Merge pull request #54 from KikeM/feature/multicurrency_portfolios

ENH: Compute with multicurrency positions

CHANGELOG.md

@@ -6,6 +6,10 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ## [Unreleased]
 
+## [0.6.4] - 23/07/22
+
+ENH: Compute tna and cfs with multicurrency positions
+
 ## [0.6.3] - 17/07/22
 
 - CLN: Modify degiro describe entrypoint to be used 

src/degiro_wrapper/cli/cli.py

@@ -74,9 +74,7 @@ def download_positions(start, end, path, dry):
 
     if not dry:
         credentials = get_login_data()
-        download_positions_raw(
-            path=path, calendar=calendar, credentials=credentials
-        )
+        download_positions_raw(path=path, calendar=calendar, credentials=credentials)
 
     if dry:
         click.echo("Nothing done, end of dry run!")
@@ -342,6 +340,7 @@ def create_db_transactions(path, path_to):
     click.echo(f"To   : {path_to.absolute()}")
 
     raw = pd.read_csv(path)
+    # breakpoint()
     transactions = clean_transactions(raw)
     transactions.to_csv(path_to, index=False)
 

src/degiro_wrapper/conventions.py

@@ -114,8 +114,8 @@ class Transactions:
     VALUE_LOCAL = Positions.VALUE_LOCAL
     VALUE_LOCAL_CCY = VALUE_LOCAL + "Ccy"
 
-    VALUE = Positions.VALUE_PORTFOLIO
-    VALUE_CCY = VALUE + "Ccy"
+    VALUE_PORTFOLIO = Positions.VALUE_PORTFOLIO
+    VALUE_CCY = VALUE_PORTFOLIO + "Ccy"
 
     TRANSACTION_COSTS = "costsTransaction"
     TRANSACTION_COSTS_CCY = "costsTransactionCcy"

src/degiro_wrapper/core/api_methods.py

@@ -208,7 +208,7 @@ def multithread(func: Callable, iterable: Iterable, total: int) -> None:
     Returns
     -------
     None
-        This functio doesn't returns anything.
+        This function doesn't returns anything.
     """
     with futures.ThreadPoolExecutor() as executor:
         res = executor.map(func, iterable)

src/degiro_wrapper/core/preprocess.py

@@ -118,15 +118,11 @@ def clean_positions(path):
             PositionsRaw.VALUE_EUR,
             PositionsRaw.VALUE_LOCAL,
         ]
-        positions_day[columns_to_float] = positions_day[
-            columns_to_float
-        ].astype(float)
+        positions_day[columns_to_float] = positions_day[columns_to_float].astype(float)
 
         columns_to_string = [PositionsRaw.ISIN, PositionsRaw.PRODUCT]
         positions_day = positions_day.fillna("-")
-        positions_day[columns_to_string] = positions_day[
-            columns_to_string
-        ].astype(str)
+        positions_day[columns_to_string] = positions_day[columns_to_string].astype(str)
         positions_day = positions_day.replace("-", np.nan)
 
         # ---------------------------------------------------------------------
@@ -201,9 +197,7 @@ def clean_cashflows(raw):
     # -------------------------------------------------------------------------
     # Convert to float
     columns_commas = [Cashflows.DELTA, Cashflows.AMOUNT]
-    clean[columns_commas] = replace_values(
-        clean[columns_commas], old=",", new="."
-    )
+    clean[columns_commas] = replace_values(clean[columns_commas], old=",", new=".")
     clean[columns_commas] = clean[columns_commas].astype(float)
 
     # -------------------------------------------------------------------------
@@ -251,7 +245,7 @@ def clean_transactions(raw):
             TransactionsRaw.UNNAMED_PRICE: Transactions.PRICE_CCY,
             TransactionsRaw.VALUE_LOCAL: Transactions.VALUE_LOCAL,
             TransactionsRaw.UNNAMED_VALUE_LOCAL: Transactions.VALUE_LOCAL_CCY,
-            TransactionsRaw.VALUE: Transactions.VALUE,
+            TransactionsRaw.VALUE: Transactions.VALUE_PORTFOLIO,
             TransactionsRaw.UNNAMED_VALUE: Transactions.VALUE_CCY,
             TransactionsRaw.TRANSACTION_COSTS: Transactions.TRANSACTION_COSTS,
             TransactionsRaw.UNNAMED_COSTS: Transactions.TRANSACTION_COSTS_CCY,
@@ -300,15 +294,9 @@ def positions_raw_to_clean(raw_positions):
     -----
     It does not contain the returns of the cash position.
     """
-    amount_df = raw_positions.pivot(
-        index="date", columns="ISIN", values="amount"
-    )
-    prices_df = raw_positions.pivot(
-        index="date", columns="ISIN", values="price"
-    )
-    shares_df = raw_positions.pivot(
-        index="date", columns="ISIN", values="shares"
-    )
+    amount_df = raw_positions.pivot(index="date", columns="ISIN", values="amount")
+    prices_df = raw_positions.pivot(index="date", columns="ISIN", values="price")
+    shares_df = raw_positions.pivot(index="date", columns="ISIN", values="shares")
 
     # Compute share-adjusted values
     nav_df = (amount_df / shares_df).dropna(axis=1, how="all")

src/degiro_wrapper/reporting/calculations.py

@@ -3,7 +3,7 @@
 
 def compute_tna(positions):
 
-    tna = positions.groupby(Positions.DATE)[Positions.VALUE_LOCAL].sum()
+    tna = positions.groupby(Positions.DATE)[Positions.VALUE_PORTFOLIO].sum()
     tna = tna.squeeze()
 
     tna.name = Calculations.TNA
@@ -13,9 +13,7 @@ def compute_tna(positions):
 
 def compute_cfs(transactions):
 
-    cfs = transactions.groupby(Transactions.DATE)[
-        Transactions.VALUE_LOCAL
-    ].sum()
+    cfs = transactions.groupby(Transactions.DATE)[Transactions.VALUE_PORTFOLIO].sum()
     cfs = cfs.squeeze()
 
     # In the original file, buying is negative from the cash amount,

src/degiro_wrapper/reporting/utils.py

@@ -66,7 +66,6 @@ def filter_transactions(transactions, isins, start=None, end=None):
         Transactions.EXECUTION,
         Transactions.ID,
         Transactions.RATE,
-        Transactions.VALUE,
         Transactions.VALUE_CCY,
         Transactions.PRICE_CCY,
         Transactions.TOTAL,