def get_factor_risk_report(self,
risk_model_id: str = None,
fx_hedged: bool = None) -> FactorRiskReport:
if self.positioned_entity_type in [
EntityType.PORTFOLIO, EntityType.ASSET
]:
position_source_type = self.positioned_entity_type.value.capitalize(
)
reports = GsReportApi.get_reports(
limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [
report for report in reports
if report.parameters.fx_hedged == fx_hedged
]
if risk_model_id:
reports = [
report for report in reports
if report.parameters.risk_model == risk_model_id
]
if len(reports) > 1:
raise MqError(
f'This {position_source_type} has more than one factor risk report that matches '
'your parameters. Please specify the risk model ID and fxHedged value in the '
'function parameters.')
if len(reports) == 0:
raise MqError(
f'This {position_source_type} has no factor risk reports that match your parameters.'
)
return FactorRiskReport.from_target(reports[0])
raise NotImplementedError
def poll_report(self, report_id: str, timeout: int = 600, step: int = 30) -> ReportStatus:
poll = True
timeout = 1800 if timeout > 1800 else timeout
step = 15 if step < 15 else step
end = dt.datetime.now() + dt.timedelta(seconds=timeout)
while poll and dt.datetime.now() <= end:
try:
status = Report.get(report_id).status
if status not in {ReportStatus.error, ReportStatus.cancelled, ReportStatus.done}:
_logger.info(f'Report is {status} as of {dt.datetime.now().isoformat()}')
time.sleep(step)
else:
poll = False
if status == ReportStatus.error:
raise MqError(f'Report {report_id} has failed for {self.id}. \
Please reach out to the Marquee team for assistance.')
elif status == ReportStatus.cancelled:
_logger.info(f'Report {report_id} has been cancelled. Please reach out to the \
Marquee team if you believe this is a mistake.')
return status
else:
_logger.info(f'Report {report_id} is now complete')
return status
except Exception as err:
raise MqError(f'Could not fetch report status with error {err}')
raise MqError('The report is taking longer than expected to complete. \
Please check again later or reach out to the Marquee team for assistance.')
def _inner(self, *args, **kwargs):
if has(self, '_Basket__error_messages'
) and self._Basket__error_messages is not None:
if len(self._Basket__error_messages) < 1:
self._Basket__finish_initialization()
for error_msg in error_msgs:
if error_msg in self._Basket__error_messages:
raise MqError(error_msg.value)
return fn(self, *args, **kwargs)
def get_performance_report(self) -> PerformanceReport:
reports = GsReportApi.get_reports(
limit=100,
position_source_type='Portfolio',
position_source_id=self.id,
report_type='Portfolio Performance Analytics')
if len(reports) == 0:
raise MqError('This portfolio has no performance report.')
return PerformanceReport.from_target(reports[0])
def get_thematic_report(self) -> ThematicReport:
if self.positioned_entity_type in [EntityType.PORTFOLIO, EntityType.ASSET]:
position_source_type = self.positioned_entity_type.value.capitalize()
reports = GsReportApi.get_reports(limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Thematic Analytics')
if len(reports) == 0:
raise MqError(f'This {position_source_type} has no thematic analytics report.')
return ThematicReport.from_target(reports[0])
raise NotImplementedError
def get_factor_risk_report(self,
risk_model_id: str = None,
fx_hedged: bool = None) -> FactorRiskReport:
position_source_type = self.positioned_entity_type.value.capitalize()
reports = self.get_factor_risk_reports(fx_hedged=fx_hedged)
if risk_model_id:
reports = [report for report in reports if report.parameters.risk_model == risk_model_id]
if len(reports) > 1:
raise MqError(f'This {position_source_type} has more than one factor risk report that matches '
'your parameters. Please specify the risk model ID and fxHedged value in the '
'function parameters.')
return reports[0]
def get_factor_risk_reports(self, fx_hedged: bool = None) -> List[FactorRiskReport]:
if self.positioned_entity_type in [EntityType.PORTFOLIO, EntityType.ASSET]:
position_source_type = self.positioned_entity_type.value.capitalize()
reports = GsReportApi.get_reports(limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [report for report in reports if report.parameters.fx_hedged == fx_hedged]
if len(reports) == 0:
raise MqError(f'This {position_source_type} has no factor risk reports that match your parameters.')
return [FactorRiskReport.from_target(report) for report in reports]
raise NotImplementedError
def __edit_and_rebalance(self, edit_inputs: CustomBasketsEditInputs,
rebal_inputs: CustomBasketsRebalanceInputs) -> CustomBasketsResponse:
""" If updates require edit and rebalance, rebal will not be scheduled until/if edit report succeeds """
_logger.info('Current update request requires multiple reports. Your rebalance request will be submitted \
once the edit report has completed. Submitting basket edits now...')
response = GsIndexApi.edit(self.id, edit_inputs)
report_id = response.report_id
self.__latest_create_report = GsReportApi.get_report(response.report_id)
report_status = self.poll_report(report_id, timeout=600, step=15)
if report_status != ReportStatus.done:
raise MqError(f'The basket edit report\'s status is {status}. The current rebalance request will \
not be submitted in the meantime.')
