feat(tinvest): история цен бумаги, которую MOEX не котирует, по дневным свечам брокера

TinvestClient.daily_candles отдаёт завершённые дневные свечи, sync добирает ими историю к цене брокера (_backfill_broker_prices). Тесты БД в этой среде не запускались (нет pg_config).
2026-09-19 22:13:42 +03:00
parent 29bf512735
commit 75933993b2
3 changed files with 395 additions and 2 deletions
@@ -0,0 +1,208 @@
+"""A paper only the broker quotes gets its price history from the broker's daily candles."""
+
+from __future__ import annotations
+
+from datetime import date, timedelta
+from decimal import Decimal
+
+from sqlalchemy import select
+
+from factories import make_account, make_event, make_instrument
+from fintracker.db import get_sessionmaker
+from fintracker.models import (
+    AccountKind,
+    AccountRole,
+    AssetClass,
+    EventKind,
+    FxRateDaily,
+    Instrument,
+)
+from fintracker.models.pricing import PriceDaily
+from fintracker.sources.tinvest.client import DayCandle, InstrumentInfo
+from fintracker.sources.tinvest.sync import _backfill_broker_prices
+
+D = Decimal
+TODAY = date(2026, 9, 19)
+
+
+class FakeClient:
+    """Only what `_backfill_broker_prices` calls; remembers what it was asked for."""
+
+    def __init__(self, candles: list[DayCandle], *, nominal: InstrumentInfo | None = None) -> None:
+        self.candles = candles
+        self.nominal = nominal
+        self.listed = 0
+        self.asked: list[tuple[str, date, date]] = []
+
+    async def reference_instrument(self, kind: str, *, uid: str) -> InstrumentInfo | None:
+        self.listed += 1
+        return self.nominal
+
+    async def daily_candles(self, uid: str, *, since: date, until: date) -> list[DayCandle]:
+        self.asked.append((uid, since, until))
+        return [c for c in self.candles if since <= c.d <= until]
+
+
+def candle(d: date, close: str) -> DayCandle:
+    return DayCandle(d=d, close=D(close), open=None, high=None, low=None, volume=D(10))
+
+
+async def bond(*, nominal_currency: str = "CNY") -> int:
+    """A yuan bond held since 2026-04-03, marked by the broker today in roubles."""
+    iid = await make_instrument(ticker="SIBN6P4", asset_class=AssetClass.bond, board=None)
+    account = await make_account(
+        name="Т", kind=AccountKind.broker, role=AccountRole.investment, balance=None
+    )
+    await make_event(
+        date(2026, 4, 3), account_id=account, kind=EventKind.buy, instrument_id=iid,
+        quantity=1, price=12000, amount=-12000,
+    )  # fmt: skip
+    async with get_sessionmaker()() as session:
+        row = await session.get(Instrument, iid)
+        assert row is not None
+        row.tinvest_uid, row.nominal, row.nominal_currency = "uid", D(1000), nominal_currency
+        session.add(
+            PriceDaily(
+                instrument_id=iid, d=TODAY, close=D("12354.6177"), currency="RUB", source="tinvest"
+            )
+        )
+        await session.commit()
+    return iid
+
+
+async def rates(ccy: str, value: str, *days: date) -> None:
+    async with get_sessionmaker()() as session:
+        session.add_all(
+            FxRateDaily(d=d, ccy=ccy, rate_rub=D(value), is_carried=False) for d in days
+        )
+        await session.commit()
+
+
+async def stored(iid: int) -> dict[date, PriceDaily]:
+    async with get_sessionmaker()() as session:
+        rows = (
+            await session.execute(select(PriceDaily).where(PriceDaily.instrument_id == iid))
+        ).scalars()
+        return {r.d: r for r in rows}
+
+
+async def run(client: FakeClient) -> int:
+    async with get_sessionmaker()() as session:
+        # the sync passes `TODAY` through `today_local()`; the fake ignores the upper bound
+        n = await _backfill_broker_prices(session, client)  # type: ignore[arg-type]
+        await session.commit()
+        return n
+
+
+async def test_a_yuan_bond_gets_its_history_in_roubles(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await bond()
+    await rates("CNY", "12.5", date(2026, 9, 17), date(2026, 9, 18))
+    client = FakeClient([candle(date(2026, 9, 17), "98.4"), candle(date(2026, 9, 18), "98.31")])
+
+    assert await run(client) == 2
+
