wbportfolio 1.46.6__py2.py3-none-any.whl → 1.46.7__py2.py3-none-any.whl

wbportfolio/rebalancing/models/market_capitalization_weighted.py

@@ -26,21 +26,22 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
         self.market_cap_df = pd.DataFrame(
             instruments.dl.market_data(
                 values=[MarketData.MARKET_CAPITALIZATION],
-                from_date=self.last_effective_date,
-                to_date=self.trade_date,
+                exact_date=self.last_effective_date,
                 target_currency=self.TARGET_CURRENCY,
             )
         )
         self.exchange_df = pd.DataFrame(
             instruments.values_list("id", "exchange"), columns=["id", "exchange"]
         ).set_index("id")
+        instrument_ids = list(instruments.values_list("id", flat=True))
         try:
-            self.market_cap_df = self.market_cap_df[
-                ["valuation_date", "market_capitalization", "instrument_id"]
-            ].pivot_table(index="valuation_date", columns="instrument_id", values="market_capitalization")
-            # self.market_cap_df = df.iloc[-1, :].transpose()
+            self.market_cap_df = (
+                self.market_cap_df[["market_capitalization", "instrument_id"]]
+                .set_index("instrument_id")["market_capitalization"]
+                .reindex(instrument_ids)
+            )
         except (IndexError, KeyError):
-            self.market_cap_df = pd.DataFrame()
+            self.market_cap_df = pd.Series(dtype="float64", index=instrument_ids)
 
     def _get_instruments(
         self,
@@ -90,11 +91,8 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
 
     def is_valid(self) -> bool:
         if not self.market_cap_df.empty:
-            trade_date_mktp_cap = (
-                self.market_cap_df.loc[self.trade_date, :].transpose().rename("market_capitalization")
-            )
             df = pd.concat(
-                [trade_date_mktp_cap, self.exchange_df], axis=1
+                [self.market_cap_df, self.exchange_df], axis=1
             )  # if we are missing any market cap for not-delisted instrument, we consider the rebalancing not valid
             df = df.groupby("exchange", dropna=False)["market_capitalization"].any()
             missing_exchanges = Exchange.objects.filter(id__in=df[~df].index.to_list())
@@ -109,10 +107,9 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
 
     def get_target_portfolio(self) -> Portfolio:
         positions = []
-        market_cap_df = self.market_cap_df.ffill().loc[self.trade_date, :].transpose()
-        total_market_cap = market_cap_df.sum()
+        total_market_cap = self.market_cap_df.sum()
 
-        for underlying_instrument, market_cap in market_cap_df.to_dict().items():
+        for underlying_instrument, market_cap in self.market_cap_df.to_dict().items():
             positions.append(
                 Position(
                     underlying_instrument=underlying_instrument,

wbportfolio/tests/rebalancing/test_models.py

@@ -139,20 +139,19 @@ class TestMarketCapitalizationRebalancing:
         i1 = instrument_factory()
         i2 = instrument_factory()
         instrument_price_factory.create(instrument=i1, date=last_effective_date)
-        instrument_price_factory.create(instrument=i1, date=weekday)
-        instrument_price_factory.create(instrument=i2, date=last_effective_date)  # weekday is ffill
+        instrument_price_factory.create(instrument=i2, date=last_effective_date)
         return MarketCapitalizationRebalancing(portfolio, weekday, last_effective_date, instrument_ids=[i1.id, i2.id])
 
     def test_is_valid(self, portfolio, weekday, model, instrument_factory, instrument_price_factory):
-        assert not model.is_valid()
-        i2 = model.market_cap_df.columns[1]
-        model.market_cap_df.loc[weekday, i2] = 1000  # some value
         assert model.is_valid()
+        i2 = model.market_cap_df.index[1]
+        model.market_cap_df.loc[i2] = None  # some value
+        assert not model.is_valid()
 
     def test_get_target_portfolio(self, portfolio, weekday, model, asset_position_factory):
-        i1 = model.market_cap_df.columns[0]
-        i2 = model.market_cap_df.columns[1]
-        mkt12 = InstrumentPrice.objects.get(instrument_id=i1, date=model.trade_date).market_capitalization
+        i1 = model.market_cap_df.index[0]
+        i2 = model.market_cap_df.index[1]
+        mkt12 = InstrumentPrice.objects.get(instrument_id=i1, date=model.last_effective_date).market_capitalization
         mkt21 = InstrumentPrice.objects.get(instrument_id=i2, date=model.last_effective_date).market_capitalization
 
         target_portfolio = model.get_target_portfolio()