_logger.info('Your basket edits have completed successfuly. Submitting rebalance request now...')
response = GsIndexApi.rebalance(self.id, rebal_inputs)
return response
def get_fn(self, asset):
asset_class = asset.asset_class
asset_type = asset.get_type()
fns = self.measure_map.get(asset_class, ())
def canonicalize(word):
pruned = re.sub(r"[^\w]", "", word)
return pruned.casefold()
canonicalized = canonicalize(asset_type.value)
for fn in fns:
if (fn.asset_type is None or canonicalized in map(lambda x: canonicalize(x.value), fn.asset_type)) \
and (fn.asset_type_excluded is None or canonicalized not in
map(lambda x: canonicalize(x.value), fn.asset_type_excluded)):
return fn
raise MqError("No measure {} defined for asset class {} and type {}".format(self.display_name, asset_class,
asset_type))
def __request(
self,
method: str,
path: str,
payload: Optional[Union[dict, str, Base, pd.DataFrame]] = None,
request_headers: Optional[dict] = None,
cls: Optional[type] = None,
try_auth=True,
include_version: bool = True,
timeout: int = DEFAULT_TIMEOUT
) -> Union[Base, tuple, dict]:
is_dataframe = isinstance(payload, pd.DataFrame)
if not is_dataframe:
payload = payload or {}
url = '{}{}{}'.format(self.domain, '/' + self.api_version if include_version else '', path)
kwargs = {
'timeout': timeout
}
if method in ['GET', 'DELETE']:
kwargs['params'] = payload
elif method in ['POST', 'PUT']:
headers = self._session.headers.copy()
if request_headers:
headers.update({**{'Content-Type': 'application/json'}, **request_headers})
else:
headers.update({'Content-Type': 'application/json'})
kwargs['headers'] = headers
if is_dataframe or payload:
kwargs['data'] = payload if isinstance(payload, str) else json.dumps(payload, cls=JSONEncoder)
else:
raise MqError('not implemented')
response = self._session.request(method, url, **kwargs)
if response.status_code == 401:
# Expired token or other authorization issue
if not try_auth:
raise MqRequestError(response.status_code, response.text, context='{} {}'.format(method, url))
self._authenticate()
return self.__request(method, path, payload=payload, cls=cls, try_auth=False)
elif not 199 < response.status_code < 300:
raise MqRequestError(response.status_code, response.text, context='{} {}'.format(method, url))
elif 'application/x-msgpack' in response.headers['content-type']:
res = msgpack.unpackb(response.content, raw=False)
if cls:
if isinstance(res, dict) and 'results' in res:
res['results'] = self.__unpack(res['results'], cls)
else:
res = self.__unpack(res, cls)
return res
elif 'application/json' in response.headers['content-type']:
res = json.loads(response.text)
if cls:
if isinstance(res, dict) and 'results' in res:
res['results'] = self.__unpack(res['results'], cls)
else:
res = self.__unpack(res, cls)
return res
else:
return {'raw': response}
def normalized_performance(report_id: str,
aum_source: str = None,
*,
source: str = None,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Returns the Normalized Performance of a performance report based on AUM source
:param report_id: id of performance report
:param aum_source: source to normalize pnl from, default is the aum source on your portfolio,
if no aum source is set on your portfolio the default is gross
:param source: name of function caller
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: server request id
:return: portfolio normalized performance
**Usage**
Returns the normalized performance of the portfolio based on AUM source.
