661 lines
20 KiB
Python
661 lines
20 KiB
Python
"""# Finance Definitions.
|
|
|
|
Python library defining base types for financial processing.
|
|
|
|
Defines a base `Asset` type, and various subtypes, for universal representation
|
|
of these assets.
|
|
|
|
Defined hierarchy:
|
|
|
|
* `Asset`
|
|
- `Currency`
|
|
+ `FiatCurrency`
|
|
+ `CryptoCurrency`
|
|
- `Stock`
|
|
- `Index`
|
|
- `Commodity`
|
|
"""
|
|
|
|
import abc
|
|
import dataclasses
|
|
import datetime
|
|
import re
|
|
from collections.abc import Mapping
|
|
from decimal import Decimal
|
|
|
|
import enforce_typing
|
|
|
|
from ._version import __version__
|
|
|
|
__all__ = [
|
|
'Asset',
|
|
'AssetAmount',
|
|
'ExchangeRateSample',
|
|
'StockExchange',
|
|
'__version__',
|
|
]
|
|
|
|
|
|
def parse_id_attr_key_value_pair(attr_datum: str) -> tuple[str, str | int] | None:
|
|
attr_datum = attr_datum.strip()
|
|
if attr_datum == '':
|
|
return None
|
|
(attr_key, attr_value) = attr_datum.split('=')
|
|
if re.match(r'^\d+$', attr_value):
|
|
attr_value = int(attr_value)
|
|
return attr_key, attr_value
|
|
|
|
|
|
def parse_id_attr_data(attr_data: str) -> Mapping[str, str | int]:
|
|
if attr_data is None:
|
|
return {}
|
|
key_value_pairs_str = attr_data.split(',')
|
|
key_value_pairs = [parse_id_attr_key_value_pair(kvp) for kvp in key_value_pairs_str]
|
|
|
|
d = {}
|
|
for kvp in key_value_pairs:
|
|
if kvp is None:
|
|
continue
|
|
d[kvp[0]] = kvp[1]
|
|
return d
|
|
|
|
|
|
## Ids
|
|
|
|
RE_TICKER_FORMAT = r'^[A-Z0-9_]+$'
|
|
RE_TICKER_FORMAT_FLEXIBLE = r'^[^:\s](?:[^:]*[^:\s])?$'
|
|
RE_CRYPTO_TICKER_FORMAT = r'^\S+$'
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True)
|
|
class StockExchange:
|
|
"""Unified Stock Exchange identifiers.
|
|
|
|
Fields:
|
|
- `name`: Human-readable name.
|
|
- `mic`: Official MIC identifier.
|
|
- `bloomberg_id`: Identifier for lookup on Bloomberg.
|
|
- `crunchbase_id`: Identifier for lookup on Crunchbase.
|
|
- `yahoo_id`: Identifier for lookup on Yahoo! Finance.
|
|
- `eod_id`: Identifier for lookup on EOD.
|
|
"""
|
|
|
|
name: str
|
|
mic: str
|
|
bloomberg_id: str | None = None
|
|
crunchbase_id: str | None = None
|
|
yahoo_id: str | None = None
|
|
eod_id: str | None = None
|
|
|
|
|
|
NYSE = StockExchange(
|
|
name='New York Stock Exchange',
|
|
mic='XNYS',
|
|
bloomberg_id='UN',
|
|
crunchbase_id='NYSE',
|
|
)
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True)
|
|
class Asset:
|
|
"""An identifier representing some abstract financial asset.
|
|
|
|
Subtypes represent the various asset types in existence, for example fiat
|
|
currencies, stocks or even crypto currencies.
|
|
"""
|
|
|
|
def names(self) -> list[str]:
|
|
"""Returns a list of human readable names for this `Asset`."""
|
|
return COMMON_NAMES.get(self, [])
|
|
|
|
def to_polygon_id(self) -> str:
|
|
"""Formats this asset to the [`polygon.io`](https://polygon.io)
|
|
identifier format.
|
|
|
|
Inverse of `from_polygon_id`.
