wbportfolio 1.54.8__py2.py3-none-any.whl → 1.54.10__py2.py3-none-any.whl

wbportfolio/import_export/handlers/trade.py

@@ -88,6 +88,8 @@ class TradeImportHandler(ImportExportHandler):
                     1 / (math.pow(10, 4))
                 )  # we need that convertion mechanism otherwise there is floating point approximation error while casting to decimal and get_instance does not work as expected
                 data[field.name] = Decimal(value).quantize(Decimal(str(q)))
+        if (target_weight := data.pop("target_weight", None)) is not None:
+            data["_target_weight"] = target_weight
 
     def _create_instance(self, data: Dict[str, Any], **kwargs) -> models.Model:
         if "transaction_date" not in data:  # we might get only book date and not transaction date
@@ -158,9 +160,13 @@ 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/models/portfolio.py

@@ -54,6 +54,8 @@ logger = logging.getLogger("pms")
 if TYPE_CHECKING:
     from wbportfolio.models.transactions.trade_proposals import TradeProposal
 
+MARKET_HOLIDAY_MAX_DURATION = 15
+
 
 def get_returns(
     instrument_ids: list[int],
@@ -94,22 +96,20 @@ 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"]
     )
+    ts = pd.bdate_range(df.index.min(), df.index.max(), freq="B")
+    df = df.reindex(ts)
+    if ffill_returns:
+        df = df.ffill()
+    df.index = pd.to_datetime(df.index)
 
-    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
+    prices_df = df["close"]
+    fx_rate_df = df["fx_rate"]
 
-    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)
-    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(
+    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
     )
 
@@ -403,7 +403,11 @@ class Portfolio(DeleteToDisableMixin, WBModel):
             weights = self.get_weights(val_date)
         return_date = (val_date + BDay(1)).date()
         _, returns = get_returns(
-            list(weights.keys()), (val_date - BDay(2)).date(), return_date, to_currency=self.currency, **kwargs
+            list(weights.keys()),
+            (val_date - BDay(MARKET_HOLIDAY_MAX_DURATION)).date(),
+            return_date,
+            to_currency=self.currency,
+            **kwargs,
         )
         if pd.Timestamp(return_date) not in returns.index:
             raise InvalidAnalyticPortfolio()
@@ -825,7 +829,7 @@ class Portfolio(DeleteToDisableMixin, WBModel):
 
         prices, returns = get_returns(
             instrument_ids,
-            (start_date - BDay(3)).date(),
+            (start_date - BDay(MARKET_HOLIDAY_MAX_DURATION)).date(),
             end_date,
             to_currency=self.currency,
             ffill_returns=True,

wbportfolio/models/transactions/trade_proposals.py

@@ -397,7 +397,7 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
             if approve_automatically and self.portfolio.can_be_rebalanced:
                 self.approve(replay=False, broadcast_changes_at_date=broadcast_changes_at_date)
 
-    def replay(self, force_reset_trade: bool = False, broadcast_changes_at_date: bool = True):
+    def replay(self, broadcast_changes_at_date: bool = True):
         last_trade_proposal = self
         last_trade_proposal_created = False
         while last_trade_proposal and last_trade_proposal.status == TradeProposal.Status.APPROVED:
@@ -405,7 +405,7 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
                 logger.info(f"Replaying trade proposal {last_trade_proposal}")
                 last_trade_proposal.approve_workflow(
                     silent_exception=True,
-                    force_reset_trade=force_reset_trade,
+                    force_reset_trade=True,
                     broadcast_changes_at_date=broadcast_changes_at_date,
                 )
                 last_trade_proposal.save()
@@ -803,9 +803,8 @@ class TradeProposal(CloneMixin, RiskCheckMixin, WBModel):
         )  # we delete the existing portfolio as it has been reverted
         for trade in self.trades.all():
             trade.status = Trade.Status.DRAFT
-            trade.drift_factor = Decimal("1")
             trades.append(trade)
-        Trade.objects.bulk_update(trades, ["status", "drift_factor"])
+        Trade.objects.bulk_update(trades, ["status"])
 
     def can_revert(self):
         errors = dict()

