wbfdm 2.2.1__py2.py3-none-any.whl

wbfdm/__init__.py

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+__version__ = "1.0.0"
+

wbfdm/admin/__init__.py

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+from django.contrib import admin
+
+from .instruments import InstrumentModelAdmin, InstrumentTypeModelAdmin
+from .classifications import ClassificationAdmin, ClassificationGroupAdmin
+from .exchanges import ExchangeModelAdmin
+from .instrument_lists import InstrumentListAdmin
+from .instruments_relationships import InstrumentFavoriteGroupModelAdmin
+from .esg import ControversyModelAdmin
+from .exchanges import ExchangeModelAdmin
+from .instrument_prices import InstrumentPriceAdmin
+from .instrument_requests import InstrumentRequestModelAdmin
+from .options import OptionModelAdmin, OptionAggregateModelAdmin
+
+
+class ReadOnlyAdmin(admin.ModelAdmin):
+    readonly_fields = []
+
+    def get_readonly_fields(self, request, obj=None):
+        return (
+            list(self.readonly_fields)
+            + [field.name for field in obj._meta.fields]  # type: ignore
+            + [field.name for field in obj._meta.many_to_many]  # type: ignore
+        )
+
+    def has_add_permission(self, request):
+        return False
+
+    def has_delete_permission(self, request, obj=None):
+        return False
+
+
+class ReadOnlyTabularInline(admin.TabularInline):
+    show_change_link = True
+
+    def has_change_permission(self, request, obj=None):
+        return False
+
+    def has_add_permission(self, request, obj=None):
+        return False
+
+    def has_delete_permission(self, request, obj=None):
+        return False

wbfdm/admin/classifications.py

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+from django.contrib import admin
+from reversion_compare.admin import CompareVersionAdmin
+from wbfdm.models import Classification, ClassificationGroup
+
+
+class ClassificationInLine(admin.TabularInline):
+    model = Classification
+    fields = ["code_aggregated", "name"]
+    extra = 0
+
+
+@admin.register(ClassificationGroup)
+class ClassificationGroupAdmin(CompareVersionAdmin):
+    list_display = ["name", "max_depth", "is_primary"]
+
+    search_fields = ["name"]
+    ordering = ["name"]
+
+    def reversion_register(self, model, **options):
+        options = {
+            "ignore_duplicates": True,
+        }
+        super().reversion_register(model, **options)
+
+
+@admin.register(Classification)
+class ClassificationAdmin(CompareVersionAdmin):
+    list_display = ["code_aggregated", "name", "level"]
+
+    search_fields = ["code_aggregated", "name"]
+    inlines = [ClassificationInLine]
+    ordering = ["code_aggregated"]
+    list_filter = ("height", "level", "group")
+
+    def reversion_register(self, model, **options):
+        options = {
+            "ignore_duplicates": True,
+        }
+        super().reversion_register(model, **options)

wbfdm/admin/esg.py

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+from django.contrib import admin
+from wbfdm.models import Controversy
+
+
+@admin.register(Controversy)
+class ControversyModelAdmin(admin.ModelAdmin):
+    search_fields = (
+        "headline",
+        "description",
+        "source",
+    )
+    raw_id_fields = ["instrument"]
+    list_display = (
+        "initiated",
+        "review",
+        "headline",
+        "description",
+        "source",
+        "status",
+        "type",
+        "severity",
+        "company_response",
+    )

