wbfdm 1.54.20__py2.py3-none-any.whl → 1.55.4__py2.py3-none-any.whl

wbfdm/contrib/qa/dataloaders/fx_rates.py

@@ -0,0 +1,49 @@
+from datetime import date, timedelta
+from typing import Iterator
+
+import pypika as pk
+from django.db import connections
+from pypika import Case
+from pypika import functions as fn
+from pypika.enums import Order, SqlTypes
+from wbcore.contrib.dataloader.dataloaders import Dataloader
+from wbcore.contrib.dataloader.utils import dictfetchall
+
+from wbfdm.dataloaders.protocols import FXRateProtocol
+from wbfdm.dataloaders.types import FXRateDict
+
+
+class DatastreamFXRatesDataloader(FXRateProtocol, Dataloader):
+    def fx_rates(
+        self,
+        from_date: date,
+        to_date: date,
+        target_currency: str,
+    ) -> Iterator[FXRateDict]:
+        currencies = list(self.entities.values_list("currency__key", flat=True))
+        # Define tables
+        fx_rate = pk.Table("DS2FxRate")
+        fx_code = pk.Table("DS2FxCode")
+
+        # Base query to get data we always need unconditionally
+        query = (
+            pk.MSSQLQuery.from_(fx_rate)
+            # We join on _codes, which removes all instruments not in _codes - implicit where
+            .join(fx_code)
+            .on(fx_rate.ExRateIntCode == fx_code.ExRateIntCode)
+            .where((fx_rate.ExRateDate >= from_date) & (fx_rate.ExRateDate <= to_date + timedelta(days=1)))
+            .where(
+                (fx_code.ToCurrCode == target_currency)
+                & (fx_code.FromCurrCode.isin(currencies))
+                & (fx_code.RateTypeCode == "SPOT")
+            )
+            .orderby(fx_rate.ExRateDate, order=Order.desc)
+            .select(
+                fn.Cast(fx_rate.ExRateDate, SqlTypes.DATE).as_("fx_date"),
+                fn.Concat(fx_code.FromCurrCode, fx_code.ToCurrCode).as_("currency_pair"),
+                (Case().when(fx_code.FromCurrCode == target_currency, 1).else_(1 / fx_rate.midrate)).as_("fx_rate"),
+            )
+        )
+        with connections["qa"].cursor() as cursor:
+            cursor.execute(query.get_sql())
+            yield from dictfetchall(cursor, FXRateDict)

wbfdm/contrib/qa/dataloaders/market_data.py

@@ -1,3 +1,4 @@
+from collections import defaultdict
 from contextlib import suppress
 from datetime import date
 from enum import Enum
@@ -7,13 +8,14 @@ from typing import TYPE_CHECKING, Iterator
 
 import pypika as pk
 from django.db import ProgrammingError, connections
-from pypika import Case, Column, MSSQLQuery
+from pypika import Column, MSSQLQuery
 from pypika import functions as fn
 from pypika.enums import Order, SqlTypes
 from pypika.terms import ValueWrapper
 from wbcore.contrib.dataloader.dataloaders import Dataloader
 from wbcore.contrib.dataloader.utils import dictfetchall
 
+from wbfdm.contrib.qa.dataloaders.fx_rates import DatastreamFXRatesDataloader
 from wbfdm.contrib.qa.dataloaders.utils import create_table
 from wbfdm.dataloaders.protocols import MarketDataProtocol
 from wbfdm.dataloaders.types import MarketDataDict
@@ -60,10 +62,19 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
         Returns:
             Iterator[MarketDataDict]: An iterator of dictionaries conforming to the DailyValuationDict.
         """
-
         lookup = {
             f"{k[0]},{k[1]}": v for k, v in self.entities.values_list("dl_parameters__market_data__parameters", "id")
         }
+        fx_rates = defaultdict(dict)
+        if target_currency:
+            if exact_date:
+                from_date = exact_date
+                to_date = exact_date
+            if from_date and to_date:
+                for fx_rate in DatastreamFXRatesDataloader(self.entities).fx_rates(
+                    from_date, to_date, target_currency
+                ):
+                    fx_rates[fx_rate["currency_pair"]][fx_rate["fx_date"]] = fx_rate["fx_rate"]
 
         # Define tables
         pricing = pk.Table("vw_DS2Pricing")
@@ -90,33 +101,7 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
             .orderby(pricing.MarketDate, order=Order.desc)
         )
 
-        # if a target currency is required, we join on the fx tables and set the currency to the desired one
-        # otherwise we just set the currency to whatever the currency is from the instrument
-        fx_rate = None
-        if target_currency:
-            query = query.select(ValueWrapper(target_currency).as_("currency"))
-            fx_code = pk.Table("DS2FxCode")
-            fx_rate = pk.Table("DS2FxRate")
-            query = (
-                query.select(
-                    (Case().when(pricing.Currency == target_currency, 1).else_(1 / fx_rate.midrate)).as_("fx_rate")
-                )
-                # Join FX code table matching currencies and ensuring SPOT rate type
-                .left_join(fx_code)
-                .on(
-                    (fx_code.FromCurrCode == pricing.Currency)
-                    & (fx_code.ToCurrCode == target_currency)
-                    & (fx_code.RateTypeCode == "SPOT")
-                )
-                # Join FX rate table matching internal code and date
-                .left_join(fx_rate)
-                .on((fx_rate.ExRateIntCode == fx_code.ExRateIntCode) & (fx_rate.ExRateDate == pricing.MarketDate))
-                # We filter out rows which do not have a proper fx rate (we exclude same currency conversions)
-                .where((Case().when(pricing.Currency == target_currency, 1).else_(fx_rate.midrate).isnotnull()))
-            )
-
-        else:
-            query = query.select(pricing.Currency.as_("currency"))
+        query = query.select(pricing.Currency.as_("currency"))
 