|
|
"""
|
|
# TODO: Support currency pairs not involving USD.
|
|
if isinstance(self, Stock):
|
|
return f'{self.ticker}'
|
|
if isinstance(self, Index):
|
|
return f'I:{self.ticker}'
|
|
if isinstance(self, FiatCurrency):
|
|
return f'C:{self.iso_code}USD'
|
|
if isinstance(self, CryptoCurrency):
|
|
return f'X:{self.ccxt_symbol}USD'
|
|
|
|
# Else
|
|
msg = f'Unknown type: {type(self).__name__}'
|
|
raise TypeError(msg)
|
|
|
|
@staticmethod
|
|
def from_polygon_id(polygon_id: str, exchange: StockExchange = NYSE) -> 'Asset':
|
|
"""Parses an asset from the [`polygon.io`](https://polygon.io)
|
|
identifier format.
|
|
|
|
Inverse of `to_polygon_id`.
|
|
"""
|
|
if polygon_id.startswith('I:'):
|
|
return Index(polygon_id.removeprefix('I:'))
|
|
if polygon_id.startswith('X:'):
|
|
return CryptoCurrency(
|
|
polygon_id.removeprefix('X:').removesuffix('USD'),
|
|
None,
|
|
)
|
|
if polygon_id.startswith('C:'):
|
|
return FiatCurrency(polygon_id.removeprefix('C:').removesuffix('USD'))
|
|
return Stock.from_polygon_id(polygon_id, exchange)
|
|
|
|
@abc.abstractmethod
|
|
def raw_short_name(self) -> str:
|
|
"""Short name or ticker.
|
|
|
|
Does not nessisarily uniquely identify the asset, but may be commonly used within the industry.
|
|
"""
|
|
|
|
def to_string_id(self) -> str:
|
|
"""Formats the asset id using the fin_defs asset format."""
|
|
if isinstance(self, Stock):
|
|
attrs_str = f'{{nordnet_id={self.nordnet_id}}}' if self.nordnet_id else ''
|
|
return f'stock:{self.ticker}.{self.exchange.mic}{attrs_str}'
|
|
if isinstance(self, FiatCurrency):
|
|
return f'fiat:{self.iso_code}'
|
|
if isinstance(self, CryptoCurrency):
|
|
attrs_str = (
|
|
f'{{coingecko_id={self.coingecko_id}}}' if self.coingecko_id else ''
|
|
)
|
|
return f'crypto:{self.ccxt_symbol}{attrs_str}'
|
|
if isinstance(self, Index):
|
|
return f'index:{self.ticker}'
|
|
if isinstance(self, Commodity):
|
|
return f'commodity:{self.alpha_vantage_id}'
|
|
if isinstance(self, UnknownAsset):
|
|
return 'unknown:XXX'
|
|
|
|
msg = f'Unsupported asset type: {type(self).__name__}'
|
|
raise TypeError(msg)
|
|
|
|
@staticmethod
|
|
def from_string_id(asset_id: str) -> 'Asset':
|
|
"""Parses an `Asset` using the fin_defs asset format."""
|
|
m = re.match(r'^(?:(\w+):)?([^{]+)(?:\{(.*)\})?$', asset_id)
|
|
if m is None:
|
|
msg = f'Unsupported asset format: {asset_id}'
|
|
raise ValueError(msg)
|
|
|
|
prefix = m.group(1)
|
|
ticker = m.group(2)
|
|
attr_data = m.group(3)
|
|
|
|
if known_symbol := WELL_KNOWN_SYMBOLS.get(ticker, None):
|
|
return known_symbol
|
|
|
|
attrs: dict[str, str | int] = parse_id_attr_data(attr_data)
|
|
|
|
if prefix == 'stock':
|
|
if m := re.match(r'^(\w+)(?:\.(\w+))?$', ticker):
|
|
exchange = EXCHANGES_BY_IDS[m.group(2) or 'NYSE'] # TODO?
