,
+        blank=True,
+        verbose_name="BBG Composite Code",
+        help_text="Bloomberg Composite Code.",
+    )
+
+    ########################################################
+    #                   Reuters/Refinitiv                  #
+    ########################################################
+
+    refinitiv_identifier_code = models.CharField(
+        max_length=4,
+        null=True,
+        blank=True,
+        verbose_name="RIC Exchange Code",
+        help_text="Reuters Exchange Code.",
+    )
+    refinitiv_mnemonic = models.CharField(
+        max_length=4,
+        null=True,
+        blank=True,
+        verbose_name="Refinitiv Mnemonic",
+        help_text="Reuters Exchange Mnemonic Code.",
+    )
+    ########################################################
+    #                      INFORMATION                     #
+    ########################################################
+
+    country = models.ForeignKey(
+        to="geography.Geography",
+        null=True,
+        blank=True,
+        limit_choices_to={"level": 1},
+        on_delete=models.SET_NULL,
+    )
+
+    city = models.ForeignKey(
+        to="geography.Geography",
+        max_length=255,
+        null=True,
+        blank=True,
+        limit_choices_to={"level": 3},
+        related_name="city_exchanges",
+        on_delete=models.SET_NULL,
+        verbose_name="City",
+        help_text="The city where this Exchange is located at.",
+    )
+
+    city = models.ForeignKey(
+        "geography.Geography",
+        null=True,
+        blank=True,
+        related_name="exchanges",
+        verbose_name="City",
+        on_delete=models.PROTECT,
+        help_text="The city where this Exchange is located at.",
+        limit_choices_to={"level": 3},
+    )
+
+    website = models.URLField(
+        null=True,
+        blank=True,
+        verbose_name="Website",
+        help_text="The Website of the Exchange",
+    )
+
+    comments = models.TextField(
+        default="",
+        blank=True,
+        verbose_name="Comments",
+        help_text="Any comments for this exchange",
+    )
+
+    last_updated = models.DateTimeField(auto_now=True)
+
+    objects = ExchangeManager()
+
+    @property
+    def identifier_repr(self) -> str:
+        if self.bbg_exchange_codes:
+            return self.bbg_exchange_codes[0]
+        if self.mic_code:
+            return self.mic_code
+        if self.operating_mic_code:
+            return self.operating_mic_code
+        if self.bbg_composite:
+            return self.bbg_composite
+        if self.refinitiv_identifier_code:
+            return self.refinitiv_identifier_code
+        if self.refinitiv_mnemonic:
+            return self.refinitiv_mnemonic
+
+    def __str__(self) -> str:
+        repr = self.identifier_repr
+        if self.name:
+            repr = f"{self.name} ({self.identifier_repr})"
+        elif self.mic_name:
+            repr = f"{self.mic_name} ({self.identifier_repr})"
+        return repr
+
+    class Meta:
+        verbose_name = _("Exchange")
+        verbose_name_plural = _("Exchanges")
+        indexes = [models.Index(fields=["source_id", "source"])]
+        constraints = [
+            models.UniqueConstraint(fields=["source", "source_id"], name="unique_exchange_source"),
+        ]
+
+    @classmethod
+    def dict_to_model(cls, exchange_data):
+        if isinstance(exchange_data, int):
+            return Exchange.objects.filter(id=exchange_data).first()
+        elif (bbg_code := exchange_data.get("bbg_exchange_codes", None)) or (
+            bbg_code := exchange_data.get("bbg_exchange_code", None)
+        ):
+            return Exchange.objects.filter(bbg_exchange_codes__contains=[bbg_code]).first()
+        elif mic_code := exchange_data.pop("exchange__mic_code", None):
+            return Exchange.objects.filter(mic_code=mic_code).first()
+        elif bbg_composite := exchange_data.pop("exchange__bbg_composite", None):
+            return Exchange.objects.filter(bbg_composite=bbg_composite).first()
+
+    @classmethod
+    def get_endpoint_basename(cls):
+        return "wbfdm:exchange"
+
+    @classmethod
+    def get_representation_endpoint(cls):
+        return "wbfdm:exchangerepresentation-list"
+
+    @classmethod
+    def get_representation_value_key(cls):
+        return "id"
+
+    @classmethod
+    def get_representation_label_key(cls):
+        return "{{name}} ({{mic_code}})"
+
+    @property
+    def time_zone(self):
+        if self.city:
+            return self.city.time_zone