wbportfolio 1.48.0__py2.py3-none-any.whl → 1.49.1__py2.py3-none-any.whl

wbportfolio/tests/viewsets/test_performances.py

@@ -6,8 +6,9 @@ from faker import Faker
 from pandas.tseries.offsets import BDay, BMonthEnd, BYearEnd
 from rest_framework.reverse import reverse
 from rest_framework.test import force_authenticate
+from wbfdm.factories import InstrumentPriceFactory
 
-from wbportfolio.factories import InstrumentPriceFactory, ProductFactory
+from wbportfolio.factories import ProductFactory
 from wbportfolio.viewsets.product_performance import PerformanceComparisonPandasView
 
 fake = Faker()

wbportfolio/viewsets/configs/display/assets.py

@@ -148,17 +148,6 @@ class AssetPositionInstrumentDisplayConfig(DisplayViewConfig):
                     items=[dp.LegendItem(icon=WBIcon.UNFILTER.icon, label="Not Invested", value=True)],
                 )
             ],
-            formatting=[
-                dp.Formatting(
-                    column="is_invested",
-                    formatting_rules=[
-                        dp.FormattingRule(
-                            icon=WBIcon.UNFILTER.icon,
-                            condition=("==", False),
-                        )
-                    ],
-                )
-            ],
         )
 
 

wbportfolio/viewsets/configs/display/portfolios.py

@@ -1,6 +1,7 @@
 from typing import Optional
 
 from django.utils.translation import gettext_lazy as _
+from wbcore.enums import Unit
 from wbcore.metadata.configs import display as dp
 from wbcore.metadata.configs.display import Layout, Page, default
 from wbcore.metadata.configs.display.instance_display.shortcuts import (
@@ -17,17 +18,60 @@ class PortfolioDisplayConfig(DisplayViewConfig):
     def get_list_display(self) -> Optional[dp.ListDisplay]:
         return dp.ListDisplay(
             fields=[
-                dp.Field(key="name", label="Name"),
-                dp.Field(key="currency", label="Currency"),
-                dp.Field(key="updated_at", label="Updated At"),
-                dp.Field(key="depends_on", label="Depends on"),
-                dp.Field(key="automatic_rebalancer", label="Rebalancer"),
-                dp.Field(key="invested_timespan", label="Invested"),
-                dp.Field(key="is_manageable", label="Managed"),
-                dp.Field(key="is_tracked", label="Tracked"),
-                dp.Field(key="only_weighting", label="Only-Weight"),
-                dp.Field(key="is_lookthrough", label="Lookthrough"),
-                dp.Field(key="is_composition", label="Composition"),
+                dp.Field(
+                    label="Information",
+                    open_by_default=False,
+                    key=None,
+                    children=[
+                        dp.Field(key="name", label="Name", width=Unit.PIXEL(300)),
+                        dp.Field(key="currency", label="CCY", width=Unit.PIXEL(75)),
+                        dp.Field(key="hedged_currency", label="Hedged CCY", width=Unit.PIXEL(100), show="open"),
+                        dp.Field(key="updated_at", label="Updated At", width=Unit.PIXEL(150)),
+                        dp.Field(key="depends_on", label="Depends on", show="open", width=Unit.PIXEL(300)),
+                        dp.Field(key="invested_timespan", label="Invested", show="open"),
+                        dp.Field(key="instruments", label="Instruments", width=Unit.PIXEL(250)),
+                    ],
+                ),
+                dp.Field(
+                    label="Valuation & Position",
+                    open_by_default=False,
+                    key=None,
+                    children=[
+                        dp.Field(key="initial_position_date", label="Issue Date", width=Unit.PIXEL(150)),
+                        dp.Field(key="last_position_date", label="Last Position Date", width=Unit.PIXEL(150)),
+                        dp.Field(
+                            key="last_asset_under_management_usd", label="AUM ($)", width=Unit.PIXEL(100), show="open"
+                        ),
+                        dp.Field(key="last_positions", label="Position", width=Unit.PIXEL(100), show="open"),
+                    ],
+                ),
+                dp.Field(
+                    label="Rebalancing",
+                    open_by_default=False,
+                    key=None,
+                    children=[
+                        dp.Field(key="automatic_rebalancer", label="Automatic Rebalancer"),
+                        dp.Field(key="last_trade_proposal_date", label="Last Rebalance", width=Unit.PIXEL(250)),
+                        dp.Field(
+                            key="next_expected_trade_proposal_date",
+                            label="Next Rebalancing",
+                            width=Unit.PIXEL(250),
+                            show="open",
+                        ),
+                    ],
+                ),
+                dp.Field(
+                    label="Administration",
+                    open_by_default=False,
+                    key=None,
+                    children=[
+                        dp.Field(key="is_manageable", label="Managed", width=Unit.PIXEL(100)),
+                        dp.Field(key="is_tracked", label="Tracked", width=Unit.PIXEL(100), show="open"),
+                        dp.Field(key="only_weighting", label="Only-Weight", width=Unit.PIXEL(100), show="open"),
+                        dp.Field(key="is_lookthrough", label="Look through", width=Unit.PIXEL(100), show="open"),
+                        dp.Field(key="is_composition", label="Composition", width=Unit.PIXEL(100), show="open"),
+                    ],
+                ),
             ]
         )
 
