DEV-13427 Allocation Service Examples

examples/use-cases/allocation-service/data/1/blocks.csv

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+block_id,order_ids,instrument_name,client_internal,isin,figi,quantity,side,type,time_in_force,created_date
+BLOCK001,"ORD001,ORD002",Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,20,buy,limit,GTC,2023-04-13T11:15:00+00:00

examples/use-cases/allocation-service/data/1/executions.csv

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+execution_id,placement_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,price,currency,settlement_currency,settlement_currency_fx_rate,counterparty,created_date
+EXEC001,PLC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,5,some_state,buy,limit,1550,USD,USD,1.0,some_counterparty,2023-04-13T11:15:00+00:00
+EXEC002,PLC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,5,some_state,buy,limit,1560,USD,USD,1.0,some_counterparty,2023-04-13T11:20:00+00:00

examples/use-cases/allocation-service/data/1/instruments.csv

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+instrument_name,client_internal,currency,isin,figi,ticker
+Amazon_Nasdaq_AMZN,imd_34634534,USD,US0231351067,BBG000BVPXP1,AMZN

examples/use-cases/allocation-service/data/1/orders.csv

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+portfolio,instrument_name,client_internal,isin,figi,quantity,price,currency,order_id,side,type,state,date
+PORT001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD001,buy,limit,new,2023-04-13T11:10:00+00:00
+PORT002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD002,buy,limit,new,2023-04-13T11:15:00+00:00

examples/use-cases/allocation-service/data/1/placements.csv

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+placement_id,block_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,time_in_force,created_date
+PLC001,BLOCK001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,20,some_state,buy,limit,GTC,2023-04-13T11:15:00+00:00

examples/use-cases/allocation-service/data/1/portfolios.csv

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+portfolio_name,portfolio_code,currency,created_date
+Allocation Service - Example 1 - Portfolio A,PORT001,USD,2023-04-10T12:00:00+00:00
+Allocation Service - Example 2 - Portfolio B,PORT002,USD,2023-04-10T12:00:00+00:00

examples/use-cases/allocation-service/data/2/allocations.csv

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+allocation_id,instrument_name,client_internal,isin,figi,quantity,price,currency,portfolio_id,order_id,execution_ids,placement_ids,date
+ALLOC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,2,1560,USD,PORT001,ORD001,EXEC002,PLC001,2023-04-11T11:20:00+00:00
+ALLOC002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,3,1560,USD,PORT002,ORD002,EXEC002,PLC001,2023-04-11T11:20:00+00:00

examples/use-cases/allocation-service/data/2/blocks.csv

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+block_id,order_ids,instrument_name,client_internal,isin,figi,quantity,side,type,time_in_force,created_date
+BLOCK001,"ORD001,ORD002",Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,20,buy,limit,GTC,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/2/executions.csv

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+execution_id,placement_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,price,currency,settlement_currency,settlement_currency_fx_rate,counterparty,created_date
+EXEC001,PLC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,5,some_state,buy,limit,1560,USD,USD,1.0,some_counterparty,2023-04-11T11:30:00+00:00
+EXEC002,PLC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,5,some_state,buy,limit,1550,USD,USD,1.0,some_counterparty,2023-04-12T11:30:00+00:00

examples/use-cases/allocation-service/data/2/instruments.csv

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+instrument_name,client_internal,currency,isin,figi,ticker
+Amazon_Nasdaq_AMZN,imd_34634534,USD,US0231351067,BBG000BVPXP1,AMZN

examples/use-cases/allocation-service/data/2/orders.csv

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+portfolio,instrument_name,client_internal,isin,figi,quantity,price,currency,order_id,side,type,state,date
+PORT001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD001,buy,limit,new,2023-04-11T11:15:00+00:00
+PORT002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD002,buy,limit,new,2023-04-11T11:10:00+00:00

examples/use-cases/allocation-service/data/2/placements.csv

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+placement_id,block_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,time_in_force,created_date
+PLC001,BLOCK001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,20,some_state,buy,limit,GTC,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/2/portfolios.csv

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+portfolio_name,portfolio_code,currency,created_date
+Allocation Service - Example 2 - Portfolio A,PORT001,USD,2023-04-10T12:00:00+00:00
+Allocation Service - Example 2 - Portfolio B,PORT002,USD,2023-04-10T12:00:00+00:00

examples/use-cases/allocation-service/data/2/transactions.csv

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+transaction_id,portfolio_id,type,instrument_name,client_internal,isin,figi,transaction_date,settlement_date,quantity,price,cost,currency,order_id,allocation_id
+TXN001,PORT001,Buy,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,2023-04-11T18:00:00+00:00,2023-04-13T18:00:00+00:00,2,1560,3120,USD,ORD001,ALLOC001

examples/use-cases/allocation-service/data/3/allocations.csv

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+allocation_id,instrument_name,client_internal,isin,figi,quantity,price,currency,portfolio_id,order_id,execution_ids,placement_ids,date
+ALLOC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,8,1550,USD,PORT001,ORD001,EXEC001,PLC001,2023-04-11T11:20:00+00:00
+ALLOC002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,2,1550,USD,PORT002,ORD002,EXEC001,PLC001,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/3/blocks.csv

