def test_get_asset(mocker):
marquee_id = 'MA1234567890'
mock_response = GsAsset(AssetClass.Equity, GsAssetType.Single_Stock,
'Test Asset')
# mock GsSession
mocker.patch.object(GsSession.__class__,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.STOCK
asset = SecurityMaster.get_asset(marquee_id,
AssetIdentifier.MARQUEE_ID,
as_of=dt.date.today())
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.STOCK
asset = SecurityMaster.get_asset(marquee_id,
AssetIdentifier.MARQUEE_ID,
as_of=dt.datetime.utcnow())
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.STOCK
mock_response = GsAsset(AssetClass.Equity, GsAssetType.Index, 'Test Asset')
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.INDEX
mock_response = GsAsset(AssetClass.Equity, GsAssetType.Future,
'Test Asset')
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.FUTURE
mock_response = GsAsset(AssetClass.Equity, GsAssetType.ETF, 'Test Asset')
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.ETF
mock_response = GsAsset(AssetClass.Equity,
GsAssetType.Custom_Basket,
'Test Asset',
id_=marquee_id)
mock_positions = PositionSet(positions=[{
'assetId': 'asset_1',
'quantity': 100
}],
position_date=dt.date(2021, 1, 1),
divisor=100)
mock_price = {'price': 100}
mock_report = Report(marquee_id, 'Asset', 'Basket Create',
ReportParameters())
mocker.patch.object(GsAssetApi,
'get_latest_positions',
return_value=mock_positions)
mocker.patch.object(GsIndexApi, 'initial_price', return_value=mock_price)
mocker.patch.object(GsReportApi, 'get_reports', return_value=mock_report)
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
assert asset.name == "Test Asset"
assert asset.get_type() == AssetType.CUSTOM_BASKET
mock_response = {
'results': (GsAsset(id=marquee_id,
assetClass='Equity',
type='Single Stock',
name='Test 1'), ),
}
mocker.patch.object(GsSession.current, '_post', return_value=mock_response)
asset = SecurityMaster.get_asset('GS.N', AssetIdentifier.REUTERS_ID)
assert asset.name == "Test 1"
assert asset.get_type() == AssetType.STOCK
asset = SecurityMaster.get_asset('GS',
AssetIdentifier.TICKER,
exchange_code=ExchangeCode.NYSE)
assert asset.name == "Test 1"
assert asset.get_type() == AssetType.STOCK
asset = SecurityMaster.get_asset('GS',
AssetIdentifier.TICKER,
asset_type=AssetType.STOCK)
assert asset.name == "Test 1"
assert asset.get_type() == AssetType.STOCK
mocker.patch.object(GsSession.current,
'_post',
return_value={'results': ()})
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.REUTERS_ID)
assert asset is None
def test_asset_identifiers(mocker):
marquee_id = 'MA1234567890'
mocker.patch.object(GsSession,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mock_response = GsAsset(AssetClass.Equity,
GsAssetType.Custom_Basket,
'Test Asset',
id_=marquee_id)
mock_positions = PositionSet(positions=[{
'assetId': 'asset_1',
'quantity': 100
}],
position_date=dt.date(2021, 1, 1),
divisor=100)
mock_price = {'price': 100}
mock_report = Report(marquee_id, 'Asset', 'Basket Create',
ReportParameters())
mocker.patch.object(GsAssetApi,
'get_latest_positions',
return_value=mock_positions)
mocker.patch.object(GsIndexApi, 'initial_price', return_value=mock_price)
mocker.patch.object(GsReportApi, 'get_reports', return_value=mock_report)
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
asset = SecurityMaster.get_asset(marquee_id, AssetIdentifier.MARQUEE_ID)
mock_response = {
'xrefs': ({
'startDate': '1952-01-01',
'endDate': '2018-12-31',
'identifiers': {
'ric': '.GSTHHOLD',
'bbid': 'GSTHHOLD',
'cusip': '9EQ24FOLD',
'ticker': 'GSTHHOLD'
}
}, {
'startDate': '2019-01-01',
'endDate': '2952-12-31',
'identifiers': {
'ric': '.GSTHHVIP',
'bbid': 'GSTHHVIP',
'cusip': '9EQ24FPE5',
'ticker': 'GSTHHVIP',
}
})
}
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
identifiers = asset.get_identifiers(dt.date.today())
assert identifiers[AssetIdentifier.REUTERS_ID.value] == '.GSTHHVIP'
assert identifiers[AssetIdentifier.BLOOMBERG_ID.value] == 'GSTHHVIP'
assert identifiers[AssetIdentifier.CUSIP.value] == '9EQ24FPE5'
assert identifiers[AssetIdentifier.TICKER.value] == 'GSTHHVIP'
assert asset.get_identifier(AssetIdentifier.REUTERS_ID,
as_of=dt.date.today()) == '.GSTHHVIP'
assert asset.get_identifier(AssetIdentifier.BLOOMBERG_ID,
as_of=dt.date.today()) == 'GSTHHVIP'
assert asset.get_identifier(AssetIdentifier.CUSIP,
as_of=dt.date.today()) == '9EQ24FPE5'
assert asset.get_identifier(AssetIdentifier.TICKER,
as_of=dt.date.today()) == 'GSTHHVIP'
market = PricingContext(dt.date(2018, 3, 1))
with market:
identifiers = asset.get_identifiers()
assert identifiers[AssetIdentifier.REUTERS_ID.value] == '.GSTHHOLD'