         # if market cap or shares outstanding are required we need to join with an additional table
         if MarketData.MARKET_CAPITALIZATION in values or MarketData.SHARES_OUTSTANDING in values:
@@ -130,9 +115,6 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
             )
 
             value = pricing_2.Close_
-            if fx_rate and apply_fx_rate:
-                value /= Case().when(pricing_2.Currency == target_currency, 1).else_(fx_rate.midrate)
-
             query = query.select(value.as_("undadjusted_close"))
             query = query.select(
                 MSSQLQuery.from_(num_shares)
@@ -148,9 +130,6 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
         ):
             ds2_value = DS2MarketData[market_data.name].value
             value = getattr(pricing, ds2_value)
-            if fx_rate and apply_fx_rate and market_data is not MarketData.SHARES_OUTSTANDING:
-                value /= Case().when(pricing.Currency == target_currency, 1).else_(fx_rate.midrate)
-
             query = query.select(value.as_(market_data.value))
 
         # Add conditional where clauses
@@ -189,7 +168,21 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
 
                 if MarketData.SHARES_OUTSTANDING in values:
                     row["outstanding_shares"] = (row["market_capitalization"] / row["close"]) if row["close"] else None
-
+                if target_currency:
+                    try:
+                        if target_currency == row["currency"]:
+                            fx_rate = 1.0
+                        else:
+                            fx_rate = fx_rates[f'{row["currency"]}{target_currency}'][row["valuation_date"]] or 1.0
+                        if apply_fx_rate:
+                            for e in MarketData:
+                                if e != MarketData.SHARES_OUTSTANDING and e.value in row and row[e.value]:
+                                    row[e.value] = row[e.value] * fx_rate
+                            row["currency"] = target_currency
+                        row["fx_rate"] = fx_rate
+                    except KeyError:
+                        # if we don't find the fx rate but we asked for it, we invalid that row and do not return it
+                        continue
                 yield row
 
             cursor.execute(MSSQLQuery.drop_table(mapping).get_sql())

wbfdm/contrib/qa/dataloaders/statements.py

@@ -239,6 +239,10 @@ class RKDStatementsDataloader(StatementsProtocol, Dataloader):
     ) -> Iterator[StatementDataDict]:
         lookup = {k: v for k, v in self.entities.values_list("dl_parameters__statements__parameters", "id")}
         sql = reported_sql if data_type is DataType.REPORTED else standardized_sql
+        if not financials:
+            financials = []
+        external_codes = [RKDFinancial[fin.name].value for fin in financials if fin.name in RKDFinancial.__members__]
+
         query, bind_params = JinjaSql(param_style="format").prepare_query(
             sql,
             {
@@ -249,7 +253,7 @@ class RKDStatementsDataloader(StatementsProtocol, Dataloader):
                 "from_date": from_date,
                 "to_date": to_date,
                 "period_type": period_type.value,
-                "external_codes": [RKDFinancial[fin.name].value for fin in financials or []],
+                "external_codes": external_codes,
             },
         )
         with connections["qa"].cursor() as cursor:
@@ -264,5 +268,8 @@ class RKDStatementsDataloader(StatementsProtocol, Dataloader):
                 row["year"] = int(row["year"] or row["period_end_date"].year)
                 row["instrument_id"] = lookup[row["external_identifier"]]
                 if financials:
-                    row["financial"] = Financial[RKDFinancial(row["external_code"]).name].value
+                    try:
+                        row["financial"] = Financial[RKDFinancial(row["external_code"]).name].value
+                    except (ValueError, KeyError):
+                        continue
                 yield row

wbfdm/dataloaders/protocols.py

@@ -7,6 +7,7 @@ from wbfdm.dataloaders.types import (
     ESGControversyDataDict,
     ESGDataDict,
     FinancialDataDict,
+    FXRateDict,
     MarketDataDict,
     OfficerDataDict,
     ReportDateDataDict,
@@ -36,6 +37,15 @@ class AdjustmentsProtocol(Protocol):
     ) -> Iterator[AdjustmentDataDict]: ...
 
 
+class FXRateProtocol(Protocol):
+    def fx_rates(
+        self,
+        from_date: date,
+        to_date: date,
+        target_currency: str,
+    ) -> Iterator[FXRateDict]: ...
+
+
 class MarketDataProtocol(Protocol):
     def market_data(
         self,

wbfdm/dataloaders/proxies.py

@@ -9,6 +9,7 @@ from wbfdm.dataloaders.protocols import (
     ESGControversyProtocol,
     ESGProtocol,
     FinancialsProtocol,
+    FXRateProtocol,
     MarketDataProtocol,
     OfficersProtocol,
     ReportDateProtocol,
@@ -20,6 +21,7 @@ from wbfdm.dataloaders.types import (
     ESGControversyDataDict,
     ESGDataDict,
     FinancialDataDict,
+    FXRateDict,
     MarketDataDict,
     OfficerDataDict,
     ReportDateDataDict,
@@ -53,7 +55,8 @@ def _market_data_row_parser(row):
 
 class InstrumentDataloaderProxy(
     DataloaderProxy[
-        AdjustmentsProtocol
+        FXRateProtocol
+        | AdjustmentsProtocol
         | MarketDataProtocol
         | CorporateActionsProtocol
         | OfficersProtocol
@@ -68,6 +71,15 @@ class InstrumentDataloaderProxy(
         for dl in self.iterate_dataloaders("reporting_dates"):
             yield from dl.reporting_dates(only_next=only_next)
 
+    def fx_rates(
+        self,
+        from_date: date,
+        to_date: date,
+        target_currency: str,
+    ) -> Iterator[FXRateDict]:
+        for dl in self.iterate_dataloaders("fx_rates"):
+            yield from dl.fx_rates(from_date, to_date, target_currency)
+
     def adjustments(self, from_date: date | None = None, to_date: date | None = None) -> Iterator[AdjustmentDataDict]:
         for dl in self.iterate_dataloaders("adjustments"):
             yield from dl.adjustments(from_date=from_date, to_date=to_date)

wbfdm/dataloaders/types.py

@@ -26,6 +26,12 @@ class BaseDict(TypedDict):
     currency: NotRequired[str]
 
 
+class FXRateDict(TypedDict):
+    currency_pair: str
+    fx_date: date
+    fx_rate: float
+
+
 class MarketDataDict(BaseDict):
     """
     Represents a dictionary for daily valuation data.