If :math:`aum_source` is "Custom AUM":
We read AUM from custom AUM uploaded to that portfolio and normalize performance based on that exposure
If :math:`aum_source` is one of: Long, Short, RiskAumSource.Net,
AumSource.Gross, we take these exposures from the calculated exposures based on daily positions
:math:`NP(L/S)_{t} = SUM( PNL(L/S)_{t}/ ( EXP(L/S)_{t} ) - cPNL(L/S)_{t-1) )
if ( EXP(L/S)_{t} ) - cPNL(L/S)_{t-1)) > 0
else:
1/ SUM( PNL(L/S)_{t}/ ( EXP(L/S)_{t} ) - cPNL(L/S)_{t-1) )`
For each leg, short and long, then:
:math:`NP_{t} = NP(L)_{t} * (EXP(L)_{t} / AUM_{t}) + NP(S)_{t} * (EXP(S)_{t} / AUM_{t}) + 1`
This takes into account varying AUM and adjusts for exposure change due to PNL
where :math:`cPNL(L/S)_{t-1}` is your performance reports cumulative long or short PNL at date t-1
where :math:`PNL(L/S)_{t}` is your performance reports long or short pnl at date t
where :math:`AUM_{t}` is portfolio exposure on date t
where :math:`EXP(L/S)_{t}` is the long or short exposure on date t
"""
start_date = DataContext.current.start_time - relativedelta(1)
end_date = DataContext.current.end_time
start_date = start_date.date()
end_date = end_date.date()
performance_report = PerformanceReport.get(report_id)
if not aum_source:
port = GsPortfolioApi.get_portfolio(
performance_report.position_source_id)
aum_source = port.aum_source if port.aum_source else RiskAumSource.Gross
else:
aum_source = RiskAumSource(aum_source)
constituent_data = performance_report.get_portfolio_constituents(
fields=['assetId', 'pnl', 'quantity', 'netExposure'],
start_date=start_date,
end_date=end_date).set_index('date')
aum_col_name = aum_source.value.lower()
aum_col_name = f'{aum_col_name}Exposure' if aum_col_name != 'custom aum' else 'aum'
# Split into long and short and aggregate across dates
long_side = _return_metrics(
constituent_data[constituent_data['quantity'] > 0],
list(constituent_data.index.unique()), "long")
short_side = _return_metrics(
constituent_data[constituent_data['quantity'] < 0],
list(constituent_data.index.unique()), "short")
# Get aum source data
if aum_source == RiskAumSource.Custom_AUM:
custom_aum = pd.DataFrame(
GsPortfolioApi.get_custom_aum(
performance_report.position_source_id, start_date, end_date))
if custom_aum.empty:
raise MqError(
f'No custom AUM for portfolio {performance_report.position_source_id} between dates {start_date},'
f' {end_date}')
data = pd.DataFrame.from_records(custom_aum).set_index(['date'])
else:
data = performance_report.get_many_measures(
[aum_col_name], start_date, end_date).set_index(['date'])
long_side = long_side.join(data[[f'{aum_col_name}']], how='inner')
short_side = short_side.join(data[[f'{aum_col_name}']], how='inner')
long_side['longRetWeighted'] = (long_side['longMetrics'] - 1) * long_side['exposure'] * \
(1 / long_side[f'{aum_col_name}'])
short_side['shortRetWeighted'] = (short_side['shortMetrics'] - 1) * short_side['exposure'] *\
(1 / short_side[f'{aum_col_name}'])
combined = long_side[['longRetWeighted'
]].join(short_side[['shortRetWeighted']],
how='inner')
combined['normalizedPerformance'] = combined['longRetWeighted'] + combined[
'shortRetWeighted'] + 1
return pd.Series(combined['normalizedPerformance'],
name="normalizedPerformance").dropna()
def __request(
self,
method: str,
path: str,
payload: Optional[Union[dict, str, bytes, Base,
pd.DataFrame]] = None,
request_headers: Optional[dict] = None,
cls: Optional[type] = None,
try_auth: Optional[bool] = True,
include_version: Optional[bool] = True,
timeout: Optional[int] = DEFAULT_TIMEOUT,
return_request_id: Optional[bool] = False
) -> Union[Base, tuple, dict]:
is_dataframe = isinstance(payload, pd.DataFrame)
if not is_dataframe:
payload = payload or {}
url = '{}{}{}'.format(
self.domain, '/' + self.api_version if include_version else '',
path)
kwargs = {'timeout': timeout}
if method in ['GET', 'DELETE']:
kwargs['params'] = payload
elif method in ['POST', 'PUT']:
headers = self._session.headers.copy()
if request_headers:
headers.update(request_headers)
if 'Content-Type' not in headers:
headers.update(
{'Content-Type': 'application/json; charset=utf-8'})
use_msgpack = headers.get(
'Content-Type') == 'application/x-msgpack'
kwargs['headers'] = headers
if is_dataframe or payload:
kwargs['data'] = payload if isinstance(payload, (str, bytes)) else \
msgpack.dumps(payload, default=encode_default) if use_msgpack else \
json.dumps(payload, cls=JSONEncoder)
else:
raise MqError('not implemented')
response = self._session.request(method, url, **kwargs)
