Initial import from Docker volume
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367
modules/risk/position.py
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367
modules/risk/position.py
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import stdnum.exceptions
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from sql import Column, Literal
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import datetime
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from sql.aggregate import Count, Max, Min, Sum, Avg, BoolOr
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from sql.conditionals import Case
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from stdnum import get_cc_module
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from sql.functions import CharLength, CurrentTimestamp, DateTrunc, Extract
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from trytond.i18n import gettext
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from trytond.model import (
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DeactivableMixin, Index, ModelSQL, ModelView, MultiValueMixin, Unique,
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ValueMixin, convert_from, fields, sequence_ordered)
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from trytond.model.exceptions import AccessError
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from trytond.pool import Pool
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from trytond.pyson import Bool, Eval
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from trytond.tools import is_full_text, lstrip_wildcard
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from trytond.transaction import Transaction, inactive_records
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from trytond.wizard import Button, StateTransition, StateView, Wizard
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from decimal import Decimal
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import logging
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logger = logging.getLogger(__name__)
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class PositionVar(ModelSQL, ModelView):
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"Position var"
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__name__ = 'risk.position.var'
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var = fields.Many2One('risk.var',"Var")
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position = fields.Many2One('risk.position',"Position")
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d_var = fields.Numeric("VaR")
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d_cvar = fields.Numeric("CVaR")
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d_cdar = fields.Numeric("CDaR")
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whatif = fields.Numeric("Whatif")
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@classmethod
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def default_whatif(cls):
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return 1
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class Position(ModelSQL, ModelView):
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"Position"
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__name__ = 'risk.position'
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commodity = fields.Char("Commodity")
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type = fields.Char("Type")
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trader = fields.Char("Trader")
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reference = fields.Char("Reference")
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product = fields.Char("Product")
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origin = fields.Char("Origin")
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future_market = fields.Char("Future market")
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currency = fields.Char("Currency")
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month = fields.Char("Month")
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ct_type = fields.Char("Ct type")
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quantity = fields.Numeric("Quantity")
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basis = fields.Numeric("Basis")
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price = fields.Numeric("Price")
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pricing_type = fields.Char("Pricing type")
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var = fields.Numeric("VaR")
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cvar = fields.Numeric("CVaR")
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cdar = fields.Numeric("CDaR")
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whatif = fields.Numeric("Whatif")
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@classmethod
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def default_whatif(cls):
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return 0
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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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if operator.startswith('!') or operator.startswith('not '):
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bool_op = 'AND'
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else:
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bool_op = 'OR'
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code_value = operand
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if operator.endswith('like') and is_full_text(operand):
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code_value = lstrip_wildcard(operand)
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return [bool_op,
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('commodity', operator, operand, *extra),
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('trader', operator, operand, *extra),
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('product', operator, operand, *extra),
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('origin', operator, operand, *extra),
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]
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class PositionReport(ModelSQL, ModelView):
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"Position report"
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__name__ = 'risk.position.report'
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commodity = fields.Char("Commodity")
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type = fields.Char("Type")
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trader = fields.Char("Trader")
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reference = fields.Char("Reference")
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product = fields.Char("Product")
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origin = fields.Char("Origin")
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future_market = fields.Char("Future market")
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currency = fields.Char("Currency")
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month = fields.Char("Month")
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ct_type = fields.Char("Ct type")
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quantity = fields.Numeric("Quantity")
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basis = fields.Numeric("Basis")
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price = fields.Numeric("Price")
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pricing_type = fields.Char("Pricing type")
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var = fields.Numeric("VaR")
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cvar = fields.Numeric("CVaR")
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cdar = fields.Numeric("CDaR")
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var_amount = fields.Numeric("VaR amt")
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cvar_amount = fields.Numeric("CVaR amt")
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cdar_amount = fields.Numeric("CDaR amt")
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whatif = fields.Numeric("Whatif")
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@classmethod
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def table_query(cls):
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pool = Pool()
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Pos = pool.get('risk.position')
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pos = Pos.__table__()
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Pos_var = pool.get('risk.position.var')
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pos2 = Pos_var.__table__()
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context = Transaction().context
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trader = context.get('trader')
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product = context.get('product')
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month = context.get('month')
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market = context.get('market')