wbfdm/factories/instruments.py

@@ -21,7 +21,7 @@ class InstrumentFactory(factory.django.DjangoModelFactory):
     instrument_type = factory.SubFactory(InstrumentTypeFactory)
     inception_date = factory.Faker("past_date")
     delisted_date = None
-    currency = factory.SubFactory("wbcore.contrib.currency.factories.CurrencyFactory")
+    currency = factory.SubFactory("wbcore.contrib.currency.factories.CurrencyUSDFactory")
     country = factory.SubFactory("wbcore.contrib.geography.factories.CountryFactory")
     exchange = factory.SubFactory("wbfdm.factories.exchanges.ExchangeFactory")
 
@@ -54,7 +54,7 @@ class InstrumentFactory(factory.django.DjangoModelFactory):
 
 class CashFactory(factory.django.DjangoModelFactory):
     is_cash = True
-    currency = factory.SubFactory("wbcore.contrib.currency.factories.CurrencyFactory")
+    currency = factory.SubFactory("wbcore.contrib.currency.factories.CurrencyUSDFactory")
     name = factory.LazyAttribute(lambda o: o.currency.title)
     instrument_type = factory.LazyAttribute(
         lambda o: InstrumentType.objects.get_or_create(key="cash", defaults={"name": "Cash", "short_name": "Cash"})[0]

wbfdm/import_export/handlers/option.py

@@ -26,7 +26,7 @@ class OptionAggregateImportHandler(ImportExportHandler):
 
     def _get_instance(self, data: Dict[str, Any], history: Optional[models.QuerySet] = None, **kwargs) -> models.Model:
         with suppress(ObjectDoesNotExist):
-            return self.model.objects.filter(instrument=data["instrument"], date=data["date"], type=data["type"])
+            return self.model.objects.get(instrument=data["instrument"], date=data["date"], type=data["type"])
 
 
 class OptionImportHandler(ImportExportHandler):
@@ -46,7 +46,7 @@ class OptionImportHandler(ImportExportHandler):
 
     def _get_instance(self, data: Dict[str, Any], history: Optional[models.QuerySet] = None, **kwargs) -> models.Model:
         with suppress(ObjectDoesNotExist):
-            return self.model.objects.filter(
+            return self.model.objects.get(
                 instrument=data["instrument"],
                 contract_identifier=data["contract_identifier"],
                 date=data["date"],

wbfdm/migrations/0032_alter_instrumentprice_outstanding_shares.py

@@ -0,0 +1,18 @@
+# Generated by Django 5.0.14 on 2025-08-27 07:59
+
+from django.db import migrations, models
+
+
+class Migration(migrations.Migration):
+
+    dependencies = [
+        ('wbfdm', '0031_exchange_apply_round_lot_size_and_more'),
+    ]
+
+    operations = [
+        migrations.AlterField(
+            model_name='instrumentprice',
+            name='outstanding_shares',
+            field=models.DecimalField(blank=True, decimal_places=4, help_text='The amount of outstanding share for this instrument', max_digits=16, null=True, verbose_name='Outstanding Shares'),
+        ),
+    ]

wbfdm/models/instruments/instrument_prices.py

@@ -195,9 +195,11 @@ class InstrumentPrice(
         verbose_name="Value (Gross)",
     )  # TODO: I think we need to remove this field that is not really used here.
 
-    outstanding_shares = DynamicDecimalField(
+    outstanding_shares = models.DecimalField(
         decimal_places=4,
         max_digits=16,
+        blank=True,
+        null=True,
         verbose_name="Outstanding Shares",
         help_text="The amount of outstanding share for this instrument",
     )

wbfdm/models/instruments/instruments.py

@@ -139,6 +139,12 @@ class InstrumentManager(TreeManager):
     def filter_active_at_date(self, val_date: date):
         return self.get_queryset().filter_active_at_date(val_date)
 
+    def get_instrument_prices_from_market_data(self, **kwargs):
+        return self.get_queryset().get_instrument_prices_from_market_data(**kwargs)
+
+    def get_returns_df(self, **kwargs) -> tuple[dict[date, dict[int, float]], pd.DataFrame]:
+        return self.get_queryset().get_returns_df(**kwargs)
+
 
 class SecurityInstrumentManager(InstrumentManager):
     def get_queryset(self) -> InstrumentQuerySet:

wbfdm/models/instruments/mixin/financials_computed.py

@@ -697,10 +697,6 @@ import pandas as pd
 #
 #
 class InstrumentPriceComputedMixin:
-    def _compute_outstanding_shares(self):
-        if self.outstanding_shares is None and (previous_price := self.previous_price):
-            return previous_price.outstanding_shares
-
     def _compute_outstanding_shares_consolidated(self):
         if self.outstanding_shares_consolidated is None and self.outstanding_shares is not None:
             return self.outstanding_shares

wbfdm/models/instruments/querysets.py

@@ -1,6 +1,6 @@
 import logging
 from contextlib import suppress
-from datetime import date
+from datetime import date, timedelta
 from decimal import Decimal
 
 import numpy as np
@@ -9,6 +9,7 @@ from django.core.exceptions import MultipleObjectsReturned, ValidationError
 from django.core.validators import DecimalValidator
 from django.db.models import (
     AutoField,
+    Case,
     Exists,
     ExpressionWrapper,
     F,
@@ -16,9 +17,12 @@ from django.db.models import (
     Q,
     QuerySet,
     Subquery,
+    Value,
+    When,
 )
 from django.db.models.functions import Coalesce
-from wbcore.contrib.currency.models import CurrencyFXRates
+from skfolio.preprocessing import prices_to_returns
+from wbcore.contrib.currency.models import Currency, CurrencyFXRates
 
