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401
modules/purchase_trade/derivative.py
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401
modules/purchase_trade/derivative.py
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import datetime
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from trytond.model import ModelSQL, ModelView, fields
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from trytond.pool import Pool
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from trytond.transaction import Transaction
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from sql import Literal
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from sql.functions import CurrentTimestamp
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from trytond.wizard import Button, StateTransition, StateView, Wizard
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from trytond.pyson import Bool, Eval, Id, If
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class DerivativeMatch(ModelSQL, ModelView):
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"Derivative Match"
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__name__ = 'derivative.match'
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long_position = fields.Many2One('derivative.derivative', 'Long Position', required=True)
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short_position = fields.Many2One('derivative.derivative', 'Short Position', required=True)
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quantity = fields.Numeric('Matched Quantity', digits='unit', required=True)
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match_date = fields.Date('Match Date', required=True)
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method = fields.Selection([
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('fifo', 'FIFO'),
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('lifo', 'LIFO'),
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('manual', 'Manual'),
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], 'Method', required=True)
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pnl = fields.Function(fields.Numeric('PnL', digits='currency'), 'get_pnl')
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def get_pnl(self, name):
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return (self.short_position.price - self.long_position.price) * self.quantity
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class Derivative(ModelSQL,ModelView):
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"Derivative"
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__name__ = 'derivative.derivative'
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purchase = fields.Many2One('purchase.purchase',"Purchase")
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line = fields.Many2One('purchase.line',"Purch. Line")
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efp = fields.Boolean("EFP")
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price_index = fields.Many2One('price.price',"Curve")
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nb_ct = fields.Integer("Nb ct")
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price = fields.Numeric("Entry price",digits='currency')
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exit_price = fields.Numeric("Exit price",digits='currency')
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product = fields.Many2One('product.product',"Product")
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party = fields.Many2One('party.party','Supplier')
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currency = fields.Function(fields.Many2One('currency.currency',"Cur"),'get_cur')
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quantity = fields.Function(fields.Numeric("Quantity",digits='unit'),'get_qt')
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alloc_qty = fields.Function(fields.Numeric("Alloc. Qty",digits='unit'),'get_alloc_qt')
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unit = fields.Function(fields.Many2One('product.uom',"Unit"),'get_unit')
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amount = fields.Function(fields.Numeric("Amount",digits='currency'),'get_amount')
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currency2 = fields.Function(fields.Many2One('currency.currency',"Cur"),'get_cur2')
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trade_date = fields.Date('Trade Date')
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maturity_date = fields.Date('Maturity')
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open_qty = fields.Numeric('Open Quantity', digits='unit')
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matches_long = fields.One2Many('derivative.match', 'long_position', 'Matches (Long)', states={'invisible': (Eval('direction') == 'long')})
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matches_short = fields.One2Many('derivative.match', 'short_position', 'Matches (Short)', states={'invisible': (Eval('direction') == 'short')})
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direction = fields.Selection([
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('long', 'Long'),
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('short', 'Short'),
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], 'Direction', required=True)
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state = fields.Selection([
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('open', 'Open'),
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('closed', 'Closed'),
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], 'State', required=True)
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@classmethod
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def default_state(cls):
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return 'open'
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def get_amount(self,name):
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if self.price_index and self.line and self.price and self.nb_ct:
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#pi = Pool().get('price.price')(self.price_index)
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return self.price_index.get_amount_nb_ct(self.price,self.nb_ct,self.line.unit,self.line.purchase.currency if self.line.purchase else self.sale_line.sale.currency)
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def get_cur(self,name):
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if self.price_index:
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#pi = Pool().get('price.price')(self.price_index)
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return self.price_index.price_currency
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def get_cur2(self,name):
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if self.purchase:
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return self.purchase.currency
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def get_unit(self,name):
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if self.line:
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return self.line.unit
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def get_qt(self,name):
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if self.line:
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line = self.line
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else:
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if self.purchase and self.purchase.lines:
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line = self.purchase.lines[0]
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else:
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line = None
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if self.price_index and self.nb_ct and line:
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return self.price_index.get_qt(self.nb_ct,line.unit)
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def get_alloc_qt(self,name):
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if self.line:
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line = self.line
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else:
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if self.purchase and self.purchase.lines:
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line = self.purchase.lines[0]
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else:
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line = None
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if self.price_index and self.nb_ct and line:
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if line.price_summary:
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return line.price_summary[0].fixed_qt
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class MatchWizardStart(ModelView):
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"Match Selected Derivatives"
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__name__ = 'derivative.match.start'