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asof = context.get('asof')
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todate = context.get('todate')
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var = context.get('var')
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groupby = context.get('groupby')
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wh = (((pos.quantity >= 0) & (pos.create_date >= asof) & ((pos.create_date-datetime.timedelta(1)) <= todate)))
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if trader:
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wh &= (pos.trader == trader)
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if product:
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wh &= (pos.product == product)
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if month:
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wh &= (pos.month == month)
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if market:
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wh &= (pos.future_market == market)
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if var:
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wh &= (pos2.var == var)
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if groupby == None:
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query = pos.join(pos2,'LEFT',condition=pos.id == pos2.position).select(
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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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pos.id.as_('id'),
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pos.commodity.as_('commodity'),
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pos.type.as_('type'),
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pos.trader.as_('trader'),
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pos.reference.as_('reference'),
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pos.product.as_('product'),
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pos.origin.as_('origin'),
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pos.future_market.as_('future_market'),
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pos.currency.as_('currency'),
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pos.month.as_('month'),
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pos.ct_type.as_('ct_type'),
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pos.quantity.as_('quantity'),
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pos.basis.as_('basis'),
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pos.price.as_('price'),
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pos.pricing_type.as_('pricing_type'),
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pos2.d_var.as_('var'),
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pos2.d_cvar.as_('cvar'),
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pos2.d_cdar.as_('cdar'),
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(pos2.d_var * pos.quantity * pos.price * pos2.whatif).as_('var_amount'),
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(pos2.d_cvar * pos.quantity * pos.price).as_('cvar_amount'),
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(pos2.d_cdar * pos.quantity * pos.price).as_('cdar_amount'),
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(pos.whatif).as_('whatif'),
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where=wh)
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elif groupby == 'commo':
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query = pos.join(pos2,'LEFT',condition=pos.id == pos2.position).select(
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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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Max(pos.id).as_('id'),
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pos.commodity.as_('commodity'),
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Max(pos.type).as_('type'),
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Max(pos.trader).as_('trader'),
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Max(pos.reference).as_('reference'),
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Max(pos.product).as_('product'),
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Max(pos.origin).as_('origin'),
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Max(pos.future_market).as_('future_market'),
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Max(pos.currency).as_('currency'),
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Max(pos.month).as_('month'),
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Max(pos.ct_type).as_('ct_type'),
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Sum(pos.quantity).as_('quantity'),
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Avg(pos.basis).as_('basis'),
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Avg(pos.price).as_('price'),
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Max(pos.pricing_type).as_('pricing_type'),
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Avg(pos2.d_var).as_('var'),
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Avg(pos2.d_cvar).as_('cvar'),
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Avg(pos2.d_cdar).as_('cdar'),
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Sum(pos2.d_var * pos.quantity * pos.price * pos2.whatif).as_('var_amount'),
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Sum(pos2.d_cvar * pos.quantity * pos.price).as_('cvar_amount'),
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Sum(pos2.d_cdar * pos.quantity * pos.price).as_('cdar_amount'),
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Avg(pos.whatif).as_('whatif'),
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where=wh,
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group_by=[pos.commodity])
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elif groupby == 'market':
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query = pos.join(pos2,'LEFT',condition=pos.id == pos2.position).select(
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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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Max(pos.id).as_('id'),
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Max(pos.commodity).as_('commodity'),
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Max(pos.type).as_('type'),
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Max(pos.trader).as_('trader'),
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Max(pos.reference).as_('reference'),
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Max(pos.product).as_('product'),
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Max(pos.origin).as_('origin'),
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pos.future_market.as_('future_market'),
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Max(pos.currency).as_('currency'),
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Max(pos.month).as_('month'),
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Max(pos.ct_type).as_('ct_type'),
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Sum(pos.quantity).as_('quantity'),
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Avg(pos.basis).as_('basis'),
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Avg(pos.price).as_('price'),
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Max(pos.pricing_type).as_('pricing_type'),
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Avg(pos2.d_var).as_('var'),
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Avg(pos2.d_cvar).as_('cvar'),
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Avg(pos2.d_cdar).as_('cdar'),
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Sum(pos2.d_var * pos.quantity * pos.price * pos2.whatif).as_('var_amount'),
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Sum(pos2.d_cvar * pos.quantity * pos.price).as_('cvar_amount'),
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Sum(pos2.d_cdar * pos.quantity * pos.price).as_('cdar_amount'),
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Avg(pos.whatif).as_('whatif'),
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where=wh,
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group_by=[pos.future_market])
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elif groupby == 'month':
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query = pos.join(pos2,'LEFT',condition=pos.id == pos2.position).select(
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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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Max(pos.id).as_('id'),
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Max(pos.commodity).as_('commodity'),
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Max(pos.type).as_('type'),
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Max(pos.trader).as_('trader'),
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Max(pos.reference).as_('reference'),
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Max(pos.product).as_('product'),
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Max(pos.origin).as_('origin'),
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pos.future_market.as_('future_market'),