|
|
return Stock(m.group(1), exchange, **attrs)
|
|
if prefix in {'currency', 'fiat'}:
|
|
return FiatCurrency(ticker, **attrs)
|
|
if prefix == 'index':
|
|
return Index(ticker, **attrs)
|
|
if prefix == 'crypto':
|
|
return CryptoCurrency(ticker, **attrs)
|
|
if prefix == 'commodity':
|
|
return Commodity(ticker)
|
|
if prefix == 'unknown':
|
|
return UnknownAsset()
|
|
|
|
msg = f'Unsupported asset format: {asset_id}'
|
|
raise ValueError(msg)
|
|
|
|
def __str__(self):
|
|
return self.to_string_id()
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True)
|
|
class UnknownAsset(Asset):
|
|
"""An asset that does not exist."""
|
|
|
|
@abc.abstractmethod
|
|
def raw_short_name(self) -> str:
|
|
return '???'
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True)
|
|
class Currency(Asset):
|
|
"""Either a Fiat or a Crypto Currency."""
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True, order=True)
|
|
class FiatCurrency(Currency):
|
|
"""Fiat Currency."""
|
|
|
|
iso_code: str
|
|
|
|
def __post_init__(self) -> None:
|
|
if not re.match(RE_TICKER_FORMAT, self.iso_code):
|
|
msg = f'iso_code was not in correct format: {self.iso_code}'
|
|
raise ValueError(msg)
|
|
|
|
def raw_short_name(self) -> str:
|
|
return self.iso_code
|
|
|
|
@staticmethod
|
|
def from_currency_symbol(symbol: str) -> 'Currency | None':
|
|
for currency, currency_symbol in CURRENCY_SYMBOLS.items():
|
|
if currency_symbol == symbol:
|
|
return currency
|
|
return None
|
|
|
|
def to_currency_symbol(self) -> str:
|
|
return CURRENCY_SYMBOLS[self]
|
|
|
|
|
|
FiatCurrency.DKK = FiatCurrency('DKK')
|
|
FiatCurrency.NOK = FiatCurrency('NOK')
|
|
FiatCurrency.USD = FiatCurrency('USD')
|
|
FiatCurrency.EUR = FiatCurrency('EUR')
|
|
FiatCurrency.GBP = FiatCurrency('GBP')
|
|
FiatCurrency.JPY = FiatCurrency('JPY')
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True)
|
|
class CryptoCurrency(Currency):
|
|
"""Crypto Currency."""
|
|
|
|
ccxt_symbol: str
|
|
coingecko_id: str | None = None
|
|
|
|
def raw_short_name(self) -> str:
|
|
return self.ccxt_symbol
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True)
|
|
class Stock(Asset):
|
|
ticker: str
|
|
exchange: StockExchange
|
|
nordnet_id: int | None = None
|
|
|
|
def __post_init__(self) -> None:
|
|
if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
|
|
msg = f'ticker was not in correct format: {self.ticker}'
|
|
raise ValueError(msg)
|
|
|
|
@staticmethod
|
|
def from_polygon_id(polygon_id: str, exchange: StockExchange = NYSE) -> 'Stock':
|
|
return Stock(polygon_id, exchange)
|
|
|
|
def raw_short_name(self) -> str:
|
|
return self.ticker
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True)
|
|
class Index(Asset):
|
|
ticker: str
|
|
|
|
def __post_init__(self) -> None:
|
|
if not re.match(RE_TICKER_FORMAT_FLEXIBLE, self.ticker):
|
|
msg = f'ticker was not in correct format: {self.ticker}'
|
|
raise ValueError(msg)
|
|
|
|
def raw_short_name(self) -> str:
|
|
return self.ticker
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True)
