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 update_positions(self,
position_sets: List[PositionSet],
net_positions: bool = True):
if self.positioned_entity_type == EntityType.PORTFOLIO:
if not position_sets:
return
currency = GsPortfolioApi.get_portfolio(self.id).currency
new_sets = []
for pos_set in position_sets:
if pos_set.reference_notional is None:
incorrect_set = any([
pos.quantity is None or pos.weight is not None
for pos in pos_set.positions
])
if incorrect_set:
raise MqValueError(
'If you would like to upload position sets without notionals, '
'every position must have a quantity and cannot have a weight.'
)
new_sets.append(pos_set)
else:
new_sets.append(
self._convert_pos_set_with_weights(pos_set, currency))
GsPortfolioApi.update_positions(
portfolio_id=self.id,
position_sets=[p.to_target() for p in new_sets])
time.sleep(3)
else:
raise NotImplementedError
def update_positions(self,
position_sets: List[PositionSet],
schedule_reports: bool = True):
if self.positioned_entity_type == EntityType.PORTFOLIO:
if not position_sets:
return
existing_positions_dates = self.get_position_dates()
new_position_dates = [p.date for p in position_sets
] if position_sets else []
reports = [
r.latest_end_date for r in self.get_reports()
if r.latest_end_date
]
latest_date_covered_by_reports = min(reports) if reports else None
latest_position_date_in_reports = max([d for d in existing_positions_dates
if d <= latest_date_covered_by_reports]) \
if latest_date_covered_by_reports else min(new_position_dates)
start_date = min(latest_position_date_in_reports,
min(new_position_dates))
end_date = max(new_position_dates)
GsPortfolioApi.update_positions(
portfolio_id=self.id,
position_sets=[p.to_target() for p in position_sets])
if schedule_reports:
self._schedule_reports(start_date=start_date,
end_date=end_date)
else:
raise NotImplementedError
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, ))