@@ -156,14 +200,14 @@ class TopDownPortfolioCompositionPandasDisplayConfig(DisplayViewConfig):
         rebalancing_column_label = "Last Rebalancing"
         effective_column_label = "Actual"
         if self.view.last_rebalancing_date:
-            rebalancing_column_label += f" ({self.view.last_rebalancing_date:%Y-ok, %m-%d})"
+            rebalancing_column_label += f" ({self.view.last_rebalancing_date:%Y-%m-%d})"
         if self.view.last_effective_date:
             effective_column_label += f" ({self.view.last_effective_date:%Y-%m-%d})"
         return dp.ListDisplay(
             fields=[
                 dp.Field(key="instrument", label="Instrument"),
-                dp.Field(key="effective_weights", label=rebalancing_column_label),
-                dp.Field(key="rebalancing_weights", label=effective_column_label),
+                dp.Field(key="rebalancing_weights", label=rebalancing_column_label),
+                dp.Field(key="effective_weights", label=effective_column_label),
             ],
             tree=True,
             tree_group_pinned="left",

wbportfolio/viewsets/configs/display/products.py

@@ -1,7 +1,6 @@
 from typing import Optional
 
 from django.utils.translation import gettext_lazy as _
-from wbcore.contrib.icons import WBIcon
 from wbcore.enums import Unit
 from wbcore.metadata.configs import display as dp
 from wbcore.metadata.configs.display.formatting import Condition, Operator
@@ -27,18 +26,6 @@ class ProductDisplayConfig(DisplayViewConfig):
                     label=_("Information"),
                     open_by_default=False,
                     children=[
-                        dp.Field(
-                            key="is_invested",
-                            label="",
-                            formatting_rules=[
-                                dp.FormattingRule(
-                                    icon=WBIcon.UNFILTER.icon,
-                                    condition=Condition(Operator("=="), False),
-                                ),
-                            ],
-                            width=30,
-                            show="open",
-                        ),
                         dp.Field(key="name_repr", label="Name", width=250),
                         dp.Field(key="parent", label="Parent"),
                         dp.Field(key="isin", label="ISIN"),

wbportfolio/viewsets/configs/display/trades.py

@@ -267,15 +267,6 @@ class SubscriptionRedemptionDisplayConfig(TradeDisplayConfig):
                         )
                     ],
                 ),
-                dp.Formatting(
-                    column="pending",
-                    formatting_rules=[
-                        dp.FormattingRule(
-                            icon=WBIcon.FOLDERS_ADD.icon,
-                            condition=("==", True),
-                        )
-                    ],
-                ),
             ],
         )
 
