wbportfolio 1.56.1__tar.gz → 1.56.3__tar.gz

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: wbportfolio
-Version: 1.56.1
+Version: 1.56.3
 Author-email: Christopher Wittlinger <c.wittlinger@stainly.com>
 License-File: LICENSE
 Requires-Dist: cryptography==3.4.*

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/admin/orders/order_proposals.py

@@ -12,3 +12,5 @@ class OrderProposalAdmin(admin.ModelAdmin):
     list_display = ("portfolio", "rebalancing_model", "trade_date", "status")
     autocomplete_fields = ["portfolio", "rebalancing_model"]
     inlines = [OrderTabularInline]
+
+    raw_id_fields = ["portfolio", "creator", "approver"]

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/admin/orders/orders.py

@@ -28,3 +28,5 @@ class OrderTabularInline(admin.TabularInline):
         "shares",
         "daily_return",
     ]
+
+    raw_id_fields = ["underlying_instrument"]

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/models/orders/order_proposals.py

@@ -338,7 +338,9 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
     def prepare_orders_for_execution(self) -> list[OrderDTO]:
         executable_orders = []
         for order in (
-            self.get_orders().exclude(underlying_instrument__is_cash=True).select_related("underlying_instrument")
+            self.get_orders()
+            .exclude(models.Q(underlying_instrument__is_cash=True) | (models.Q(weighting=0) & models.Q(shares=0)))
+            .select_related("underlying_instrument")
         ):
             instrument = order.underlying_instrument
             # we support only the instrument type provided by the Order DTO class
@@ -459,7 +461,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
             positions.append(
                 PositionDTO(
                     underlying_instrument=instrument.id,
-                    instrument_type=instrument.instrument_type.id,
+                    instrument_type=instrument.security_instrument_type.id,
                     weighting=weighting,
                     daily_return=daily_return if use_effective else Decimal("0"),
                     shares=row["shares"],
@@ -898,11 +900,7 @@ class OrderProposal(CloneMixin, RiskCheckMixin, WBModel):
 
         Order.objects.bulk_update(orders, ["shares", "weighting", "desired_target_weight"])
 
-        # If we estimate cash on this order proposal, we make sure to create the corresponding cash component
-        estimated_cash_position = self.get_estimated_target_cash()
-        target_portfolio = self.validated_trading_service.trades_batch.convert_to_portfolio(
-            estimated_cash_position._build_dto()
-        )
+        target_portfolio = self.convert_to_portfolio()
         self.evaluate_active_rules(self.trade_date, target_portfolio, asynchronously=True)
         self.total_cash_weight = Decimal("1") - total_target_weight
         return orders_validation_warnings

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/models/orders/routing.py

@@ -28,10 +28,10 @@ def execute_orders(order_proposal: "OrderProposal") -> tuple[ExecutionStatus, st
     orders = order_proposal.prepare_orders_for_execution()
     as_draft = _should_route_as_draft()
     adapter = order_proposal.custodian_adapter
-    order_confirmations, rebalancing_comment = adapter.submit_rebalancing(orders, as_draft=as_draft)
+    confirmed_orders, rebalancing_comment = adapter.submit_rebalancing(orders, as_draft=as_draft)
     leftover_orders = order_proposal.orders.all()
 
-    for confirmed in order_confirmations:
+    for confirmed in confirmed_orders:
         with suppress(ObjectDoesNotExist):
             order = leftover_orders.get(id=confirmed.id)
             order.execution_confirmed = True
@@ -40,7 +40,7 @@ def execute_orders(order_proposal: "OrderProposal") -> tuple[ExecutionStatus, st
             leftover_orders = leftover_orders.exclude(id=order.id)
 
     # Orders without confirmation
-    leftover_orders.update(execution_confirmed=False, execution_comment="No confirmation received from the custodian")
+    leftover_orders.update(execution_confirmed=False, execution_comment="Execution ignored")
     return ExecutionStatus.IN_DRAFT if as_draft else ExecutionStatus.PENDING, rebalancing_comment
 
 

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/order_routing/adapters/ubs.py