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Max(pos.currency).as_('currency'),
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pos.month.as_('month'),
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Max(pos.ct_type).as_('ct_type'),
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Sum(pos.quantity).as_('quantity'),
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Avg(pos.basis).as_('basis'),
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Avg(pos.price).as_('price'),
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Max(pos.pricing_type).as_('pricing_type'),
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Avg(pos2.d_var).as_('var'),
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Avg(pos2.d_cvar).as_('cvar'),
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Avg(pos2.d_cdar).as_('cdar'),
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Sum(pos2.d_var * pos.quantity * pos.price * pos2.whatif).as_('var_amount'),
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Sum(pos2.d_cvar * pos.quantity * pos.price).as_('cvar_amount'),
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Sum(pos2.d_cdar * pos.quantity * pos.price).as_('cdar_amount'),
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Avg(pos.whatif).as_('whatif'),
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where=wh,
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group_by=[pos.future_market,pos.month])
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return query
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@classmethod
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def view_attributes(cls):
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return super().view_attributes() + [
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('/tree/field[@name="trader"]', 'tree_invisible',
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(Eval('groupby')!=None)),
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('/tree/field[@name="product"]', 'tree_invisible',
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(Eval('groupby')!=None)),
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('/tree/field[@name="future_market"]', 'tree_invisible',
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(Eval('groupby')=='commo')),
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('/tree/field[@name="month"]', 'tree_invisible',
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(Eval('groupby').in_(['market', 'commo']))),
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]
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class PositionProcess(ModelSQL, ModelView):
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"Position process"
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__name__ = 'risk.position.process'
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future_market = fields.Char("Future market")
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month = fields.Char("Month")
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quantity = fields.Numeric("Quantity")
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@classmethod
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def table_query(cls):
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pool = Pool()
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Pos = pool.get('risk.position')
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pos = Pos.__table__()
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wh = ((pos.pricing_type != 'Priced') & (pos.ct_type != 'Inventory') & (pos.quantity > 0))
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query = pos.select(
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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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Max(pos.id).as_('id'),
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pos.future_market.as_('future_market'),
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pos.month.as_('month'),
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Sum(pos.quantity).as_('quantity'),
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where=wh,
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group_by=[pos.future_market,pos.month])
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return query
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class PositionContext(ModelView):
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"Lot Context"
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__name__ = 'risk.position.context'
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asof = fields.Date("As of")
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todate = fields.Date("To")
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trader = fields.Selection([
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(None, ''),
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("Simon Bourqui", "Simon Bourqui"),
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("Jean-Christophe Mani", "Jean-Christophe Mani"),
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("Gregoire Davidoff", "Gregoire Davidoff"),
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("Pablo Rapun","Pablo Rapun"),
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("Riccardo Zanin","Riccardo Zanin"),
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("Antoine Bonnot","Antoine Bonnot"),
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("Eric Bourgeois","Eric Bourgeois")
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],"Trader")
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product = fields.Selection([
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(None, ''),
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("Coffee", "Coffee"),
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("Cocoa", "Cocoa"),
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],"Product")
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month = fields.Selection([
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(None, ''),
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("Mar-24", "Mar-24"),
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("Jul-24", "Jul-24"),
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("Mar-26", "Mar-26"),
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("Dec-24","Dec-24"),
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("Dec-23","Dec-23"),
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("Nov-24","Nov-24"),
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("Dec-25","Dec-25"),
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("Sep-24", "Sep-24"),
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("Jul-25", "Jul-25"),
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("Mar-25", "Mar-25"),
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("May-25","May-25"),
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("May-24","May-24"),
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("Sep-25","Sep-25")
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],"Month")
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market = fields.Selection([
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(None, ''),
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("Coffee ICE US", "Coffee ICE US"),
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("Cocoa ICE US", "Cocoa ICE US"),
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("Coffee ICE EU", "Coffee ICE EU"),
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("Cocoa ICE EU", "Cocoa ICE EU")
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],"Market")
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var = fields.Many2One('risk.var',"VaR template",domain=[('execute','=',True)])
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groupby = fields.Selection([
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(None, ''),
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("commo", "Commodity"),
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("market", "Market"),
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("month", "Month"),
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],"Group by")
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@classmethod
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def default_asof(cls):
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pool = Pool()
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Date = pool.get('ir.date')
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return Date.today().replace(day=1,month=1,year=1999)
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@classmethod
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def default_todate(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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@classmethod
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def default_var(cls):
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Var = Pool().get('risk.var')
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var = Var.search([('execute','=',True)])
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if var:
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return var[0].id
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