{wbportfolio-1.46.6.dist-info → wbportfolio-1.46.7.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.46.6
+Version: 1.46.7
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.46.6.dist-info → wbportfolio-1.46.7.dist-info}/RECORD

@@ -289,7 +289,7 @@ wbportfolio/rebalancing/decorators.py,sha256=JhQ2vkcIuGBTGvNmpkQerdw2-vLq-RAb0KA
 wbportfolio/rebalancing/models/__init__.py,sha256=AQjG7Tu5vlmhqncVoYOjpBKU2UIvgo9FuP2_jD2w-UI,232
 wbportfolio/rebalancing/models/composite.py,sha256=XAjJqLRNsV-MuBKrat3THEfAWs6PXQNSO0g8k8MtBXo,1157
 wbportfolio/rebalancing/models/equally_weighted.py,sha256=U29MOHJMQMIg7Y7W_8t5K3nXjaznzt4ArIxQSiv0Xok,863
-wbportfolio/rebalancing/models/market_capitalization_weighted.py,sha256=RskXZ41iSK9g4SSYJRNv0hX6z9Ol73nJY2N7A3IxCLw,5051
+wbportfolio/rebalancing/models/market_capitalization_weighted.py,sha256=RTEVAwOh7ec5MqCFYd-9lSNv4eNhchD1aAyEnJeyZwQ,4825
 wbportfolio/rebalancing/models/model_portfolio.py,sha256=XQdvs03-0M9YUnL4DidwZC4E6k-ANCNcZ--T_aaOXTQ,1233
 wbportfolio/reports/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/reports/monthly_position_report.py,sha256=e7BzjDd6eseUOwLwQJXKvWErQ58YnCsznHU2VtR6izM,2981
@@ -385,7 +385,7 @@ wbportfolio/tests/models/transactions/test_trades.py,sha256=z0CCZjB648ECDSEdwmzq
 wbportfolio/tests/pms/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/tests/pms/test_analytics.py,sha256=FrvVsV_uUiTgmRUfsaB-_sGzY30CqknbOY2DvmwR_70,1141
 wbportfolio/tests/rebalancing/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-wbportfolio/tests/rebalancing/test_models.py,sha256=00VGrz_UZtYSqpTg2J0XCt-zInOAvYSNezad8KKxNnw,7660
+wbportfolio/tests/rebalancing/test_models.py,sha256=wdlCfc6YxVT0oLxr45Q-LPKy4LjGbylkdxcfZozS0Fk,7565
 wbportfolio/tests/serializers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/tests/serializers/test_claims.py,sha256=vQrg73xQXRFEgvx3KI9ivFre_wpBFzdO0p0J13PkvdY,582
 wbportfolio/tests/viewsets/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -517,7 +517,7 @@ wbportfolio/viewsets/transactions/rebalancing.py,sha256=6rIrdK0rtKL1afJ-tYfAGdQV
 wbportfolio/viewsets/transactions/trade_proposals.py,sha256=gXdJJ00D6UavZfBczvZQb5cYPQlU6-xOg_-TnMBzEO0,4742
 wbportfolio/viewsets/transactions/trades.py,sha256=mo5b1wFm0twvGVp-CYnzpGLYMqPcHN8GjH4G_WwFFwc,16237
 wbportfolio/viewsets/transactions/transactions.py,sha256=ixDp-nsNA8t_A06rBCT19hOMJHy0iRmdz1XKdV1OwAs,4450
-wbportfolio-1.46.6.dist-info/METADATA,sha256=bPhihbH1kVhFD5f6_2c6whVYANHDhZ8zBnuNHJt6n1c,734
-wbportfolio-1.46.6.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.46.6.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.46.6.dist-info/RECORD,,
+wbportfolio-1.46.7.dist-info/METADATA,sha256=nAZz3VADXG2Z3fYmWJ3oqXrVIQa1HAaUtMQpX3e-V68,734
+wbportfolio-1.46.7.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.46.7.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.46.7.dist-info/RECORD,,