wbfdm/admin/exchanges.py

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+from django import forms
+from django.contrib import admin
+from wbfdm.models import Exchange
+
+
+class CsvImportForm(forms.Form):
+    csv_file = forms.FileField()
+
+
+@admin.register(Exchange)
+class ExchangeModelAdmin(admin.ModelAdmin):
+    list_display = (
+        "source_id",
+        "name",
+        "mic_code",
+        "operating_mic_code",
+        "bbg_exchange_codes",
+        "bbg_composite",
+        "country",
+    )
+    search_fields = (
+        "name",
+        "operating_mic_code",
+        "mic_code",
+        "bbg_exchange_codes",
+        "bbg_composite",
+        "refinitiv_identifier_code",
+        "comments",
+    )
+    list_filter = ["country"]
+    fieldsets = (
+        (
+            "Main Data",
+            {
+                "fields": (
+                    (
+                        "name",
+                        "opening_time",
+                        "closing_time",
+                    ),
+                    ("mic_code", "mic_name"),
+                    ("operating_mic_code", "operating_mic_name"),
+                    ("bbg_exchange_codes", "bbg_composite_primary", "bbg_composite"),
+                    ("refinitiv_identifier_code", "refinitiv_mnemonic"),
+                    ("country", "website"),
+                    ("comments",),
+                )
+            },
+        ),
+    )
+
+    def get_queryset(self, request):
+        return super().get_queryset(request).select_related("country")

wbfdm/admin/instrument_lists.py

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+from django.contrib import admin
+from wbfdm.models import InstrumentList, InstrumentListThroughModel
+
+
+class InstrumentInstrumentList(admin.TabularInline):
+    model = InstrumentListThroughModel
+    fk_name = "instrument_list"
+    fields = ["instrument_str", "instrument", "validated", "from_date", "to_date"]
+
+    raw_id_fields = ["instrument", "instrument_list"]
+
+    def get_queryset(self, request):
+        return super().get_queryset(request).select_related("instrument")
+
+
+@admin.register(InstrumentList)
+class InstrumentListAdmin(admin.ModelAdmin):
+    search_fields = ("name", "instrument_list_type")
+    list_display = ("name", "instrument_list_type")
+
+    inlines = [
+        InstrumentInstrumentList,
+    ]

wbfdm/admin/instrument_prices.py

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+import pandas as pd
+from django.contrib import admin
+from wbcore.admin import ExportCsvMixin, ImportCsvMixin
+from wbfdm.models import Instrument, InstrumentPrice
+
+
+@admin.register(InstrumentPrice)
+class InstrumentPriceAdmin(ExportCsvMixin, ImportCsvMixin, admin.ModelAdmin):
+    change_list_template = "wbcore/admin/change_list.html"
+    # fsm_field = ["status"]
+    list_display = ("date", "instrument", "net_value", "gross_value", "calculated")
+
+    ordering = ("-date",)
+
+    autocomplete_fields = ["instrument"]
+    fieldsets = (
+        (
+            "Main Data",
+            {
+                "fields": (
+                    (
+                        "instrument",
+                        "date",
+                        "import_source",
+                        "calculated",
+                    ),
+                    ("net_value", "gross_value"),
+                )
+            },
+        ),
+        (
+            "Extra Data",
+            {
+                "fields": (
+                    ("volume", "volume_50d", "volume_200d"),
+                    ("outstanding_shares", "market_capitalization", "market_capitalization_consolidated"),
+                )
+            },
+        ),
+        (
+            "Computed fields",
+            {
+                "fields": (
+                    "lock_statistics",
+                    ("sharpe_ratio", "correlation", "beta"),
+                )
+            },
+        ),
+    )
+
+    raw_id_fields = ["import_source", "instrument"]
+
+    actions = ["export_as_csv"]
+
+    def manipulate_df(self, df):
+        df["instrument"] = df["instrument"].apply(lambda x: Instrument.objects.get(id=x))
+        df["date"] = pd.to_datetime(df["date"])
+        return df
+
+    def process_model(self, model):
+        query_params = {"instrument": model["instrument"], "date": model["date"]}
+        self.model.objects.update_or_create(**query_params, defaults=model)

