def get_latest_positions(cls,
portfolio_id: str,
position_type: str = 'close') -> PositionSet:
url = '/portfolios/{id}/positions/last?type={ptype}'.format(
id=portfolio_id, ptype=position_type)
position_sets = GsSession.current._get(url, cls=PositionSet)['results']
return position_sets[0] if len(position_sets) > 0 else PositionSet()
def save(self, overwrite: Optional[bool] = False):
if self.portfolios:
raise ValueError('Cannot save portfolios with nested portfolios')
if self.__id:
if not overwrite:
raise ValueError(
f'Portfolio with id {id} already exists. Use overwrite=True to overwrite'
)
else:
if not self.__name:
raise ValueError('name not set')
self.__id = GsPortfolioApi.create_portfolio(
MarqueePortfolio('USD', self.__name)).id
_logger.info(
f'Created Marquee portfolio {self.__name} with id {self.__id}')
position_set = PositionSet(
position_date=self.__position_context.position_date,
positions=tuple(
Position(
asset_id=GsAssetApi.get_or_create_asset_from_instrument(i))
for i in self.instruments))
if len(position_set.positions) > 0:
GsPortfolioApi.update_positions(self.__id, [position_set])
def get_position_set_by_position_type(
cls, positions_type: str,
positions_id: str) -> Tuple[Instrument, ...]:
root = 'deals' if positions_type == 'ETI' else 'books/' + positions_type
url = '/risk-internal/{}/{}/positions'.format(root, positions_id)
results = GsSession.current._get(url, timeout=181)
return [PositionSet.from_dict(res) for res in results['positionSets']]
def get_position_set_by_position_type(cls, positions_type: str, positions_id: str,
activity_type: str = 'position') -> Tuple[Instrument, ...]:
root = 'deals' if positions_type == 'ETI' else 'books/' + positions_type
if activity_type != 'position':
url = '/risk-internal/{}/{}/positions?activityType={}'.format(root, positions_id, activity_type)
else:
url = '/risk-internal/{}/{}/positions'.format(root, positions_id)
results = GsSession.current._get(url, timeout=181)
return tuple(PositionSet.from_dict(res) for res in results['positionSets'])
def get_positions(cls, portfolio_id: str, start_date: dt.date = None, end_date: dt.date = None, position_type: str = 'close') -> Tuple[PositionSet, ...]:
url = '/portfolios/{id}/positions?type={positionType}'.format(id=portfolio_id, positionType=position_type)
if start_date is not None:
url += '&startDate={sd}'.format(sd=start_date.isoformat())
if end_date is not None:
url += '&endDate={sd}'.format(sd=end_date.isoformat())
res = GsSession.current._get(url)
return tuple(PositionSet.from_dict(v) for v in res.get('positionSets', ()))
def get_latest_positions(cls, portfolio_id: str, position_type: str = 'close') -> Union[PositionSet, dict]:
url = '/portfolios/{id}/positions/last?type={ptype}'.format(id=portfolio_id, ptype=position_type)
results = GsSession.current._get(url)['results']
# Annoyingly, different types are returned depending on position_type
if isinstance(results, dict) and 'positions' in results:
results['positions'] = tuple(Position.from_dict(p) for p in results['positions'])
return PositionSet.from_dict(results)
def get_positions_for_date(cls,
portfolio_id: str,
position_date: dt.date,
position_type: str = 'close') -> PositionSet:
url = '/portfolios/{id}/positions/{date}?type={ptype}'.format(
id=portfolio_id,
date=position_date.isoformat(),
ptype=position_type)
position_sets = GsSession.current._get(url, cls=PositionSet)['results']
return position_sets[0] if len(position_sets) > 0 else PositionSet()
def save(self):
if not self.name:
raise ValueError('name not set')
try:
portfolio_id = GsPortfolioApi.get_portfolio_by_name(self.name).id
except ValueError:
from gs_quant.target.portfolios import Portfolio as MarqueePortfolio
portfolio_id = GsPortfolioApi.create_portfolio(MarqueePortfolio('USD', self.name)).id
_logger.info('Created Marquee portfolio with ID: {}'.format(portfolio_id))
position_set = PositionSet(
position_date=dt.date.today(),
positions=tuple(Position(asset_id=GsAssetApi.get_or_create_asset_from_instrument(i))
for i in self.instruments))
GsPortfolioApi.update_positions(portfolio_id, (position_set,))
def save(self, overwrite: Optional[bool] = False):
if self.portfolios:
raise ValueError('Cannot save portfolios with nested portfolios')
if self.__id:
if not overwrite:
raise ValueError(
f'Portfolio with id {id} already exists. Use overwrite=True to overwrite'
)
else:
if not self.__name:
raise ValueError('name not set')
try:
self.__id = GsPortfolioApi.get_portfolio_by_name(
self.__name).id
if not overwrite:
raise RuntimeError(
f'Portfolio {self.__name} with id {self.__id} already exists. Use overwrite=True to overwrite'
)
except ValueError:
from gs_quant.target.portfolios import Portfolio as MarqueePortfolio
self.__id = GsPortfolioApi.create_portfolio(
MarqueePortfolio('USD', self.__name)).id
_logger.info(
f'Created Marquee portfolio {self.__name} with id {self.__id}'
)
position_set = PositionSet(
position_date=dt.date.today(),
positions=tuple(
Position(
asset_id=GsAssetApi.get_or_create_asset_from_instrument(i))
for i in self.instruments))
GsPortfolioApi.update_positions(self.__id, (position_set, ))
