wbfdm 1.46.12__tar.gz → 1.46.14__tar.gz

{wbfdm-1.46.12 → wbfdm-1.46.14}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbfdm
-Version: 1.46.12
+Version: 1.46.14
 Summary: The workbench module ensures rapid access to diverse financial data (market, fundamental, forecasts, ESG), with features for storing instruments, classifying them, and conducting financial analysis.
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 Requires-Dist: roman==4.*

{wbfdm-1.46.12 → wbfdm-1.46.14}/wbfdm/contrib/metric/backends/base.py

@@ -14,6 +14,7 @@ from wbfdm.models import Instrument, InstrumentPrice
 
 from ..dto import Metric, MetricField, MetricKey
 from ..exceptions import MetricInvalidParameterException
+from .utils import get_today
 
 T = TypeVar("T", bound=Model)
 
@@ -82,11 +83,16 @@ class InstrumentMetricBaseBackend(AbstractBackend[Instrument]):
         return super().get_queryset().filter(is_investable_universe=True)
 
     def _get_valid_date(self, instrument: Instrument) -> date:
+        val_date = None
         if self.val_date is None and instrument.last_price_date:
-            return instrument.last_price_date
+            val_date = instrument.last_price_date
         elif self.val_date:
             with suppress(InstrumentPrice.DoesNotExist):
-                return instrument.prices.filter(date__lte=self.val_date).latest("date").date
+                val_date = instrument.prices.filter(date__lte=self.val_date).latest("date").date
+        if val_date:
+            return min(
+                [val_date, (get_today() - pd.tseries.offsets.BDay(1)).date()]
+            )  # ensure that value date is at least lower than today (otherwise, we might compute performance for intraday, which we do not want yet
         else:
             raise MetricInvalidParameterException()
 

{wbfdm-1.46.12 → wbfdm-1.46.14}/wbfdm/contrib/metric/backends/performances.py

@@ -12,6 +12,7 @@ from wbfdm.models import Instrument, InstrumentPrice, RelatedInstrumentThroughMo
 from ..decorators import register
 from ..dto import Metric, MetricField, MetricKey
 from .base import BaseDataloader, InstrumentMetricBaseBackend
+from .utils import get_today
 
 PERFORMANCE_METRIC = MetricKey(
     key="performance",
@@ -247,7 +248,7 @@ class InstrumentPerformanceMetricBackend(InstrumentMetricBaseBackend):
         attrs = super().get_serializer_field_attr(metric_field)
         pivot_date = self.val_date
         if not pivot_date:
-            pivot_date = (date.today() - pd.tseries.offsets.BDay(1)).date()
+            pivot_date = (get_today() - pd.tseries.offsets.BDay(1)).date()
         if "previous" in metric_field.key:
             pivot_date = Dataloader.get_performance_date_map(pivot_date)[metric_field.key.replace("previous_", "")]
 

wbfdm-1.46.14/wbfdm/contrib/metric/backends/utils.py

@@ -0,0 +1,5 @@
+from datetime import date
+
+
+def get_today():  # utility function to be able to mock today in the test suit
+    return date.today()

{wbfdm-1.46.12 → wbfdm-1.46.14}/wbfdm/contrib/metric/tests/backends/test_performances.py

@@ -1,5 +1,6 @@
 from datetime import timedelta
 from decimal import Decimal
+from unittest.mock import patch
 
 import pandas as pd
 import pytest
@@ -14,13 +15,18 @@ fake = Faker()
 
 @pytest.mark.django_db
 class TestInstrumentPerformanceMetricBackend:
-    def test_compute_metrics(self, weekday, instrument, instrument_price_factory):
+    @patch("wbfdm.contrib.metric.backends.performances.get_today")
+    def test_compute_metrics(self, mock_fct, weekday, instrument, instrument_price_factory):
         from wbfdm.contrib.metric.backends.performances import (  # we import locally to avoid database access pytest error
             InstrumentPerformanceMetricBackend,
         )
 
+        # mock_fct.return_value = weekday # return weekday as date.today
         backend = InstrumentPerformanceMetricBackend(weekday)
 
+        price_intraday = instrument_price_factory(  # noqa
+            instrument=instrument, calculated=False, date=(weekday + BDay(1)).date()
+        )
         price_today = instrument_price_factory.create(instrument=instrument, calculated=False, date=weekday)
         price_yesterday = instrument_price_factory.create(
             instrument=instrument, calculated=False, date=weekday - BDay(1)

{wbfdm-1.46.12 → wbfdm-1.46.14}/wbfdm/models/instruments/querysets.py

@@ -128,28 +128,24 @@ class InstrumentQuerySet(QuerySet):
         )
         if not df.empty:
             df["valuation_date"] = pd.to_datetime(df["valuation_date"])
-            df = df.rename(columns={"valuation_date": "date"}).set_index(["instrument_id", "date"]).sort_index()
-            df = df.drop(columns=df.columns.difference(["calculated", "close", "market_capitalization", "volume"]))
-            df["calculated"] = False
-            idx = pd.MultiIndex.from_product(
-                [
-                    df.index.levels[0],
-                    pd.date_range(
-                        df.index.get_level_values("date").min(), df.index.get_level_values("date").max(), freq="B"
-                    ),
-                ],
-                names=["instrument_id", "date"],
+            df = df.rename(columns={"valuation_date": "date"})
+            df = df.drop(
+                columns=df.columns.difference(
+                    ["calculated", "close", "market_capitalization", "volume", "instrument_id", "date"]
+                )
             )
-            df = df.reindex(idx)
-            df[["close", "market_capitalization"]] = df[["close", "market_capitalization"]].astype(float).ffill()
-            df.volume = df.volume.astype(float).fillna(0)
-            df.calculated = df.calculated.astype(bool).fillna(
-                True
-            )  # we do not ffill calculated but set the to True to mark them as "estimated"/"not real"
-            df = df.reset_index("date").dropna(subset=["close"])
-            df = df.replace([np.inf, -np.inf, np.nan], None)
+            df["calculated"] = False
 
-            for instrument_id, dff in df.groupby(level=0):
+            for instrument_id, dff in df.groupby("instrument_id", group_keys=False, as_index=False):
+                dff = dff.drop(columns=["instrument_id"]).set_index("date").sort_index()
+                dff = dff.reindex(pd.date_range(dff.index.min(), dff.index.max(), freq="B"))
+                dff[["close", "market_capitalization"]] = dff[["close", "market_capitalization"]].astype(float).ffill()
+                dff.volume = dff.volume.astype(float).fillna(0)
+                dff.calculated = dff.calculated.astype(bool).fillna(
+                    True
+                )  # we do not ffill calculated but set the to True to mark them as "estimated"/"not real"
+                dff = dff.reset_index(names="date").dropna(subset=["close"])
+                dff = dff.replace([np.inf, -np.inf, np.nan], None)
                 instrument = self.get(id=instrument_id)
                 yield from filter(
                     lambda x: x, map(lambda row: _dict_to_object(instrument, row), dff.to_dict("records"))