wbfdm/admin/instrument_requests.py

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+from django.contrib import admin
+from wbfdm.models import InstrumentRequest
+
+
+@admin.register(InstrumentRequest)
+class InstrumentRequestModelAdmin(admin.ModelAdmin):
+    search_fields = (
+        "created_instrument__computed_str",
+        "requester__comptuted_str",
+    )
+    raw_id_fields = ["created_instrument", "requester"]
+    list_display = (
+        "status",
+        "requester",
+        "handler",
+        "notes",
+        "created",
+        "created_instrument",
+    )
+    readonly_fields = ["created"]
+    fieldsets = (
+        (
+            "Main Data",
+            {
+                "fields": (
+                    ("status", "created", "created_instrument"),
+                    ("requester", "handler"),
+                    ("notes",),
+                    ("instrument_data",),
+                )
+            },
+        ),
+    )

wbfdm/admin/instruments.py

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+from django.contrib import admin
+from wbfdm.models import Instrument, InstrumentType
+from wbfdm.models.instruments.instruments import import_prices_as_task
+
+from .instruments_relationships import (
+    InstrumentClassificationThroughModelAdmin,
+    RelatedInstrumentThroughModelInlineAdmin,
+)
+
+
+class InstrumentInline(admin.TabularInline):
+    verbose_name = "Child"
+    verbose_names = "Children"
+    model = Instrument
+    fields = ("name", "exchange", "is_investable_universe", "is_security", "is_primary")
+    autocomplete_fields = ("exchange",)
+    show_change_link = True
+    extra = 0
+
+
+@admin.register(InstrumentType)
+class InstrumentTypeModelAdmin(admin.ModelAdmin):
+    list_display = ("name", "key", "is_security", "is_classifiable")
+
+
+@admin.register(Instrument)
+class InstrumentModelAdmin(admin.ModelAdmin):
+    list_display = (
+        "_is_investable",
+        "is_investable_universe",
+        "is_security",
+        "is_primary",
+        "instrument_type",
+        "name",
+        "source",
+        "source_id",
+        "exchange",
+        "ticker",
+        "refinitiv_identifier_code",
+        "refinitiv_mnemonic_code",
+        "isin",
+        "currency",
+        "country",
+    )
+    list_filter = ["instrument_type", "is_investable_universe", "is_security", "is_managed", "is_primary"]
+    fieldsets = (
+        (
+            "Instrument Information",
+            {
+                "fields": (
+                    ("name", "name_repr", "computed_str"),
+                    ("parent", "instrument_type"),
+                    ("is_cash", "is_security", "is_managed", "is_investable_universe", "is_primary"),
+                    ("inception_date", "delisted_date"),
+                    ("primary_url", "additional_urls"),
+                    (
+                        "ticker",
+                        "identifier",
+                        "refinitiv_identifier_code",
+                        "refinitiv_mnemonic_code",
+                    ),
+                    (
+                        "cusip",
+                        "sedol",
+                        "valoren",
+                    ),
+                    ("isin", "old_isins", "tags"),
+                    ("currency", "country", "headquarter_city", "headquarter_address"),
+                    (
+                        "exchange",
+                        "import_source",
+                        "base_color",
+                    ),
+                    ("description",),
+                    ("dl_parameters", "source", "source_id"),
+                )
+            },
+        ),
+    )
+    search_fields = (
+        "name",
+        "name_repr",
+        "isin",
+        "ticker",
+        "computed_str",
+        "refinitiv_identifier_code",
+        "refinitiv_mnemonic_code",
+        "cusip",
+        "sedol",
+        "valoren",
+        "source_id",
+    )
+
+    autocomplete_fields = ["parent", "currency", "country", "headquarter_city", "related_instruments", "tags"]
+    readonly_fields = ["computed_str", "last_update", "last_valuation_date"]
+    inlines = [InstrumentInline, RelatedInstrumentThroughModelInlineAdmin, InstrumentClassificationThroughModelAdmin]
+    raw_id_fields = [
+        "import_source",
+    ]
+
+    actions = ["reimport_prices_since_inception"]
+
+    def reimport_prices_since_inception(self, request, queryset):
+        for instrument in queryset:
+            for investable_children in instrument.get_descendants(include_self=True).filter(
+                is_investable_universe=True
+            ):  # trigger the recomputation for all children within the investable universe
+                import_prices_as_task.delay(investable_children.id, clear=True)
+
+    def isin(self, obj):
+        return obj.isin
+
+    def ric(self, obj):
+        return obj.ric
+
+    def get_queryset(self, request):
+        return super().get_queryset(request).select_related("currency", "country", "instrument_type")