 from wbfdm.enums import MarketData
 
@@ -177,3 +181,79 @@ class InstrumentQuerySet(QuerySet):
                 yield from filter(
                     lambda x: x, map(lambda row: _dict_to_object(instrument, row), dff.to_dict("records"))
                 )
+
+    def get_returns_df(
+        self, from_date: date, to_date: date, to_currency: Currency | None = None, use_dl: bool = False
+    ) -> tuple[dict[date, dict[int, float]], pd.DataFrame]:
+        """
+        Utility methods to get instrument returns for a given date range
+
+        Args:
+            from_date: date range lower bound
+            to_date: date range upper bound
+            to_currency: currency to use for returns
+            use_dl: whether to get data straight from the dataloader or use the internal table
+
+        Returns:
+            Return a tuple of the raw prices and the returns dataframe
+        """
+        padded_from_date = from_date - timedelta(days=15)
+        padded_to_date = to_date + timedelta(days=3)
+        logger.info(
+            f"Loading returns from {from_date:%Y-%m-%d} (padded to {padded_from_date:%Y-%m-%d}) to {to_date:%Y-%m-%d} (padded to {padded_to_date:%Y-%m-%d}) for {self.count()} instruments"
+        )
+
+        if use_dl:
+            kwargs = dict(
+                from_date=padded_from_date, to_date=padded_to_date, values=[MarketData.CLOSE], apply_fx_rate=False
+            )
+            if to_currency:
+                kwargs["target_currency"] = to_currency.key
+            df = pd.DataFrame(self.dl.market_data(**kwargs))
+            if df.empty:
+                df = pd.DataFrame(columns=["instrument_id", "fx_rate", "close", "valuation_date"])
+            else:
+                df = df[["instrument_id", "fx_rate", "close", "valuation_date"]]
+        else:
+            from wbfdm.models import InstrumentPrice
+
+            if to_currency:
+                fx_rate = Coalesce(
+                    CurrencyFXRates.get_fx_rates_subquery_for_two_currencies(
+                        "date", "instrument__currency", to_currency
+                    ),
+                    Decimal("1"),
+                )
+            else:
+                fx_rate = Value(Decimal("1"))
+            # annotate fx rate only if the price is not calculated, in that case we assume the instrument is not tradable and we set a forex of None (to be fast forward filled)
+            prices = InstrumentPrice.objects.filter(
+                instrument__in=self, date__gte=padded_from_date, date__lte=padded_to_date
+            ).annotate(fx_rate=Case(When(calculated=False, then=fx_rate), default=None))
+            df = pd.DataFrame(
+                prices.filter_only_valid_prices().values_list("instrument", "fx_rate", "net_value", "date"),
+                columns=["instrument_id", "fx_rate", "close", "valuation_date"],
+            )
+        df = (
+            df.pivot_table(index="valuation_date", columns="instrument_id", values=["fx_rate", "close"], dropna=False)
+            .astype(float)
+            .sort_index()
+        )
+        if not df.empty:
+            ts = pd.bdate_range(df.index.min(), df.index.max(), freq="B")
+            df = df.reindex(ts)
+            df = df.ffill()
+            df.index = pd.to_datetime(df.index)
+            df = df[
+                (df.index <= pd.Timestamp(to_date)) & (df.index >= pd.Timestamp(from_date))
+            ]  # ensure the returned df corresponds to requested date range
+            prices_df = df["close"]
+            if "fx_rate" in df.columns:
+                fx_rate_df = df["fx_rate"].fillna(1.0)
+            else:
+                fx_rate_df = pd.DataFrame(np.ones(prices_df.shape), index=prices_df.index, columns=prices_df.columns)
+            returns = prices_to_returns(fx_rate_df * prices_df, drop_inceptions_nan=False, fill_nan=True)
+            return {
+                ts.date(): row for ts, row in prices_df.replace([np.nan], None).to_dict("index").items()
+            }, returns.replace([np.inf, -np.inf, np.nan], 0)
+        return {}, pd.DataFrame()

wbfdm/tasks.py

@@ -1,8 +1,9 @@
+from contextlib import suppress
 from datetime import date, timedelta
 
 from celery import shared_task
 from django.db import transaction
-from django.db.models import Q
+from django.db.models import ProtectedError, Q
 from pandas.tseries.offsets import BDay
 from tqdm import tqdm
 
@@ -89,7 +90,8 @@ def full_synchronization_as_task():
         (Q(name="") & Q(name_repr="")) | (Q(source__in=["qa-ds2-security", "qa-ds2-quote"]) & Q(parent__isnull=True))
     )
     for instrument in qs:
-        instrument.delete()
+        with suppress(ProtectedError):
+            instrument.delete()
     initialize_exchanges()
     initialize_instruments()
     with transaction.atomic():

wbfdm/tests/models/test_instrument_prices.py

@@ -1,10 +1,8 @@
 from datetime import date
-from decimal import Decimal
 
 import pandas as pd
 import pytest
 from faker import Faker
-from pandas.tseries.offsets import BDay
 from wbcore.models import DynamicDecimalField, DynamicFloatField
 
 from wbfdm.models import Instrument, InstrumentPrice, RelatedInstrumentThroughModel
@@ -168,18 +166,6 @@ class TestInstrumentPriceModel:
         assert isinstance(instrument_price._meta.get_field("gross_value"), DynamicDecimalField)
         assert instrument_price.gross_value == instrument_price.net_value
 
-    @pytest.mark.parametrize("instrument_price__outstanding_shares", [Decimal(10)])
-    def test_compute_outstanding_shares(self, instrument_price, instrument_price_factory):
-        next_price = instrument_price_factory.create(
-            instrument=instrument_price.instrument,
-            date=instrument_price.date + BDay(1),
-            outstanding_shares=None,
-            calculated=instrument_price.calculated,
-        )
-        assert hasattr(instrument_price, "_compute_outstanding_shares")
-        assert isinstance(instrument_price._meta.get_field("outstanding_shares"), DynamicDecimalField)
-        assert next_price.outstanding_shares == instrument_price.outstanding_shares
-
     @pytest.mark.parametrize("instrument_price__volume_50d", [None])
     def test_compute_volume_50d(self, instrument_price, instrument_price_factory):
         assert hasattr(instrument_price, "_compute_volume_50d")