|
|
class Commodity(Asset):
|
|
alpha_vantage_id: str
|
|
|
|
def __post_init__(self) -> None:
|
|
if not re.match(RE_TICKER_FORMAT, self.alpha_vantage_id):
|
|
msg = f'alpha_vantage_id was not in correct format: {self.alpha_vantage_id}'
|
|
raise ValueError(msg)
|
|
|
|
def raw_short_name(self) -> str:
|
|
return self.alpha_vantage_id
|
|
|
|
|
|
Commodity.CRUDE_OIL_WTI = Commodity('WTI')
|
|
Commodity.CRUDE_OIL_BRENT = Commodity('BRENT')
|
|
Commodity.NATURAL_GAS = Commodity('NATURAL_GAS')
|
|
Commodity.COPPER = Commodity('COPPER')
|
|
Commodity.WHEAT = Commodity('WHEAT')
|
|
Commodity.CORN = Commodity('CORN')
|
|
Commodity.COTTON = Commodity('COTTON')
|
|
Commodity.SUGAR = Commodity('SUGAR')
|
|
Commodity.COFFEE = Commodity('COFFEE')
|
|
|
|
# Well known
|
|
|
|
DKK = FiatCurrency.DKK
|
|
USD = FiatCurrency.USD
|
|
EUR = FiatCurrency.EUR
|
|
|
|
BTC = CryptoCurrency('BTC', coingecko_id='bitcoin')
|
|
MPC = CryptoCurrency('MPC', coingecko_id='partisia-blockchain')
|
|
SPX = Index('SPX')
|
|
NDX = Index('NDX')
|
|
USDT = CryptoCurrency('USDT', coingecko_id='tether')
|
|
|
|
COMMON_NAMES: dict[Asset, list[str]] = {
|
|
FiatCurrency('USD'): ['U.S. Dollar'],
|
|
FiatCurrency('DKK'): ['Danske Kroner', 'Danish Crowns'],
|
|
FiatCurrency('EUR'): ['Euro'],
|
|
FiatCurrency('JPY'): ['Japanese Yen'],
|
|
FiatCurrency('CAD'): ['Canadian Dollar'],
|
|
FiatCurrency('GBP'): ['British Pound'],
|
|
FiatCurrency('CNY'): ['Renminbi'],
|
|
FiatCurrency('PLN'): ['Polish Zloty'],
|
|
FiatCurrency('ILS'): ['Israeli new Shekel'],
|
|
FiatCurrency('CHF'): ['Swiss Franc'],
|
|
FiatCurrency('ZAR'): ['South African Rand'],
|
|
FiatCurrency('CZK'): ['Czech Koruna'],
|
|
SPX: ['Standard and Poor 500', 'S&P 500'],
|
|
NDX: ['Nasdaq 100'],
|
|
BTC: ['Bitcoin BTC'],
|
|
MPC: ['Partisia Blockchain MPC Token'],
|
|
CryptoCurrency('ETH', coingecko_id='ethereum'): ['Ethereum Ether'],
|
|
CryptoCurrency('DOGE', coingecko_id='dogecoin'): ['Dogecoin'],
|
|
CryptoCurrency('SOL', coingecko_id='solana'): ['Solana SOL'],
|
|
CryptoCurrency('ADA', coingecko_id='cardano'): ['Cardano ADA'],
|
|
CryptoCurrency('BNB', coingecko_id='bnb'): ['Binance BNB'],
|
|
CryptoCurrency('MATIC', coingecko_id='polygon'): ['Polygon MATIC'],
|
|
# Stable-coins
|
|
CryptoCurrency('DAI', coingecko_id='dai'): ['DAI'],
|
|
CryptoCurrency('USDC', coingecko_id='usdc'): ['USD Coin'],
|
|
USDT: ['Tether USDT'],
|
|
}
|
|
|
|
CURRENCY_CODES = {
|
|
sym: FiatCurrency(sym)
|
|
for sym in [
|
|
'USD',
|
|
'DKK',
|
|
'EUR',
|
|
'JPY',
|
|
'CAD',
|
|
'GBP',
|
|
'CNY',
|
|
'PLN',
|
|
'ILS',
|
|
'CHF',
|
|
'ZAR',
|
|
'CZK',
|
|
]
|
|
}
|
|
|
|
|
|
WELL_KNOWN_SYMBOLS = (
|
|
CURRENCY_CODES
|
|
| {'XXBT': BTC}
|
|
| {k.raw_short_name(): k for k in COMMON_NAMES}
|
|
| {'SPX500': SPX, 'SP500': SPX, 'Nasdaq 100': NDX}
|
|
)
|
|
|
|
CURRENCY_SYMBOLS: dict[Currency, str] = {
|
|
USD: '$',
|
|
EUR: '€',
|
|
FiatCurrency.GBP: '£',
|
|
BTC: '₿',
|
|
FiatCurrency.JPY: '¥',
|
|
}
|
|
|
|
ASSET_PREFIX: dict[Asset, str] = CURRENCY_SYMBOLS # TODO: Remove at some point.
