wbportfolio 1.54.15__tar.gz → 1.54.16__tar.gz

{wbportfolio-1.54.15 → wbportfolio-1.54.16}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.15
+Version: 1.54.16
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.15 → wbportfolio-1.54.16}/wbportfolio/models/orders/order_proposals.py

@@ -24,7 +24,6 @@ from django_fsm import FSMField, transition
 from pandas._libs.tslibs.offsets import BDay
 from wbcompliance.models.risk_management.mixins import RiskCheckMixin
 from wbcore.contrib.authentication.models import User
-from wbcore.contrib.currency.models import Currency
 from wbcore.contrib.icons import WBIcon
 from wbcore.contrib.notifications.dispatch import send_notification
 from wbcore.enums import RequestType
@@ -188,6 +187,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
             effective_weight=Round(
                 F("contribution") / Value(portfolio_contribution), precision=Order.ORDER_WEIGHTING_PRECISION
             ),
+            tmp_effective_weight=F("contribution") / Value(portfolio_contribution),
             target_weight=Round(F("effective_weight") + F("weighting"), precision=Order.ORDER_WEIGHTING_PRECISION),
             effective_shares=Coalesce(
                 Subquery(
@@ -206,7 +206,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         )
         total_effective_weight = orders.aggregate(s=models.Sum("effective_weight"))["s"] or Decimal("1")
         with suppress(Order.DoesNotExist):
-            largest_order = orders.latest("weighting")
+            largest_order = orders.latest("effective_weight")
             if quant_error := Decimal("1") - total_effective_weight:
                 orders = orders.annotate(
                     effective_weight=models.Case(
@@ -226,7 +226,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
     def __str__(self) -> str:
         return f"{self.portfolio.name}: {self.trade_date} ({self.status})"
 
-    def convert_to_portfolio(self, use_effective: bool = False) -> PortfolioDTO:
+    def convert_to_portfolio(self, use_effective: bool = False, with_cash: bool = True) -> PortfolioDTO:
         """
         Data Transfer Object
         Returns:
@@ -258,6 +258,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         except InvalidAnalyticPortfolio:
             last_returns, portfolio_contribution = {}, 1
         positions = []
+        total_weighting = Decimal("0")
         for instrument, row in portfolio.items():
             weighting = row["weighting"]
             daily_return = Decimal(last_returns.get(instrument.id, 0))
@@ -285,6 +286,10 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
                     currency_fx_rate=row["currency_fx_rate"],
                 )
             )
+            total_weighting += weighting
+        if with_cash and (cash_weight := Decimal("1") - total_weighting):
+            cash_position = self.get_estimated_target_cash(target_cash_weight=cash_weight)
+            positions.append(cash_position._build_dto())
         return PortfolioDTO(positions)
 
     # Start tools methods
@@ -325,7 +330,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         service = TradingService(
             self.trade_date,
             effective_portfolio=self._get_default_effective_portfolio(),
-            target_portfolio=self.convert_to_portfolio(),
+            target_portfolio=self.convert_to_portfolio(use_effective=False, with_cash=False),
             total_target_weight=total_target_weight,
         )
         leftovers_orders = self.orders.all()
@@ -352,7 +357,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
             return self.rebalancing_model.get_target_portfolio(
                 self.portfolio, self.trade_date, self.value_date, **params
             )
-        return self.convert_to_portfolio()
+        return self.convert_to_portfolio(use_effective=False)
 
     def _get_default_effective_portfolio(self):
         return self.convert_to_portfolio(use_effective=True)
@@ -455,8 +460,8 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         last_order_proposal = self
         last_order_proposal_created = False
         while last_order_proposal and last_order_proposal.status == OrderProposal.Status.APPROVED:
+            logger.info(f"Replaying order proposal {last_order_proposal}")
             if not last_order_proposal_created:
-                logger.info(f"Replaying order proposal {last_order_proposal}")
                 last_order_proposal.approve_workflow(
                     silent_exception=True,
                     force_reset_order=True,
@@ -557,50 +562,41 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
                 shares = math.floor(shares / round_lot_size) * round_lot_size
         return shares
 
-    def get_estimated_target_cash(self, currency: Currency) -> AssetPosition:
+    def get_estimated_target_cash(self, target_cash_weight: Decimal | None = None) -> AssetPosition:
         """
         Estimates the target cash weight and shares for a order proposal.
 
         This method calculates the target cash weight by summing the weights of cash orders and adding any leftover weight from non-cash orders. It then estimates the target shares for this cash component if the portfolio is not only weighting-based.
 
