wbportfolio 1.54.21__tar.gz → 1.54.22__tar.gz

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.21
+Version: 1.54.22
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

wbportfolio-1.54.22/wbportfolio/constants.py

@@ -0,0 +1 @@
+EQUITY_TYPE_KEYS = ["american_depository_receipt", "equity"]  # TODO might want to move this into a dynamic preference

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/wbportfolio/import_export/parsers/vontobel/valuation_api.py

@@ -10,7 +10,10 @@ def parse(import_source):
     with suppress(KeyError):
         series_data = json.loads(import_source.file.read())["payload"]["series"]
         for series in series_data:
-            isin = series["item"]["priceIdentifier"]
+            try:
+                isin = series["key"]["priceIdentifier"]
+            except KeyError:
+                isin = series["priceIdentifier"]
             if Product.objects.filter(isin=isin).exists():  # ensure the timeseries contain data for products we handle
                 for point in series["points"]:
                     data.append(

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/wbportfolio/models/builder.py

@@ -130,9 +130,9 @@ class AssetPositionBuilder:
     def set_prices(self, prices: dict[date, dict[int, float]] | None = None):
         self.prices = prices
 
-    def load_returns(self, instrument_ids: list[int], from_date: date, to_date: date):
+    def load_returns(self, instrument_ids: list[int], from_date: date, to_date: date, use_dl: bool = True):
         self.prices, self.returns = Instrument.objects.filter(id__in=instrument_ids).get_returns_df(
-            from_date=from_date, to_date=to_date, to_currency=self.portfolio.currency, use_dl=True
+            from_date=from_date, to_date=to_date, to_currency=self.portfolio.currency, use_dl=use_dl
         )
 
     def add(
@@ -221,9 +221,11 @@ class AssetPositionBuilder:
 
             for val_date in self.get_dates():
                 if self.portfolio.is_tracked:
-                    with suppress(KeyError):
+                    try:
                         changed_portfolio = self._get_portfolio(val_date)
-                        self._change_at_date_tasks[val_date] = changed_portfolio
+                    except KeyError:
+                        changed_portfolio = None
+                    self._change_at_date_tasks[val_date] = changed_portfolio
                     self._compute_metrics_tasks.add(val_date)
         self._positions = defaultdict(dict)
 
@@ -237,7 +239,7 @@ class AssetPositionBuilder:
                     for d in self._compute_metrics_tasks
                 ]
             ).apply_async()
-            self._change_at_date_tasks = set()
+            self._change_at_date_tasks = dict()
 
     def schedule_change_at_dates(self, synchronous: bool = True, **task_kwargs):
         from wbportfolio.models.portfolio import trigger_portfolio_change_as_task

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/wbportfolio/models/portfolio.py

@@ -38,6 +38,7 @@ from wbportfolio.pms.analytics.portfolio import Portfolio as AnalyticPortfolio
 from wbportfolio.pms.typing import Portfolio as PortfolioDTO
 from wbportfolio.pms.typing import Position as PositionDTO
 
+from ..constants import EQUITY_TYPE_KEYS
 from . import ProductGroup
 
 logger = logging.getLogger("pms")
@@ -337,8 +338,12 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             weights = self.get_weights(val_date)
         return_date = (val_date + BDay(1)).date()
         returns = self.builder.returns
-        if pd.Timestamp(return_date) not in returns.index or not set(weights.keys()).issubset(set(returns.columns)):
-            returns = self.load_builder_returns(val_date, return_date)
+        if (
+            return_date <= date.today()
+            and pd.Timestamp(return_date) not in returns.index
+            or not set(weights.keys()).issubset(set(returns.columns))
+        ):
+            returns = self.load_builder_returns(val_date, return_date, use_dl=use_dl)
         if pd.Timestamp(return_date) not in returns.index:
             raise ValueError()
         returns = returns.loc[:return_date, :]
@@ -507,7 +512,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             val_date=val_date,
             exclude_cash=True,
             exclude_index=True,
-            extra_filter_parameters={"underlying_instrument__instrument_type": InstrumentType.EQUITY},
+            extra_filter_parameters={"underlying_instrument__instrument_type__key__in": EQUITY_TYPE_KEYS},
             **kwargs,
         )
         if not df.empty:
@@ -520,7 +525,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             val_date=val_date,
             exclude_cash=True,
             exclude_index=True,
-            extra_filter_parameters={"underlying_instrument__instrument_type": InstrumentType.EQUITY},
+            extra_filter_parameters={"underlying_instrument__instrument_type__key__in": EQUITY_TYPE_KEYS},
             **kwargs,
         )
         if not df.empty:
@@ -592,7 +597,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
     ) -> pd.DataFrame:
         qs = self._get_assets(with_cash=with_cash).filter(date__gte=start, date__lte=end)
         if only_equity:
-            qs = qs.filter(underlying_instrument__instrument_type=InstrumentType.EQUITY)
+            qs = qs.filter(underlying_instrument__instrument_type__key__in=EQUITY_TYPE_KEYS)
         qs = qs.annotate_hedged_currency_fx_rate(hedged_currency)
         df = Portfolio.get_contribution_df(
             qs.select_related("underlying_instrument").values_list(
@@ -725,7 +730,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
         effective_portfolio_date = (val_date - BDay(1)).date()
         with suppress(ValueError):
             if not analytic_portfolio:
-                analytic_portfolio = self.get_analytic_portfolio(effective_portfolio_date)
+                analytic_portfolio = self.get_analytic_portfolio(effective_portfolio_date, use_dl=False)
             for instrument in self.pms_instruments:
                 # we assume that in t-1 we will have a portfolio (with at least estimate position). If we use the latest position date before val_date, we run into the problem of being able to compute nav at every date
                 last_price = instrument.get_latest_price(effective_portfolio_date)
@@ -839,11 +844,13 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             self.builder.schedule_change_at_dates(evaluate_rebalancer=False)
             self.builder.schedule_metric_computation()
 