wbportfolio/models/transactions/trades.py

@@ -439,7 +439,7 @@ class Trade(TransactionMixin, ImportMixin, OrderedModel, models.Model):
                 method=RequestType.PATCH,
                 identifiers=("wbportfolio:trade",),
                 icon=WBIcon.UNDO.icon,
-                key="reverte",
+                key="revert",
                 label="Revert",
                 action_label="revert",
                 # description_fields="<p>Start: {{start}}</p><p>End: {{end}}</p><p>Title: {{title}}</p>",
@@ -518,6 +518,11 @@ class Trade(TransactionMixin, ImportMixin, OrderedModel, models.Model):
             self, "target_weight", round(self._effective_weight + self.weighting, self.TRADE_WEIGHTING_PRECISION)
         )
 
+    @_target_weight.setter
+    def _target_weight(self, target_weight):
+        self.weighting = Decimal(target_weight) - self._effective_weight
+        self._set_type()
+
     @property
     @admin.display(description="Target Shares")
     def _target_shares(self) -> Decimal:
@@ -558,12 +563,6 @@ class Trade(TransactionMixin, ImportMixin, OrderedModel, models.Model):
         ]
         # notification_email_template = "portfolio/email/trade_notification.html"
 
-    def __init__(self, *args, target_weight: Decimal | None = None, **kwargs):
-        super().__init__(*args, **kwargs)
-        if target_weight is not None:  # if target weight is provided, we guess the corresponding weighting
-            self.weighting = Decimal(target_weight) - self._effective_weight
-            self._set_type()
-
     def save(self, *args, **kwargs):
         if abs(self.weighting) < 10e-6:
             self.weighting = Decimal("0")

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):

wbportfolio/viewsets/transactions/trades.py

@@ -445,14 +445,20 @@ class TradeTradeProposalModelViewSet(
 
             agg = {
                 "effective_weight": {
-                    "Cash": format_number(cash_sum_effective_weight, decimal=6),
-                    "Non-Cash": format_number(noncash_sum_effective_weight, decimal=6),
-                    "Total": format_number(noncash_sum_effective_weight + cash_sum_effective_weight, decimal=6),
+                    "Cash": format_number(cash_sum_effective_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
+                    "Non-Cash": format_number(noncash_sum_effective_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
+                    "Total": format_number(
+                        noncash_sum_effective_weight + cash_sum_effective_weight,
+                        decimal=Trade.TRADE_WEIGHTING_PRECISION,
+                    ),
                 },
                 "target_weight": {
-                    "Cash": format_number(cash_sum_target_cash_weight, decimal=6),
-                    "Non-Cash": format_number(noncash_sum_target_weight, decimal=6),
-                    "Total": format_number(cash_sum_target_cash_weight + noncash_sum_target_weight, decimal=6),
+                    "Cash": format_number(cash_sum_target_cash_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
+                    "Non-Cash": format_number(noncash_sum_target_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
+                    "Total": format_number(
+                        cash_sum_target_cash_weight + noncash_sum_target_weight,
+                        decimal=Trade.TRADE_WEIGHTING_PRECISION,
+                    ),
                 },
                 "effective_total_value_fx_portfolio": {
                     "Cash": format_number(cash_sum_effective_total_value_fx_portfolio, decimal=6),
@@ -471,9 +477,12 @@ class TradeTradeProposalModelViewSet(
                     ),
                 },
                 "weighting": {
-                    "Cash Flow": format_number(cash_sum_target_cash_weight - cash_sum_effective_weight, decimal=6),
-                    "Buy": format_number(sum_buy_weight, decimal=6),
-                    "Sell": format_number(sum_sell_weight, decimal=6),
+                    "Cash Flow": format_number(
+                        cash_sum_target_cash_weight - cash_sum_effective_weight,
+                        decimal=Trade.TRADE_WEIGHTING_PRECISION,
+                    ),
+                    "Buy": format_number(sum_buy_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
+                    "Sell": format_number(sum_sell_weight, decimal=Trade.TRADE_WEIGHTING_PRECISION),
                 },
                 "total_value_fx_portfolio": {
                     "Cash Flow": format_number(

{wbportfolio-1.54.8.dist-info → wbportfolio-1.54.10.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.8
+Version: 1.54.10
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.8.dist-info → wbportfolio-1.54.10.dist-info}/RECORD