@@ -10,7 +10,10 @@ from wbportfolio.pms.typing import Order
 from .. import ExecutionStatus, RoutingException
 from . import BaseCustodianAdapter
 
-ASSET_CLASS_MAP = {Order.AssetType.EQUITY: "EQUITY"}  # API can support BOND, FUTURE, OPTION, and DYNAMIC_STRATEGY
+ASSET_CLASS_MAP = {
+    Order.AssetType.EQUITY: "EQUITY",
+    Order.AssetType.AMERICAN_DEPOSITORY_RECEIPT: "EQUITY",
+}  # API can support BOND, FUTURE, OPTION, and DYNAMIC_STRATEGY
 ASSET_CLASS_MAP_INV = {
     v: k for k, v in ASSET_CLASS_MAP.items()
 }  # API can support BOND, FUTURE, OPTION, and DYNAMIC_STRATEGY

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/pms/typing.py

@@ -101,6 +101,7 @@ class Portfolio:
 class Order:
     class AssetType(enum.Enum):
         EQUITY = "EQUITY"
+        AMERICAN_DEPOSITORY_RECEIPT = "AMERICAN_DEPOSITORY_RECEIPT"
 
     id: int | str
     trade_date: date
@@ -267,28 +268,6 @@ class TradeBatch:
         if round(float(self.total_target_weight), 4) != 1:  # we do that to remove decimal over precision
             raise ValidationError(f"Total Weight cannot be different than 1 ({float(self.total_target_weight)})")
 
-    def convert_to_portfolio(self, use_effective: bool = False, *extra_positions):
-        positions = []
-        for trade in self.trades_map.values():
-            positions.append(
-                Position(
-                    underlying_instrument=trade.underlying_instrument,
-                    instrument_type=trade.instrument_type,
-                    weighting=trade.target_weight if not use_effective else trade.previous_weight,
-                    daily_return=trade.daily_return if use_effective else Decimal("0"),
-                    shares=trade.target_shares,
-                    currency=trade.currency,
-                    date=trade.date,
-                    is_cash=trade.is_cash,
-                    price=trade.price,
-                    currency_fx_rate=trade.currency_fx_rate,
-                )
-            )
-        for position in extra_positions:
-            if position.weighting:
-                positions.append(position)
-        return Portfolio(tuple(positions))
-
     def normalize(self, total_target_weight: Decimal = Decimal("1.0")):
         """
         Normalize the instantiate trades batch so that the target weight is 100%

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/serializers/orders/orders.py

@@ -89,7 +89,7 @@ class OrderOrderProposalListModelSerializer(wb_serializers.ModelSerializer):
         ) is not None and portfolio_value:
             data["target_weight"] = target_total_value_fx_portfolio / portfolio_value
 
-        if data.get("weighting") or data.get("target_weight"):
+        if data.get("weighting") is not None or data.get("target_weight") is not None:
             weighting = data.pop("weighting", None)
             if (target_weight := data.pop("target_weight", None)) is not None:
                 weighting = target_weight - effective_weight
@@ -99,7 +99,7 @@ class OrderOrderProposalListModelSerializer(wb_serializers.ModelSerializer):
             data.pop("shares", None)
             data.pop("target_shares", None)
 
-        if data.get("shares") or data.get("target_shares"):
+        if data.get("shares") is not None or data.get("target_shares") is not None:
             shares = data.pop("shares", None)
             if (target_shares := data.pop("target_shares", None)) is not None:
                 shares = target_shares - effective_shares

{wbportfolio-1.56.1 → wbportfolio-1.56.3}/wbportfolio/viewsets/orders/order_proposals.py

@@ -96,7 +96,7 @@ class OrderProposalModelViewSet(CloneMixin, RiskCheckViewSetMixin, InternalUserP
                 )
             if (
                 instance.execution_status in [ExecutionStatus.IN_DRAFT, ExecutionStatus.COMPLETED]
-                and instance.orders.filter(execution_confirmed=False).exists()
+                and instance.orders.exclude(shares=0, weighting=0).filter(execution_confirmed=False).exists()
             ):
                 warning(request, "Some orders failed confirmation. Check the list for further details.")
             if instance.execution_status in [