class PortfolioViewFolder(FinPositionBase):
'''A Folder within a portfolio view'''
name = orm.SymbolField()
parent = orm.ForeignKey('self', required=False, related_name='children')
view = orm.ForeignKey(PortfolioView,
required=False,
related_name='folders')
positions = orm.SetField(Position)
def get_tree(self):
tree = [p.alldata() for p in self.children.all()]
[tree.append(p.alldata()) for p in self.positions.all()]
return tree
@property
def reference(self):
if self.view:
return self.view
else:
return self.parent
@property
def user(self):
return self.reference.user
@property
def dt(self):
return self.reference.dt
class Position(orm.StdModel):
instrument = orm.ForeignKey(Instrument, related_name='positions')
fund = orm.ForeignKey(Fund)
dt = orm.DateField()
size = orm.FloatField()
price = orm.FloatField()
def __str__(self):
return '%s: %s @ %s' % (self.fund, self.instrument, self.dt)
class PortfolioView(FinPositionBase):
name = orm.SymbolField()
user = orm.SymbolField(required=False)
portfolio = orm.ForeignKey(Portfolio, related_name='views')
def __str__(self):
return '%s: %s' % (self.portfolio, self.name)
def customAttribute(self, name):
return getattr(self.portfolio, name)
def addfolder(self, name):
'''Add folder for portfolio view. Self must have holder attribute available.'''
return PortfolioViewFolder(name=name, view=self).save()
def get_tree(self):
return [p.alldata() for p in self.folders.all()]
def isdefault(self, user):
defaults = UserViewDefault.objects.filter(user=str(user),
portfolio=self.portfolio)
if defaults:
return defaults[0].view == self
else:
return False
@property
def dt(self):
return self.portfolio.dt
class Post(orm.StdModel):
dt = orm.DateTimeField(index=False)
data = orm.CharField()
user = orm.ForeignKey("User", index=False)
def __init__(self, data='', dt=None):
dt = dt or datetime.now()
super(Post, self).__init__(data=data, dt=dt)
class Portfolio(FinPositionBase):
'''A portfolio containing positions and portfolios'''
team = orm.AtomField(required = False)
parent = orm.ForeignKey('self', required = False, related_name = 'children')
holder = orm.ForeignKey('self', required = False, related_name = 'views')
position = orm.ForeignKey(Position, required = False, related_name = 'views')
def __init__(self, **kwargs):
super(Portfolio,self).__init__(**kwargs)
self.folder = True
def setkey(self):
return '%s:positions' % self.key()
def positions(self):
'''Portfolio positions'''
pids = cache.sinter(self.setkey())
for pid in pids:
p = cache.get(pid)
yield p
def add(self, item):
if isinstance(item,PositionBase):
cal
if self.has_key(c):
raise KeyError, '%s already available in %s' % (c,self)
else:
self._positions[c] = item
return item
else:
return None
def get_portfolio(self):
pos = []
for v in self._positions.itervalues():
pos.append(v.dict())
return pos
def todict(self):
d = super(Portfolio,self).todict()
ps = []
d['positions'] = ps
for position in self.positions():
ps.append(position.todict())
return d
class Node(orm.StdModel):
parent = orm.ForeignKey('self', required=False, related_name='children')
def __init__(self, weight=1.0, **kwargs):
super(Node, self).__init__(**kwargs)
self.weight = weight
def __str__(self):
return '%s' % self.weight
class Position(FinPositionBase):
'''Financial position::
* *sid* security id or None. For securities this is the underlying financial instrument id.
* *size* size of position
* *value* initial value of position
* *dt* position date
'''
instrument = orm.ForeignKey(FinIns)
portfolio = orm.ForeignKey(Portfolio, related_name='positions')
def __init__(self, size=1, value=0, **kwargs):
self.size = size
self.value = value
super(Position, self).__init__(**kwargs)
def customAttribute(self, name):
return getattr(self.instrument, name)
@property
def dt(self):
return self.portfolio.dt
class Position(FinPositionBase):
'''Financial position::
* *sid* security id or None. For securities this is the underlying financial instrument id.
* *size* size of position
* *value* initial value of position
* *dt* position date
'''
instrument = orm.ForeignKey(FinIns)
def __init__(self, size = 1, value = 0, **kwargs):
self.size = size
self.value = value
super(Position,self).__init__(**kwargs)
def todict(self):
d = super(Position,self).todict()
d['description'] = self.instrument.description
return d
class PortfolioHolder(orm.StdModel):
name = orm.SymbolField(unique=True)
group = orm.SymbolField()
ccy = orm.SymbolField()
parent = orm.ForeignKey('self', required=False, related_name='children')
def __init__(self, description='', **kwargs):
super(PortfolioHolder, self).__init__(**kwargs)
self.description = description
def __str__(self):
return self.name
def root(self):
'''Return Root Portfolio'''
if self.parent:
return self.parent.root()
else:
return self
class FinIns(orm.StdModel):
'''Financial instrument base class. Contains a time-serie field.
'''
code = orm.SymbolField(unique=True)
firm_code = orm.SymbolField()
curncy = orm.SymbolField()
country = orm.SymbolField()
type = orm.SymbolField(required=False)
data = orm.ForeignKey(MktData)
def __str__(self):
return self.code
def pv01(self):
'''Present value of a basis point. This is a Fixed Income notation which we try to extrapolate to
all financial instruments'''
return 0
def price_to_value(self, price, size, dt):
raise NotImplementedError("Cannot convert price and size to value")
class UserDefaultView(orm.StdModel):
user = orm.SymbolField()
view = orm.ForeignKey(PortfolioView)
class PortfolioView(orm.StdModel):
name = orm.SymbolField()
portfolio = orm.ForeignKey(Fund)
class UserFollower(orm.StdModel):
user = orm.ForeignKey(User, related_name='followers_set')
follower = orm.ForeignKey(User, related_name='following_set')
class Portfolio(FinPositionBase):
'''A portfolio containing positions and portfolios'''
holder = orm.ForeignKey(PortfolioHolder, related_name='dates')
dt = orm.DateField()
def __str__(self):
return '%s: %s' % (self.holder, self.dt)
def root(self):
'''Return Root Portfolio'''
root = self.holder.root()
if root == self.holder:
return self
else:
raise NotImplementedError
def children(self):
children = self.holder.children.all()
if children:
for child in children:
raise NotImplementedError
else:
return None
def customAttribute(self, name):
return getattr(self.holder, name)
def addnewposition(self, inst, size, value):
'''Add new position to portfolio:
* *inst* FinIns instance
* *size* position size
* *value* position value
*inst* must not be in portfolio already, otherwise a ValueError will raise.
'''
pos = self.positions.filter(instrument=inst)
if pos.count():
raise ValueError(
'Cannot add position %s to portfolio. It is already available.'
% inst)
p = Position(portfolio=self,
size=size,
value=value,
dt=self.dt,
instrument=inst)
return p.save()
def add(self, item):
item.parent = self
item.save()
def _todict(self):
d = super(Portfolio, self).todict()
if self.instrument:
d['description'] = self.instrument.description
else:
ps = []
d['positions'] = ps
for position in self.positions():
ps.append(position.todict())
return d
def create_view(self, name, user=None):
root = self.root()
p = PortfolioView(name=name, user=user, portfolio=root)
return p.save()
def get_tree(self):
return [p.alldata() for p in self.positions.all()]
class UserViewDefault(orm.StdModel):
user = orm.SymbolField()
portfolio = orm.ForeignKey(Portfolio, related_name='user_defaults')
view = orm.ForeignKey(PortfolioView, related_name='user_defaults')