def add_to_position(session, raw, pos):
# find opening commission transaction
logger.debug("Adding raw trade %d to position %d for %s", raw.id, pos.id, raw.broker_ref)
comm = get_comm_for_position(session, raw.ref_date, raw.broker_ref)
if len(comm) > 1:
logger.info("%d commissions found for multi-tranche %s", len(comm), raw.broker_ref)
pos.num_closes += 1
pos.entry_quantity += raw.size
c_open = None
c_close = None
if len(comm) > 0:
c_close = comm[-1]
pos.brokerage += c_close.amount
logger.debug("Using commission %d for ANOTHER close of %s", c_close.id, raw.broker_ref)
if c_close.ref_date != raw.ref_date:
logger.error("CLOSING COMMISSION DATE MISMATCH on %d for close of %s", c_close.id, raw.broker_ref)
# TODO: Handle/Check for more than 2 commissions? Check dates??
# Closing commission should be on same date as closing trade.
a_close = StockActivity(ActionType.CLOSE, raw=raw, comm=c_close)
# Update quantity in first open activity.
# The underlying logic only works if there is only one open, but multiple closes.
a_open = get_position_activities(session, pos, True)
a_open.quantity += raw.size
trade = StockTrade(a_open, a_close, raw)
session.add(trade)
session.add(a_close)
session.commit()
if c_close:
c_close.position_id = pos.id
c_close.activity_id = a_close.id
a_close.position_id = pos.id
a_close.trade_id = trade.id
def new_position(session, raw):
# find opening commission transaction
logger.debug("Creating new position for %s", raw.broker_ref)
q = session.query(RawData).filter(
RawData.category == RawData.CAT_RISK,
RawData.ref_date <= raw.ref_date,
RawData.description.like("%" + raw.broker_ref + "%"),
)
other_fees = q.all()
total_other_fees = D(0)
if len(other_fees):
for fee in other_fees:
total_other_fees += fee.amount
logger.debug("Total of %d other fees for %s: %s", len(other_fees), raw.broker_ref, total_other_fees)
comm = get_comm_for_position(session, raw.ref_date, raw.broker_ref)
if len(comm) == 2:
logger.debug("%d commissions found for %s", len(comm), raw.broker_ref)
else:
logger.warn("FOUND %d COMMISSIONS FOR %s (%s)", len(comm), raw.broker_ref, raw.description)
pos = StockPosition(raw.description, raw.description, raw.ref_date)
pos.broker_ref = raw.broker_ref
pos.num_opens += 1
pos.num_closes += 1
pos.entry_quantity += raw.size
pos.fees += total_other_fees
c_open = None
c_close = None
if len(comm) > 0:
c_open = comm[0]
pos.brokerage += c_open.amount
logger.debug("Using commission %d for open of %s", c_open.id, raw.broker_ref)
if len(comm) > 1:
c_close = comm[1]
pos.brokerage += c_close.amount
logger.debug("Using commission %d for close of %s", c_close.id, raw.broker_ref)
if c_close.ref_date != raw.ref_date:
logger.error("CLOSING COMMISSION DATE MISMATCH on %d for close of %s", c_close.id, raw.broker_ref)
# TODO: Handle/Check for more than 2 commissions? Check dates??
# Closing commission should be on same date as closing trade.
a_open = StockActivity(ActionType.OPEN, raw=raw, comm=c_open)
a_open.fees = total_other_fees
a_close = StockActivity(ActionType.CLOSE, raw=raw, comm=c_close)
trade = StockTrade(a_open, a_close, raw)
session.add(pos)
session.add(trade)
session.add(a_open)
session.add(a_close)
session.commit()
if c_open:
c_open.position_id = pos.id
c_open.activity_id = a_open.id
if c_close:
c_close.position_id = pos.id
c_close.activity_id = a_close.id
if len(other_fees):
for fee in other_fees:
fee.position_id = pos.id
fee.activity_id = a_open.id
trade.position_id = pos.id
a_open.position_id = pos.id
a_close.position_id = pos.id
a_open.trade_id = trade.id
a_close.trade_id = trade.id