wbportfolio 1.54.7__tar.gz → 1.54.9__tar.gz

{wbportfolio-1.54.7 → wbportfolio-1.54.9}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.7
+Version: 1.54.9
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.7 → wbportfolio-1.54.9}/wbportfolio/import_export/handlers/trade.py

@@ -158,9 +158,13 @@ class TradeImportHandler(ImportExportHandler):
         self.import_source.log += "\nNo trade was successfully matched."
 
     def _get_history(self, history: Dict[str, Any]) -> models.QuerySet:
+        from wbportfolio.models.transactions.trade_proposals import TradeProposal
+
         if trade_proposal_id := history.get("trade_proposal_id"):
             # if a trade proposal is provided, we delete the existing history first as otherwise, it would mess with the target weight computation
-            self.model.objects.filter(trade_proposal_id=trade_proposal_id).delete()
+            trade_proposal = TradeProposal.objects.get(id=trade_proposal_id)
+            trade_proposal.trades.all().delete()
+            trade_proposal.reset_trades()
             trades = self.model.objects.none()
         else:
             trades = self.model.objects.filter(

{wbportfolio-1.54.7 → wbportfolio-1.54.9}/wbportfolio/models/portfolio.py

@@ -94,22 +94,19 @@ def get_returns(
     df = pd.DataFrame(Instrument.objects.filter(id__in=instrument_ids).dl.market_data(**kwargs))
     if df.empty:
         raise InvalidAnalyticPortfolio()
-    fx_rate_df = df[["instrument_id", "fx_rate", "valuation_date"]].pivot(
-        index="valuation_date", columns="instrument_id", values="fx_rate"
+    df = df[["instrument_id", "fx_rate", "close", "valuation_date"]].pivot(
+        index="valuation_date", columns="instrument_id", values=["fx_rate", "close"]
     )
-
-    prices_df = df[["instrument_id", "close", "valuation_date"]].pivot(
-        index="valuation_date", columns="instrument_id", values="close"
-    )
-    price_fx_portfolio_df = fx_rate_df * prices_df
-
-    ts = pd.bdate_range(price_fx_portfolio_df.index.min(), price_fx_portfolio_df.index.max(), freq="B")
-    price_fx_portfolio_df = price_fx_portfolio_df.reindex(ts)
+    ts = pd.bdate_range(df.index.min(), df.index.max(), freq="B")
+    df = df.reindex(ts)
     if ffill_returns:
-        price_fx_portfolio_df = price_fx_portfolio_df.ffill()
-    price_fx_portfolio_df.index = pd.to_datetime(price_fx_portfolio_df.index)
-    returns = prices_to_returns(price_fx_portfolio_df, drop_inceptions_nan=False, fill_nan=ffill_returns)
-    return {dt: row for dt, row in prices_df.replace(np.nan, None).to_dict("index").items()}, returns.replace(
+        df = df.ffill()
+    df.index = pd.to_datetime(df.index)
+
+    prices_df = df["close"]
+    fx_rate_df = df["fx_rate"]
+    returns = prices_to_returns(fx_rate_df * prices_df, drop_inceptions_nan=False, fill_nan=ffill_returns)
+    return {ts.date(): row for ts, row in prices_df.replace(np.nan, None).to_dict("index").items()}, returns.replace(
         [np.inf, -np.inf, np.nan], 0
     )
 
@@ -1095,6 +1092,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
                     )
             if broadcast_changes_at_date:
                 for update_date, changed_weights in positions.get_weights().items():
+                    kwargs.pop("changed_weights", None)
                     self.change_at_date(update_date, changed_weights=changed_weights, **kwargs)
 
     @classmethod

{wbportfolio-1.54.7 → wbportfolio-1.54.9}/wbportfolio/tests/models/test_portfolios.py

@@ -1134,31 +1134,40 @@ class TestPortfolioModel(PortfolioTestMixin):
         assert res == [index_portfolio, dependency_portfolio, dependant_portfolio, undependant_portfolio]
 
     def test_get_returns(self, instrument_factory, instrument_price_factory, asset_position_factory, portfolio):
-        v1 = date(2025, 1, 1)
-        v2 = date(2025, 1, 2)
-        v3 = date(2025, 1, 3)
+        v1 = date(2024, 12, 31)
+        v2 = date(2025, 1, 1)
+        v3 = date(2025, 1, 2)
+        v4 = date(2025, 1, 3)
 
         i1 = instrument_factory.create()
         i2 = instrument_factory.create()
 
         i11 = instrument_price_factory.create(date=v1, instrument=i1)
         i12 = instrument_price_factory.create(date=v2, instrument=i1)
-        i13 = instrument_price_factory.create(date=v3, instrument=i1)
-        asset_position_factory.create(date=v1, portfolio=portfolio, underlying_instrument=i1)
-        asset_position_factory.create(date=v3, portfolio=portfolio, underlying_instrument=i2)
+        i14 = instrument_price_factory.create(date=v4, instrument=i1)
+        i21 = instrument_price_factory.create(date=v1, instrument=i2)
         i11.refresh_from_db()
         i12.refresh_from_db()
-        i13.refresh_from_db()
-        _, returns = get_returns([i1.id, i2.id], from_date=v1, to_date=v3)
+        i14.refresh_from_db()
+        prices, returns = get_returns([i1.id, i2.id], from_date=v1, to_date=v4)
 
         expected_returns = pd.DataFrame(
-            [[i12.net_value / i11.net_value - 1, 0.0], [i13.net_value / i12.net_value - 1, 0.0]],
-            index=[v2, v3],
+            [[i12.net_value / i11.net_value - 1, 0.0], [0.0, 0.0], [i14.net_value / i12.net_value - 1, 0.0]],
+            index=[v2, v3, v4],
             columns=[i1.id, i2.id],
             dtype="float64",
         )
         expected_returns.index = pd.to_datetime(expected_returns.index)
         pd.testing.assert_frame_equal(returns, expected_returns, check_names=False, check_freq=False, atol=1e-6)
+        assert prices[v1][i1.id] == float(i11.net_value)
+        assert prices[v2][i1.id] == float(i12.net_value)
+        assert prices[v3][i1.id] == float(i12.net_value)
+        assert prices[v4][i1.id] == float(i14.net_value)
+        # test that the returned price are ffill
+        assert prices[v1][i2.id] == float(i21.net_value)
+        assert prices[v2][i2.id] == float(i21.net_value)
+        assert prices[v3][i2.id] == float(i21.net_value)
+        assert prices[v4][i2.id] == float(i21.net_value)
 
     @patch.object(Portfolio, "compute_lookthrough", autospec=True)
     def test_handle_controlling_portfolio_change_at_date(self, mock_compute_lookthrough, weekday, portfolio_factory):