wbportfolio 1.49.1__tar.gz → 1.49.3__tar.gz

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.49.1
+Version: 1.49.3
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/models/portfolio.py

@@ -853,7 +853,6 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             adjusted_weighting,
             adjusted_currency_fx_rate,
             adjusted_is_estimated,
-            portfolio_created=None,
             path=None,
         ):
             if not path:
@@ -866,7 +865,18 @@ class Portfolio(DeleteToDisableMixin, WBModel):
                 position.is_estimated = (adjusted_is_estimated or position.is_estimated) and not (
                     position.weighting == 1.0
                 )
-                position.portfolio_created = portfolio_created
+                # to get from which portfolio this position is created, we need to differantiate between:
+                # * Composition portfolio: where the portfolio created is the second encountered portfolio
+                # * Other: portfolio created is the last encountered portfolio
+                # If `path` is empty, we use None as portfolio_created
+                try:
+                    if self.is_composition:
+                        position.portfolio_created = path[1]
+                    else:
+                        position.portfolio_created = path[-1]
+                except IndexError:
+                    position.portfolio_created = None
+
                 setattr(position, "path", path)
                 position.initial_shares = None
                 if portfolio_total_asset_value:
@@ -881,7 +891,6 @@ class Portfolio(DeleteToDisableMixin, WBModel):
                         position.weighting,
                         position.currency_fx_rate,
                         position.is_estimated,
-                        portfolio_created=child_portfolio,
                         path=path.copy(),
                     )
                 elif position.weighting:  # we do not yield position with weight 0 because of issue with certain multi-thematic portfolios which contain duplicates

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/models/transactions/trade_proposals.py

@@ -167,7 +167,7 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
         Returns:
             The cloned trade proposal
         """
-        trade_date = kwargs.get("trade_date", self.trade_date)
+        trade_date = kwargs.get("clone_date", self.trade_date)
 
         # Find the next valid trade date
         while TradeProposal.objects.filter(portfolio=self.portfolio, trade_date=trade_date).exists():
@@ -175,7 +175,7 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
 
         trade_proposal_clone = TradeProposal.objects.create(
             trade_date=trade_date,
-            comment=kwargs.get("comment", self.comment),
+            comment=kwargs.get("clone_comment", self.comment),
             status=TradeProposal.Status.DRAFT,
             rebalancing_model=self.rebalancing_model,
             portfolio=self.portfolio,

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/rebalancing/models/market_capitalization_weighted.py

@@ -2,13 +2,13 @@ from decimal import Decimal
 
 import numpy as np
 import pandas as pd
-from django.db.models import Q, QuerySet
+from django.db.models import QuerySet
+from pandas._libs.tslibs.offsets import BDay
 from wbfdm.enums import MarketData
 from wbfdm.models import (
     Classification,
     Exchange,
     Instrument,
-    InstrumentClassificationThroughModel,
     InstrumentListThroughModel,
 )
 
@@ -21,26 +21,31 @@ from wbportfolio.rebalancing.decorators import register
 class MarketCapitalizationRebalancing(AbstractRebalancingModel):
     TARGET_CURRENCY: str = "USD"
 
-    def __init__(self, *args, **kwargs):
+    def __init__(self, *args, bypass_exchange_check: bool = False, ffill_market_cap_limit: int = 5, **kwargs):
         super().__init__(*args, **kwargs)
+        self.bypass_exchange_check = bypass_exchange_check
         instruments = self._get_instruments(**kwargs)
         self.market_cap_df = pd.DataFrame(
             instruments.dl.market_data(
                 values=[MarketData.MARKET_CAPITALIZATION],
-                exact_date=self.trade_date,
+                from_date=self.trade_date - BDay(ffill_market_cap_limit),
+                to_date=self.trade_date,
                 target_currency=self.TARGET_CURRENCY,
             )
         )
-        self.exchange_df = pd.DataFrame(
-            instruments.values_list("id", "exchange"), columns=["id", "exchange"]
-        ).set_index("id")
+        self.exchange_df = (
+            pd.DataFrame(instruments.values_list("id", "exchange"), columns=["id", "exchange"])
+            .set_index("id")
+            .replace({np.nan: None})
+        )
         instrument_ids = list(instruments.values_list("id", flat=True))
         try:
             self.market_cap_df = (
-                self.market_cap_df[["market_capitalization", "instrument_id"]]
-                .set_index("instrument_id")["market_capitalization"]
-                .reindex(instrument_ids)
+                self.market_cap_df.sort_values(by="valuation_date")
+                .groupby("instrument_id")
+                .last()["market_capitalization"]
             )
+            self.market_cap_df = self.market_cap_df.reindex(instrument_ids)
         except (IndexError, KeyError):
             self.market_cap_df = pd.Series(dtype="float64", index=instrument_ids)
 