         Args:
-            currency (Currency): The currency for the target currency component
+            target_cash_weight (Decimal): the expected target cash weight (Optional). If not provided, we estimate from the existing orders
 
         Returns:
             tuple[Decimal, Decimal]: A tuple containing the target cash weight and the estimated target shares.
         """
         # Retrieve orders with base information
         orders = self.get_orders()
+        currency = self.portfolio.currency
 
-        # Calculate the target cash weight from cash orders
-        target_cash_weight = orders.filter(
-            underlying_instrument__is_cash=True, underlying_instrument__currency=currency
-        ).aggregate(s=models.Sum("target_weight"))["s"] or Decimal(0)
-        # if the specified currency match the portfolio's currency, we include the weight leftover to this cash compoenent
-        if currency == self.portfolio.currency:
-            # Calculate the total target weight of all orders
-            total_target_weight = orders.aggregate(s=models.Sum("target_weight"))["s"] or Decimal(0)
+        # Calculate the total target weight of all orders
+        total_target_weight = orders.aggregate(s=models.Sum("target_weight"))["s"] or Decimal(0)
 
-            # Add any leftover weight as cash
-            target_cash_weight += Decimal(1) - total_target_weight
+        if target_cash_weight is None:
+            target_cash_weight = Decimal("1") - total_target_weight
 
         # Initialize target shares to zero
         total_target_shares = Decimal(0)
 
+        # Get or create a cash component for the portfolio's currency
+        cash_component = Cash.objects.get_or_create(
+            currency=currency, defaults={"is_cash": True, "name": currency.title}
+        )[0]
         # If the portfolio is not only weighting-based, estimate the target shares for the cash component
         if not self.portfolio.only_weighting:
-            # Get or create a cash component for the portfolio's currency
-            cash_component = Cash.objects.get_or_create(
-                currency=currency, defaults={"is_cash": True, "name": currency.title}
-            )[0]
-
             # Estimate the target shares for the cash component
             with suppress(ValueError):
                 total_target_shares = self.get_estimated_shares(target_cash_weight, cash_component, Decimal("1.0"))
 
-        cash_component = Cash.objects.get_or_create(
-            currency=self.portfolio.currency, defaults={"name": self.portfolio.currency.title}
-        )[0]
         # otherwise, we create a new position
         underlying_quote_price = InstrumentPrice.objects.get_or_create(
             instrument=cash_component,
@@ -657,7 +653,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         Order.objects.bulk_update(orders, ["shares", "weighting"])
 
         # If we estimate cash on this order proposal, we make sure to create the corresponding cash component
-        estimated_cash_position = self.get_estimated_target_cash(self.portfolio.currency)
+        estimated_cash_position = self.get_estimated_target_cash()
         target_portfolio = self.validated_trading_service.trades_batch.convert_to_portfolio(
             estimated_cash_position._build_dto()
         )
@@ -717,7 +713,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         assets = []
         warnings = []
         # We do not want to create the estimated cash position if there is not orders in the order proposal (shouldn't be possible anyway)
-        estimated_cash_position = self.get_estimated_target_cash(self.portfolio.currency)
+        estimated_cash_position = self.get_estimated_target_cash()
         for order in self.get_orders():
             with suppress(ValueError):
                 asset = order.get_asset()

{wbportfolio-1.54.15 → wbportfolio-1.54.16}/wbportfolio/pms/trading/handler.py

@@ -143,33 +143,32 @@ class TradingService:
 
