wbportfolio 1.54.16__tar.gz → 1.54.17__tar.gz

{wbportfolio-1.54.16 → wbportfolio-1.54.17}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.16
+Version: 1.54.17
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.16 → wbportfolio-1.54.17}/wbportfolio/models/orders/order_proposals.py

@@ -394,35 +394,34 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
                 orders = service.trades_batch.trades_map.values()
             for order_dto in orders:
                 instrument = Instrument.objects.get(id=order_dto.underlying_instrument)
-                if not instrument.is_cash:  # we do not save order that includes cash component
-                    currency_fx_rate = instrument.currency.convert(
-                        self.value_date, self.portfolio.currency, exact_lookup=True
+                currency_fx_rate = instrument.currency.convert(
+                    self.value_date, self.portfolio.currency, exact_lookup=True
+                )
+                # we cannot do a bulk-create because Order is a multi table inheritance
+                weighting = round(order_dto.delta_weight, Order.ORDER_WEIGHTING_PRECISION)
+                daily_return = order_dto.daily_return
+                try:
+                    order = self.orders.get(underlying_instrument=instrument)
+                    order.weighting = weighting
+                    order.currency_fx_rate = currency_fx_rate
+                    order.daily_return = daily_return
+                except Order.DoesNotExist:
+                    order = Order(
+                        underlying_instrument=instrument,
+                        order_proposal=self,
+                        value_date=self.trade_date,
+                        weighting=weighting,
+                        daily_return=daily_return,
+                        currency_fx_rate=currency_fx_rate,
                     )
-                    # we cannot do a bulk-create because Order is a multi table inheritance
-                    weighting = round(order_dto.delta_weight, Order.ORDER_WEIGHTING_PRECISION)
-                    daily_return = order_dto.daily_return
-                    try:
-                        order = self.orders.get(underlying_instrument=instrument)
-                        order.weighting = weighting
-                        order.currency_fx_rate = currency_fx_rate
-                        order.daily_return = daily_return
-                    except Order.DoesNotExist:
-                        order = Order(
-                            underlying_instrument=instrument,
-                            order_proposal=self,
-                            value_date=self.trade_date,
-                            weighting=weighting,
-                            daily_return=daily_return,
-                            currency_fx_rate=currency_fx_rate,
-                        )
-                    order.price = order.get_price()
-                    order.order_type = Order.get_type(weighting, order_dto.previous_weight, order_dto.target_weight)
-                    # if we cannot automatically find a price, we consider the stock is invalid and we sell it
-                    if not order.price:
-                        order.price = Decimal("0.0")
-                        order.weighting = -order_dto.effective_weight
-
-                    order.save()
+                order.price = order.get_price()
+                order.order_type = Order.get_type(weighting, order_dto.previous_weight, order_dto.target_weight)
+                # if we cannot automatically find a price, we consider the stock is invalid and we sell it
+                if not order.price:
+                    order.price = Decimal("0.0")
+                    order.weighting = -order_dto.effective_weight
+
+                order.save()
         # final sanity check to make sure invalid order with effective and target weight of 0 are automatically removed:
         self.get_orders().filter(target_weight=0, effective_weight=0).delete()
 
@@ -579,7 +578,9 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
         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)
+        total_target_weight = orders.exclude(underlying_instrument__is_cash=True).aggregate(
+            s=models.Sum("target_weight")
+        )["s"] or Decimal(0)
 
         if target_cash_weight is None:
             target_cash_weight = Decimal("1") - total_target_weight

{wbportfolio-1.54.16 → wbportfolio-1.54.17}/wbportfolio/tests/models/orders/test_order_proposals.py

@@ -248,7 +248,9 @@ class TestOrderProposal:
         assert t3.weighting == normalized_t3_weight
 
     # Test resetting orders
-    def test_reset_orders(self, order_proposal, instrument_factory, instrument_price_factory, asset_position_factory):
+    def test_reset_orders(
+        self, order_proposal, instrument_factory, cash, instrument_price_factory, asset_position_factory
+    ):
         """
         Verify orders are correctly reset based on effective and target portfolios.
         """
@@ -334,6 +336,31 @@ class TestOrderProposal:
         assert t2.weighting == Decimal("0")
         assert t3.weighting == Decimal("0.5")
 
+        # assert cash position creates a proper order
+        # build the target portfolio
+        target_portfolio_with_cash = PortfolioDTO(
+            [
+                Position(
+                    underlying_instrument=i1.id,
+                    date=order_proposal.trade_date,
+                    weighting=Decimal("0.5"),
+                    price=float(p1.net_value),
+                ),
+                Position(
+                    underlying_instrument=cash.id,
+                    date=order_proposal.trade_date,
+                    weighting=Decimal("0.5"),
+                    price=1.0,
+                ),
+            ]
+        )
+        order_proposal.reset_orders(target_portfolio=target_portfolio_with_cash)
+
+        # Assert existing trade weights are correctly updated
+        assert order_proposal.orders.get(underlying_instrument=i1).weighting == Decimal("-0.2")
+        assert order_proposal.orders.get(underlying_instrument=i2).weighting == Decimal("-0.3")
+        assert order_proposal.orders.get(underlying_instrument=cash).weighting == Decimal("0.5")
+
     def test_reset_orders_remove_invalid_orders(self, order_proposal, order_factory, instrument_price_factory):
         # create a invalid trade and its price
         invalid_trade = order_factory.create(order_proposal=order_proposal, weighting=Decimal(0))
@@ -423,13 +450,20 @@ 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()
         assert target_cash_position.weighting == Decimal("0.3")
         assert target_cash_position.initial_shares == Decimal(1_000_000) * Decimal("0.3")

{wbportfolio-1.54.16 → wbportfolio-1.54.17}/wbportfolio/viewsets/orders/orders.py

@@ -198,22 +198,26 @@ class OrderOrderProposalModelViewSet(
             return Order.objects.none()
 
     def get_queryset(self):
-        return self.orders.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"),
+        return (
+            self.orders.exclude(underlying_instrument__is_cash=True)
+            .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"),
                 ),
-                default=F("underlying_instrument__instrument_type__short_name"),
-            ),
-            effective_total_value_fx_portfolio=F("effective_weight") * Value(self.portfolio_total_asset_value),
-            target_total_value_fx_portfolio=F("target_weight") * Value(self.portfolio_total_asset_value),
-            portfolio_currency=F("portfolio__currency__symbol"),
-            security=F("underlying_instrument__parent"),
-            company=F("underlying_instrument__parent__parent"),
-        ).select_related(
-            "underlying_instrument", "underlying_instrument__parent", "underlying_instrument__parent__parent"
+                effective_total_value_fx_portfolio=F("effective_weight") * Value(self.portfolio_total_asset_value),
+                target_total_value_fx_portfolio=F("target_weight") * Value(self.portfolio_total_asset_value),
+                portfolio_currency=F("portfolio__currency__symbol"),
+                security=F("underlying_instrument__parent"),
+                company=F("underlying_instrument__parent__parent"),
+            )
+            .select_related(
+                "underlying_instrument", "underlying_instrument__parent", "underlying_instrument__parent__parent"
+            )
         )