@@ -113,7 +113,7 @@ wbportfolio/import_export/handlers/dividend.py,sha256=F0oLfNt2B_QQAjHBCRpxa5HSkf
 wbportfolio/import_export/handlers/fees.py,sha256=BOFHAvSTlvVLaxnm6KD_fcza1TlPc02HOR9J0_jjswI,2495
 wbportfolio/import_export/handlers/portfolio_cash_flow.py,sha256=W7QPNqEvvsq0RS016EAFBp1ezvc6G9Rk-hviRZh8o6Y,2737
 wbportfolio/import_export/handlers/register.py,sha256=sYyXkE8b1DPZ5monxylZn0kjxLVdNYYZR-p61dwEoDM,2271
-wbportfolio/import_export/handlers/trade.py,sha256=t-iezNZN6s834EsszGh_5sHnFGgLb3MZpcHrF2pWMG8,12533
+wbportfolio/import_export/handlers/trade.py,sha256=_-P1ImDX6jfObm1WKiLtzz7RXEnXjtARAw7cxoHReCM,12826
 wbportfolio/import_export/parsers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/import_export/parsers/default_mapping.py,sha256=KrO-X5CvQCeQoBYzFDxavoQGriyUSeI2QDx5ar_zo7A,1405
 wbportfolio/import_export/parsers/jpmorgan/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
@@ -257,7 +257,7 @@ wbportfolio/models/asset.py,sha256=b0vPt4LwNrxcMiK7UmBKViYnbNNlZzPTagvU5vFuyrc,4
 wbportfolio/models/custodians.py,sha256=owTiS2Vm5CRKzh9M_P9GOVg-s-ndQ9UvRmw3yZP7cw0,3815
 wbportfolio/models/exceptions.py,sha256=3ix0tWUO-O6jpz8f07XIwycw2x3JFRoWzjwil8FVA2Q,52
 wbportfolio/models/indexes.py,sha256=gvW4K9U9Bj8BmVCqFYdWiXvDWhjHINRON8XhNsZUiQY,639
-wbportfolio/models/portfolio.py,sha256=RjT836r83838kYvjYr-D8PYE0FX6tshMSJTKNg27REQ,58136
+wbportfolio/models/portfolio.py,sha256=2m35YgEsF1gkt_JN5O4UlOtNLAqSfKi8JUp0G-1HPmQ,57997
 wbportfolio/models/portfolio_cash_flow.py,sha256=uElG7IJUBY8qvtrXftOoskX6EA-dKgEG1JJdvHeWV7g,7336
 wbportfolio/models/portfolio_cash_targets.py,sha256=WmgG-etPisZsh2yaFQpz7EkpvAudKBEzqPsO715w52U,1498
 wbportfolio/models/portfolio_relationship.py,sha256=ZGECiPZiLdlk4uSamOrEfuzO0hduK6OMKJLUSnh5_kc,5190
@@ -284,8 +284,8 @@ wbportfolio/models/transactions/claim.py,sha256=SF2FlwG6SRVmA_hT0NbXah5-fYejccWK
 wbportfolio/models/transactions/dividends.py,sha256=mmOdGWR35yndUMoCuG24Y6BdtxDhSk2gMQ-8LVguqzg,1890
 wbportfolio/models/transactions/fees.py,sha256=wJtlzbBCAq1UHvv0wqWTE2BEjCF5RMtoaSDS3kODFRo,7112
 wbportfolio/models/transactions/rebalancing.py,sha256=rwePcmTZOYgfSWnBQcBrZ3DQHRJ3w17hdO_hgrRbbhI,7696
-wbportfolio/models/transactions/trade_proposals.py,sha256=2EGi03APBC9QWU99LVRA1e-_-o8AUtEW332Iuxvb-_E,38214
-wbportfolio/models/transactions/trades.py,sha256=vTCoSBAmd6FPFyDRm5fqTqbxwzcH3ApWn0Dz2tkCCR8,34132
+wbportfolio/models/transactions/trade_proposals.py,sha256=UYhV2pjQE4V-k0tVTBeZgPPK0C-tBeY345iroDzulfg,38106
