wbportfolio 1.49.2__py2.py3-none-any.whl → 1.49.3__py2.py3-none-any.whl

wbportfolio/rebalancing/models/market_capitalization_weighted.py

@@ -3,6 +3,7 @@ from decimal import Decimal
 import numpy as np
 import pandas as pd
 from django.db.models import QuerySet
+from pandas._libs.tslibs.offsets import BDay
 from wbfdm.enums import MarketData
 from wbfdm.models import (
     Classification,
@@ -20,13 +21,15 @@ 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,
             )
         )
@@ -38,11 +41,11 @@ class MarketCapitalizationRebalancing(AbstractRebalancingModel):
         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
+            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)
 
@@ -92,13 +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-1.49.2.dist-info → wbportfolio-1.49.3.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.49.2
+Version: 1.49.3
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.49.2.dist-info → wbportfolio-1.49.3.dist-info}/RECORD

@@ -292,7 +292,7 @@ wbportfolio/rebalancing/decorators.py,sha256=JhQ2vkcIuGBTGvNmpkQerdw2-vLq-RAb0KA
 wbportfolio/rebalancing/models/__init__.py,sha256=AQjG7Tu5vlmhqncVoYOjpBKU2UIvgo9FuP2_jD2w-UI,232
 wbportfolio/rebalancing/models/composite.py,sha256=uyF1n3NAFprnAZ3Gl5pNJl0GajelqJspC2NufZ7Tf0s,1636
 wbportfolio/rebalancing/models/equally_weighted.py,sha256=U29MOHJMQMIg7Y7W_8t5K3nXjaznzt4ArIxQSiv0Xok,863
-wbportfolio/rebalancing/models/market_capitalization_weighted.py,sha256=7vdr7SMNswi3Emc8RpLPJQqQw39xrznp3Ps9Pf9YEZ4,4789
+wbportfolio/rebalancing/models/market_capitalization_weighted.py,sha256=6ZsR8iJg6l89CsxHqoxJSXlTaj8Pmb8_bFPrXhnxaRs,5295
 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
@@ -521,7 +521,7 @@ wbportfolio/viewsets/transactions/rebalancing.py,sha256=6rIrdK0rtKL1afJ-tYfAGdQV
 wbportfolio/viewsets/transactions/trade_proposals.py,sha256=iQpC_Thbj56SmM05vPRsF1JZguGBDaTUH3I-_iCHCV0,5958
 wbportfolio/viewsets/transactions/trades.py,sha256=xeEzx7GP34aBNPlDmiUmT86labsbb8_f1U2RCN1Jatg,21494
 wbportfolio/viewsets/transactions/transactions.py,sha256=ixDp-nsNA8t_A06rBCT19hOMJHy0iRmdz1XKdV1OwAs,4450
-wbportfolio-1.49.2.dist-info/METADATA,sha256=cFNyn_eGy7Dwxdfb_oqZH6Z2zj79fYUOsKj6cTy5XNo,734
-wbportfolio-1.49.2.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.49.2.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.49.2.dist-info/RECORD,,
+wbportfolio-1.49.3.dist-info/METADATA,sha256=juDIyj3pwmZDS4xegw-suJ-JTKaEKhCfpNKFG6ubqqc,734
+wbportfolio-1.49.3.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.49.3.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.49.3.dist-info/RECORD,,