wbfdm/tests/models/test_queryset.py

@@ -0,0 +1,89 @@
+from datetime import date
+from decimal import Decimal
+
+import pandas as pd
+import pytest
+
+from wbfdm.models import Instrument
+
+
+@pytest.mark.django_db
+class TestInstrumentQueryset:
+    def test_get_returns(self, instrument_factory, instrument_price_factory):
+        v1 = date(2024, 12, 31)
+        v2 = date(2025, 1, 1)
+        v3 = date(2025, 1, 2)
+        v4 = date(2025, 1, 3)
+
+        i1 = instrument_factory.create()
+        i2 = instrument_factory.create()
+
+        i11 = instrument_price_factory.create(date=v1, instrument=i1)
+        i12 = instrument_price_factory.create(date=v2, instrument=i1)
+        i14 = instrument_price_factory.create(date=v4, instrument=i1)
+        i21 = instrument_price_factory.create(date=v1, instrument=i2)
+        i11.refresh_from_db()
+        i12.refresh_from_db()
+        i14.refresh_from_db()
+        prices, returns = Instrument.objects.filter(id__in=[i1.id, i2.id]).get_returns_df(from_date=v1, to_date=v4)
+
+        expected_returns = pd.DataFrame(
+            [[i12.net_value / i11.net_value - 1, 0.0], [0.0, 0.0], [i14.net_value / i12.net_value - 1, 0.0]],
+            index=[v2, v3, v4],
+            columns=[i1.id, i2.id],
+            dtype="float64",
+        )
+        expected_returns.index = pd.to_datetime(expected_returns.index)
+        pd.testing.assert_frame_equal(returns, expected_returns, check_names=False, check_freq=False, atol=1e-6)
+        assert prices[v1][i1.id] == float(i11.net_value)
+        assert prices[v2][i1.id] == float(i12.net_value)
+        assert prices[v3][i1.id] == float(i12.net_value)
+        assert prices[v4][i1.id] == float(i14.net_value)
+        # test that the returned price are ffill
+        assert prices[v1][i2.id] == float(i21.net_value)
+        assert prices[v2][i2.id] == float(i21.net_value)
+        assert prices[v3][i2.id] == float(i21.net_value)
+        assert prices[v4][i2.id] == float(i21.net_value)
+
+    def test_get_returns_fix_forex_on_holiday(
+        self, instrument, instrument_price_factory, currency_fx_rates_factory, currency_factory
+    ):
+        v1 = date(2024, 12, 31)
+        v2 = date(2025, 1, 1)
+        v3 = date(2025, 1, 2)
+
+        target_currency = currency_factory.create()
+        fx_target1 = currency_fx_rates_factory.create(currency=target_currency, date=v1)
+        fx_target2 = currency_fx_rates_factory.create(currency=target_currency, date=v2)  # noqa
+        fx_target3 = currency_fx_rates_factory.create(currency=target_currency, date=v3)
+
+        fx1 = currency_fx_rates_factory.create(currency=instrument.currency, date=v1)
+        fx2 = currency_fx_rates_factory.create(currency=instrument.currency, date=v2)  # noqa
+        fx3 = currency_fx_rates_factory.create(currency=instrument.currency, date=v3)
+
+        i1 = instrument_price_factory.create(net_value=Decimal("100"), date=v1, instrument=instrument)
+        i2 = instrument_price_factory.create(net_value=Decimal("100"), date=v2, instrument=instrument, calculated=True)
+        i3 = instrument_price_factory.create(net_value=Decimal("200"), date=v3, instrument=instrument)
+
+        prices, returns = Instrument.objects.filter(id__in=[instrument.id]).get_returns_df(
+            from_date=v1, to_date=v3, to_currency=target_currency
+        )
+        returns.index = pd.to_datetime(returns.index)
+        assert prices[v1][instrument.id] == float(i1.net_value)
+        assert prices[v2][instrument.id] == float(i2.net_value)
+        assert prices[v3][instrument.id] == float(i3.net_value)
+
+        assert returns.loc[pd.Timestamp(v2), instrument.id] == pytest.approx(
+            float(
+                (i2.net_value * fx_target1.value / fx1.value) / (i1.net_value * fx_target1.value / fx1.value)
+                - Decimal("1")
+            ),
+            abs=10e-8,
+        )  # as v2 as a calculated price, the forex won't apply to it
+        assert returns.loc[pd.Timestamp(v3), instrument.id] == pytest.approx(
+            float(
+                (i3.net_value * fx_target3.value / fx3.value) / (i2.net_value * fx_target1.value / fx1.value)
+                - Decimal("1")
+            ),
+            abs=10e-8,
+        )

wbfdm/viewsets/instruments/instrument_prices.py

@@ -174,22 +174,22 @@ class InstrumentPriceInstrumentStatisticsChartView(InstrumentMixin, viewsets.Cha
 
         if self.instrument.related_instruments.count() > 0:
             reference = self.instrument.related_instruments.first().name_repr
-            risk = self.instrument.primary_risk_instrument.name_repr
             df = pd.DataFrame(queryset.values("date", "sharpe_ratio", "correlation", "beta")).replace(
                 [np.inf, -np.inf], np.nan
             )
 
             if not df.empty:
                 df = df.set_index("date").sort_index().dropna()
-                fig.add_trace(
-                    go.Scatter(
-                        x=df.index,
-                        y=df.sharpe_ratio,
-                        mode="lines",
-                        name=f"Sharpe Ratio ({risk})",
-                        hovertemplate=get_hovertemplate_timeserie(currency=""),
+                if risk_instrument := self.instrument.primary_risk_instrument:
+                    fig.add_trace(
+                        go.Scatter(
+                            x=df.index,
+                            y=df.sharpe_ratio,
+                            mode="lines",
+                            name=f"Sharpe Ratio ({risk_instrument.name_repr})",
+                            hovertemplate=get_hovertemplate_timeserie(currency=""),
+                        )
                     )
-                )
                 fig.add_trace(
                     go.Scatter(
                         x=df.index,

{wbfdm-1.54.20.dist-info → wbfdm-1.55.4.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbfdm
-Version: 1.54.20
+Version: 1.55.4
 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-1.54.20.dist-info → wbfdm-1.55.4.dist-info}/RECORD

