def create_instrument_quotes(quotes_effective_date, today, instrument_prices, analyst_scope_code, api_factory): # Create prices via instrument, analytic # Set our quotes effective dates now = datetime.now(pytz.UTC).replace(hour=0, minute=0, second=0, microsecond=0) quotes_effective_date = now - timedelta(days=3) today = now instrument_quotes = {} # Create prices for all instruments except cash for index, instrument in instrument_prices.iterrows(): if 'Cash' in instrument['instrument_name']: continue # Get our Lusid Instrument Id luid = api_factory.build(lusid.api.InstrumentsApi).get_instrument( identifier_type='Figi', identifier=instrument['figi']).lusid_instrument_id instrument_quotes[ luid + str(quotes_effective_date)] = models.UpsertQuoteRequest( quote_id=models.QuoteId(quote_series_id=models.QuoteSeriesId( provider='DataScope', instrument_id=luid, instrument_id_type='LusidInstrumentId', quote_type='Price', field='Mid'), effective_at=quotes_effective_date), metric_value=models.MetricValue( value=instrument["price_original"], unit=instrument["currency"]), lineage='InternalSystem') instrument_quotes[luid + str(today)] = models.UpsertQuoteRequest( quote_id=models.QuoteId(quote_series_id=models.QuoteSeriesId( provider='DataScope', instrument_id=luid, instrument_id_type='LusidInstrumentId', quote_type='Price', field='Mid'), effective_at=today), metric_value=models.MetricValue(value=instrument["price_current"], unit=instrument["currency"]), lineage='InternalSystem') response = api_factory.build(lusid.api.QuotesApi).upsert_quotes( scope=analyst_scope_code, request_body=instrument_quotes) prettyprint.upsert_quotes_response(response)
def test_add_quote(self): request = models.UpsertQuoteRequest(quote_id=models.QuoteId( models.QuoteSeriesId(provider="DataScope", instrument_id="BBG000B9XRY4", instrument_id_type="Figi", quote_type="Price", field="mid"), effective_at=datetime(2019, 4, 15, tzinfo=pytz.utc)), metric_value=models.MetricValue( value=199.23, unit="USD")) self.quotes_api.upsert_quotes(TestDataUtilities.tutorials_scope, request_body={"quote1": request})
def upsert_quotes( api_factory, scope, data_frame, instrument_identifier_mapping, instrument_identifier_heirarchy, required_mapping, ): """ This function takes quotes from a data_frame and upserts them into LUSID param (lusid.utilities.ClientApiFactory) api_factory: The LUSID api factory to use param (str) scope: The LUSID scope to upsert the quotes into param (Pandas DataFrame) data_frame: The DataFrame that the quotes are in param (dict) instrument_identifier_mapping : The dictionary with the instrument identifier mapping between LUSID and the dataframe param (list[str]) instrument_identifier_heirarchy : The heirarchy to use for the LUSID instrument identifiers when upserting quotes param (dict) required_mapping: The mapping of the LUSID required quote fields to the dataframe fields returns (Pandas DataFrame): The succesfully upserted quotes """ # Initialise an empty instrument quotes list to hold the quotes instrument_quotes = {} quote_type_values = { "mid_price": { "quote_type": "Price", "price_side": "Mid", "value": "price", }, "mid_rate": { "quote_type": "Rate", "price_side": "Mid", "value": "rate", }, } # Iterate over the quotes for index, quote in data_frame.iterrows(): quote_type = quote_type_values[quote[ required_mapping["quote_type"]]]["quote_type"] field = quote_type_values[quote[ required_mapping["quote_type"]]]["price_side"] for identifier in instrument_identifier_heirarchy: identifier_value = quote[instrument_identifier_mapping[ "identifier_mapping"][identifier]] if (identifier == "CurrencyPair") and (len(identifier_value) == 6): identifier_value = identifier_value[: 3] + "/" + identifier_value[ 3:] if not pd.isna(identifier_value): break # Add the quote to the list of upsert quote requests effective_date = quote[required_mapping["effective_at"]] instrument_quotes[identifier + "_" + identifier_value + "_" + effective_date] = models.UpsertQuoteRequest( quote_id=models.QuoteId( quote_series_id=models.QuoteSeriesId( provider="DataScope", instrument_id=identifier_value, instrument_id_type=identifier, quote_type=quote_type, field=field, ), effective_at=effective_date, ), metric_value=models.MetricValue( value=quote[required_mapping["value"]], unit=quote[required_mapping["currency"]], ), lineage="InternalSystem", ) # Upsert the quotes into LUSID response = api_factory.build(lusid.api.QuotesApi).upsert_quotes( scope=scope, request_body=instrument_quotes) # Pretty print the response # prettyprint.upsert_quotes_response(response) return prettyprint.upsert_quotes_response(response)