assert identifiers[AssetIdentifier.BLOOMBERG_ID.value] == 'GSTHHOLD'
assert identifiers[AssetIdentifier.CUSIP.value] == '9EQ24FOLD'
assert identifiers[AssetIdentifier.TICKER.value] == 'GSTHHOLD'
market = PricingContext(dt.date(2018, 3, 1))
with market:
identifiers = asset.get_identifiers()
assert identifiers[AssetIdentifier.REUTERS_ID.value] == '.GSTHHOLD'
assert identifiers[AssetIdentifier.BLOOMBERG_ID.value] == 'GSTHHOLD'
assert identifiers[AssetIdentifier.CUSIP.value] == '9EQ24FOLD'
assert identifiers[AssetIdentifier.TICKER.value] == 'GSTHHOLD'
initial_price = {'price': 100}
mqid = 'MA1234567890'
name = 'Test Basket'
positions = [
Position('bbid1', asset_id='id1', quantity=100),
Position('bbid2', asset_id='id2', quantity=200)
]
positions_weighted = positions = [
Position('bbid1', asset_id='id1', weight=0.4),
Position('bbid2', asset_id='id2', weight=0.6)
]
position_set = PositionSet(positions, divisor=1000)
report = Report(mqid,
'asset',
'Basket Create',
ReportParameters(),
status='done')
resolved_asset = {'GSMBXXXX': [{'id': mqid}]}
target_positions = tuple([
TargetPosition(asset_id='id1', quantity=100),
TargetPosition(asset_id='id2', quantity=200)
])
target_position_set = TargetPositionSet(target_positions,
dt.date(2021, 1, 7),
divisor=1000)
ticker = 'GSMBXXXX'
user_ea = {
**base_user, 'id': 'user_abc',
'tokens': ['external', 'guid:user_abc']
} # external, admin
user_ena = {
def save(self):
""" Create a report in Marquee if it doesn't exist. Update the report if it does. """
target_report = TargetReport(name=self.name,
position_source_id=self.position_source_id,
position_source_type=self.position_source_type,
type_=self.type,
parameters=self.parameters if self.parameters else ReportParameters())
if self.id:
target_report.id = self.id
GsReportApi.update_report(target_report)
else:
report = GsReportApi.create_report(target_report)
self.__id = report.id
from gs_quant.target.risk_models import RiskModel, CoverageType, Term, UniverseIdentifier
risk_model = RiskModel(coverage=CoverageType.Country,
id_='model_id',
name='Fake Risk Model',
term=Term.Long,
universe_identifier=UniverseIdentifier.gsid,
vendor='GS',
version=1.0)
factor_risk_report = Report(
position_source_id='position source id',
position_source_type=PositionSourceType.Portfolio,
type_=ReportType.Portfolio_Factor_Risk,
id_='report_id',
parameters=ReportParameters(risk_model='risk_model_id'))
ppa_report = Report(position_source_id='position source id',
position_source_type=PositionSourceType.Portfolio,
type_=ReportType.Portfolio_Performance_Analytics,
id_='report_id',
parameters=ReportParameters(risk_model='risk_model_id'))
factor_data = [{
'date': '2020-11-23',
'reportId': 'report_id',
'factor': 'factor_id',
'factorCategory': 'CNT',
'pnl': 11.23,
'exposure': -11.23,
'proportionOfRisk': 1
def test_normalized_performance_default_aum():
replace = Replacer()
idx = pd.date_range('2020-01-02', freq='D', periods=3)
expected = pd.Series(data=[1, 1 + 2 / 1.2, 1 + 6 / 1.3],
index=idx,
name='normalizedPerformance',
dtype='float64')
with DataContext(datetime.date(2020, 1, 1), datetime.date(2019, 1, 3)):
df = MarketDataResponseFrame(data=ppa_data, dtype="float64")
# mock GsPortfolioApi.get_reports()
mock = replace('gs_quant.api.gs.portfolios.GsPortfolioApi.get_reports',
Mock())
mock.return_value = [
Report.from_dict({
'id': 'RP1',
'positionSourceType': 'Portfolio',
'positionSourceId': 'MP1',
'type': 'Portfolio Performance Analytics',
'parameters': {
'transactionCostModel': 'FIXED'
}
})
]
# mock PerformanceReport.get_portfolio_constituents()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_portfolio_constituents',
Mock())
mock.return_value = MarketDataResponseFrame(data=constituents_data,
dtype="float64")
# mock PerformanceReport.get_many_measures()
mock = replace(
'gs_quant.markets.report.PerformanceReport.get_many_measures',
Mock())
mock.return_value = df
# mock PerformanceReport.get_custom_aum()
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_custom_aum', Mock())
mock.return_value = aum
# mock PerformanceReport.get()
mock = replace('gs_quant.markets.report.PerformanceReport.get', Mock())
mock.return_value = PerformanceReport(
report_id='RP1',
position_source_type='Portfolio',
position_source_id='MP1',
report_type='Portfolio Performance Analytics',
parameters=ReportParameters(transaction_cost_model='FIXED'))
mock = replace(
'gs_quant.api.gs.portfolios.GsPortfolioApi.get_portfolio', Mock())
mock.return_value = Portfolio('USD', 'P1', id_='MP1')
actual = mr.normalized_performance('MP1', None)
print(actual)
assert all(actual.values == expected.values)
replace.restore()