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method = fields.Selection([
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('fifo', 'FIFO'),
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('lifo', 'LIFO'),
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('manual', 'Manual'),
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], 'Method', required=True)
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quantity = fields.Numeric(
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'Quantity to Match',
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digits='unit',
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required=True
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)
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class DerivativeMatchWizard(Wizard):
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"Derivative Match Wizard"
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__name__ = 'derivative.match.wizard'
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start = StateView(
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'derivative.match.start',
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'purchase_trade.derivative_match_start_form_view',
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[
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Button('Cancel', 'end', 'tryton-cancel'),
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Button('Match', 'match', 'tryton-ok', default=True),
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]
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)
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match = StateTransition()
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def transition_match(self):
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pool = Pool()
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Derivative = pool.get('derivative.derivative')
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Date = pool.get('ir.date')
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Match = pool.get('derivative.match')
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active_ids = Transaction().context.get('active_ids', [])
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if not active_ids:
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return 'end'
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positions = Derivative.browse(active_ids)
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longs = [
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p for p in positions
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if p.direction == 'long'
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and p.state == 'open'
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and p.open_qty > 0
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]
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shorts = [
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p for p in positions
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if p.direction == 'short'
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and p.state == 'open'
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and p.open_qty > 0
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]
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if not longs or not shorts:
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return 'end'
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# FIFO / LIFO ordering
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reverse = self.start.method == 'lifo'
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longs.sort(key=lambda p: p.trade_date or datetime.date.min, reverse=reverse)
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shorts.sort(key=lambda p: p.trade_date or datetime.date.min, reverse=reverse)
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remaining_qty = self.start.quantity
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for long_pos in longs:
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if remaining_qty <= 0:
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break
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for short_pos in shorts:
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if remaining_qty <= 0:
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break
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match_qty = min(
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long_pos.open_qty,
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short_pos.open_qty,
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remaining_qty
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)
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if match_qty <= 0:
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continue
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Match.create([{
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'long_position': long_pos.id,
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'short_position': short_pos.id,
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'quantity': match_qty,
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'method': self.start.method,
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'match_date': Date.today(),
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}])
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long_pos.open_qty -= match_qty
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short_pos.open_qty -= match_qty
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remaining_qty -= match_qty
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if long_pos.open_qty == 0:
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long_pos.state = 'closed'
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if short_pos.open_qty == 0:
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short_pos.state = 'closed'
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long_pos.save()
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short_pos.save()
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return 'end'
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class DerivativeReport(ModelSQL, ModelView):
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"Derivative Position Report"
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__name__ = 'derivative.report'
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r_derivative = fields.Many2One(
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'derivative.derivative',
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"Derivative"
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)
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r_trade_date = fields.Date("Trade Date")
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r_maturity_date = fields.Date("Maturity")
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r_product = fields.Many2One(
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'product.product',
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"Product"
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)
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r_party = fields.Many2One(
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'party.party',
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"Counterparty"
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)
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r_direction = fields.Selection([
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(None, ''),
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('long', 'Long'),
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('short', 'Short'),
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], 'Direction')
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r_state = fields.Selection([
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('open', 'Open'),
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('closed', 'Closed'),
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], 'State')
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r_quantity = fields.Function(fields.Numeric("Initial Qty",digits='unit'),'get_qt')
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r_open_qty = fields.Numeric(
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"Open Qty",
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digits='unit'
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)
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r_price = fields.Numeric(
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"Entry Price",
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digits='currency'
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)
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r_currency = fields.Function(fields.Many2One('currency.currency',"Currency"),'get_cur')
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def get_cur(self,name):
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if self.r_derivative:
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if self.r_derivative.price_index:
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return self.r_derivative.price_index.price_currency
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def get_qt(self,name):
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if self.r_derivative:
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if self.r_derivative.line:
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line = self.r_derivative.line
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else:
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if self.r_derivative.purchase and self.r_derivative.purchase.lines:
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line = self.r_derivative.purchase.lines[0]
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else:
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line = None
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if self.r_derivative.price_index and self.r_derivative.nb_ct and line:
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return self.r_derivative.price_index.get_qt(self.r_derivative.nb_ct,line.unit)
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# ------------------------------------------------------------
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# TABLE QUERY
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# ------------------------------------------------------------
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@classmethod
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def table_query(cls):
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pool = Pool()
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Derivative = pool.get('derivative.derivative')
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d = Derivative.__table__()
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context = Transaction().context
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product = context.get('product')
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party = context.get('party')
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direction = context.get('direction')
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state = context.get('state')
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trade_from = context.get('trade_from')
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trade_to = context.get('trade_to')
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maturity_from = context.get('maturity_from')
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maturity_to = context.get('maturity_to')
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open_only = context.get('open_only')
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wh = Literal(True)
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if product:
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wh &= (d.product == product)
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if party:
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wh &= (d.party == party)
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if direction:
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wh &= (d.direction == direction)
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if state:
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wh &= (d.state == state)
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if open_only:
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wh &= (d.open_qty > 0)
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if trade_from:
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wh &= (d.trade_date >= trade_from)
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if trade_to:
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wh &= (d.trade_date <= trade_to)
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if maturity_from:
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wh &= (d.maturity_date >= maturity_from)
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if maturity_to:
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wh &= (d.maturity_date <= maturity_to)
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query = d.select(
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# mandatory technical fields
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Literal(0).as_('create_uid'),
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CurrentTimestamp().as_('create_date'),
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Literal(None).as_('write_uid'),
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Literal(None).as_('write_date'),
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d.id.as_('id'),
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d.id.as_('r_derivative'),
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d.trade_date.as_('r_trade_date'),
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d.maturity_date.as_('r_maturity_date'),
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d.product.as_('r_product'),
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d.party.as_('r_party'),
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d.direction.as_('r_direction'),
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d.state.as_('r_state'),
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#d.quantity.as_('r_quantity'),
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d.open_qty.as_('r_open_qty'),
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d.price.as_('r_price'),
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where=wh
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)
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return query
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# ------------------------------------------------------------
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# SEARCH NAME
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# ------------------------------------------------------------
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@classmethod
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def search_rec_name(cls, name, clause):
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_, operator, operand, *extra = clause
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return [
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'OR',
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('r_product', operator, operand, *extra),
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('r_party', operator, operand, *extra),
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]
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class DerivativeReportContext(ModelView):
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"Derivative Report Context"
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__name__ = 'derivative.report.context'
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trade_from = fields.Date("Trade Date From")
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trade_to = fields.Date("Trade Date To")
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maturity_from = fields.Date("Maturity From")
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maturity_to = fields.Date("Maturity To")
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product = fields.Many2One(
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'product.product',
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"Product"
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)
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party = fields.Many2One(
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'party.party',
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"Counterparty"
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)
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direction = fields.Selection([
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('long', 'Long'),
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('short', 'Short'),
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], 'Direction')
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state = fields.Selection([
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('open', 'Open'),
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('closed', 'Closed'),
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], 'State')
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open_only = fields.Boolean("Open Positions Only")
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@classmethod
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def default_trade_from(cls):
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return datetime.date(1999, 1, 1)
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@classmethod
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def default_trade_to(cls):
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pool = Pool()
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Date = pool.get('ir.date')
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return Date.today()
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