|
|
|
|
EXCHANGES = [
|
|
NYSE,
|
|
StockExchange(name='Nasdaq', mic='XNAS', bloomberg_id='US', crunchbase_id='NASDAQ'),
|
|
StockExchange(
|
|
name='Hong Kong Exchanges And Clearing',
|
|
mic='XHKG',
|
|
bloomberg_id='HK',
|
|
crunchbase_id='SEHK',
|
|
),
|
|
StockExchange(
|
|
name='Moscow Exchange',
|
|
mic='MISC',
|
|
bloomberg_id='RX',
|
|
yahoo_id='ME',
|
|
eod_id='MCX',
|
|
crunchbase_id='MOEX',
|
|
),
|
|
StockExchange(name='Shanghai Stock Exchange', mic='XSHG'),
|
|
StockExchange(name='Euronext Amsterdam', mic='XAMS'),
|
|
StockExchange(name='Euronext Brussels', mic='XBRU'),
|
|
StockExchange(name='Euronext Dublin', mic='XMSM'),
|
|
StockExchange(name='Euronext Lisbon', mic='XLIS'),
|
|
StockExchange(name='Euronext Milan', mic='XMIL'),
|
|
StockExchange(name='Euronext Oslo', mic='XOSL'),
|
|
StockExchange(name='Euronext Paris', mic='XPAR'),
|
|
StockExchange(name='Japan Exchange Group', mic='XJPX'),
|
|
StockExchange(name='Shenzhen Stock Exchange', mic='XSHE'),
|
|
StockExchange(name='Indian National Stock Exchange', mic='XNSE'),
|
|
StockExchange(
|
|
name='Bombay Stock Exchange',
|
|
mic='XBOM',
|
|
bloomberg_id='IB',
|
|
crunchbase_id='BOM',
|
|
yahoo_id='BO',
|
|
),
|
|
StockExchange(name='Toronto Stock Exchange', mic='XTSE'),
|
|
StockExchange(name='London Stock Exchange', mic='XLON'),
|
|
StockExchange(name='Saudi Stock Exchange', mic='XSAU'),
|
|
StockExchange(name='German Stock Exchange', mic='XFRA'),
|
|
StockExchange(name='SIX Swiss Exchange', mic='XSWX'),
|
|
StockExchange(name='Nasdaq Copenhagen Stock Exchange', mic='XCSE'),
|
|
StockExchange(name='Nasdaq Stockholm Stock Exchange', mic='XSTO'),
|
|
StockExchange(name='Nasdaq Helsinki Stock Exchange', mic='XHEL'),
|
|
StockExchange(name='Nasdaq Tallinn Stock Exchange', mic='XTAL'),
|
|
StockExchange(name='Nasdaq Riga Stock Exchange', mic='XRIS'),
|
|
StockExchange(name='Nasdaq Vilnius Stock Exchange', mic='XLIT'),
|
|
StockExchange(name='Nasdaq Iceland Stock Exchange', mic='XICE'),
|
|
StockExchange(name='Korea Exchange', mic='XKOS'),
|
|
StockExchange(name='Taiwan Stock Exchange', mic='XTAI'),
|
|
StockExchange(name='Australian Securities Exchange', mic='XASX'),
|
|
StockExchange(name='Johannesburg Stock Exchange', mic='XJSE'),
|
|
StockExchange(name='Tehran Stock Exchange', mic='XTEH'),
|
|
StockExchange(name='Over The Counter (Unlisted)', mic='OTC'), # TODO: Unofficial
|
|
StockExchange(name='NYSE Arca', mic='ARCX'),
|
|
StockExchange(name='BATS Global Markets', mic='BATS'),
|
|
StockExchange(name='NYSE American', mic='XASE'),
