wbportfolio 1.54.9__tar.gz → 1.54.10__tar.gz

{wbportfolio-1.54.9 → wbportfolio-1.54.10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.54.9
+Version: 1.54.10
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.54.9 → wbportfolio-1.54.10}/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

{wbportfolio-1.54.9 → wbportfolio-1.54.10}/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],
@@ -105,6 +107,7 @@ def get_returns(
 
     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
@@ -400,7 +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()
@@ -822,7 +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-1.54.9 → wbportfolio-1.54.10}/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-1.54.9 → wbportfolio-1.54.10}/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-1.54.9 → wbportfolio-1.54.10}/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(