Dmitry
15f5812ea4
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).
286 lines
9.5 KiB
Python
286 lines
9.5 KiB
Python
"""Target weights and rebalancing over HTTP (docs/ai/phase4-contract.md §2).
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The router is mounted here rather than taken from `create_app`: wiring it into
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`api/app.py` belongs to the phase-4 integration, and these tests should not wait on it.
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"""
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from collections.abc import AsyncIterator
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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 httpx import ASGITransport, AsyncClient
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from factories import make_account, make_event, make_instrument, make_price, refresh
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from fintracker.analytics import today_local
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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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Instrument,
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Portfolio,
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PortfolioAccount,
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)
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D = Decimal
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PREFIX = "/api/v1"
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@pytest.fixture
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async def client(app) -> AsyncIterator[AsyncClient]:
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from fintracker.api.routers import rebalance
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app.include_router(rebalance.router, prefix=PREFIX)
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async with AsyncClient(transport=ASGITransport(app=app), base_url="http://test") as c:
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yield c
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@pytest.fixture
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async def portfolio(app) -> dict[str, int]:
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"""500 SBER (lot 10) at 100, 20 ОФЗ at 1000, 30 000 ₽ left 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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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 {"portfolio": portfolio_id, "sber": sber, "ofz": ofz}
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def targets(*rows: tuple[str, str, str]) -> dict:
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return {
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"dimension": "asset_class",
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"targets": [{"bucket": b, "target_weight": w, "band": band} for b, w, band in rows],
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}
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async def put(client, auth_headers, portfolio_id: int, body: dict):
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return await client.put(
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f"{PREFIX}/portfolios/{portfolio_id}/targets", json=body, headers=auth_headers
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)
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# --------------------------------------------------------------------------- targets
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async def test_targets_round_trip_and_report_their_sum(client, auth_headers, portfolio):
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r = await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")),
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)
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assert r.status_code == 200, r.text
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body = r.json()
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assert Decimal(body["weights_sum"]) == 1
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assert [t["bucket"] for t in body["targets"]] == ["bond", "cash", "share"]
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assert Decimal(body["targets"][0]["target_weight"]) == Decimal("0.2")
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/targets", headers=auth_headers
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)
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assert r.status_code == 200
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assert r.json() == body
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async def test_weights_that_do_not_add_up_are_refused_with_the_actual_sum(
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client, auth_headers, portfolio
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):
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r = await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.3", "0.01")),
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)
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assert r.status_code == 422
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body = r.json()
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assert "0.9" in body["detail"]
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assert Decimal(body["weights_sum"]) == Decimal("0.9")
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async def test_a_set_is_replaced_whole_not_merged(client, auth_headers, portfolio):
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await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")),
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)
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r = await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.7", "0.01"), ("cash", "0.3", "0.01")),
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)
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assert r.status_code == 200
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assert [t["bucket"] for t in r.json()["targets"]] == ["cash", "share"]
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async def test_a_duplicated_bucket_is_refused(client, auth_headers, portfolio):
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r = await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.5", "0.01"), ("share", "0.5", "0.01")),
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)
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assert r.status_code == 422
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assert "share" in r.json()["detail"]
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async def test_an_unknown_dimension_is_refused(client, auth_headers, portfolio):
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body = targets(("share", "1", "0.01"))
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body["dimension"] = "mood"
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r = await put(client, auth_headers, portfolio["portfolio"], body)
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assert r.status_code == 422
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async def test_an_unknown_portfolio_is_a_404(client, auth_headers, portfolio):
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r = await client.get(f"{PREFIX}/portfolios/999/targets", headers=auth_headers)
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assert r.status_code == 404
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async def test_targets_need_a_token(client, portfolio):
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r = await client.get(f"{PREFIX}/portfolios/{portfolio['portfolio']}/targets")
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assert r.status_code == 401
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# --------------------------------------------------------------------------- suggestions
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async def test_the_suggestion_respects_the_lot_and_the_cash(client, auth_headers, portfolio):
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await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")),
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)
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/rebalance", headers=auth_headers
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)
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assert r.status_code == 200, r.text
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body = r.json()
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assert Decimal(body["total_value_rub"]) == 100000
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assert Decimal(body["cash_available_rub"]) == 30000
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share = next(b for b in body["buckets"] if b["bucket"] == "share")
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assert Decimal(share["current_weight"]) == Decimal("0.5")
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assert Decimal(share["target_weight"]) == Decimal("0.6")
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assert Decimal(share["drift"]) == Decimal("-0.1")
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assert share["within_band"] is False
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trade = share["trades"][0]
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assert trade["action"] == "buy"
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assert trade["lot"] == 10
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assert Decimal(trade["suggested_qty"]) % 10 == 0
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assert Decimal(trade["suggested_qty"]) == 100
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assert trade["blocked_by_cash"] is False
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bond = next(b for b in body["buckets"] if b["bucket"] == "bond")
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assert bond["within_band"] is True
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assert bond["trades"] == []
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async def test_the_what_if_cash_blocks_the_buy(client, auth_headers, portfolio):
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await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")),
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)
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/rebalance",
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params={"cash_available": "2500"},
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headers=auth_headers,
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)
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assert r.status_code == 200
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trade = next(t for b in r.json()["buckets"] for t in b["trades"] if b["bucket"] == "share")
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assert Decimal(trade["suggested_qty"]) == 20
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assert trade["blocked_by_cash"] is True
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async def test_a_wide_band_silences_every_suggestion(client, auth_headers, portfolio):
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await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.5"), ("bond", "0.2", "0.5"), ("cash", "0.2", "0.5")),
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)
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/rebalance", headers=auth_headers
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)
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body = r.json()
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assert all(b["within_band"] for b in body["buckets"] if b["target_weight"] is not None)
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assert all(t["suggested_qty"] is None for b in body["buckets"] for t in b["trades"])
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async def test_without_targets_there_is_nothing_to_rebalance(client, auth_headers, portfolio):
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/rebalance", headers=auth_headers
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)
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assert r.status_code == 200
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assert all(b["target_weight"] is None for b in r.json()["buckets"])
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async def test_every_money_field_is_a_string(client, auth_headers, portfolio):
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await put(
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client,
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auth_headers,
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portfolio["portfolio"],
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targets(("share", "0.6", "0.01"), ("bond", "0.2", "0.01"), ("cash", "0.2", "0.01")),
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)
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r = await client.get(
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f"{PREFIX}/portfolios/{portfolio['portfolio']}/rebalance", headers=auth_headers
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)
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body = r.json()
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for key in ("total_value_rub", "cash_available_rub"):
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assert isinstance(body[key], str)
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for b in body["buckets"]:
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for key in ("current_value_rub", "current_weight", "delta_value_rub"):
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assert isinstance(b[key], str)
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for t in b["trades"]:
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for key in ("suggested_qty", "price", "amount_rub"):
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assert t[key] is None or isinstance(t[key], str)
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