Chore: Make release 1.0.108

goldmansachs · Aug 7, 2024 · 1107568 · 1107568
1 parent ac7fc09
commit 1107568
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Showing 3 changed files with 15 additions and 19 deletions.
diff --git a/gs_quant/backtests/actions.py b/gs_quant/backtests/actions.py
@@ -175,6 +175,7 @@ class AddScaledTradeAction(Action):
     scaling_level: Union[float, int] = 1
     transaction_cost: TransactionModel = field(default_factory=default_transaction_cost,
                                                metadata=config(decoder=dc_decode(ConstantTransactionModel)))
+    holiday_calendar: Iterable[dt.date] = None
     class_type: str = static_field('add_scaled_trade_action')
 
     def __post_init__(self):

diff --git a/gs_quant/backtests/generic_engine.py b/gs_quant/backtests/generic_engine.py
@@ -97,15 +97,9 @@ def apply_action(self,
                 backtest.transaction_costs[final_date] -= self.action.transaction_cost.get_cost(final_date,
                                                                                                 backtest,
                                                                                                 trigger_info, inst)
-
-        for s in backtest.states:
-            pos = []
-            for create_date, portfolio in orders.items():
-                pos += [inst for inst in portfolio.instruments
-                        if get_final_date(inst, create_date, self.action.trade_duration,
-                                          self.action.holiday_calendar) > s >= create_date]
-            if len(pos):
-                backtest.portfolio_dict[s].append(pos)
+                backtest_states = (s for s in backtest.states if final_date > s >= create_date)
+                for s in backtest_states:
+                    backtest.portfolio_dict[s].append(inst)
 
         return backtest
 
@@ -121,7 +115,7 @@ def _nav_scale_orders(self, orders, price_measure):
         # Populate dict of dates and instruments sold on those dates
         for create_date, portfolio in orders.items():
             for inst in portfolio.all_instruments:
-                d = get_final_date(inst, create_date, self.action.trade_duration)
+                d = get_final_date(inst, create_date, self.action.trade_duration, self.action.holiday_calendar)
                 if d not in final_days_orders.keys():
                     final_days_orders[d] = []
                 final_days_orders[d].append(inst)
@@ -219,19 +213,14 @@ def apply_action(self,
                 backtest.cash_payments[create_date].append(CashPayment(inst, effective_date=create_date, direction=-1))
                 backtest.transaction_costs[create_date] -= self.action.transaction_cost.get_cost(create_date, backtest,
                                                                                                  trigger_info, inst)
-                final_date = get_final_date(inst, create_date, self.action.trade_duration)
+                final_date = get_final_date(inst, create_date, self.action.trade_duration, self.action.holiday_calendar)
                 backtest.cash_payments[final_date].append(CashPayment(inst, effective_date=final_date))
                 backtest.transaction_costs[final_date] -= self.action.transaction_cost.get_cost(final_date,
                                                                                                 backtest,
                                                                                                 trigger_info, inst)
-
-        for s in backtest.states:
-            pos = []
-            for create_date, portfolio in orders.items():
-                pos += [inst for inst in portfolio.instruments
-                        if get_final_date(inst, create_date, self.action.trade_duration) > s >= create_date]
-            if len(pos):
-                backtest.portfolio_dict[s].append(pos)
+                backtest_states = (s for s in backtest.states if final_date > s >= create_date)
+                for s in backtest_states:
+                    backtest.portfolio_dict[s].append(inst)
 
         return backtest
 

diff --git a/gs_quant/markets/portfolio_manager.py b/gs_quant/markets/portfolio_manager.py
@@ -108,6 +108,12 @@ def get_performance_report(self, tags: Dict = None) -> PerformanceReport:
                                           position_source_id=self.id,
                                           report_type='Portfolio Performance Analytics',
                                           tags=tags)
+
+        # If tags is set to None, it returns all PPA reports for the portfolio,
+        # and returning reports[0] can return any one PPA, so specifically if tags is None it means we are
+        # looking for the root PPA, we need to explicitly filter out and get the one report where tags is None
+        if tags is None:
+            reports = [report for report in reports if report.parameters.tags is None]
         if len(reports) == 0:
             raise MqError('No performance report found.')
         return PerformanceReport.from_target(reports[0])