@@ -5,7 +5,7 @@ wbfdm/enums.py,sha256=5AuUouk5uuSNmRc6e-SiBu4FPmHVTN60ol9ftiuVrAc,33041
 wbfdm/jinja2.py,sha256=pkIC1U-0rf6vn0DDEUzZ8dPYiTGEPY8LBTRMi9wYiuc,199
 wbfdm/preferences.py,sha256=8ghDcaapOMso1kjtNfKbSFykPUTxzqI5R77gM3BgiMs,927
 wbfdm/signals.py,sha256=PhAsFpQZF1YVe5UpedaRelUD_TVjemqRYm1HzV-bhmY,597
-wbfdm/tasks.py,sha256=6rI2SH94ZGL4ycjNX8cntoYzUcb_wJciNmAomGWBILs,4711
+wbfdm/tasks.py,sha256=zGlzMl-kTWQjkFRRVbaHdcwIaPTgxOJ-ZpyvXmqidFk,4802
 wbfdm/urls.py,sha256=pDp9I0kktxicad8sXXEUT7402jZPMJNcE5R1doTlcMw,8887
 wbfdm/utils.py,sha256=4cWrCpqXxHIjtSlt4DDPFvmtaqXw_H0nqhM6sGuXx0o,1938
 wbfdm/admin/__init__.py,sha256=Z1VtH_gjD71K79KcD-2Q2Lu_p_7j0akMZj7gNxdz1CQ,1398
@@ -100,10 +100,11 @@ wbfdm/contrib/qa/dataloaders/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NM
 wbfdm/contrib/qa/dataloaders/adjustments.py,sha256=DQEexOLA7WyBB1dZJHQd-6zbzyEIURgSSgS7bJRvXzQ,2980
 wbfdm/contrib/qa/dataloaders/corporate_actions.py,sha256=lWT6klrTXKqxiko2HGrxHH8E2C00FJS-AOX3IhglRrI,2912
 wbfdm/contrib/qa/dataloaders/financials.py,sha256=xUHpvhUkvmdPL_RyWCrs7XgChgTklX5qemmaXMedgkY,3475
-wbfdm/contrib/qa/dataloaders/market_data.py,sha256=ei_XNzgMOU-X8dCR06xQGASboCmw05-Hwgn1t17n5ME,8318
+wbfdm/contrib/qa/dataloaders/fx_rates.py,sha256=IYkUV8_8Vmvm4_K9xJpz7VaTgjQUz0y4pb3KyaoiqCM,1985
+wbfdm/contrib/qa/dataloaders/market_data.py,sha256=-HvEcJr-D37uWomnCegrhjDAsyxJsEKUayUAIlqjm24,8002
 wbfdm/contrib/qa/dataloaders/officers.py,sha256=vytlQJJxmn4Y5HfNh5mHJAvuIrrsQSkNO-sONyhxftY,2940
 wbfdm/contrib/qa/dataloaders/reporting_dates.py,sha256=q25ccB0pbGfLJLV1A1_AY1XYWJ_Fa10egY09L1J-C5A,2628
-wbfdm/contrib/qa/dataloaders/statements.py,sha256=hC6YErJcvBTmaAmzscgeC4sBK3lYE2U5eIKRIE9b_cs,10094
+wbfdm/contrib/qa/dataloaders/statements.py,sha256=6k8dDwJPLY6XE3G5ZA03_4wRvT7XduRsro4lzuAWCvM,10337
 wbfdm/contrib/qa/dataloaders/utils.py,sha256=E0qav459E7razVOvHKVt9ld_gteJ6eQ2oR4xN-CIOns,2941
 wbfdm/contrib/qa/jinja2/qa/sql/companies.sql,sha256=RzTkfVjBVOgyirgKxp2rnJdjsKl8d3YM-d2qdjHx9cw,3801
 wbfdm/contrib/qa/jinja2/qa/sql/instruments.sql,sha256=7p31aJDtKusfSzhrjyUo8FlmbPXNyffWtNclm8DZkFM,3863
@@ -118,16 +119,16 @@ wbfdm/contrib/qa/sync/instruments.py,sha256=8aTQVJ_cw1phe4FWikn79pjCfUijaTcwkdhQ
 wbfdm/contrib/qa/sync/utils.py,sha256=LUnjNR28moT92cjP04SVCRQ_Ssp6SaO9kehgWV4zvOs,11782
 wbfdm/dataloaders/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbfdm/dataloaders/cache.py,sha256=K9BeVxT7p-BMvjurINt18bfrUDccp840uIjfDBLJRNk,4841
-wbfdm/dataloaders/protocols.py,sha256=1vornH4tCIsd7HLL3lCiE0ni6YQEI6fF6Em_I-AUSFc,3023
-wbfdm/dataloaders/proxies.py,sha256=gA5QFXgbC78tQpmypow1dJ5k7UyqFGXDEyeS-xpUGEw,7157
-wbfdm/dataloaders/types.py,sha256=8PNHfBQj4C0xVn6cJxKQV3oBFxkTW3MGn4dMMRKVGJ4,5596
+wbfdm/dataloaders/protocols.py,sha256=LPuf3edDpP_jkqJpuiakbDR-XNgOxxN5JdDAo2f93Ms,3218
+wbfdm/dataloaders/proxies.py,sha256=1BTY7w3A32axWEOhP9fPZtZHGxHY2GzguteWRSxdhnM,7488
+wbfdm/dataloaders/types.py,sha256=VUqZgZJZ0mBnFp1T7AaQuWfplMx4AkPA_u52qqo8PQ4,5687
 wbfdm/factories/__init__.py,sha256=yYxAKBde_ksIr-3g4RjL6d5Wu-nmsuEDdYNyJpgfpQU,660
 wbfdm/factories/classifications.py,sha256=GJ0eARFTsj5dnKUsUYbLSIZLzTCy7RWhy7_f8Dn6IMQ,1827
 wbfdm/factories/controversies.py,sha256=GhuoEms1O7DIMVNAIbFEzD9DRv8j1MXIv0u1JK6Pi-o,929
 wbfdm/factories/exchanges.py,sha256=heJHQE59dCDFeDuScJJti4C_SsMsz3O0kmczpGYVNlQ,831
 wbfdm/factories/instrument_list.py,sha256=ypnrTLCl0XRfGj6y-3XJSQ2Wl5TULxZU0I3nF6svH3Y,743
 wbfdm/factories/instrument_prices.py,sha256=EjRFbMjP3pLrxoNsNqNo37FGjayIiV99bkQPVgZLj4I,3623
-wbfdm/factories/instruments.py,sha256=A4BP06Ma66uG6klsfkMjGfiP9WYh85OZPTRiXFxwUM0,2552
