feat(analytics): доходы, ребалансировка, налоги, бенчмарки и цели — фаза 4
Второй источник выплат: sources/tinvest/sync_events.py (GetDividends, GetBondCoupons, GetBondEvents) и sources/moex/payouts.py (ISS bondization + dividends). Приоритет между ними — pricing/payouts.resolve_payouts, решается на чтении, а не на записи: corporate_action уникален по (instrument_id, kind, source, source_id), обе версии сосуществуют, и правило можно поменять без ресинка истории. Амортизация от MOEX идёт в bond_nominal_schedule, а не в corporate_action — этим типом безраздельно владеет ledger/corporate_actions.py. analytics/income.py — metric_income_monthly (факт) и metric_income_calendar (прошлое и прогноз) с basis paid/announced/history на каждой строке, три источника числа не смешиваются. analytics/rebalance.py — сделки по portfolio_target пропорционально внутри бакета, лоты только вниз, покупки не занимают у ещё не свершившихся продаж. analytics/tax.py — оценка, не замена справки брокера: дивиденды/купоны gross, реализованный результат из lot_disposal с переоценкой каждой ноги на свою дату. analytics/benchmarks.py — TWR индекса на сетке портфеля, kind (price/total_return) не скрывается. analytics/goals.py — прогресс цели и нужный взнос по trailing XIRR. Четыре шага зарегистрированы в register_steps: benchmarks после returns (общая сетка дат), rebalance после allocation (её веса, не пересчитывает), income и tax после lots (нужен lot_disposal).
This commit is contained in:
Dmitry
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"""Rebalancing: the pure planning rules, then the refresh step end to end."""
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from datetime import timedelta
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from decimal import Decimal
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import pytest
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from sqlalchemy import select
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from factories import make_account, make_event, make_instrument, make_price, refresh
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from fintracker.analytics import FINDINGS, today_local
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from fintracker.analytics.rebalance import (
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Position,
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Target,
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build_plan,
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compute_rebalance,
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rebuild_rebalance,
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)
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from fintracker.db import get_sessionmaker
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from fintracker.models import (
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AccountKind,
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AccountRole,
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AllocationDimension,
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AssetClass,
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EventKind,
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Instrument,
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MetricAllocation,
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MetricRebalance,
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Portfolio,
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PortfolioAccount,
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PortfolioTarget,
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)
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D = Decimal
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DIM = AllocationDimension
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def position(
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instrument_id: int = 1,
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*,
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ticker: str = "SBER",
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lot: int = 10,
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qty: str = "100",
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unit: str = "275",
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) -> Position:
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return Position(
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instrument_id=instrument_id,
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ticker=ticker,
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name=ticker,
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lot=lot,
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qty=D(qty),
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unit_value_rub=D(unit),
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price=D(unit),
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price_currency="RUB",
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)
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def plan(
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*,
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bucket_values: dict[str, Decimal],
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positions: dict[str, list[Position]],
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targets: dict[str, Target],
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cash: str = "1000000",
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):
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total = sum((v for v in bucket_values.values() if v > 0), start=D(0))
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return build_plan(
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portfolio_id=1,
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dimension=DIM.asset_class,
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as_of=today_local(),
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total_value_rub=total,
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bucket_values=bucket_values,
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positions=positions,
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targets=targets,
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cash_available_rub=D(cash),
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)
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def bucket(result, name: str):
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return next(b for b in result.buckets if b.bucket == name)
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# --------------------------------------------------------------------------- lots and cash
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def test_a_buy_is_whole_lots_even_when_the_money_would_stretch_further():
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# 100 lots' worth of money, a lot of 10 at 275 => 2750 a lot
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result = plan(
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bucket_values={"share": D("27500"), "cash": D("22500")},
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positions={"share": [position(qty="100", unit="275", lot=10)]},
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targets={"share": Target(D("0.8")), "cash": Target(D("0.2"))},
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cash="22500",
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)
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trade = bucket(result, "share").trades[0]
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assert trade.action == "buy"
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# 0.8 * 50000 - 27500 = 12500 -> 45.45 units -> 4 lots = 40, never 45
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assert trade.qty == D(40)
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assert trade.qty % trade.lot == 0
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assert trade.amount_rub == D(40) * D("275")
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def test_a_buy_is_cut_to_the_cash_on_hand_and_says_so():
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result = plan(
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bucket_values={"share": D("27500"), "cash": D("22500")},
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positions={"share": [position(qty="100", unit="275", lot=10)]},
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targets={"share": Target(D("0.8")), "cash": Target(D("0.2"))},
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cash="6000",