+    rows = await stored(iid)
+    # 98.31 % of 1000 CNY at 12.5 ₽ — the mark is in roubles, so the history is too
+    assert rows[date(2026, 9, 18)].close == D("12288.75")
+    assert (rows[date(2026, 9, 18)].currency, rows[date(2026, 9, 18)].price_pct) == (
+        "RUB",
+        D("98.31"),
+    )
+    assert rows[TODAY].close == D("12354.6177")  # the broker's mark is not touched
+    # first run reaches back to a week before the purchase
+    assert client.asked[0][1] == date(2026, 4, 3) - timedelta(days=7)
+
+
+async def test_a_day_without_a_rate_is_skipped_not_guessed(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await bond()
+    await rates("CNY", "12.5", date(2026, 9, 18))
+    client = FakeClient([candle(date(2026, 9, 17), "98.4"), candle(date(2026, 9, 18), "98.31")])
+
+    assert await run(client) == 1
+    assert set(await stored(iid)) == {date(2026, 9, 18), TODAY}
+
+
+async def test_a_second_run_reads_only_the_tail(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    await bond()
+    await rates("CNY", "12.5", *(date(2026, 4, 1) + timedelta(days=n) for n in range(200)))
+    first = FakeClient([candle(date(2026, 4, 1) + timedelta(days=n), "99") for n in range(170)])
+    await run(first)
+
+    second = FakeClient([])
+    await run(second)
+
+    assert second.asked[0][1] > date(2026, 9, 1)
+
+
+async def test_a_paper_the_exchange_prices_is_left_to_the_exchange(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await bond()
+    async with get_sessionmaker()() as session:
+        session.add(
+            PriceDaily(
+                instrument_id=iid, d=date(2026, 9, 1), close=D(1), currency="RUB", source="moex"
+            )
+        )
+        await session.commit()
+    client = FakeClient([candle(date(2026, 9, 18), "98")])
+
+    assert await run(client) == 0
+    assert client.asked == []
+
+
+async def test_a_share_keeps_its_own_currency_and_price(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await make_instrument(ticker="AAPL", currency="USD", board=None)
+    async with get_sessionmaker()() as session:
+        row = await session.get(Instrument, iid)
+        assert row is not None
+        row.tinvest_uid = "uid-aapl"
+        session.add(
+            PriceDaily(instrument_id=iid, d=TODAY, close=D(200), currency="USD", source="tinvest")
+        )
+        await session.commit()
+
+    assert await run(FakeClient([candle(date(2026, 9, 18), "199.5")])) == 1
+    row = (await stored(iid))[date(2026, 9, 18)]
+    assert (row.close, row.currency, row.price_pct) == (D("199.5"), "USD", None)
+
+
+async def test_a_bond_with_no_nominal_asks_the_bond_listing_and_remembers_it(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await bond()
+    async with get_sessionmaker()() as session:
+        row = await session.get(Instrument, iid)
+        assert row is not None
+        row.nominal = row.nominal_currency = None
+        await session.commit()
+    await rates("CNY", "12.5", date(2026, 9, 18))
+    listed = InstrumentInfo(
+        uid="uid", kind="bond", isin=None, figi=None, ticker="SIBN6P4", class_code=None,
+        name="x", currency="rub", lot=1, nominal=D(1000), nominal_currency="CNY",
+        maturity_date=None, sector=None, country=None, exchange=None, payload={},
+    )  # fmt: skip
+    client = FakeClient([candle(date(2026, 9, 18), "98.31")], nominal=listed)
+
+    assert await run(client) == 1
+
+    assert (await stored(iid))[date(2026, 9, 18)].close == D("12288.75")
+    async with get_sessionmaker()() as session:
+        row = await session.get(Instrument, iid)
+        assert row is not None
+        assert (row.nominal, row.nominal_currency) == (D(1000), "CNY")
+
+
+async def test_a_bond_the_listing_does_not_know_stays_unpriced_by_candles(app, monkeypatch):
+    monkeypatch.setattr("fintracker.analytics.today_local", lambda: TODAY)
+    iid = await bond()
+    async with get_sessionmaker()() as session:
+        row = await session.get(Instrument, iid)
+        assert row is not None
+        row.nominal = None
+        await session.commit()
+
+    assert await run(FakeClient([candle(date(2026, 9, 18), "98.31")])) == 0
+    assert set(await stored(iid)) == {TODAY}