wbfdm/admin/instruments_relationships.py

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+from django.contrib import admin
+from wbfdm.models import (
+    InstrumentClassificationThroughModel,
+    InstrumentFavoriteGroup,
+    RelatedInstrumentThroughModel,
+)
+
+
+@admin.register(InstrumentFavoriteGroup)
+class InstrumentFavoriteGroupModelAdmin(admin.ModelAdmin):
+    list_display = ("name", "owner", "public", "primary")
+    autocomplete_fields = ["instruments", "owner"]
+
+
+class InstrumentClassificationThroughModelAdmin(admin.TabularInline):
+    list_display = ("classification", "is_favorite")
+    model = InstrumentClassificationThroughModel
+    fk_name = "instrument"
+    autocomplete_fields = ["classification"]
+
+
+class RelatedInstrumentThroughModelInlineAdmin(admin.TabularInline):
+    model = RelatedInstrumentThroughModel
+    fk_name = "instrument"
+    autocomplete_fields = ["related_instrument"]

wbfdm/admin/options.py

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+from django.contrib import admin
+from wbfdm.models import Option, OptionAggregate
+
+
+@admin.register(OptionAggregate)
+class OptionAggregateModelAdmin(admin.ModelAdmin):
+    list_display = ("type", "instrument", "date")
+
+    ordering = ("-date",)
+
+    autocomplete_fields = ["instrument"]
+    fieldsets = (
+        (
+            "Main Data",
+            {"fields": (("type", "instrument", "date", "import_source"),)},
+        ),
+        (
+            "Base Metrics",
+            {
+                "fields": (
+                    (
+                        "volume",
+                        "volume_5d",
+                        "volume_10d",
+                        "volume_20d",
+                        "volume_50d",
+                    ),
+                    (
+                        "open_interest",
+                        "open_interest_5d",
+                        "open_interest_10d",
+                        "open_interest_20d",
+                        "open_interest_50d",
+                    ),
+                    ("volatility", "volatility_30d", "volatility_60d", "volatility_90d"),
+                )
+            },
+        ),
+    )
+
+    raw_id_fields = ["import_source", "instrument"]
+
+
+@admin.register(Option)
+class OptionModelAdmin(admin.ModelAdmin):
+    list_display = ("type", "contract_identifier", "instrument", "date", "expiration_date", "strike")
+
+    ordering = ("-date",)
+
+    autocomplete_fields = ["instrument"]
+    fieldsets = (
+        (
+            "Main Data",
+            {
+                "fields": (
+                    (
+                        "type",
+                        "instrument",
+                        "contract_identifier",
+                        "strike",
+                    ),
+                    ("date", "expiration_date", "import_source"),
+                )
+            },
+        ),
+        (
+            "EOD",
+            {
+                "fields": (
+                    (
+                        "open",
+                        "high",
+                        "low",
+                    ),
+                    ("close", "bid", "ask"),
+                )
+            },
+        ),
+        (
+            "Base Metrics",
+            {
+                "fields": (
+                    ("volume", "open_interest"),
+                    ("volatility_30d", "volatility_60d", "volatility_90d"),
+                )
+            },
+        ),
+        (
+            "Risk Metrics",
+            {
+                "fields": (
+                    ("risk_delta", "risk_theta", "risk_gamma"),
+                    ("risk_vega", "risk_rho", "risk_lambda"),
+                    ("risk_epsilon", "risk_vomma", "risk_vera"),
+                    ("risk_speed", "risk_zomma", "risk_color", "risk_ultima"),
+                )
+            },
+        ),
+    )
+
+    raw_id_fields = ["import_source", "instrument"]

wbfdm/analysis/__init__.py

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+from .technical_analysis import *
+from .financial_analysis import *