request_id = response.headers.get('x-dash-requestid')
if response.status_code == 401:
# Expired token or other authorization issue
if not try_auth:
raise MqRequestError(response.status_code,
response.text,
context='{} {}'.format(method, url))
self._authenticate()
return self.__request(method,
path,
payload=payload,
cls=cls,
try_auth=False)
elif not 199 < response.status_code < 300:
raise MqRequestError(
response.status_code,
response.text,
context=f'{response.headers.get("")}: {method} {url}')
elif 'Content-Type' in response.headers:
if 'application/x-msgpack' in response.headers['Content-Type']:
res = msgpack.unpackb(response.content, raw=False)
if cls:
if isinstance(res, dict) and 'results' in res:
res['results'] = self.__unpack(res['results'], cls)
else:
res = self.__unpack(res, cls)
return (res, request_id) if return_request_id else res
elif 'application/json' in response.headers['Content-Type']:
res = json.loads(response.text)
if cls:
if isinstance(res, dict) and 'results' in res:
res['results'] = self.__unpack(res['results'], cls)
else:
res = self.__unpack(res, cls)
return (res, request_id) if return_request_id else res
else:
ret = {'raw': response}
if return_request_id:
ret['request_id'] = request_id
return ret
def normalized_performance(report_id: str,
aum_source: str = None,
*,
source: str = None,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Returns the Normalized Performance of a performance report based on AUM source
:param report_id: id of performance report
:param aum_source: source to normalize pnl from, default is the aum source on your portfolio,
if no aum source is set on your portfolio the default is gross
:param source: name of function caller
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: server request id
:return: portfolio normalized performance
**Usage**
Returns the normalized performance of the portfolio based on AUM source.
If :math:`aum_source` is "Custom AUM":
We read AUM from custom AUM uploaded to that portfolio and normalize performance based on that exposure
If :math:`aum_source` is one of: Long, Short, RiskAumSource.Net,
AumSource.Gross, we take these exposures from the calculated exposures based on daily positions
:math:`NP_{t} = SUM( PNL_{t}/ ( AUM_{t} ) - cPNL_{t-1) ) if ( AUM_{t} ) - cPNL_{t-1) ) > 0 else:
1/ SUM( PNL_{t}/ ( AUM_{t} ) - cPNL_{t-1) )`
This takes into account varying AUM and adjusts for exposure change due to PNL
where :math:`cPNL_{t-1}` is your performance reports cumulative PNL at date t-1
where :math:`PNL_{t}` is your performance reports pnl at date t
where :math:`AUM_{t}` is portfolio exposure on date t
"""
start_date = DataContext.current.start_date
end_date = DataContext.current.end_date
ppa_report = PerformanceReport.get(report_id)
if not aum_source:
port = GsPortfolioApi.get_portfolio(ppa_report.position_source_id)
aum_source = port.aum_source if port.aum_source else RiskAumSource.Net
else:
aum_source = RiskAumSource(aum_source)
aum_col_name = aum_source.value.lower()
aum_col_name = f'{aum_col_name}Exposure' if aum_col_name != 'custom aum' else 'aum'
measures = [aum_col_name, 'pnl'
] if aum_source != RiskAumSource.Custom_AUM else ['pnl']
data = ppa_report.get_many_measures(measures, start_date, end_date)
data.loc[0, 'pnl'] = 0
data['cumulativePnlT-1'] = data['pnl'].cumsum(axis=0)
data = pd.DataFrame.from_records(data).set_index(['date'])
if aum_source == RiskAumSource.Custom_AUM:
custom_aum = pd.DataFrame(
GsPortfolioApi.get_custom_aum(ppa_report.position_source_id,
start_date, end_date))
if custom_aum.empty:
raise MqError(
f'No custom AUM for portfolio {ppa_report.position_source_id} between dates {start_date},'
f' {end_date}')
custom_aum = pd.DataFrame.from_records(custom_aum).set_index(['date'])
data = data.join(custom_aum.loc[:, aum_col_name], how='inner')
if aum_source == RiskAumSource.Short:
data[f'{aum_col_name}'] = -1 * data[f'{aum_col_name}']
data['normalizedExposure'] = data[f'{aum_col_name}'] - data[
'cumulativePnlT-1']
data[
'pnlOverNormalizedExposure'] = data['pnl'] / data['normalizedExposure']
data['normalizedPerformance'] = data['pnlOverNormalizedExposure'].cumsum(
axis=0) + 1
data.loc[data.normalizedExposure < 0,
'normalizedPerformance'] = 1 / data.loc[:,
'normalizedPerformance']
return pd.Series(data['normalizedPerformance'],
name="normalizedPerformance").dropna()
def _inner(self, *args, **kwargs):
if has(self, '_Basket__error_messages'):
for error_msg in error_msgs:
if error_msg in self._Basket__error_messages:
raise MqError(error_msg.value)
return fn(self, *args, **kwargs)