|
|
StockExchange(name='Xetra (Frankfurt Stock Exchange)', mic='XETR'),
|
|
]
|
|
|
|
EXCHANGES_BY_IDS = {}
|
|
if True:
|
|
|
|
def add_by_id(exchange: StockExchange, key: str):
|
|
exchange_id = getattr(exchange, key)
|
|
if exchange_id is not None:
|
|
EXCHANGES_BY_IDS[exchange_id] = exchange
|
|
|
|
for exchange in EXCHANGES:
|
|
add_by_id(exchange, 'mic')
|
|
add_by_id(exchange, 'bloomberg_id')
|
|
add_by_id(exchange, 'crunchbase_id')
|
|
add_by_id(exchange, 'yahoo_id')
|
|
add_by_id(exchange, 'eod_id')
|
|
del exchange
|
|
del add_by_id
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, slots=True)
|
|
class AssetInformation:
|
|
"""Extensive information about a given asset."""
|
|
|
|
asset: Asset
|
|
full_name: str
|
|
description: str | None = None
|
|
asset_base: Asset | None = None
|
|
sec_cik: str | None = None
|
|
# TODO: FIGI types? (https://www.openfigi.com/)
|
|
|
|
|
|
THREE_DECIMALS_UNDER_THIS_AMOUNT = 0.10
|
|
|
|
|
|
@enforce_typing.enforce_types
|
|
@dataclasses.dataclass(frozen=True, eq=True, slots=True)
|
|
class AssetAmount:
|
|
"""Decimal with associated asset unit.
|
|
|
|
Fields:
|
|
- `asset`: Asset unit of amount.
|
|
- `amount`: Amount of given asset.
|
|
"""
|
|
|
|
asset: Asset
|
|
amount: Decimal
|
|
|
|
def __str__(self) -> str:
|
|
return self.human_readable_str()
|
|
|
|
def human_readable_str(self) -> str:
|
|
abs_amount = abs(self.amount)
|
|
specificity = '2' if abs_amount >= THREE_DECIMALS_UNDER_THIS_AMOUNT else '3'
|
|
prefix = ASSET_PREFIX.get(self.asset, '')
|
|
return ('{sign}{prefix}{amount:.' + specificity + 'f} {name}').format(
|
|
sign='-' if self.amount < 0 else '',
|
|
prefix=prefix,
|
|
amount=abs_amount,
|
|
name=self.asset.raw_short_name(),
|
|
)
|
|
|
|
def __mul__(self, other: Decimal) -> 'AssetAmount':
|
|
if not isinstance(other, Decimal):
|
|
msg = f'other must be Decimal, but was {type(other).__name__}'
|
|
raise TypeError(msg)
|
|
return AssetAmount(self.asset, self.amount * other)
|
|
|
|
def __add__(self, other: 'AssetAmount') -> 'AssetAmount':
|
|
if not isinstance(other, AssetAmount):
|
|
msg = f'other must be AssetAmount, but was {type(other).__name__}'
|
|
raise TypeError(msg)
|
|
if self.is_zero():
|
|
return other
|
|
if other.is_zero():
|
|
return self
|
|
if self.asset != other.asset:
|
|
msg = (
|
|
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
|
|
)
|
|
raise ValueError(msg)
|
|
|
|
return AssetAmount(self.asset, self.amount + other.amount)
|
|
|
|
def __sub__(self, other: 'AssetAmount') -> 'AssetAmount':