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)
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trade = bucket(result, "share").trades[0]
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# 6000 buys two lots (5500), not the 4 the target asks for
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assert trade.qty == D(20)
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assert trade.blocked_by_cash is True
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assert trade.amount_rub <= D("6000")
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def test_no_cash_at_all_still_reports_the_blocked_buy_rather_than_hiding_it():
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result = plan(
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bucket_values={"share": D("27500"), "cash": D("22500")},
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positions={"share": [position(qty="100", unit="275", lot=10)]},
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targets={"share": Target(D("0.8")), "cash": Target(D("0.2"))},
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cash="0",
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)
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trade = bucket(result, "share").trades[0]
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assert trade.qty == D(0)
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assert trade.blocked_by_cash is True
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def test_cash_is_spent_once_across_buckets():
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result = plan(
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bucket_values={"share": D("1000"), "bond": D("1000"), "cash": D("8000")},
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positions={
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"share": [position(1, ticker="SBER", qty="10", unit="100", lot=1)],
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"bond": [position(2, ticker="OFZ", qty="10", unit="100", lot=1)],
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},
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targets={"share": Target(D("0.45")), "bond": Target(D("0.45")), "cash": Target(D("0.1"))},
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cash="1000",
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)
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spent = sum(t.amount_rub for b in result.buckets for t in b.trades if t.action == "buy")
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assert spent <= D("1000")
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# --------------------------------------------------------------------------- the band
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def test_a_drift_inside_the_band_proposes_nothing():
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result = plan(
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bucket_values={"share": D("6200"), "bond": D("3800")},
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positions={"share": [position(qty="62", unit="100", lot=1)]},
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targets={"share": Target(D("0.6"), D("0.05")), "bond": Target(D("0.4"), D("0.05"))},
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)
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share = bucket(result, "share")
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assert share.drift == D("0.02")
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assert share.within_band is True
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assert share.trades == []
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assert share.delta_value_rub == D(0)
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def test_the_same_drift_outside_the_band_proposes_a_trade():
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result = plan(
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bucket_values={"share": D("6200"), "bond": D("3800")},
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positions={
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"share": [position(qty="62", unit="100", lot=1)],
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"bond": [position(2, ticker="OFZ", qty="38", unit="100", lot=1)],
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},
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targets={"share": Target(D("0.6"), D("0.01")), "bond": Target(D("0.4"), D("0.01"))},
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)
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share = bucket(result, "share")
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assert share.within_band is False
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assert share.trades[0].action == "sell"
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assert share.trades[0].qty == D(2)
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# --------------------------------------------------------------------------- sells
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def test_a_sell_never_exceeds_the_position_and_never_goes_short():
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# the bucket must shrink by more than it holds: the target moved to zero
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result = plan(
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bucket_values={"share": D("1000"), "bond": D("9000")},
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positions={"share": [position(qty="10", unit="100", lot=1)]},
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targets={"share": Target(D("0")), "bond": Target(D("1"))},
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)
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trade = bucket(result, "share").trades[0]
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assert trade.action == "sell"
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assert trade.qty == D(10)
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assert trade.qty <= D(10)
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def test_a_sell_is_capped_to_whole_lots_of_what_is_held():
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# 25 units of a 10-lot paper: at most two lots can be sold
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result = plan(
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bucket_values={"share": D("2500"), "bond": D("7500")},
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positions={"share": [position(qty="25", unit="100", lot=10)]},
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targets={"share": Target(D("0")), "bond": Target(D("1"))},
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)
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trade = bucket(result, "share").trades[0]
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assert trade.qty == D(20)
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def test_a_bucket_is_trimmed_proportionally_not_from_one_paper():
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result = plan(
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bucket_values={"share": D("10000"), "bond": D("0")},
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positions={
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"share": [
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position(1, ticker="BIG", qty="75", unit="100", lot=1),
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position(2, ticker="SMALL", qty="25", unit="100", lot=1),
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]
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},
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targets={"share": Target(D("0.5")), "bond": Target(D("0.5"))},
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)
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by_ticker = {t.ticker: t.qty for t in bucket(result, "share").trades}
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# 5000 to raise, split 75/25 by value: 37 and 12 units (floored to whole lots)
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assert by_ticker == {"BIG": D(37), "SMALL": D(12)}
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def test_a_bucket_with_nothing_priced_in_it_warns_instead_of_inventing_a_trade():
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result = plan(
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bucket_values={"share": D("10000"), "bond": D("0")},
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positions={},
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targets={"share": Target(D("0.5")), "bond": Target(D("0.5"))},