+wbfdm/factories/instruments.py,sha256=sJqHNA6Cs-NNm9RQrCimUVjKTrJS-ajjpTP4taPRTqA,2558
 wbfdm/factories/instruments_relationships.py,sha256=opGQMM3sHQV5F04nGPCCsRw8ux8vSQ78tHNJjIDPyUE,1138
 wbfdm/factories/options.py,sha256=nna8LgB_2-XNGm37--Edkdv1oc49oeKtr7f8tcIJPU4,2463
 wbfdm/figures/__init__.py,sha256=PDF_OWeTocmJIQozLxj_OjDUeUG7OYzcS2DLpe-ECEA,49
@@ -166,7 +167,7 @@ wbfdm/import_export/handlers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NM
 wbfdm/import_export/handlers/instrument.py,sha256=ZtXwqoCh--_Bgn7mB_A7U2w1S6HfMr9MqFCc4VMw7ls,12071
 wbfdm/import_export/handlers/instrument_list.py,sha256=mZRfpJFi6BhhrjH2qaFEPqqCK2ybg-DQm43Uck7G9_w,4864
 wbfdm/import_export/handlers/instrument_price.py,sha256=RbNTo78zZuttzlVFKxJrHcW7DRfcsta7QDEI8OiiDrA,3498
-wbfdm/import_export/handlers/option.py,sha256=DtqqdOMEA-u3jWVjmxRPKJ8miENj_t1k2DzAZEoOtXU,2384
+wbfdm/import_export/handlers/option.py,sha256=MPzluMPJ3Yu7Ahmw9BA7-ssAbvPDdyca_rC-YVhU8bY,2378
 wbfdm/import_export/handlers/private_equities.py,sha256=tOx4lgQOB68lYTi3UzIPzDQsfay5k2pu5qv8jGzG030,1957
 wbfdm/import_export/parsers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbfdm/import_export/parsers/cbinsights/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -223,6 +224,7 @@ wbfdm/migrations/0028_instrumentprice_annualized_daily_volatility.py,sha256=pO5M
 wbfdm/migrations/0029_alter_instrumentprice_volume.py,sha256=0UFUwEaBcqiWjKw6un1gf8sluKCRRh9snDM4z4THDw8,510
 wbfdm/migrations/0030_alter_relatedinstrumentthroughmodel_related_type.py,sha256=10-89NB7-T7t3xFPpd4fYQkKejNR36UewIhe5_20QCo,565
 wbfdm/migrations/0031_exchange_apply_round_lot_size_and_more.py,sha256=MqcHxgJIt67BEuEYK8vnJHhx_cGFw9Ca9Az2EvsDy1o,863
+wbfdm/migrations/0032_alter_instrumentprice_outstanding_shares.py,sha256=uRgkf6j97kNaXAo0-_V3XzHNE59hvxSruJB18g53YwU,570
 wbfdm/migrations/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbfdm/models/__init__.py,sha256=PWsLtlKJFDYycCohPbjsRLeWi1xaxEkZbaoUKo0yOBU,96
 wbfdm/models/fields.py,sha256=eQ_6EnDBMy0U7WzE2DsdXIXOJH5dFiIN2VbO2Svw4R0,3942
@@ -235,18 +237,18 @@ wbfdm/models/exchanges/exchanges.py,sha256=RmM5shyyuxEGN2Y3JmeSWyU-SbpVARrvVFW72
 wbfdm/models/instruments/__init__.py,sha256=OvEkECJaCubBQC7B9yUrx15V982labvegeGXyEASVno,636
 wbfdm/models/instruments/classifications.py,sha256=EeZ_P8f1F1NfjUmLf9fDMF0iPM73qxQoArUfvjuCwHg,10906
 wbfdm/models/instruments/instrument_lists.py,sha256=GxfFyfYxEcJS36LAarHja49TOM8ffhIivpZX2-tPtZg,4234
-wbfdm/models/instruments/instrument_prices.py,sha256=4xDZ2ulwQ1grVuznchz3m3920LTmHkxWfiSLy-c2u0g,22306
+wbfdm/models/instruments/instrument_prices.py,sha256=K7oMIz76WSrLmpNwcabThvtrP6WpBZZnrE9CHB5-UPQ,22345
 wbfdm/models/instruments/instrument_relationships.py,sha256=zpCZCnt5CqIg5bd6le_6TyirsSwGV2NaqTVKw3bd5vM,10660
 wbfdm/models/instruments/instrument_requests.py,sha256=XbpofRS8WHadHlTFjvXJyd0o7K9r2pzJtnpjVQZOLdI,7832
-wbfdm/models/instruments/instruments.py,sha256=N_g3yM5bajyo1tQBIeKkmQ4SdpPkUcEhKeEuTOJGwLw,44182
+wbfdm/models/instruments/instruments.py,sha256=Tn9vIu0kys8pVVBiO58Z0Z5fAv0KWzkp4L4kjm7oh3c,44485
 wbfdm/models/instruments/options.py,sha256=hFprq7B5t4ctz8nVqzFsBEzftq_KDUSsSXl1zJyh7tE,7094
 wbfdm/models/instruments/private_equities.py,sha256=uzwZi8IkmCKAHVTxnuFya9tehx7kh57sTlTEi1ieDaM,2198
-wbfdm/models/instruments/querysets.py,sha256=zBY3lX_l0_gqIGjX4vkfn7DQ5QyF_okmIYZ6SV1Y6I4,7729
+wbfdm/models/instruments/querysets.py,sha256=7r3pXNlpROkYgKc6gQH07RNeWX6jGeBAPUabUevE6Jo,11587
 wbfdm/models/instruments/utils.py,sha256=88jnWINSSC0OwH-mCEOPLZXuhBCtEsxBpSaZ38GteaE,1365
