comission report

sysproduction/data/instruments.py

@@ -57,15 +57,31 @@ def get_block_commissions_as_series(self) -> pd.Series:
                                                            for instrument_code in all_instruments
                                                            if not self.has_percentage_commission(instrument_code)]
         all_block_commissions = pd.Series([
-            self.get_block_commission_for_instrument(instrument_code)
+            self.get_block_commission_for_instrument_in_base_currency(instrument_code)
             for instrument_code in all_instruments_excluding_percentage_commission
         ], index=all_instruments_excluding_percentage_commission)
 
         return all_block_commissions
 
-    def get_block_commission_for_instrument(self, instrument_code: str) -> float:
+    def get_block_commission_for_instrument_in_base_currency(self, instrument_code: str) -> float:
+        ccy_value = self.get_block_commission_for_instrument_as_currency_value(instrument_code)
+        currency_data = dataCurrency(self.data)
+        base_value = currency_data.currency_value_in_base(ccy_value)
+
+        return base_value
+
+    def get_block_commission_for_instrument_as_currency_value(self, instrument_code: str) -> currencyValue:
+        currency = self.get_currency(instrument_code)
+        block_commission = self.get_block_commission_for_instrument_as_in_instrument_currency(instrument_code)
+        ccy_value = currencyValue(currency=currency, value=block_commission)
+
+        return ccy_value
+
+    def get_block_commission_for_instrument_as_in_instrument_currency(self, instrument_code: str) -> float:
         costs = self.get_cost_object(instrument_code)
-        return costs.value_of_block_commission
+        block_commission = costs.value_of_block_commission
+
+        return block_commission
 
     def has_percentage_commission(self, instrument_code: str) -> float:
         costs = self.get_cost_object(instrument_code)

sysproduction/interactive_diagnostics.py

@@ -64,6 +64,7 @@
     remove_markets_report_config,
     market_monitor_report_config,
     account_curve_report_config,
+commission_report_config
 )
 
 
@@ -126,13 +127,14 @@ def interactive_diagnostics():
         66: "Risk report",
         67: "Costs report",
         68: "Slippage report",
-        69: "Liquidity report",
-        70: "All instrument risk",
-        71: "Minimum capital required",
-        72: "Duplicate markets",
-        73: "Remove markets",
-        74: "Market monitor",
-        75: "P&L account curve",
+        69: "Commission report",
+        70: "Liquidity report",
+        71: "All instrument risk",
+        72: "Minimum capital required",
+        73: "Duplicate markets",
+        74: "Remove markets",
+        75: "Market monitor",
+        76: "P&L account curve",
     },
 }
 
@@ -231,6 +233,10 @@ def slippage_report(data):
     report_config.modify_kwargs(start_date=start_date, end_date=end_date)
     run_report(report_config, data=data)
 
+def commission_report(data):
+    report_config = email_or_print_or_file(commission_report_config)
+    run_report(report_config, data=data)
+
 
 def liquidity_report(data):
     report_config = email_or_print_or_file(liquidity_report_config)
@@ -740,12 +746,13 @@ def get_trading_hours_for_instrument(
     67: cost_report,
     68: slippage_report,
     69: liquidity_report,
-    70: instrument_risk_report,
-    71: min_capital_report,
-    72: duplicate_market_report,
-    73: remove_markets_report,
-    74: market_monitor_report,
-    75: account_curve_report,
+    70: commission_report,
+    71: instrument_risk_report,
+    72: min_capital_report,
+    73: duplicate_market_report,
+    74: remove_markets_report,
+    75: market_monitor_report,
+    76: account_curve_report,
 }
 
 if __name__ == "__main__":

sysproduction/reporting/api.py

@@ -88,6 +88,7 @@
     get_position_limits_as_df,
 )
 from sysproduction.reporting.data.volume import get_liquidity_data_df
+from sysproduction.reporting.data.commissions import df_of_configure_and_broker_block_cost_with_ratio_sorted
 
 REPORT_DATETIME_FORMAT = "%d/%m/%Y %H:%M"
 
@@ -939,6 +940,24 @@ def _combined_df_costs(self):
 
         return combined_df_costs
 
+    ##### COMMISSIONS ####
+    def table_of_commissions(self):
+        df = self.df_commissions()
+        df_as_formatted_table = table(
+            "Commissions in base currency, configure and from broker", df
+        )
+
+        return df_as_formatted_table
+
+    def df_commissions(self):
+        return self.cache.get(self._df_commissions)
+
+    def _df_commissions(self):
+        combined_df_costs = df_of_configure_and_broker_block_cost_with_ratio_sorted(self.data)
+
+        return combined_df_costs
+
+
     ##### TRADES ######
     def table_of_orders_overview(self):
         broker_orders = self.broker_orders