+wbportfolio/models/transactions/trades.py,sha256=oAUWCPPdBcMf5bcYI6BwvnrFKK588ZLRHPyPr65h-0U,33966
 wbportfolio/models/transactions/transactions.py,sha256=XTcUeMUfkf5XTSZaR2UAyGqCVkOhQYk03_vzHLIgf8Q,3807
 wbportfolio/pms/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 wbportfolio/pms/typing.py,sha256=BV4dzazNHdfpfLV99bLVyYGcETmbQSnFV6ipc4fNKfg,8470
@@ -380,7 +380,7 @@ wbportfolio/tests/models/test_merge.py,sha256=sdsjiZsmR6vsUKwTa5kkvL6QTeAZqtd_EP
 wbportfolio/tests/models/test_portfolio_cash_flow.py,sha256=X8dsXexsb1b0lBiuGzu40ps_Az_1UmmKT0eo1vbXH94,5792
 wbportfolio/tests/models/test_portfolio_cash_targets.py,sha256=q8QWAwt-kKRkLC0E05GyRhF_TTQXIi8bdHjXVU0fCV0,965
 wbportfolio/tests/models/test_portfolio_swing_pricings.py,sha256=kr2AOcQkyg2pX3ULjU-o9ye-NVpjMrrfoe-DVbYCbjs,1656
-wbportfolio/tests/models/test_portfolios.py,sha256=oSlB1KdSHdR5lXm6G7wpjMjRgM79OrHM2FY_PHhna58,53570
+wbportfolio/tests/models/test_portfolios.py,sha256=sWbt9NE8Cludu7hUhxxnIJwOSQ_U_yC6UPFPkbpV8Qk,54010
 wbportfolio/tests/models/test_product_groups.py,sha256=AcdxhurV-n_bBuUsfD1GqVtwLFcs7VI2CRrwzsIUWbU,3337
 wbportfolio/tests/models/test_products.py,sha256=IcBzw9hrGiWFMRwPBTMukCMWrhqnjOVA2hhb90xYOW8,9580
 wbportfolio/tests/models/test_roles.py,sha256=4Cn7WyrA2ztJNeWLk5cy9kYo5XLWMbFSvo1O-9JYxeA,3323
@@ -521,8 +521,8 @@ wbportfolio/viewsets/transactions/fees.py,sha256=WT2bWWfgozz4_rpyTKX7dgBBTXD-gu0
 wbportfolio/viewsets/transactions/mixins.py,sha256=WipvJoi5hylkpD0y9VATe30WAcwIHUIroVkK10FYw7k,636
 wbportfolio/viewsets/transactions/rebalancing.py,sha256=6rIrdK0rtKL1afJ-tYfAGdQVTN2MH1kG_yCeVkmyK8k,1263
 wbportfolio/viewsets/transactions/trade_proposals.py,sha256=kQCojTNKBEyn2NcenL3a9auzBH4sIgLEx8rLAYCGLGg,6161
-wbportfolio/viewsets/transactions/trades.py,sha256=GHOw5jtcqoaHiRrxxxL29c9405QiPisEn4coGELKDrE,22146
-wbportfolio-1.54.8.dist-info/METADATA,sha256=WUtizk46d6wCImXgIUUy40yTpRz9S53Jtb9clFVtaP4,702
-wbportfolio-1.54.8.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
-wbportfolio-1.54.8.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
-wbportfolio-1.54.8.dist-info/RECORD,,
+wbportfolio/viewsets/transactions/trades.py,sha256=Y8v2cM0vpspHysaAvu8qqhzt86dNtb2Q3puo4HCJsTI,22629
+wbportfolio-1.54.10.dist-info/METADATA,sha256=uKqFJps-zs7857cq_8X_JmogU7gB5LG3RaZORctTI-k,703
+wbportfolio-1.54.10.dist-info/WHEEL,sha256=tkmg4JIqwd9H8mL30xA7crRmoStyCtGp0VWshokd1Jc,105
+wbportfolio-1.54.10.dist-info/licenses/LICENSE,sha256=jvfVH0SY8_YMHlsJHKe_OajiscQDz4lpTlqT6x24sVw,172
+wbportfolio-1.54.10.dist-info/RECORD,,