@@ -300,14 +291,27 @@ class TradeTradeProposalDisplayConfig(DisplayViewConfig):
     def get_list_display(self) -> Optional[dp.ListDisplay]:
         trade_proposal = get_object_or_404(TradeProposal, pk=self.view.kwargs.get("trade_proposal_id", None))
         fields = [
-            dp.Field(key="underlying_instrument", label="Instrument"),
+            dp.Field(
+                label="Instrument",
+                open_by_default=True,
+                key=None,
+                children=[
+                    dp.Field(key="underlying_instrument", label="Name", width=Unit.PIXEL(250)),
+                    dp.Field(key="underlying_instrument_isin", label="ISIN", width=Unit.PIXEL(125)),
+                    dp.Field(key="underlying_instrument_ticker", label="Ticker", width=Unit.PIXEL(100)),
+                    dp.Field(
+                        key="underlying_instrument_refinitiv_identifier_code", label="RIC", width=Unit.PIXEL(100)
+                    ),
+                    dp.Field(key="underlying_instrument_instrument_type", label="Asset Class", width=Unit.PIXEL(125)),
+                ],
+            ),
             dp.Field(
                 label="Weight",
                 open_by_default=False,
                 key=None,
                 children=[
-                    dp.Field(key="effective_weight", label="Effective Weight", show="open"),
-                    dp.Field(key="target_weight", label="Target Weight", show="open"),
+                    dp.Field(key="effective_weight", label="Effective Weight", show="open", width=Unit.PIXEL(150)),
+                    dp.Field(key="target_weight", label="Target Weight", show="open", width=Unit.PIXEL(150)),
                     dp.Field(
                         key="weighting",
                         label="Delta Weight",
@@ -321,6 +325,7 @@ class TradeTradeProposalDisplayConfig(DisplayViewConfig):
                                 condition=(">", 0),
                             ),
                         ],
+                        width=Unit.PIXEL(150),
                     ),
                 ],
             ),
@@ -332,8 +337,8 @@ class TradeTradeProposalDisplayConfig(DisplayViewConfig):
                     open_by_default=False,
                     key=None,
                     children=[
-                        dp.Field(key="effective_shares", label="Effective Shares", show="open"),
-                        dp.Field(key="target_shares", label="Target Shares", show="open"),
+                        dp.Field(key="effective_shares", label="Effective Shares", show="open", width=Unit.PIXEL(150)),
+                        dp.Field(key="target_shares", label="Target Shares", show="open", width=Unit.PIXEL(150)),
                         dp.Field(
                             key="shares",
                             label="Shares",
@@ -347,6 +352,7 @@ class TradeTradeProposalDisplayConfig(DisplayViewConfig):
                                     condition=(">", 0),
                                 ),
                             ],
+                            width=Unit.PIXEL(150),
                         ),
                     ],
                 )
@@ -370,16 +376,17 @@ class TradeTradeProposalDisplayConfig(DisplayViewConfig):
                                 condition=("==", Trade.Type.BUY.name),
                             ),
                         ],
+                        width=Unit.PIXEL(125),
                     ),
-                    dp.Field(key="comment", label="Comment"),
-                    dp.Field(key="order", label="Order", show="open"),
+                    dp.Field(key="comment", label="Comment", width=Unit.PIXEL(250)),
+                    dp.Field(key="order", label="Order", show="open", width=Unit.PIXEL(100)),
                 ],
             )
         )
         return dp.ListDisplay(
             fields=fields,
             legends=[TRADE_STATUS_LEGENDS],
-            formatting=[SHARE_FORMATTING, TRADE_STATUS_FORMATTING],
+            formatting=[TRADE_STATUS_FORMATTING],
         )
 
     def get_instance_display(self) -> Display:

wbportfolio/viewsets/configs/endpoints/trades.py

@@ -1,3 +1,5 @@
+from contextlib import suppress
+
 from django.shortcuts import get_object_or_404
 from rest_framework.reverse import reverse
 from wbcore.metadata.configs.endpoints import EndpointViewConfig
@@ -77,6 +79,13 @@ class TradeTradeProposalEndpointConfig(EndpointViewConfig):
                 return self.get_list_endpoint()
         return None
 
