wbfdm 1.54.5__tar.gz → 1.54.7__tar.gz

{wbfdm-1.54.5 → wbfdm-1.54.7}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbfdm
-Version: 1.54.5
+Version: 1.54.7
 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-1.54.5 → wbfdm-1.54.7}/wbfdm/contrib/internal/dataloaders/market_data.py

@@ -2,11 +2,14 @@ from datetime import date
 from decimal import Decimal
 from typing import Iterator
 
+from django.db.models import Value
+from django.db.models.functions import Coalesce
+from wbcore.contrib.currency.models import Currency, CurrencyFXRates
 from wbcore.contrib.dataloader.dataloaders import Dataloader
 
 from wbfdm.dataloaders.protocols import MarketDataProtocol
 from wbfdm.dataloaders.types import MarketDataDict
-from wbfdm.enums import MarketData
+from wbfdm.enums import Frequency, MarketData
 from wbfdm.models.instruments.instrument_prices import InstrumentPrice
 
 MarketDataMap = {
@@ -33,11 +36,13 @@ def _cast_decimal_to_float(value: float | Decimal) -> float:
 class MarketDataDataloader(MarketDataProtocol, Dataloader):
     def market_data(
         self,
-        values: list[MarketData] | None = [MarketData.CLOSE],
+        values: list[MarketData] = [MarketData.CLOSE],
         from_date: date | None = None,
         to_date: date | None = None,
         exact_date: date | None = None,
-        calculated: bool | None = None,
+        frequency: Frequency = Frequency.DAILY,
+        target_currency: str | None = None,
+        apply_fx_rate: bool = True,
         **kwargs,
     ) -> Iterator[MarketDataDict]:
         """Get prices for instruments.
@@ -51,7 +56,27 @@ class MarketDataDataloader(MarketDataProtocol, Dataloader):
         Returns:
             Iterator[MarketDataDict]: An iterator of dictionaries conforming to the DailyValuationDict.
         """
-        prices = InstrumentPrice.objects.filter(instrument__in=self.entities).annotate_market_data()  # type: ignore
+        try:
+            target_currency = Currency.objects.get(key=target_currency)
+        except Currency.DoesNotExist:
+            target_currency = None
+        fx_rate = (
+            Coalesce(
+                CurrencyFXRates.get_fx_rates_subquery_for_two_currencies(
+                    "date", "instrument__currency", target_currency
+                ),
+                Value(Decimal("1")),
+            )
+            if target_currency
+            else Value(Decimal("1"))
+        )
+
+        prices = (
+            InstrumentPrice.objects.filter(instrument__in=self.entities)
+            .annotate_market_data()
+            .annotate(fx_rate=fx_rate)
+        )  # type: ignore
+        calculated = kwargs.get("calculated", None)
         if calculated is not None:
             prices = prices.filter(calculated=calculated)
         else:
@@ -72,11 +97,18 @@ class MarketDataDataloader(MarketDataProtocol, Dataloader):
             "date",
             "instrument",
             "calculated",
+            "fx_rate",
             *set(values_map.values()),
         ):
             external_id = row.pop("instrument")
             val_date = row.pop("date")
             if row:
+                fx_rate = row["fx_rate"]
+                if apply_fx_rate and row.get("net_value"):
+                    row["net_value"] = row["net_value"] * fx_rate
+                if apply_fx_rate and row.get("market_capitalization"):
+                    row["market_capitalization"] = row["market_capitalization"] * float(fx_rate)
+
                 yield MarketDataDict(
                     id=f"{external_id}_{val_date}",
                     valuation_date=val_date,
@@ -84,5 +116,6 @@ class MarketDataDataloader(MarketDataProtocol, Dataloader):
                     external_id=external_id,
                     source="wbfdm",
                     calculated=row["calculated"],
+                    fx_rate=_cast_decimal_to_float(fx_rate),
                     **{MarketData[k].value: _cast_decimal_to_float(row[v]) for k, v in values_map.items()},
                 )

{wbfdm-1.54.5 → wbfdm-1.54.7}/wbfdm/contrib/qa/dataloaders/market_data.py

@@ -45,6 +45,7 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
         exact_date: date | None = None,
         frequency: Frequency = Frequency.DAILY,
         target_currency: str | None = None,
+        apply_fx_rate: bool = True,
         **kwargs,
     ) -> Iterator[MarketDataDict]:
         """Get market data for instruments.
@@ -97,7 +98,7 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
             fx_code = pk.Table("DS2FxCode")
             fx_rate = pk.Table("DS2FxRate")
             query = (
-                query
+                query.select((1 / fx_rate.midrate).as_("fx_rate"))
                 # Join FX code table matching currencies and ensuring SPOT rate type
                 .left_join(fx_code)
                 .on(
@@ -127,7 +128,7 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
             )
 
             value = pricing_2.Close_
-            if fx_rate:
+            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"))
@@ -145,7 +146,7 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
         ):
             ds2_value = DS2MarketData[market_data.name].value
             value = getattr(pricing, ds2_value)
-            if fx_rate and market_data is not MarketData.SHARES_OUTSTANDING:
+            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))

{wbfdm-1.54.5 → wbfdm-1.54.7}/wbfdm/dataloaders/protocols.py

@@ -45,6 +45,7 @@ class MarketDataProtocol(Protocol):
         exact_date: date | None = None,
         frequency: Frequency = Frequency.DAILY,
         target_currency: str | None = None,
+        apply_fx_rate: bool = True,
     ) -> Iterator[MarketDataDict]: ...
 
 

{wbfdm-1.54.5 → wbfdm-1.54.7}/wbfdm/dataloaders/proxies.py

@@ -80,6 +80,7 @@ class InstrumentDataloaderProxy(
         exact_date: date | None = None,
         frequency: Frequency = Frequency.DAILY,
         target_currency: str | None = None,
+        apply_fx_rate: bool = True,
     ) -> Iterator[MarketDataDict]:
         if not values:
             values = list(MarketData)
@@ -93,6 +94,7 @@ class InstrumentDataloaderProxy(
                     exact_date=exact_date,
                     frequency=frequency,
                     target_currency=target_currency,
+                    apply_fx_rate=apply_fx_rate,
                 ),
             )
 

{wbfdm-1.54.5 → wbfdm-1.54.7}/wbfdm/dataloaders/types.py

@@ -65,7 +65,7 @@ class MarketDataDict(BaseDict):
     volume: NotRequired[float]
     market_cap: NotRequired[float]
     calculated: NotRequired[bool]
-
+    fx_rate: NotRequired[float]
     unadjusted_close: NotRequired[float]
     unadjusted_outstanding_shares: NotRequired[float | int]
 

{wbfdm-1.54.5 → wbfdm-1.54.7}/wbfdm/models/instruments/mixin/instruments.py

@@ -42,7 +42,7 @@ class InstrumentPMSMixin:
     def get_price(self, val_date: date, price_date_timedelta: int = 3) -> Decimal:
         if self.is_cash:
             return Decimal(1)
-        return self._build_dto(val_date, price_date_timedelta=price_date_timedelta).close
+        return Decimal(self._build_dto(val_date, price_date_timedelta=price_date_timedelta).close)
 
     def _build_dto(self, val_date: date, price_date_timedelta: int = 3) -> PriceDTO:  # for backward compatibility
         try: