wbfdm 1.54.8__tar.gz → 1.54.10__tar.gz

{wbfdm-1.54.8 → wbfdm-1.54.10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbfdm
-Version: 1.54.8
+Version: 1.54.10
 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-1.54.8 → wbfdm-1.54.10}/wbfdm/contrib/dsws/dataloaders/market_data.py

@@ -5,6 +5,7 @@ from typing import Iterator
 from DatastreamPy import DSUserObjectFault
 from django.conf import settings
 from pandas.tseries.offsets import BDay
+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
@@ -34,6 +35,8 @@ class DSWSMarketDataDataloader(MarketDataProtocol, Dataloader):
         to_date: date | None = None,
         exact_date: date | None = None,
         frequency: Frequency = Frequency.DAILY,
+        target_currency: str | None = None,
+        apply_fx_rate: bool = True,
         **kwargs,
     ) -> Iterator[MarketDataDict]:
         """Get prices for instruments.
@@ -55,6 +58,12 @@ class DSWSMarketDataDataloader(MarketDataProtocol, Dataloader):
                 "id",
             )
         }
+        instruments = {entity.id: entity for entity in self.entities}
+        try:
+            target_currency = Currency.objects.get(key=target_currency)
+        except Currency.DoesNotExist:
+            target_currency = None
+
         if (dsws_username := getattr(settings, "REFINITIV_DATASTREAM_USERNAME", None)) and (
             dsws_password := getattr(settings, "REFINITIV_DATASTREAM_PASSWORD", None)
         ):
@@ -80,13 +89,31 @@ class DSWSMarketDataDataloader(MarketDataProtocol, Dataloader):
                     for row in df.to_dict("records"):
                         jsondate = row["Dates"].date()
                         external_id = row["Instrument"]
-
-                        data = {}
+                        fx_rate = 1.0
+                        if target_currency:
+                            instrument = instruments[default_lookup[external_id]["id"]]
+                            if instrument.currency != target_currency:
+                                with suppress(CurrencyFXRates.DoesNotExist):
+                                    fx_rate = instrument.currency.convert(jsondate, target_currency)
+                        data = dict(fx_rate=fx_rate)
                         for market_value in values:
                             data[market_value.value] = row.get(FIELD_MAP[market_value.value], None)
+                            if (
+                                apply_fx_rate
+                                and data[market_value.value]
+                                and market_value.value
+                                not in [
+                                    MarketData.MARKET_CAPITALIZATION.value,
+                                    MarketData.VOLUME.value,
+                                    MarketData.VWAP.value,
+                                ]
+                            ):
+                                data[market_value.value] *= fx_rate
+
                         with suppress(KeyError):
                             if default_symbol := default_lookup[external_id].get("symbol", None):
                                 data["close"] = row[default_symbol]
+
                             yield MarketDataDict(
                                 id=f"{default_lookup[external_id]['id']}_{jsondate}",
                                 valuation_date=jsondate,

{wbfdm-1.54.8 → wbfdm-1.54.10}/wbfdm/contrib/qa/dataloaders/market_data.py

@@ -98,7 +98,9 @@ class DatastreamMarketDataDataloader(MarketDataProtocol, Dataloader):
             fx_code = pk.Table("DS2FxCode")
             fx_rate = pk.Table("DS2FxRate")
             query = (
-                query.select((1 / fx_rate.midrate).as_("fx_rate"))
+                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(