 wbfdm/models/instruments/llm/__init__.py,sha256=dSmxRmEWb0A4O_lUoWuRKt2mBtUuLCTPVVJqGyi_n40,52
 wbfdm/models/instruments/llm/create_instrument_news_relationships.py,sha256=f9MT-8cWYlexUfCkaOJa9erI9RaUNI-nqCEyf2tDkbA,3809
 wbfdm/models/instruments/mixin/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-wbfdm/models/instruments/mixin/financials_computed.py,sha256=L5wjXDsR0maiwfOKP6KyWNJNH4nGOoAjSc_hDM7fsj0,35105
+wbfdm/models/instruments/mixin/financials_computed.py,sha256=E87I7O2WQgjY3zM3so4dzfExBzVtKTkTqnRjPwLHbyM,34920
 wbfdm/models/instruments/mixin/financials_serializer_fields.py,sha256=-OkpcUt1rZmB3nUcO2vckpJdVm8IxRqkPDEgcPqqoRU,68886
 wbfdm/models/instruments/mixin/instruments.py,sha256=fpt03q_Sq35R_ZmJpdcw81aA7wTocnp7ANE1jb-_cfI,10022
 wbfdm/serializers/__init__.py,sha256=AXb03RKHo6B0ts_IQOvx89n9wKG8pxiumYv9cr4EhvA,197
@@ -279,10 +281,11 @@ wbfdm/tests/models/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuF
 wbfdm/tests/models/test_classifications.py,sha256=f2aM9UyV54fkEncp-uewEdOc3_0D-iPMN5LwhIhJC9w,4979
 wbfdm/tests/models/test_exchanges.py,sha256=KwK278MpA3FkpVgjW2l2PIHL7e8uDur7dOzIaTQEwyw,138
 wbfdm/tests/models/test_instrument_list.py,sha256=UIxKgBd4U-T2I4WDZfwacgJ1nKwJWYX1HKhdQDpx1tA,4899
-wbfdm/tests/models/test_instrument_prices.py,sha256=ObqFbJxZveiOPAK9_kC_JO9VBNmZB6bvGM4BejsFJ3c,16633
+wbfdm/tests/models/test_instrument_prices.py,sha256=dRaFGc3epG_N6p0KtDzXOH7Gkx_aCSUKNn3JZBhHr8M,15875
 wbfdm/tests/models/test_instruments.py,sha256=Vg2cYWAwdu00dziKDUe_MrTzrsygHaZQHnvibF8pvew,9784
 wbfdm/tests/models/test_merge.py,sha256=tXD5xIxZyZtXpm9WIQ4Yc8TQwsUnkxkKIvMNwaHOvgM,4632
 wbfdm/tests/models/test_options.py,sha256=DoEAHhNQE4kucpBRRm2S05ozabkERz-I4mUolsE2Qi8,2269
+wbfdm/tests/models/test_queryset.py,sha256=bVNDU498vbh7ind9NbOzsI8TMv3Qe47fSMPzd58K0R4,4113
 wbfdm/viewsets/__init__.py,sha256=ZM29X0-5AkSH2rzF_gKUI4FoaEWCcMTXPjruJ4Gi_x8,383
 wbfdm/viewsets/esg.py,sha256=WrJaFxVUUFprGviF6GDMWuG3HQTXmyD-Ly1FRh7b11o,2867
 wbfdm/viewsets/exchanges.py,sha256=OAYOIKVVEihReeks2Pq6qcAafOxY4UL8l4TFzzr7Ckc,1785
@@ -350,7 +353,7 @@ wbfdm/viewsets/instruments/__init__.py,sha256=uydDdU6oZ6W2lgFkr3-cU7WZU7TeokXAA1
 wbfdm/viewsets/instruments/classifications.py,sha256=CMRTeI6hUClXzZUr7PeRWBXhT9fMiPiu-FvNP_jUQkM,11947
 wbfdm/viewsets/instruments/financials_analysis.py,sha256=xcVKR2H0P07NIyxFwPPPmVi3hWA0ZrfxOWMO8KjG6Ms,29202
 wbfdm/viewsets/instruments/instrument_lists.py,sha256=hwwHDNpHjjffxw08N_1LtkL5Fdi8c1Om-PLz6pTu4Ok,2878
-wbfdm/viewsets/instruments/instrument_prices.py,sha256=WGUe5WUl9PqulWSPCZgWcBWCmgxtu4lhm-UeAa4ngyg,24008
+wbfdm/viewsets/instruments/instrument_prices.py,sha256=9mdNPU1D6ZFS5Bf0U1d3c6ZlYSCjrNMWv6Vhas3D8Ns,24075
 wbfdm/viewsets/instruments/instrument_requests.py,sha256=mmaARNl6ymDdlcLzcu16vVfFsunhtJkMw2r2NBfUp9U,1839
 wbfdm/viewsets/instruments/instruments.py,sha256=9sZIjvWFFQ6SRAal3OXhiqK8_JZJcKb7f_lGtiubqVE,4037
 wbfdm/viewsets/instruments/instruments_relationships.py,sha256=D2Ym84zXBFegQC9nMThKSWqSAcWa0WvcS_GXxM2po68,11076
@@ -359,6 +362,6 @@ wbfdm/viewsets/statements/__init__.py,sha256=odxtFYUDICPmz8WCE3nx93EvKZLSPBEI4d7
 wbfdm/viewsets/statements/statements.py,sha256=gA6RCI8-B__JwjEb6OZxpn8Y-9aF-YQ3HIQ7e1vfJMw,4304
 wbfdm/viewsets/technical_analysis/__init__.py,sha256=qtCIBg0uSiZeJq_1tEQFilnorMBkMe6uCMfqar6-cLE,77
 wbfdm/viewsets/technical_analysis/monthly_performances.py,sha256=O1j8CGfOranL74LqVvcf7jERaDIboEJZiBf_AbbVDQ8,3974
-wbfdm-1.54.20.dist-info/METADATA,sha256=g9v3GDmV3-oW4da7sToMGuYR5u3MeCKSAYQsxDy5EbE,769
-wbfdm-1.54.20.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
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