Chore: Make release 1.0.109

gs_quant/backtests/generic_engine.py

@@ -605,6 +605,7 @@ def new_pricing_context(self):
  is_batch=is_batch, use_historical_diddles_only=True)
 
  context._max_concurrent = 10000
+ context._dates_per_batch = 200
 
  return context
 
@@ -792,7 +793,7 @@ def _price_semi_det_triggers(self, backtest, risks):
  p.results = port.calc(tuple(risks))
 
  def _process_triggers_and_actions_for_date(self, d, strategy, backtest, risks):
- logger.info(f'{d}: Processing triggers and actions')
+ logger.debug(f'{d}: Processing triggers and actions')
  # path dependent
  for trigger in strategy.triggers:
  if trigger.calc_type == CalcType.path_dependent:
@@ -892,7 +893,7 @@ def _calc_new_trades(self, backtest, risks):
  leaves = []
  for leaf in portfolio:
  if leaf.name not in trades_for_date:
- logger.info(f'{day}: new portfolio position {leaf} scheduled for calculation')
+ logger.debug(f'{day}: new portfolio position {leaf.name} scheduled for calculation')
  leaves.append(leaf)
 
  if len(leaves):

gs_quant/test/timeseries/test_measures.py

@@ -4601,7 +4601,17 @@ def test_weighted_average_valuation_curve_for_calendar_strip():
 def test_fundamental_metrics():
  replace = Replacer()
  mock_spx = Index('MA890', AssetClass.Equity, 'SPX')
- mock_rb = CustomBasket(GsAsset(AssetClass.Equity, AssetType.Research_Basket, 'GSTEST01'))
+ mock_rb = CustomBasket(GsAsset(AssetClass.Equity, AssetType.Research_Basket, 'GSTEST01', None, None, None, None,
+ None, None, None, None, None, None, None, None, None, None, None, None, None, None,
+ None, None, {'flagship': True}))
+ mock_non_flagship = CustomBasket(GsAsset(AssetClass.Equity, AssetType.Research_Basket, 'GSTEST01', None, None, None,
+ None, None, None, None, None, None, None, None, None, None, None, None,
+ None, None, None, None, None, {'flagship': False}))
+ mock_basket_no_parameters = CustomBasket(GsAsset(AssetClass.Equity, AssetType.Research_Basket, 'GSTEST01'))
+ mock_basket_no_flagship_parameter = CustomBasket(GsAsset(AssetClass.Equity, AssetType.Research_Basket, 'GSTEST01',
+ None, None, None, None, None, None, None, None, None,
+ None, None, None, None, None, None, None, None, None,
+ None, None, {}))
  replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_eq)
  period = '1y'
  direction = tm.FundamentalMetricPeriodDirection.FORWARD
@@ -4744,6 +4754,105 @@ def test_fundamental_metrics():
  with pytest.raises(NotImplementedError):
  tm.current_constituents_sales_per_share(..., period, direction, real_time=True)
 
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_dividend_yield(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share_positive(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_net_debt_to_ebitda(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_book(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_cash(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings_positive(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_sales(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_return_on_equity(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_sales_per_share(mock_non_flagship, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_dividend_yield(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share_positive(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_net_debt_to_ebitda(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_book(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_cash(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings_positive(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_sales(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_return_on_equity(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_sales_per_share(mock_basket_no_parameters, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_dividend_yield(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_earnings_per_share_positive(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_net_debt_to_ebitda(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_book(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_cash(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_earnings_positive(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_price_to_sales(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_return_on_equity(mock_basket_no_flagship_parameter, period, direction)
+
+ with pytest.raises(NotImplementedError):
+ tm.current_constituents_sales_per_share(mock_basket_no_flagship_parameter, period, direction)
+
  replace.restore()
 
 

gs_quant/timeseries/measures.py

@@ -3632,6 +3632,10 @@ def current_constituents_dividend_yield(asset: Asset, period: str, period_direct
  if real_time:
  raise NotImplementedError('real-time current_constituents_dividend_yield not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_dividend_yield not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_DIVIDEND_YIELD.value
 
@@ -3667,6 +3671,9 @@ def current_constituents_earnings_per_share(asset: Asset, period: str,
  if real_time:
  raise NotImplementedError('real-time current_constituents_earnings_per_share not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_earnings_per_share not implemented for this basket. '
+ 'Only available for flagship baskets')
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_EARNINGS_PER_SHARE.value
 
@@ -3702,6 +3709,10 @@ def current_constituents_earnings_per_share_positive(asset: Asset, period: str,
  if real_time:
  raise NotImplementedError('real-time current_constituents_earnings_per_share_positive not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_earnings_per_share_positive not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_EARNINGS_PER_SHARE_POSITIVE.value
 
@@ -3737,6 +3748,10 @@ def current_constituents_net_debt_to_ebitda(asset: Asset, period: str,
  if real_time:
  raise NotImplementedError('real-time current_constituents_net_debt_to_ebitda not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_net_debt_to_ebitda not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_NET_DEBT_TO_EBITDA.value
 
@@ -3771,6 +3786,10 @@ def current_constituents_price_to_book(asset: Asset, period: str, period_directi
  if real_time:
  raise NotImplementedError('real-time current_constituents_price_to_book not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_price_to_book not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_PRICE_TO_BOOK.value
 
@@ -3805,6 +3824,10 @@ def current_constituents_price_to_cash(asset: Asset, period: str, period_directi
  if real_time:
  raise NotImplementedError('real-time current_constituents_price_to_cash not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_price_to_cash not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_PRICE_TO_CASH.value
 
@@ -3840,6 +3863,10 @@ def current_constituents_price_to_earnings(asset: Asset, period: str,
  if real_time:
  raise NotImplementedError('real-time current_constituents_price_to_earnings not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_price_to_earnings not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_PRICE_TO_EARNINGS.value
 
@@ -3875,6 +3902,10 @@ def current_constituents_price_to_earnings_positive(asset: Asset, period: str,
  if real_time:
  raise NotImplementedError('real-time current_constituents_price_to_earnings_positive not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_price_to_earnings_positive not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_PRICE_TO_EARNINGS_POSITIVE.value
 
@@ -3909,6 +3940,10 @@ def current_constituents_price_to_sales(asset: Asset, period: str, period_direct
  if real_time:
  raise NotImplementedError('real-time current_constituents_price_to_sales not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_price_to_sales not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_PRICE_TO_SALES.value
 
@@ -3943,6 +3978,10 @@ def current_constituents_return_on_equity(asset: Asset, period: str, period_dire
  if real_time:
  raise NotImplementedError('real-time current_constituents_return_on_equity not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_return_on_equity not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_RETURN_ON_EQUITY.value
 
@@ -3977,6 +4016,10 @@ def current_constituents_sales_per_share(asset: Asset, period: str, period_direc
  if real_time:
  raise NotImplementedError('real-time current_constituents_sales_per_share not implemented')
 
+ if not asset.get_entity().get('parameters', {'flagship': False}).get('flagship', False):
+ raise NotImplementedError('current_constituents_sales_per_share not implemented for this basket. '
+ 'Only available for flagship baskets')
+
  mqid = asset.get_marquee_id()
  metric = DataMeasure.CURRENT_CONSTITUENTS_SALES_PER_SHARE.value