wbfdm/analysis/esg/enums.py

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+from wbcore.utils.enum import ChoiceEnum
+from wbfdm.enums import ESG
+
+from .utils import get_esg_df
+
+
+class AggregationMethod(ChoiceEnum):
+    PERCENTAGE_SUM = "Percentage Sum"
+    WEIGHTED_AVG_NORMALIZED = "Weighted Avg Normalized"
+    WEIGHTED_AVG_CATEGORY_NORMALIZED = "Weighted Avg Weighted (Per Category)"
+    INVESTOR_ALLOCATION = "Investor Allocation"
+    INVESTOR_ALLOCATION_PER_MILLION = "Investor Allocation Per Million"
+
+
+class ESGAggregation(ChoiceEnum):
+    GHG_EMISSIONS_SCOPE_1 = "GHG Emissions Scope 1"
+    GHG_EMISSIONS_SCOPE_2 = "GHG Emissions Scope 2"
+    GHG_EMISSIONS_SCOPE_3 = "GHG Emissions Scope 3"
+    GHG_EMISSIONS_SCOPE_123 = "GHG Emissions Scope 123"
+    CARBON_FOOTPRINT = "Carbon Footprint"
+    GHG_INTENSITY_OF_COMPAGNIES = "GHG intensity of investee companies"
+    FOSSIL_FUEL_EXPOSURE = "Exposure to companies active in the fossil fuel sector"
+    SHARE_OF_NONRENEWABLE_ENERGY = "Share of nonrenewable energy consumption and production"
+    ENERGY_CONSUMPTION_INTENSITY = "Energy consumption intensity"
+    ENERGY_CONSUMPTION_INTENSITY_PER_SECTOR = "Energy consumption intensity per high-impact climate sector"
+    ACTIVITY_NEGATIVELY_IMPACTING_BIODIVERSITY = "Activities negatively affecting biodiversity sensitive areas"
+    EMISSIONS_TO_WATER = "Emissions to water"
+    HAZARDOUS_WASTE_RATIO = "Hazardous Waste Ratio"
+    VIOLATION_OF_UN_PRINCIPLES = "Violations of UN Global Compact principles and Organisation for Economic Cooperation and Development (OECD) Guidelines for Multinational Enterprises"
+    LACK_OF_PROCESS_AND_COMPLIANCE_OF_UN_PRINCIPLES = "Lack of processes and compliance mechanisms to monitor compliance with UN Global Compact principles and OECD Guidelines for Multinational Enterprises"
+    UNADJUSTED_GENDER_PAY_GAP = "Unadjusted gender pay gap"
+    BOARD_GENDER_DIVERSITY = "Board Gender Diversity"
+    CONTROVERSIAL_WEAPONS_EXPOSURE = "Exposure to controversial weapons (antipersonnel mines, cluster munitions, chemical weapons and biological weapons)"
+
+    def get_aggregation(self) -> AggregationMethod:
+        return {
+            "GHG_EMISSIONS_SCOPE_1": AggregationMethod.INVESTOR_ALLOCATION,
+            "GHG_EMISSIONS_SCOPE_2": AggregationMethod.INVESTOR_ALLOCATION,
+            "GHG_EMISSIONS_SCOPE_3": AggregationMethod.INVESTOR_ALLOCATION,
+            "GHG_EMISSIONS_SCOPE_123": AggregationMethod.INVESTOR_ALLOCATION,
+            "CARBON_FOOTPRINT": AggregationMethod.INVESTOR_ALLOCATION_PER_MILLION,
+            "GHG_INTENSITY_OF_COMPAGNIES": AggregationMethod.WEIGHTED_AVG_NORMALIZED,