+    def get_delete_endpoint(self, **kwargs):
+        with suppress(AttributeError, AssertionError):
+            trade = self.view.get_object()
+            if trade._effective_weight:  # we make sure trade with a valid effective position cannot be deleted
+                return None
+        return super().get_delete_endpoint(**kwargs)
+
 
 class SubscriptionRedemptionEndpointConfig(TradeEndpointConfig):
     def get_endpoint(self, **kwargs):

wbportfolio/viewsets/configs/endpoints/transactions.py

@@ -3,6 +3,12 @@ from wbcore.metadata.configs.endpoints import EndpointViewConfig
 
 
 class TransactionEndpointConfig(EndpointViewConfig):
+    def get_endpoint(self, **kwargs):
+        return None
+
+    def get_list_endpoint(self, **kwargs):
+        return reverse("wbportfolio:transaction-list", request=self.request)
+
     def get_instance_endpoint(self, **kwargs):
         model = "{{transaction_url_type}}"
         return f"{self.request.scheme}://{self.request.get_host()}/api/portfolio/{model}/"

wbportfolio/viewsets/portfolios.py

@@ -2,7 +2,7 @@ from contextlib import suppress
 from datetime import date, datetime
 
 import pandas as pd
-from django.db.models import Q
+from django.db.models import OuterRef, Q, Subquery, Sum
 from django.http import HttpResponse
 from django.shortcuts import get_object_or_404
 from django.utils.dateparse import parse_date
@@ -67,7 +67,23 @@ class PortfolioModelViewSet(UserPortfolioRequestPermissionMixin, InternalUserPer
     queryset = Portfolio.objects.all()
 
     search_fields = ("currency__key", "name")
-    ordering_fields = search_fields
+    ordering_fields = (
+        "name",
+        "currency",
+        "hedged_currency",
+        "updated_at",
+        "initial_position_date",
+        "last_position_date",
+        "last_asset_under_management_usd",
+        "last_positions",
+        "automatic_rebalancer",
+        "last_trade_proposal_date",
+        "is_manageable",
+        "is_tracked",
+        "only_weighting",
+        "is_lookthrough",
+        "is_composition",
+    )
     ordering = ["name"]
 
     display_config_class = PortfolioDisplayConfig
@@ -80,11 +96,26 @@ class PortfolioModelViewSet(UserPortfolioRequestPermissionMixin, InternalUserPer
         return (
             super()
             .get_queryset()
-            .select_related(
-                "currency",
-            )
-            .prefetch_related(
-                "depends_on",
+            .select_related("currency", "hedged_currency")
+            .prefetch_related("depends_on", "instruments")
+            .annotate(
+                last_asset_under_management_usd=Subquery(
+                    AssetPosition.objects.filter(portfolio=OuterRef("pk"), date=OuterRef("last_position_date"))
+                    .values("portfolio")
+                    .annotate(s=Sum("total_value_fx_usd"))
+                    .values("s")[:1]
+                ),
+                last_positions=Subquery(
+                    AssetPosition.objects.filter(portfolio=OuterRef("pk"), date=OuterRef("last_position_date"))
+                    .values("portfolio")
+                    .annotate(s=Sum("shares"))
+                    .values("s")[:1]
+                ),
+                last_trade_proposal_date=Subquery(
+                    TradeProposal.objects.filter(portfolio=OuterRef("pk"))
+                    .order_by("-trade_date")
+                    .values("trade_date")[:1]
+                ),
             )
         )
 
@@ -210,7 +241,7 @@ class TopDownPortfolioCompositionPandasAPIView(UserPortfolioRequestPermissionMix
 
     @cached_property
     def last_rebalancing_date(self) -> date | None:
-        if self.composition_portfolio:
+        if self.composition_portfolio and self.last_effective_date:
             with suppress(TradeProposal.DoesNotExist):
                 return (
                     self.composition_portfolio.trade_proposals.filter(trade_date__lte=self.last_effective_date)

wbportfolio/viewsets/transactions/trade_proposals.py

@@ -82,7 +82,7 @@ class TradeProposalModelViewSet(CloneMixin, RiskCheckViewSetMixin, InternalUserP
         if instance and instance.status == TradeProposal.Status.SUBMIT:
             if not instance.portfolio.is_manageable:
                 info(request, "This trade proposal cannot be approved the portfolio is considered unmanaged.")
-            if not instance.has_all_check_completed_and_succeed:
+            if instance.has_non_successful_checks:
                 warning(
                     request,
                     "This trade proposal cannot be approved because there is unsuccessful pre-trade checks. Please rectify accordingly and resubmit a valid trade proposal",