         trades: list[Trade] = []
         for instrument_id, pos in instruments.items():
-            if not pos.is_cash:
-                previous_weight = target_weight = 0
-                effective_shares = target_shares = 0
-                daily_return = 0
-                if effective_pos := effective_portfolio.positions_map.get(instrument_id, None):
-                    previous_weight = effective_pos.weighting
-                    effective_shares = effective_pos.shares
-                    daily_return = effective_pos.daily_return
-                if target_pos := target_portfolio.positions_map.get(instrument_id, None):
-                    target_weight = target_pos.weighting
-                    if target_pos.shares is not None:
-                        target_shares = target_pos.shares
-                trade = Trade(
-                    underlying_instrument=instrument_id,
-                    previous_weight=previous_weight,
-                    target_weight=target_weight,
-                    effective_shares=effective_shares,
-                    target_shares=target_shares,
-                    date=self.trade_date,
-                    instrument_type=pos.instrument_type,
-                    currency=pos.currency,
-                    price=Decimal(pos.price) if pos.price is not None else Decimal("0"),
-                    currency_fx_rate=Decimal(pos.currency_fx_rate),
-                    daily_return=Decimal(daily_return),
-                    portfolio_contribution=effective_portfolio.portfolio_contribution,
-                )
-                trades.append(trade)
+            previous_weight = target_weight = 0
+            effective_shares = target_shares = 0
+            daily_return = 0
+            if effective_pos := effective_portfolio.positions_map.get(instrument_id, None):
+                previous_weight = effective_pos.weighting
+                effective_shares = effective_pos.shares
+                daily_return = effective_pos.daily_return
+            if target_pos := target_portfolio.positions_map.get(instrument_id, None):
+                target_weight = target_pos.weighting
+                if target_pos.shares is not None:
+                    target_shares = target_pos.shares
+            trade = Trade(
+                underlying_instrument=instrument_id,
+                previous_weight=previous_weight,
+                target_weight=target_weight,
+                effective_shares=effective_shares,
+                target_shares=target_shares,
+                date=self.trade_date,
+                instrument_type=pos.instrument_type,
+                currency=pos.currency,
+                price=Decimal(pos.price) if pos.price is not None else Decimal("0"),
+                currency_fx_rate=Decimal(pos.currency_fx_rate),
+                daily_return=Decimal(daily_return),
+                portfolio_contribution=effective_portfolio.portfolio_contribution,
+            )
+            trades.append(trade)
         return TradeBatch(trades)
 
     def is_valid(self, ignore_error: bool = False) -> bool:

{wbportfolio-1.54.15 → wbportfolio-1.54.16}/wbportfolio/serializers/orders/order_proposals.py

@@ -23,7 +23,7 @@ class OrderProposalModelSerializer(wb_serializers.ModelSerializer):
     rebalancing_model = wb_serializers.PrimaryKeyRelatedField(queryset=RebalancingModel.objects.all(), required=False)
     _rebalancing_model = RebalancingModelRepresentationSerializer(source="rebalancing_model")
     target_portfolio = wb_serializers.PrimaryKeyRelatedField(
-        queryset=Portfolio.objects.all(), write_only=True, required=False, default=DefaultFromView("portfolio")
+        queryset=Portfolio.objects.all(), write_only=True, required=False
     )
     _target_portfolio = PortfolioRepresentationSerializer(source="target_portfolio")
     total_cash_weight = wb_serializers.DecimalField(
@@ -51,8 +51,13 @@ class OrderProposalModelSerializer(wb_serializers.ModelSerializer):
         obj = super().create(validated_data)
 
         target_portfolio_dto = None
-        if target_portfolio and not rebalancing_model:
+        if target_portfolio:
             target_portfolio_dto = target_portfolio._build_dto(obj.trade_date)
+        elif rebalancing_model:
+            target_portfolio_dto = rebalancing_model.get_target_portfolio(
+                obj.portfolio, obj.trade_date, obj.last_effective_date
+            )
+
         try:
             obj.reset_orders(
                 target_portfolio=target_portfolio_dto, total_target_weight=Decimal("1.0") - total_cash_weight

{wbportfolio-1.54.15 → wbportfolio-1.54.16}/wbportfolio/tests/models/orders/test_order_proposals.py

@@ -423,23 +423,15 @@ class TestOrderProposal:
         order_proposal.portfolio.only_weighting = False
         order_proposal.portfolio.save()
         mock_fct.return_value = Decimal(1_000_000)  # 1 million cash
-        cash = cash_factory.create(currency=order_proposal.portfolio.currency)
         order_factory.create(  # equity trade
             order_proposal=order_proposal,
             value_date=order_proposal.trade_date,
             portfolio=order_proposal.portfolio,
             weighting=Decimal("0.7"),
         )
-        order_factory.create(  # cash trade
-            order_proposal=order_proposal,
-            value_date=order_proposal.trade_date,
-            portfolio=order_proposal.portfolio,
-            underlying_instrument=cash,
-            weighting=Decimal("0.2"),
-        )
 
-        target_cash_position = order_proposal.get_estimated_target_cash(order_proposal.portfolio.currency)
-        assert target_cash_position.weighting == Decimal("0.2") + Decimal("1.0") - (Decimal("0.7") + Decimal("0.2"))
+        target_cash_position = order_proposal.get_estimated_target_cash()
+        assert target_cash_position.weighting == Decimal("0.3")
         assert target_cash_position.initial_shares == Decimal(1_000_000) * Decimal("0.3")
 
     def test_order_proposal_update_inception_date(self, order_proposal_factory, portfolio, instrument_factory):