transaction_success = models.UpsertPortfolioTransactionsResponse( href="https://www.notadonaim.lusid.com/api/api/code/transactions?asAt=2019-12-05T10%3A25%3A45.6141270%2B00%3A00", links=[], version="1", ) quote_success = models.UpsertQuotesResponse( failed={ "BBG001MM1KV4-Figi_2019-10-28": models.Quote( as_at="2019-01-16", quote_id=models.QuoteId( quote_series_id=models.QuoteSeriesId( provider="Default", instrument_id="BBG001MM1KV4", instrument_id_type="Figi", quote_type="Price", field="Mid", ), effective_at="2019-01-16", ), uploaded_by="test", ) }, values={ "BBG001MM1KV4-Figi_2019-10-28": models.Quote( as_at="2019-01-16", quote_id=models.QuoteId( quote_series_id=models.QuoteSeriesId( provider="Default", instrument_id="BBG001MM1KV4", instrument_id_type="Figi",
def test_portfolio_aggregation(self): effective_date = datetime(2019, 4, 15, tzinfo=pytz.utc) portfolio_code = self.test_data_utilities.create_transaction_portfolio( TestDataUtilities.tutorials_scope) transactions = [ self.test_data_utilities.build_transaction_request( instrument_id=self.instrument_ids[0], units=100, price=101, currency="GBP", trade_date=effective_date, transaction_type="StockIn"), self.test_data_utilities.build_transaction_request( instrument_id=self.instrument_ids[1], units=100, price=102, currency="GBP", trade_date=effective_date, transaction_type="StockIn"), self.test_data_utilities.build_transaction_request( instrument_id=self.instrument_ids[2], units=100, price=103, currency="GBP", trade_date=effective_date, transaction_type="StockIn") ] self.transaction_portfolios_api.upsert_transactions( scope=TestDataUtilities.tutorials_scope, code=portfolio_code, transactions=transactions) prices = [ models.InstrumentAnalytic(self.instrument_ids[0], 100), models.InstrumentAnalytic(self.instrument_ids[1], 200), models.InstrumentAnalytic(self.instrument_ids[2], 300) ] requests = [] for i in range(3): requests.append( models.UpsertQuoteRequest( quote_id=models.QuoteId(models.QuoteSeriesId( provider="DataScope", instrument_id=self.instrument_ids[i], instrument_id_type="LusidInstrumentId", quote_type="Price", field="mid"), effective_at=effective_date), metric_value=models.MetricValue(value=prices[i].value, unit="GBP"))) self.quotes_api.upsert_quotes( TestDataUtilities.tutorials_scope, quotes={ "quote" + str(request_number): requests[request_number] for request_number in range(len(requests)) }) inline_recipe = models.ConfigurationRecipe( code='quotes_recipe', market=models.MarketContext( market_rules=[], suppliers=models.MarketContextSuppliers(equity='DataScope'), options=models.MarketOptions( default_supplier='DataScope', default_instrument_code_type='LusidInstrumentId', default_scope=TestDataUtilities.tutorials_scope))) aggregation_request = models.AggregationRequest( inline_recipe=inline_recipe, metrics=[ models.AggregateSpec("Instrument/default/Name", "Value"), models.AggregateSpec("Holding/default/PV", "Proportion"), models.AggregateSpec("Holding/default/PV", "Sum") ], group_by=["Instrument/default/Name"], effective_at=effective_date) # do the aggregation aggregation = self.aggregation_api.get_aggregation_by_portfolio( scope=TestDataUtilities.tutorials_scope, code=portfolio_code, request=aggregation_request) for item in aggregation.data: print("\t{}\t{}\t{}".format(item["Instrument/default/Name"], item["Proportion(Holding/default/PV)"], item["Sum(Holding/default/PV)"])) # Asserts self.assertEqual(len(aggregation.data), 3) self.assertEqual(aggregation.data[0]["Sum(Holding/default/PV)"], 10000) self.assertEqual(aggregation.data[1]["Sum(Holding/default/PV)"], 20000) self.assertEqual(aggregation.data[2]["Sum(Holding/default/PV)"], 30000)