wbportfolio/viewsets/transactions/trades.py

@@ -25,6 +25,7 @@ from wbcore.permissions.permissions import InternalUserPermissionMixin
 from wbcore.utils.strings import format_number
 from wbcore.viewsets.mixins import OrderableMixin
 from wbcrm.models import Account
+from wbfdm.models import Cash
 
 from wbportfolio.filters import (
     SubscriptionRedemptionFilterSet,
@@ -366,7 +367,19 @@ class TradeTradeProposalModelViewSet(
         "trade_proposal",
         "order",
     )
-    ordering_fields = ("target_weight", "effective_weight", "effective_shares", "target_shares", "shares", "weighting")
+    ordering_fields = (
+        "underlying_instrument__name",
+        "underlying_instrument_isin",
+        "underlying_instrument_ticker",
+        "underlying_instrument_refinitiv_identifier_code",
+        "underlying_instrument_instrument_type",
+        "target_weight",
+        "effective_weight",
+        "effective_shares",
+        "target_shares",
+        "shares",
+        "weighting",
+    )
     IDENTIFIER = "wbportfolio:tradeproposal"
     search_fields = ("underlying_instrument__name",)
     filterset_fields = {}
@@ -391,19 +404,82 @@ class TradeTradeProposalModelViewSet(
     def get_resource_class(self):
         return TradeProposalTradeResource
 
-    def get_aggregates(self, queryset, paginated_queryset):
+    def get_aggregates(self, queryset, *args, **kwargs):
+        agg = {}
         if queryset.exists():
-            aggregates = queryset.aggregate(
+            cash_target_cash_weight, cash_target_cash_shares = self.trade_proposal.get_estimated_target_cash(
+                self.trade_proposal.portfolio.currency
+            )
+            extra_existing_cash_components = Cash.objects.filter(
+                id__in=self.trade_proposal.trades.filter(underlying_instrument__is_cash=True).values(
+                    "underlying_instrument"
+                )
+            ).exclude(currency=self.trade_proposal.portfolio.currency)
+
+            for cash_component in extra_existing_cash_components:
+                extra_cash_target_cash_weight, extra_cash_target_cash_shares = (
+                    self.trade_proposal.get_estimated_target_cash(cash_component.currency)
+                )
+                cash_target_cash_weight += extra_cash_target_cash_weight
+                cash_target_cash_shares += extra_cash_target_cash_shares
+            noncash_aggregates = queryset.filter(underlying_instrument__is_cash=False).aggregate(
                 sum_target_weight=Sum(F("target_weight")),
                 sum_effective_weight=Sum(F("effective_weight")),
-                sum_weighting=Sum(F("weighting")),
+                sum_target_shares=Sum(F("target_shares")),
+                sum_effective_shares=Sum(F("effective_shares")),
             )
-            return {
-                "target_weight": {"Σ": format_number(aggregates["sum_target_weight"], decimal=5)},
-                "effective_weight": {"Σ": format_number(aggregates["sum_effective_weight"], decimal=5)},
-                "weighting": {"Σ": format_number(aggregates["sum_weighting"], decimal=5)},
+            cash_aggregates = queryset.filter(underlying_instrument__is_cash=True).aggregate(
+                sum_effective_weight=Sum(F("effective_weight")),
+                sum_effective_shares=Sum(F("effective_shares")),
+            )
+            # weights aggregates
+            cash_sum_effective_weight = cash_aggregates["sum_effective_weight"] or Decimal(0)
+            noncash_sum_effective_weight = noncash_aggregates["sum_effective_weight"] or Decimal(0)
+            noncash_sum_target_weight = noncash_aggregates["sum_target_weight"] or Decimal(0)
+            sum_buy_weight = queryset.filter(weighting__gte=0).aggregate(s=Sum(F("weighting")))["s"] or Decimal(0)
+            sum_sell_weight = queryset.filter(weighting__lt=0).aggregate(s=Sum(F("weighting")))["s"] or Decimal(0)
+
+            # shares aggregates
+            cash_sum_effective_shares = cash_aggregates["sum_effective_shares"] or Decimal(0)
+            noncash_sum_effective_shares = noncash_aggregates["sum_effective_shares"] or Decimal(0)
+            noncash_sum_target_shares = noncash_aggregates["sum_target_shares"] or Decimal(0)
+            sum_buy_shares = queryset.filter(shares__gte=0).aggregate(s=Sum(F("shares")))["s"] or Decimal(0)
+            sum_sell_shares = queryset.filter(shares__lt=0).aggregate(s=Sum(F("shares")))["s"] or Decimal(0)
+
+            agg = {
+                "effective_weight": {
+                    "Cash": format_number(cash_sum_effective_weight, decimal=6),
+                    "Non-Cash": format_number(noncash_sum_effective_weight, decimal=6),
+                    "Total": format_number(noncash_sum_effective_weight + cash_sum_effective_weight, decimal=6),
+                },
+                "target_weight": {
+                    "Cash": format_number(cash_target_cash_weight, decimal=6),
+                    "Non-Cash": format_number(noncash_sum_target_weight, decimal=6),
+                    "Total": format_number(cash_target_cash_weight + noncash_sum_target_weight, decimal=6),
+                },
+                "effective_shares": {
+                    "Cash": format_number(cash_sum_effective_shares, decimal=6),
+                    "Non-Cash": format_number(noncash_sum_effective_shares, decimal=6),
+                    "Total": format_number(cash_sum_effective_shares + noncash_sum_effective_shares, decimal=6),
+                },
+                "target_shares": {
+                    "Cash": format_number(cash_target_cash_shares, decimal=6),
+                    "Non-Cash": format_number(noncash_sum_target_shares, decimal=6),
+                    "Total": format_number(cash_target_cash_shares + noncash_sum_target_shares, decimal=6),
+                },
+                "weighting": {
+                    "Cash Flow": format_number(cash_sum_effective_weight - cash_target_cash_weight, decimal=6),
+                    "Buy": format_number(sum_buy_weight, decimal=6),
+                    "Sell": format_number(sum_sell_weight, decimal=6),
+                },
+                "shares": {
+                    "Cash Flow": format_number(cash_sum_effective_shares - cash_target_cash_shares, decimal=6),
+                    "Buy": format_number(sum_buy_shares, decimal=6),
+                    "Sell": format_number(sum_sell_shares, decimal=6),
+                },
             }
-        return {}
+
+        return agg
 