@@ -59,17 +64,10 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
         if not instrument_ids:
             instrument_ids = []
         if classification_ids:
-            classifications = set()
             for classification in Classification.objects.filter(id__in=classification_ids):
                 for children in classification.get_descendants(include_self=True):
-                    classifications.add(children)
-            instrument_ids.extend(
-                list(
-                    InstrumentClassificationThroughModel.objects.filter(
-                        classification__in=classifications
-                    ).values_list("id", flat=True)
-                )
-            )
+                    for company in children.instruments.all():
+                        instrument_ids.append(company.get_primary_quote().id)
         if instrument_list_id:
             instrument_ids.extend(
                 list(
@@ -84,8 +82,10 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
                 self.portfolio.assets.filter(date=self.trade_date).values_list("underlying_instrument", flat=True)
             )
 
-        return Instrument.objects.filter(id__in=instrument_ids).filter(
-            (Q(delisted_date__isnull=True) | Q(delisted_date__gt=self.trade_date))
+        return (
+            Instrument.objects.filter(id__in=instrument_ids)
+            .filter(exchange__isnull=False)
+            .filter_active_at_date(self.trade_date)
         )
 
     def is_valid(self) -> bool:
@@ -95,13 +95,17 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
             )  # 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())
-            if missing_exchanges.exists():
-                setattr(
-                    self,
-                    "_validation_errors",
-                    f"Couldn't find any market capitalization for exchanges {', '.join([str(e) for e in missing_exchanges])}",
-                )
-            return df.all()
+            # if bypass exchange check is true, we do not care whether an exchange is closed we just care if there are at least one exchange open
+            if self.bypass_exchange_check:
+                return df.any()
+            else:
+                if missing_exchanges.exists():
+                    setattr(
+                        self,
+                        "_validation_errors",
+                        f"Couldn't find any market capitalization for exchanges {', '.join([str(e) for e in missing_exchanges])}",
+                    )
+                return df.all()
         return False
 
     def get_target_portfolio(self) -> Portfolio:

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/serializers/portfolios.py

@@ -85,7 +85,7 @@ class PortfolioModelSerializer(wb_serializers.ModelSerializer):
                 request=request,
             )
         if user.profile.is_internal:
-            additional_resources["instruments"] = reverse(
+            additional_resources["instruments_list"] = reverse(
                 "wbportfolio:portfolio-instrument-list",
                 args=[instance.id],
                 request=request,

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/tests/rebalancing/test_models.py

@@ -136,8 +136,8 @@ class TestMarketCapitalizationRebalancing:
 
         last_effective_date = (weekday - BDay(1)).date()
 
-        i1 = instrument_factory()
-        i2 = instrument_factory()
+        i1 = instrument_factory(inception_date=weekday)
+        i2 = instrument_factory(inception_date=weekday)
         instrument_price_factory.create(instrument=i1, date=weekday)
         instrument_price_factory.create(instrument=i2, date=weekday)
         return MarketCapitalizationRebalancing(portfolio, weekday, last_effective_date, instrument_ids=[i1.id, i2.id])

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/viewsets/assets.py

@@ -323,7 +323,7 @@ class CashPositionPortfolioPandasAPIView(
                 val_date = datetime.strptime(date_str, "%Y-%m-%d").date()
             else:
                 val_date = date.today()
-            active_products = Product.active_objects.get_queryset_at_date(val_date)
+            active_products = Product.active_objects.filter_active_at_date(val_date)
             return (
                 super()
                 .get_queryset()

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/viewsets/configs/display/portfolios.py

@@ -103,8 +103,8 @@ class PortfolioDisplayConfig(DisplayViewConfig):
                                 create_simple_section(
                                     "instruments_section",
                                     _("Linked Instruments"),
-                                    [["instruments"]],
-                                    "instruments",
+                                    [["instruments_list"]],
+                                    "instruments_list",
                                     collapsed=True,
                                 ),
                                 create_simple_section(

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/viewsets/transactions/trade_proposals.py

@@ -65,16 +65,18 @@ class TradeProposalModelViewSet(CloneMixin, RiskCheckViewSetMixin, InternalUserP
     # 2 methods to parametrize the clone button functionality
     def get_clone_button_serializer_class(self, instance):
         class CloneSerializer(wb_serializers.Serializer):
-            trade_date = wb_serializers.DateField(default=(instance.trade_date + BDay(1)).date(), label="Trade Date")
-            comment = wb_serializers.TextField(label="Comment")
+            clone_date = wb_serializers.DateField(
+                default=(instance.trade_date + BDay(1)).date(), label="Trade Date"
+            )  # we need to change the field name from the trade proposa fields, otherwise fontend conflicts
+            clone_comment = wb_serializers.TextField(label="Comment")
 
         return CloneSerializer
 
     def get_clone_button_instance_display(self) -> Display:
         return create_simple_display(
             [
-                ["comment"],
-                ["trade_date"],
+                ["clone_comment"],
+                ["clone_date"],
             ]
         )
 

{wbportfolio-1.49.1 → wbportfolio-1.49.3}/wbportfolio/viewsets/transactions/trades.py

@@ -382,7 +382,7 @@ class TradeTradeProposalModelViewSet(
     )
     IDENTIFIER = "wbportfolio:tradeproposal"
     search_fields = ("underlying_instrument__name",)
-    filterset_fields = {}
+    filterset_fields = {"status": ["exact"]}
     queryset = Trade.objects.all()
 
     display_config_class = TradeTradeProposalDisplayConfig