+            "FOSSIL_FUEL_EXPOSURE": AggregationMethod.PERCENTAGE_SUM,
+            "SHARE_OF_NONRENEWABLE_ENERGY": AggregationMethod.WEIGHTED_AVG_NORMALIZED,
+            "ENERGY_CONSUMPTION_INTENSITY": AggregationMethod.WEIGHTED_AVG_NORMALIZED,
+            "ENERGY_CONSUMPTION_INTENSITY_PER_SECTOR": AggregationMethod.WEIGHTED_AVG_CATEGORY_NORMALIZED,
+            "ACTIVITY_NEGATIVELY_IMPACTING_BIODIVERSITY": AggregationMethod.PERCENTAGE_SUM,
+            "EMISSIONS_TO_WATER": AggregationMethod.INVESTOR_ALLOCATION_PER_MILLION,
+            "HAZARDOUS_WASTE_RATIO": AggregationMethod.INVESTOR_ALLOCATION_PER_MILLION,
+            "VIOLATION_OF_UN_PRINCIPLES": AggregationMethod.PERCENTAGE_SUM,
+            "LACK_OF_PROCESS_AND_COMPLIANCE_OF_UN_PRINCIPLES": AggregationMethod.PERCENTAGE_SUM,
+            "UNADJUSTED_GENDER_PAY_GAP": AggregationMethod.WEIGHTED_AVG_NORMALIZED,
+            "BOARD_GENDER_DIVERSITY": AggregationMethod.WEIGHTED_AVG_NORMALIZED,
+            "CONTROVERSIAL_WEAPONS_EXPOSURE": AggregationMethod.PERCENTAGE_SUM,
+        }.get(
+            self.name, AggregationMethod.WEIGHTED_AVG_NORMALIZED
+        )  # default to weighted avg normalized
+
+    def get_esg_code(self) -> ESG:
+        return {
+            "GHG_EMISSIONS_SCOPE_1": ESG.CARBON_EMISSIONS_SCOPE_1,
+            "GHG_EMISSIONS_SCOPE_2": ESG.CARBON_EMISSIONS_SCOPE_2,
+            "GHG_EMISSIONS_SCOPE_3": ESG.CARBON_EMISSIONS_SCOPE_3_TOTAL,
+            "GHG_EMISSIONS_SCOPE_123": ESG.CARBON_EMISSIONS_SCOPE123,
+            "CARBON_FOOTPRINT": ESG.CARBON_EMISSIONS_SCOPE123,
+            "GHG_INTENSITY_OF_COMPAGNIES": ESG.CARBON_EMISSIONS_SALES_EUR_SCOPE_ALL,
+            "FOSSIL_FUEL_EXPOSURE": ESG.ACTIVE_FF_SECTOR_EXPOSURE,
+            "SHARE_OF_NONRENEWABLE_ENERGY": ESG.PCT_NON_RENEW_CONSUMPTION_PRODUCTION,
+            "ENERGY_CONSUMPTION_INTENSITY": ESG.ENERGY_CONSUMPTION_INTENSITY_EUR,
+            "ENERGY_CONSUMPTION_INTENSITY_PER_SECTOR": ESG.ENERGY_CONSUMPTION_INTENSITY_EUR,
+            "ACTIVITY_NEGATIVELY_IMPACTING_BIODIVERSITY": ESG.OPS_BIODIV_CONTROVERSITIES,
+            "EMISSIONS_TO_WATER": ESG.WATER_EMISSIONS,
+            "HAZARDOUS_WASTE_RATIO": ESG.HAZARD_WASTE,
+            "VIOLATION_OF_UN_PRINCIPLES": ESG.OECD_ALIGNMENT,
+            "LACK_OF_PROCESS_AND_COMPLIANCE_OF_UN_PRINCIPLES": ESG.COMPLIANCE_GLOBAL_IMPACT,
+            "UNADJUSTED_GENDER_PAY_GAP": ESG.GENDER_PAY_GAP_RATIO,
+            "BOARD_GENDER_DIVERSITY": ESG.PCT_FEMALE_DIRECTORS,
+            "CONTROVERSIAL_WEAPONS_EXPOSURE": ESG.CONTROVERSIAL_WEAPONS,
+        }[self.name]
+
+    def get_esg_data(self, instruments):
+        return get_esg_df(instruments, self.get_esg_code())