     def get_serializer_class(self):
         if self.trade_proposal.status != TradeProposal.Status.DRAFT:
@@ -414,14 +490,30 @@ class TradeTradeProposalModelViewSet(
         if queryset is not None and queryset.exists():
             total_target_weight = queryset.aggregate(c=Sum(F("target_weight")))["c"] or Decimal(0)
             if round(total_target_weight, 3) != 1:
-                warning(request, "The total target weight does not equals to 1")
+                warning(
+                    request,
+                    "The total target weight does not equal 1. To avoid automatic cash allocation, please adjust the trade weights to sum up to 1. Otherwise, a cash component will be added when this trade proposal is submitted.",
+                )
             if queryset.filter(status=Trade.Status.FAILED):
                 error(
                     request,
-                    "Some Trades couldn't be succesfully prepared. Please revert back to draft and correct these trades accordingly.",
+                    "Some trades failed preparation. To resolve this, please revert the trade proposal to draft, review and correct the trades, and then resubmit.",
                 )
 
     def get_queryset(self):
         if self.is_portfolio_manager:
-            return super().get_queryset().filter(trade_proposal=self.kwargs["trade_proposal_id"]).annotate_base_info()
-        return TradeProposal.objects.none()
+            qs = super().get_queryset().filter(trade_proposal=self.kwargs["trade_proposal_id"]).annotate_base_info()
+        else:
+            qs = TradeProposal.objects.none()
+        return qs.annotate(
+            underlying_instrument_isin=F("underlying_instrument__isin"),
+            underlying_instrument_ticker=F("underlying_instrument__ticker"),
+            underlying_instrument_refinitiv_identifier_code=F("underlying_instrument__refinitiv_identifier_code"),
+            underlying_instrument_instrument_type=Case(
+                When(
+                    underlying_instrument__parent__is_security=True,
+                    then=F("underlying_instrument__parent__instrument_type__short_name"),
+                ),
+                default=F("underlying_instrument__instrument_type__short_name"),
+            ),
+        )

{wbportfolio-1.48.0.dist-info → wbportfolio-1.49.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.48.0
+Version: 1.49.1
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*