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)
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assert bucket(result, "share").trades == []
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assert any("share" in w for w in result.warnings)
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def test_the_cash_bucket_needs_no_trades_and_produces_no_warning():
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result = plan(
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bucket_values={"share": D("5000"), "cash": D("5000")},
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positions={"share": [position(qty="50", unit="100", lot=1)]},
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targets={"share": Target(D("0.9")), "cash": Target(D("0.1"))},
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cash="5000",
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)
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assert bucket(result, "cash").trades == []
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assert not any("cash" in w for w in result.warnings)
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def test_a_bucket_without_a_target_is_reported_but_never_traded():
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result = plan(
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bucket_values={"share": D("5000"), "etf": D("5000")},
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positions={"etf": [position(2, ticker="TMOS", qty="50", unit="100", lot=1)]},
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targets={"share": Target(D("1"))},
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)
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etf = bucket(result, "etf")
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assert etf.target_weight is None
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assert etf.drift is None
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assert etf.trades == []
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def test_every_number_in_the_plan_is_a_decimal():
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result = plan(
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bucket_values={"share": D("6200"), "bond": D("3800")},
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positions={"share": [position(qty="62", unit="100", lot=1)]},
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targets={"share": Target(D("0.5")), "bond": Target(D("0.5"))},
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)
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for b in result.buckets:
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for value in (b.current_value_rub, b.current_weight, b.delta_value_rub):
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assert isinstance(value, Decimal)
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for t in b.trades:
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for value in (t.qty, t.price, t.amount_rub):
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assert isinstance(value, Decimal)
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# --------------------------------------------------------------------------- database
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async def _portfolio_with(*, unpriced: bool) -> dict[str, int]:
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"""A broker account in a portfolio: 500 SBER (lot 10), 20 OFZ, the rest in cash."""
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t = today_local()
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bought = t - timedelta(days=40)
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account = await make_account(
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name="Брокерский",
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kind=AccountKind.broker,
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role=AccountRole.investment,
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balance=None,
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include_in_net_worth=False,
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source="tinvest",
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)
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sber = await make_instrument(ticker="SBER", name="Сбербанк", asset_class=AssetClass.share)
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ofz = await make_instrument(ticker="OFZ", name="ОФЗ", asset_class=AssetClass.bond)
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async with get_sessionmaker()() as session:
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instrument = await session.get(Instrument, sber)
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assert instrument is not None
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instrument.lot = 10
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portfolio = Portfolio(name="Основной")
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session.add(portfolio)
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await session.flush()
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session.add(PortfolioAccount(portfolio_id=portfolio.id, account_id=account))
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portfolio_id = portfolio.id
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await session.commit()
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await make_event(bought, account_id=account, kind=EventKind.deposit, amount="100000")
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await make_event(
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bought,
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account_id=account,
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kind=EventKind.buy,
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instrument_id=sber,
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quantity="500",
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price="100",
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amount="-50000",
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)
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await make_event(
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bought,
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account_id=account,
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kind=EventKind.buy,
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instrument_id=ofz,
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quantity="20",
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price="1000",
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amount="-20000",
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)
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ids = {"account": account, "portfolio": portfolio_id, "sber": sber, "ofz": ofz}
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if unpriced:
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silent = await make_instrument(
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ticker="SIBN6P4", name="Без цены", asset_class=AssetClass.share, board="SPBRUBND"
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)
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await make_event(
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bought,
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account_id=account,
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kind=EventKind.buy,
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instrument_id=silent,
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quantity="5",
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price="1000",
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amount="-5000",
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)
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ids["silent"] = silent
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d = bought
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while d <= t:
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await make_price(d, instrument_id=sber, close="100")
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await make_price(d, instrument_id=ofz, close="1000")
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d += timedelta(days=1)
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await refresh()
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return ids
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async def _set_targets(portfolio_id: int, rows: list[tuple[str, str, str]]) -> None:
