108 lines
3.6 KiB
Python
108 lines
3.6 KiB
Python
"""组合偏离度与调仓建议计算。"""
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from __future__ import annotations
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from collections import defaultdict
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from decimal import Decimal, ROUND_HALF_UP
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from typing import Iterable
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from common.common_const import (
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CUSTOMER_REL_STATUS_SIGNED,
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ERR_CODE_NOT_SIGNED_REBALANCE,
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)
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from common.suitability import check_suitability
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from utils.exceptions import ApiError
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_MONEY = Decimal("0.01")
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_PERCENT = Decimal("100")
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def _money(value: Decimal) -> Decimal:
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return value.quantize(_MONEY, rounding=ROUND_HALF_UP)
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def build_rebalance_plan(
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*,
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relation_status: str,
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customer_risk: str,
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holdings: Iterable[dict],
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target_allocation: dict[str, int | float | Decimal],
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threshold: Decimal,
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candidates: Iterable[dict],
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) -> dict | None:
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if relation_status != CUSTOMER_REL_STATUS_SIGNED:
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raise ApiError(ERR_CODE_NOT_SIGNED_REBALANCE, "客户尚未签约，禁止生成调仓草稿")
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values: dict[str, Decimal] = defaultdict(Decimal)
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holdings_by_class: dict[str, list[dict]] = defaultdict(list)
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for holding in holdings:
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asset_class = str(holding.get("asset_class", ""))
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value = Decimal(str(holding.get("market_value", 0) or 0))
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values[asset_class] += value
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holdings_by_class[asset_class].append(holding)
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total = sum(values.values(), Decimal("0"))
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if total <= 0:
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return None
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target = {
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asset_class: Decimal(str(weight)) for asset_class, weight in target_allocation.items()
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}
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deviation: dict[str, Decimal] = {}
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for asset_class in target:
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actual = values.get(asset_class, Decimal("0")) / total * _PERCENT
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deviation[asset_class] = (actual - target[asset_class]).quantize(
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Decimal("0.01"), rounding=ROUND_HALF_UP
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)
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if not any(abs(value) > threshold for value in deviation.values()):
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return None
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sell: list[dict] = []
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buy: list[dict] = []
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for asset_class, drift in deviation.items():
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if drift > threshold:
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target_value = total * target[asset_class] / _PERCENT
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excess = _money(values.get(asset_class, Decimal("0")) - target_value)
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remaining = excess
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for holding in holdings_by_class.get(asset_class, []):
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amount = min(
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remaining,
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_money(Decimal(str(holding.get("market_value", 0) or 0))),
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)
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if amount > 0:
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sell.append(
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{
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"product_code": holding.get("product_code"),
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"asset_class": asset_class,
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"amount": amount,
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}
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)
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remaining -= amount
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if remaining <= 0:
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break
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elif drift < -threshold:
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target_value = total * target[asset_class] / _PERCENT
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amount = _money(target_value - values.get(asset_class, Decimal("0")))
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for candidate in candidates:
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if candidate.get("asset_class") != asset_class:
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continue
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if not check_suitability(
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customer_risk, candidate.get("risk_level", "")
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).ok:
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continue
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buy.append(
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{
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"product_code": candidate.get("product_code"),
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"asset_class": asset_class,
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"amount": amount,
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}
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)
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break
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return {
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"deviation": deviation,
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"sell": sell,
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"buy": buy,
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}
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