-    def load_builder_returns(self, from_date: date, to_date: date) -> pd.DataFrame:
+    def load_builder_returns(self, from_date: date, to_date: date, use_dl: bool = True) -> pd.DataFrame:
         instruments_ids = list(self.get_weights(from_date).keys())
         for tp in self.order_proposals.filter(trade_date__gte=from_date, trade_date__lte=to_date, status="APPROVED"):
             instruments_ids.extend(tp.orders.values_list("underlying_instrument", flat=True))
-        self.builder.load_returns(set(instruments_ids), (from_date - BDay(1)).date(), (to_date + BDay(1)).date())
+        self.builder.load_returns(
+            set(instruments_ids), (from_date - BDay(1)).date(), (to_date + BDay(1)).date(), use_dl=use_dl
+        )
         return self.builder.returns
 
     def get_lookthrough_positions(

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/wbportfolio/viewsets/charts/assets.py

@@ -15,7 +15,6 @@ from wbfdm.models import (
     ClassificationGroup,
     Instrument,
     InstrumentClassificationThroughModel,
-    InstrumentType,
 )
 
 from wbportfolio.filters.assets import DistributionFilter
@@ -26,6 +25,7 @@ from wbportfolio.models import (
     PortfolioRole,
 )
 
+from ...constants import EQUITY_TYPE_KEYS
 from ..configs.buttons.assets import (
     DistributionChartButtonConfig,
     DistributionTableButtonConfig,
@@ -70,7 +70,7 @@ class AbstractDistributionMixin:
 
     def _generate_classification_df(self, queryset):
         df = pd.DataFrame(
-            queryset.filter(underlying_instrument__instrument_type=InstrumentType.EQUITY).values(
+            queryset.filter(underlying_instrument__instrument_type__key__in=EQUITY_TYPE_KEYS).values(
                 "weighting", "underlying_instrument"
             ),
             columns=["weighting", "underlying_instrument"],

{wbportfolio-1.54.21 → wbportfolio-1.54.22}/wbportfolio/viewsets/positions.py

@@ -10,7 +10,7 @@ from wbcore.pandas import fields as pf
 from wbcore.permissions.permissions import InternalUserPermissionMixin
 from wbcore.serializers import decorator
 from wbcore.utils.strings import format_number
-from wbfdm.models import Classification, ClassificationGroup, Instrument, InstrumentType
+from wbfdm.models import Classification, ClassificationGroup, Instrument
 
 from wbportfolio.filters import (
     AggregatedAssetPositionLiquidityFilter,
@@ -19,6 +19,7 @@ from wbportfolio.filters import (
 from wbportfolio.filters.positions import GroupbyChoice
 from wbportfolio.models import AssetPosition, Portfolio
 
+from ..constants import EQUITY_TYPE_KEYS
 from .configs import (
     AggregatedAssetPositionLiquidityDisplayConfig,
     AggregatedAssetPositionLiquidityEndpointConfig,
@@ -212,7 +213,7 @@ class AggregatedAssetPositionLiquidityPandasView(InternalUserPermissionMixin, Ex
 
         # Take the liquidity query for the two dates.
         qs_assets = queryset.filter(
-            underlying_instrument__instrument_type=InstrumentType.EQUITY,
+            underlying_instrument__instrument_type__key__in=EQUITY_TYPE_KEYS,
             date__in=[historic_date, compared_date],
         ).values(
             "date",