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async with get_sessionmaker()() as session:
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for bucket_name, weight, band in rows:
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session.add(
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PortfolioTarget(
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portfolio_id=portfolio_id,
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dimension=DIM.asset_class,
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bucket=bucket_name,
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target_weight=D(weight),
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band=D(band),
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)
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)
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await session.commit()
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@pytest.fixture
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async def portfolio(app) -> dict[str, int]:
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ids = await _portfolio_with(unpriced=False)
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await _set_targets(
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ids["portfolio"],
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[("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")],
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)
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return ids
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async def test_the_step_fills_the_target_columns_of_metric_allocation(portfolio):
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async with get_sessionmaker()() as session:
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await rebuild_rebalance(session)
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await session.commit()
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rows = (
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(
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await session.execute(
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select(MetricAllocation).where(
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MetricAllocation.scope == f"portfolio:{portfolio['portfolio']}",
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MetricAllocation.dimension == DIM.asset_class,
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)
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)
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)
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.scalars()
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.all()
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)
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by_bucket = {r.bucket: r for r in rows}
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assert by_bucket["share"].target_weight == D("0.6")
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assert by_bucket["share"].weight == D("0.5")
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assert by_bucket["share"].drift == D("-0.1")
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assert by_bucket["cash"].target_weight == D("0.2")
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assert by_bucket["cash"].drift == D("0.1")
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async def test_metric_rebalance_agrees_with_metric_allocation(portfolio):
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async with get_sessionmaker()() as session:
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await rebuild_rebalance(session)
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await session.commit()
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allocation = {
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r.bucket: r
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for r in (
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(
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await session.execute(
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select(MetricAllocation).where(
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MetricAllocation.scope == f"portfolio:{portfolio['portfolio']}",
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MetricAllocation.dimension == DIM.asset_class,
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)
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)
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)
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.scalars()
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.all()
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)
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}
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summaries = {
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r.bucket: r
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for r in (
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(
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await session.execute(
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select(MetricRebalance).where(MetricRebalance.instrument_id.is_(None))
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)
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)
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.scalars()
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.all()
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)
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}
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trades = (
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(
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await session.execute(
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select(MetricRebalance).where(MetricRebalance.instrument_id.is_not(None))
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)
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)
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.scalars()
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.all()
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)
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for name, row in summaries.items():
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assert row.current_weight == allocation[name].weight
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assert row.target_weight == allocation[name].target_weight
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assert row.current_value_rub == allocation[name].value_rub
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|
||||
# 0.6 of 100 000 is 60 000 against 50 000 held: 100 more shares at 100, lot 10
|
||||
buy = next(t for t in trades if t.instrument_id == portfolio["sber"])
|
||||
assert buy.suggested_qty == D(100)
|
||||
assert buy.suggested_qty is not None
|
||||
assert buy.lot is not None
|
||||
assert buy.suggested_qty % buy.lot == 0
|
||||
assert buy.blocked_by_cash is False
|
||||
# the bond bucket sits exactly on its target and proposes nothing
|
||||
assert summaries["bond"].within_band is True
|
||||
assert not [t for t in trades if t.instrument_id == portfolio["ofz"]]
|
||||
|
||||
|
||||
async def test_an_instrument_without_a_price_is_left_out_but_reported(app):
|
||||
ids = await _portfolio_with(unpriced=True)
|
||||
await _set_targets(
|
||||
ids["portfolio"],
|
||||
[("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")],
|
||||
)
|
||||
FINDINGS.reset()
|
||||
async with get_sessionmaker()() as session:
|
||||
await rebuild_rebalance(session)
|
||||
await session.commit()
|
||||
trades = (
|
||||
(
|
||||
await session.execute(
|
||||
select(MetricRebalance).where(MetricRebalance.instrument_id.is_not(None))
|
||||
)
|
||||
)
|
||||
.scalars()
|
||||
.all()
|
||||
)
|
||||
assert ids["silent"] not in {t.instrument_id for t in trades}
|
||||
assert any(
|
||||
f.check_name == "rebalance_incomplete" and "SIBN6P4" in f.detail for f in FINDINGS.items
|
||||
)
|
||||
|
||||
|
||||
async def test_the_what_if_cash_overrides_the_real_balance(portfolio):
|
||||
async with get_sessionmaker()() as session:
|
||||
real = await compute_rebalance(session, portfolio["portfolio"], DIM.asset_class)
|
||||
poor = await compute_rebalance(
|
||||
session, portfolio["portfolio"], DIM.asset_class, cash_available_rub=D("500")
|
||||
)
|
||||
assert real.cash_available_rub == D("30000")
|
||||
rich_trade = next(t for b in real.buckets for t in b.trades)
|
||||
poor_trade = next(t for b in poor.buckets for t in b.trades)
|
||||
assert poor_trade.qty < rich_trade.qty
|
||||
assert poor_trade.blocked_by_cash is True
|
||||
Reference in New Issue
Block a user