|
|
# TODO: Implement using add?
|
|
if not isinstance(other, AssetAmount):
|
|
msg = f'other must be AssetAmount, but was {type(other).__name__}'
|
|
raise TypeError(msg)
|
|
if self.is_zero():
|
|
return -other
|
|
if other.is_zero():
|
|
return self
|
|
if self.asset != other.asset:
|
|
msg = (
|
|
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
|
|
)
|
|
raise ValueError(msg)
|
|
return AssetAmount(self.asset, self.amount - other.amount)
|
|
|
|
def __truediv__(self, other: 'Decimal | AssetAmount') -> 'Decimal | AssetAmount':
|
|
if isinstance(other, AssetAmount):
|
|
if self.asset != other.asset:
|
|
msg = f'Attempting to divide {self} by {other}, but these must have the same asset'
|
|
raise ValueError(msg)
|
|
return self.amount / other.amount
|
|
return AssetAmount(self.asset, self.amount / other)
|
|
|
|
def __neg__(self) -> 'AssetAmount':
|
|
return AssetAmount(self.asset, -self.amount)
|
|
|
|
def cmp(self, other) -> Decimal:
|
|
if not isinstance(other, AssetAmount):
|
|
msg = f'other must be AssetAmount, but was {type(other).__name__}'
|
|
raise TypeError(msg)
|
|
if self.is_zero() or other.is_zero():
|
|
return self.amount - other.amount
|
|
if self.asset != other.asset:
|
|
msg = (
|
|
f'AssetAmount must have same asset, but: {self.asset} != {other.asset}'
|
|
)
|
|
raise ValueError(msg)
|
|
return self.amount - other.amount
|
|
|
|
def is_zero(self) -> bool:
|
|
return self.amount == 0
|
|
|
|
def __lt__(self, other: 'AssetAmount') -> bool:
|
|
return self.cmp(other) < 0
|
|
|
|
def __le__(self, other: 'AssetAmount') -> bool:
|
|
return self.cmp(other) <= 0
|
|
|
|
def __gt__(self, other: 'AssetAmount') -> bool:
|
|
return self.cmp(other) > 0
|
|
|
|
def __ge__(self, other: 'AssetAmount') -> bool:
|
|
return self.cmp(other) >= 0
|
|
|
|
|
|
AssetAmount.ZERO = AssetAmount(UnknownAsset(), Decimal(0))
|
|
|
|
|
|
AssetPair = tuple[Asset, Asset]
|
|
|
|
|
|
@dataclasses.dataclass(frozen=True, eq=True)
|
|
class ExchangeRateSample:
|
|
"""Single exchange rate sample with a timestamp and various stats."""
|
|
|
|
timestamp: datetime.date | datetime.datetime
|
|
asset_pair: AssetPair
|
|
_average: Decimal | None = None
|
|
last: Decimal | None = None
|
|
open: Decimal | None = None
|
|
close: Decimal | None = None
|
|
high: Decimal | None = None
|
|
low: Decimal | None = None
|
|
volume: Decimal | None = None
|
|
market_cap: Decimal | None = None
|
|
|
|
@property
|
|
def average(self) -> Decimal:
|
|
if self._average:
|
|
return self._average
|
|
return (self.high + self.low) / 2
|
|
|
|
def replace_timestamp(
|
|
self,
|
|
timestamp: datetime.date | datetime.datetime,
|
|
) -> 'ExchangeRateSample':
|
|
return dataclasses.replace(self, timestamp=timestamp)
|
|
|
|
def invert_exchange_rate(self) -> 'ExchangeRateSample':
|
|
one = Decimal('1')
|
|
return dataclasses.replace(
|
|
self,
|
|
asset_pair=(self.asset_pair[1], self.asset_pair[0]),
|
|
_average=one / self._average if self._average else None,
|
|
last=one / self.last if self.last else None,
|
|
open=one / self.open if self.open else None,
|
|
close=one / self.close if self.close else None,
|
|
high=one / self.low if self.low else None,
|
|
low=one / self.high if self.high else None,
|
|
# TODO: Support volume
|
|
# TODO: Support market_cap
|
|
)
|