c1c73e96f5
- funding_rate table and "Фондирование" page: rate from date, history, rate on date (D27)
- positions by issue: BUY - SELL per portfolio, "Остатки" page (D29)
- quotes are loaded only for securities with an open position (D10)
- business calendar from xmlcalendar.ru: yearly file upload, report date
and update job use previous working day (D30)
- xlsx download for positions, quotes and funding rate history
- manual operation type as radio buttons
- QUIK instruments with purchase marks ("МТС 2Р-18_1") match the issue,
file name kept in operation.instrument (D17)
- migrations d3a6f8b1c254, e7b2c9d4a813, f1c4a7e9b352
- project.md: decisions and questions after customer meetings
125 lines
4.9 KiB
Python
125 lines
4.9 KiB
Python
from __future__ import annotations
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from collections.abc import Sequence
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from datetime import date
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from decimal import Decimal
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from typing import Any
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from sqlalchemy import case, func, insert, select
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from sqlalchemy.ext.asyncio import AsyncSession
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from app.db.models import (
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Currency,
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Operation,
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OperationCode,
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OperationType,
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Portfolio,
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Security,
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)
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from app.db.types import Quantity
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def _sum_quantity(code: str) -> Any:
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# type_ — чтобы и SQLite вернул Decimal, а не float.
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return func.sum(
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case((OperationType.code == code, Operation.quantity), else_=0),
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type_=Quantity,
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)
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class OperationRepository:
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def __init__(self, session: AsyncSession) -> None:
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self.session = session
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async def add_many(self, rows: Sequence[dict[str, Any]]) -> None:
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"""Пакетная вставка (executemany): в день размещения в файле 1000+
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строк. Коммит — на вызывающей стороне, в одной транзакции с
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import_batch."""
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if rows:
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await self.session.execute(insert(Operation), list(rows))
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async def add(self, **values: Any) -> Operation:
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operation = Operation(**values)
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self.session.add(operation)
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await self.session.flush()
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return operation
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async def list_manual(
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self, limit: int
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) -> list[tuple[Operation, str, str, str, str, str]]:
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"""Ручные операции (без файла), новые сверху ->
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(операция, код типа, портфель, ISIN, краткое имя, валюта)."""
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result = await self.session.execute(
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select(
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Operation,
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OperationType.code,
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Portfolio.code,
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Security.isin,
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Security.name,
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Currency.code,
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)
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.join(OperationType, OperationType.id == Operation.operation_type_id)
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.join(Portfolio, Portfolio.id == Operation.portfolio_id)
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.join(Security, Security.id == Operation.security_id)
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.join(Currency, Currency.id == Operation.currency_id)
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.where(Operation.import_batch_id.is_(None))
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.order_by(Operation.id.desc())
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.limit(limit)
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)
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return [tuple(row) for row in result.all()]
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async def quantities_on(
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self, on_date: date, portfolio_id: int | None = None
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) -> list[tuple[str, str, str, str, Decimal, Decimal]]:
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"""Куплено и продано, шт, по портфелю и бумаге по сделкам с trade_date
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не позже даты -> (портфель, ISIN, краткое имя, валюта бумаги, куплено,
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продано). Пары без BUY/SELL не попадают."""
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bought = _sum_quantity(OperationCode.BUY)
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sold = _sum_quantity(OperationCode.SELL)
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stmt = (
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select(
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Portfolio.code,
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Security.isin,
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Security.name,
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Currency.code,
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bought,
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sold,
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)
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.join(OperationType, OperationType.id == Operation.operation_type_id)
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.join(Portfolio, Portfolio.id == Operation.portfolio_id)
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.join(Security, Security.id == Operation.security_id)
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.join(Currency, Currency.id == Security.currency_id)
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.where(
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OperationType.code.in_((OperationCode.BUY, OperationCode.SELL)),
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Operation.trade_date <= on_date,
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)
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.group_by(
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Portfolio.id,
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Portfolio.code,
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Security.isin,
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Security.name,
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Currency.code,
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)
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.order_by(Portfolio.id, Security.name, Security.isin)
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)
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if portfolio_id is not None:
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stmt = stmt.where(Operation.portfolio_id == portfolio_id)
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result = await self.session.execute(stmt)
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return [tuple(row) for row in result.all()]
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async def open_security_ids(self, on_date: date) -> list[int]:
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"""Бумаги, у которых хоть в одном портфеле остаток на конец дня не 0
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(D10, D29). Отрицательный остаток — тоже открытая позиция."""
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balance = _sum_quantity(OperationCode.BUY) - _sum_quantity(OperationCode.SELL)
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result = await self.session.execute(
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select(Operation.security_id)
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.join(OperationType, OperationType.id == Operation.operation_type_id)
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.where(
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OperationType.code.in_((OperationCode.BUY, OperationCode.SELL)),
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Operation.trade_date <= on_date,
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)
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.group_by(Operation.portfolio_id, Operation.security_id)
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.having(balance != 0)
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)
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return sorted(set(result.scalars().all()))
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