def test_portfolio_aggregation(self): effective_date = datetime(2019, 4, 15, tzinfo=pytz.utc) portfolio_code = self.test_data_utilities.create_transaction_portfolio(TestDataUtilities.tutorials_scope) self.id_generator.add_scope_and_code("portfolio", TestDataUtilities.tutorials_scope, portfolio_code) transactions = [ self.test_data_utilities.build_transaction_request(instrument_id=self.instrument_ids[0], units=100, price=101, currency="GBP", trade_date=effective_date, transaction_type="StockIn"), self.test_data_utilities.build_transaction_request(instrument_id=self.instrument_ids[1], units=100, price=102, currency="GBP", trade_date=effective_date, transaction_type="StockIn"), self.test_data_utilities.build_transaction_request(instrument_id=self.instrument_ids[2], units=100, price=103, currency="GBP", trade_date=effective_date, transaction_type="StockIn") ] self.transaction_portfolios_api.upsert_transactions(scope=TestDataUtilities.tutorials_scope, code=portfolio_code, transaction_request=transactions) prices = [ (self.instrument_ids[0], 100), (self.instrument_ids[1], 200), (self.instrument_ids[2], 300) ] requests = [ models.UpsertQuoteRequest( quote_id=models.QuoteId( models.QuoteSeriesId( provider="DataScope", instrument_id=price[0], instrument_id_type="LusidInstrumentId", quote_type="Price", field="mid" ), effective_at=effective_date ), metric_value=models.MetricValue( value=price[1], unit="GBP" ) ) for price in prices ] self.quotes_api.upsert_quotes(TestDataUtilities.tutorials_scope, request_body={"quote" + str(request_number): requests[request_number] for request_number in range(len(requests))}) recipe_scope = 'cs-tutorials' recipe_code = 'quotes_recipe' self.id_generator.add_scope_and_code("recipe", recipe_scope, recipe_code) demo_recipe = models.ConfigurationRecipe( scope=recipe_scope, code=recipe_code, market=models.MarketContext( market_rules=[], suppliers=models.MarketContextSuppliers( equity='DataScope' ), options=models.MarketOptions( default_supplier='DataScope', default_instrument_code_type='LusidInstrumentId', default_scope=TestDataUtilities.tutorials_scope) ) ) upsert_recipe_request = models.UpsertRecipeRequest(demo_recipe) self.recipes_api.upsert_configuration_recipe(upsert_recipe_request) valuation_request = models.ValuationRequest( recipe_id=models.ResourceId(scope=recipe_scope,code=recipe_code), metrics=[ models.AggregateSpec("Instrument/default/Name", "Value"), models.AggregateSpec("Holding/default/PV", "Proportion"), models.AggregateSpec("Holding/default/PV", "Sum") ], group_by=["Instrument/default/Name"], portfolio_entity_ids = [ models.PortfolioEntityId(scope = TestDataUtilities.tutorials_scope, code = portfolio_code) ], valuation_schedule=models.ValuationSchedule(effective_at=effective_date) ) # do the aggregation aggregation = self.aggregation_api.get_valuation(valuation_request=valuation_request) for item in aggregation.data: print("\t{}\t{}\t{}".format(item["Instrument/default/Name"], item["Proportion(Holding/default/PV)"], item["Sum(Holding/default/PV)"])) # Asserts self.assertEqual(len(aggregation.data),3) self.assertEqual(aggregation.data[0]["Sum(Holding/default/PV)"], 10000) self.assertEqual(aggregation.data[1]["Sum(Holding/default/PV)"], 20000) self.assertEqual(aggregation.data[2]["Sum(Holding/default/PV)"], 30000)
def setup_portfolio(cls, effective_date, portfolio_code) -> None: """ Sets up instrument, quotes and portfolio data from TestDataUtilities :param datetime effective_date: The portfolio creation date :param str portfolio_code: The code of the the test portfolio :return: None """ transactions = [ cls.test_data_utilities.build_transaction_request( instrument_id=cls.instrument_ids[0], units=100, price=101, currency="GBP", trade_date=effective_date, transaction_type="StockIn", ), cls.test_data_utilities.build_transaction_request( instrument_id=cls.instrument_ids[1], units=100, price=102, currency="GBP", trade_date=effective_date, transaction_type="StockIn", ), cls.test_data_utilities.build_transaction_request( instrument_id=cls.instrument_ids[2], units=100, price=103, currency="GBP", trade_date=effective_date, transaction_type="StockIn", ), ] cls.transaction_portfolios_api.upsert_transactions( scope=TestDataUtilities.tutorials_scope, code=portfolio_code, transaction_request=transactions, ) prices = [ (cls.instrument_ids[0], 100), (cls.instrument_ids[1], 200), (cls.instrument_ids[2], 300), ] requests = [ models.UpsertQuoteRequest( quote_id=models.QuoteId( models.QuoteSeriesId( provider="Lusid", instrument_id=price[0], instrument_id_type="LusidInstrumentId", quote_type="Price", field="mid", ), effective_at=effective_date, ), metric_value=models.MetricValue(value=price[1], unit="GBP"), ) for price in prices ] cls.quotes_api.upsert_quotes( TestDataUtilities.tutorials_scope, request_body={ "quote" + str(request_number): requests[request_number] for request_number in range(len(requests)) }, )