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