def test_reconcile_portfolio(self):
# create the portfolio
scope = TestDataUtilities.tutorials_scope
portfolio_code = self.test_data_utilities.create_transaction_portfolio(
scope)
self.id_generator.add_scope_and_code("portfolio", scope,
portfolio_code)
today = datetime.now().astimezone(tz=pytz.utc)
yesterday = today - timedelta(1)
# create transactions for yesterday
yesterdays_transactions = [
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[0],
units=1000.0,
price=100.0,
currency="GBP",
trade_date=yesterday + timedelta(hours=8),
transaction_type="StockIn"),
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[0],
units=2300.0,
price=101.0,
currency="GBP",
trade_date=yesterday + timedelta(hours=12),
transaction_type="StockIn"),
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[1],
units=-1000.0,
price=102.0,
currency="GBP",
trade_date=yesterday + timedelta(hours=9),
transaction_type="StockIn"),
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[2],
units=1200.0,
price=103.0,
currency="GBP",
trade_date=yesterday + timedelta(hours=16),
transaction_type="StockIn"),
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[3],
units=2000.0,
price=103.0,
currency="GBP",
trade_date=yesterday + timedelta(hours=9),
transaction_type="StockIn"),
]
# add the transactions to LUSID
self.transaction_portfolios_api.upsert_transactions(
scope=TestDataUtilities.tutorials_scope,
code=portfolio_code,
transaction_request=yesterdays_transactions)
# transactions for today
todays_transactions = [
# net long 300
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[0],
units=-3000.0,
price=101.78,
currency="GBP",
trade_date=today + timedelta(hours=8),
transaction_type="StockIn"),
# net long 1800
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[0],
units=1500.0,
price=101.78,
currency="GBP",
trade_date=today + timedelta(hours=12),
transaction_type="StockIn"),
# flat
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[1],
units=1000.0,
price=102.0,
currency="GBP",
trade_date=today + timedelta(hours=12),
transaction_type="StockIn"),
# net long 2400
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[2],
units=1200.0,
price=103.0,
currency="GBP",
trade_date=today + timedelta(hours=16),
transaction_type="StockIn"),
# net long 3000
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[3],
units=1000.0,
price=103.0,
currency="GBP",
trade_date=today + timedelta(hours=9),
transaction_type="StockIn"),
# net long 5000
self.test_data_utilities.build_transaction_request(
instrument_id=self.instrument_ids[3],
units=2000.0,
price=103.0,
currency="GBP",
trade_date=today + timedelta(hours=20),
transaction_type="StockIn"),
]
# add the transactions to LUSID
transactions_response = self.transaction_portfolios_api.upsert_transactions(
scope=TestDataUtilities.tutorials_scope,
code=portfolio_code,
transaction_request=todays_transactions)
# get the time of the last update
last_as_at = transactions_response.version.as_at_date
# We now have the portfolio with 2 days worth of transactions, going to reconcile from T-1 20:00 to now,
# this should reflect breaks for each instrument equal to the transactions from yesterday till 20:00 today
reconciliation_request = models.PortfoliosReconciliationRequest(
left=models.PortfolioReconciliationRequest(
portfolio_id=models.ResourceId(
scope=TestDataUtilities.tutorials_scope,
code=portfolio_code),
effective_at=yesterday + timedelta(hours=20),
as_at=last_as_at),
right=models.PortfolioReconciliationRequest(
portfolio_id=models.ResourceId(
scope=TestDataUtilities.tutorials_scope,
code=portfolio_code),
effective_at=today + timedelta(hours=16),
as_at=last_as_at),
instrument_property_keys=[TestDataUtilities.lusid_luid_identifier])
breaks = self.reconciliations_api.reconcile_holdings(
portfolios_reconciliation_request=reconciliation_request)
for rec_break in breaks.values:
print("{}\t{}\t{}".format(rec_break.instrument_uid,
rec_break.difference_units,
rec_break.difference_cost.amount))
rec_map = {b.instrument_uid: b for b in breaks.values}
self.assertEqual(-1500,
rec_map[self.instrument_ids[0]].difference_units)
self.assertEqual(1000,
rec_map[self.instrument_ids[1]].difference_units)
self.assertEqual(1200,
rec_map[self.instrument_ids[2]].difference_units)
self.assertEqual(1000,
rec_map[self.instrument_ids[3]].difference_units)
def test_Perform_a_reconciliation(self):
# load sheet
sht = self.get_sheet("Perform a reconciliation")
# get parameters from excel
LeftScope = "F24"
LeftCode = "F25"
LeftEffectiveAt = "F26"
LeftAsAt = "F27"
RightScope = "F28"
RightCode = "F29"
RightEffectiveAt = "F30"
RightAsAt = "F31"
left_scope = sht.range(LeftScope).value
left_code = sht.range(LeftCode).value
left_effective_at = get_date(LeftEffectiveAt, sht)
left_as_at = get_date(LeftAsAt, sht)
right_scope = sht.range(RightScope).value
right_code = sht.range(RightCode).value
right_effective_at = get_date(RightEffectiveAt, sht)
right_as_at = get_date(RightAsAt, sht)
# get validation data
request_reconciliation = models.PortfoliosReconciliationRequest(
left=models.PortfolioReconciliationRequest(
portfolio_id=models.ResourceId(scope=left_scope, code=left_code),
effective_at=left_effective_at,
as_at=left_as_at
),
right=models.PortfolioReconciliationRequest(
portfolio_id=models.ResourceId(scope=right_scope, code=right_code),
effective_at=right_effective_at,
as_at=right_as_at
),
instrument_property_keys=['Instrument/default/LusidInstrumentId']
)
reconciliation_validation_response = self.reconciliations_api.reconcile_holdings(
request=request_reconciliation
).values
# format validation data
reconciliation_validation = [
{
"Instrument Uid": data.instrument_uid,
"Left Units": data.left_units,
"Right Units": data.right_units,
"Units Difference": data.difference_units,
"Left Cost Amount": data.left_cost.amount,
"Right Cost Amount": data.right_cost.amount,
}
for data in reconciliation_validation_response
]
# get excel data
reconciliation_response_excel = sht.range("E39", "O49").value
headers = reconciliation_response_excel.pop(0)
# format excel data
reconciliation_excel = [
{
"Instrument Uid": data[headers.index('Instrument Uid')],
"Left Units": data[headers.index("Left Units")],
"Right Units": data[headers.index("Right Units")],
"Units Difference": data[headers.index("Units Difference")],
"Left Cost Amount": data[headers.index("Left Cost Amount")],
"Right Cost Amount": data[headers.index("Right Cost Amount")]
}
for data in reconciliation_response_excel if (data[0] != "" and data[0] is not None)
]
# assert excel data exists within validation set
[self.assertIn(sample, reconciliation_validation) for sample in reconciliation_excel]