sysproduction/reporting/commissions_report.py

@@ -0,0 +1,33 @@
+from sysdata.data_blob import dataBlob
+
+from syscore.constants import arg_not_supplied
+from sysproduction.reporting.reporting_functions import body_text
+from sysproduction.reporting.api import reportingApi
+
+REPORT_TEXT = body_text(
+    "Commissions report, columns are commissions from configuration, broker, and ratio:\n"
+)
+
+
+def commissions_report(
+    data: dataBlob = arg_not_supplied,
+):
+    if data is arg_not_supplied:
+        data = dataBlob()
+
+    reporting_api = reportingApi(
+        data,
+    )
+
+    formatted_output = []
+
+    formatted_output.append(reporting_api.std_header("Commission report"))
+    formatted_output.append(REPORT_TEXT)
+    formatted_output.append(reporting_api.table_of_commissions())
+    formatted_output.append(reporting_api.footer())
+
+    return formatted_output
+
+
+if __name__ == "__main__":
+    commissions_report()

sysproduction/reporting/data/commissions.py

@@ -1,31 +1,63 @@
 from typing import List
 
 import pandas as pd
+import numpy as np
+
 from sysproduction.data.instruments import diagInstruments
 from sysproduction.data.broker import dataBroker
 from sysproduction.data.contracts import dataContracts
 from sysobjects.contracts import futuresContract
+from sysdata.data_blob import dataBlob
 
-def df_of_configure_and_broker_block_cost(data) -> pd.DataFrame:
-    configured = get_current_configured_block_costs(data)
-    list_of_instruments = configured.index
+def df_of_configure_and_broker_block_cost_with_ratio_sorted(data: dataBlob) -> pd.DataFrame:
+    df = df_of_configure_and_broker_block_cost(data)
+    ratio = df[BROKER_COLUMN] / df[CONFIGURED_COLUMN]
+    df[RATIO_COLUMN] = ratio
 
-    list_of_broker = get_broker_block_costs(list_of_instruments)
+    df.sort_values(by=RATIO_COLUMN)
 
-    return pd.concat([configured, list_of_broker], axis=1)
+    return df
 
-def get_current_configured_block_costs(data) -> pd.Series:
-    diag_instruments = diagInstruments(data)
+def df_of_configure_and_broker_block_cost(data: dataBlob) -> pd.DataFrame:
+    configured = get_current_configured_block_costs(data)
+    list_of_instrument_codes = configured.index
+    list_of_broker = get_broker_block_costs(data=data, list_of_instrument_codes=list_of_instrument_codes)
+    both = pd.concat([configured, list_of_broker], axis=1)
+    both.columns = [CONFIGURED_COLUMN, BROKER_COLUMN]
+    return both
 
-    return diag_instruments.get_block_commissions_as_series()
+CONFIGURED_COLUMN = 'configured'
+BROKER_COLUMN = 'broker'
+RATIO_COLUMN = 'ratio'
 
-def get_broker_block_costs(list_of_instruments_codes: List[str]) ->pd.Series:
-    db = dataBroker()
-    dc = dataContracts()
+def get_current_configured_block_costs(data: dataBlob) -> pd.Series:
+    diag_instruments = diagInstruments(data)
 
-    list_of_priced_contracts = [futuresContract(instrument_code, dc.get_priced_contract_id(instrument_code)) for instrument_code in list_of_instruments_codes]
+    return diag_instruments.get_block_commissions_as_series()
 
-    return pd.Series(
-        [db.get_commission_for_contract(contract) for contract in list_of_priced_contracts],
-        index = list_of_instruments_codes
-    )
+def get_broker_block_costs(data: dataBlob, list_of_instrument_codes: List[str]) ->pd.Series:
+    priced_contracts = get_series_of_priced_contracts(data=data, list_of_instrument_codes=list_of_instrument_codes)
+    block_costs = get_costs_given_priced_contracts(data=data, priced_contracts=priced_contracts)
+    return pd.Series(block_costs)
+
+def get_series_of_priced_contracts(data: dataBlob, list_of_instrument_codes: List[str]) -> pd.Series:
+    dc = dataContracts(data)
+    list_of_priced_contracts = {}
+    for instrument_code in list_of_instrument_codes:
+        try:
+            contract = futuresContract(instrument_code, dc.get_priced_contract_id(instrument_code))
+        except:
+            continue
+        list_of_priced_contracts[instrument_code] = contract
+    return pd.Series(list_of_priced_contracts)
+
+def get_costs_given_priced_contracts(data: dataBlob, priced_contracts: pd.Series)-> pd.Series:
+    db = dataBroker(data)
+    block_costs = {}
+    for instrument_code, contract in priced_contracts.items():
+        try:
+            costs = db.get_commission_for_contract(contract)
+        except:
+            costs = np.nan
+        block_costs[instrument_code] = costs
+    return pd.Series(block_costs)

sysproduction/reporting/report_configs.py

@@ -103,6 +103,12 @@ def modify_kwargs(self, **kwargs):
     output="email",
 )
 
+commission_report_config = reportConfig(
+    title="Commission report",
+    function="sysproduction.reporting.commissions_report.commissions_report",
+    output="email",
+)
+
 instrument_risk_report_config = reportConfig(
     title="Instrument risk report",
     function="sysproduction.reporting.instrument_risk_report.instrument_risk_report",
@@ -157,4 +163,5 @@ def modify_kwargs(self, **kwargs):
     remove_markets_report=remove_markets_report_config,
     market_monitor_report=market_monitor_report_config,
     account_curve_report=account_curve_report_config,
+    commission_report_config=commission_report_config
 )