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+block_id,order_ids,instrument_name,client_internal,isin,figi,quantity,side,type,time_in_force,created_date
+BLOCK001,"ORD001,ORD002",Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,20,buy,limit,GTC,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/3/executions.csv

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+execution_id,placement_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,price,currency,settlement_currency,settlement_currency_fx_rate,counterparty,created_date
+EXEC001,PLC001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,some_state,buy,limit,1550,USD,USD,1.0,some_counterparty,2023-04-12T11:30:00+00:00
+EXEC002,PLC002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,8,some_state,buy,limit,1560,USD,USD,1.0,some_counterparty,2023-04-12T11:45:00+00:00

examples/use-cases/allocation-service/data/3/instruments.csv

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+instrument_name,client_internal,currency,isin,figi,ticker
+Amazon_Nasdaq_AMZN,imd_34634534,USD,US0231351067,BBG000BVPXP1,AMZN

examples/use-cases/allocation-service/data/3/orders.csv

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+portfolio,instrument_name,client_internal,isin,figi,quantity,price,currency,order_id,side,type,state,date
+PORT001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD001,buy,limit,new,2023-04-11T11:10:00+00:00
+PORT002,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,1550,USD,ORD002,buy,limit,new,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/3/placements.csv

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+placement_id,block_id,instrument_name,client_internal,isin,figi,quantity,state,side,type,time_in_force,created_date
+PLC001,BLOCK001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,some_state,buy,limit,GTC,2023-04-11T11:15:00+00:00
+PLC002,BLOCK001,Amazon_Nasdaq_AMZN,imd_346345343,US0231351067,BBG000BVPXP1,10,some_state,buy,limit,GTC,2023-04-11T11:15:00+00:00

examples/use-cases/allocation-service/data/3/portfolios.csv

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+portfolio_name,portfolio_code,currency,created_date
+Allocation Service - Example 2 - Portfolio A,PORT001,USD,2023-04-10T12:00:00+00:00
+Allocation Service - Example 2 - Portfolio B,PORT002,USD,2023-04-10T12:00:00+00:00

examples/use-cases/allocation-service/helpers.py

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+import datetime
+from collections import defaultdict
+
+from lusid import models
+
+
+class AllocationServiceHelpers:
+    @staticmethod
+    def create_order_set_request_from_df(df, scope):
+        order_requests = list()
+
+        for index, order in df.iterrows():
+            order_requests.append(
+                models.OrderRequest(
+                    id=models.ResourceId(
+                        scope=scope,
+                        code=order['order_id']
+                    ),
+                    quantity=order['quantity'],
+                    side=order['side'],
+                    instrument_identifiers={
+                        'Instrument/default/Figi': order['figi']
+                    },
+                    properties={},
+                    portfolio_id=models.ResourceId(
+                        scope=scope,
+                        code=order['portfolio']
+                    ),
+                    state=order['state'],
+                    type=order['type'],
+                    date=datetime.datetime.fromisoformat(order['date']),
+                    price=models.CurrencyAndAmount(amount=order['quantity'], currency=order['currency'])
+                )
+            )
+
+        return models.OrderSetRequest(order_requests=order_requests)
+
+    @staticmethod
+    def create_block_set_request_from_df(df, scope):
+        block_requests = list()
+
+        for index, block in df.iterrows():
+            order_ids = list()
+            for x in block['order_ids'].split(","):
+                order_ids.append(models.ResourceId(scope=scope, code=x))
+
+            block_requests.append(
+                models.BlockRequest(
+                    id=models.ResourceId(
+                        scope=scope,
+                        code=block['block_id']
+                    ),
+                    order_ids=order_ids,
+                    instrument_identifiers={
+                        'Instrument/default/Figi': block['figi']
+                    },
+                    quantity=block['quantity'],
+                    side=block['side'],
+                    type=block['type'],
+                    time_in_force=block['time_in_force'],
+                    created_date=datetime.datetime.fromisoformat(block['created_date'])
+                )
+            )
+
+        return models.BlockSetRequest(requests=block_requests)
+
+    @staticmethod
+    def create_placement_set_request_from_df(df, scope):
+        placement_requests = list()
+
+        for index, placement in df.iterrows():
+            placement_requests.append(
+                models.PlacementRequest(
+                    id=models.ResourceId(
+                        scope=scope,
+                        code=placement['placement_id']
+                    ),
+                    block_ids=[models.ResourceId(scope=scope, code=placement['block_id'])],
+                    instrument_identifiers={
+                        'Instrument/default/Figi': placement['figi']
+                    },
+                    quantity=placement['quantity'],
+                    state=placement['state'],
+                    side=placement['side'],
+                    type=placement['type'],
+                    time_in_force=placement['time_in_force'],
+                    created_date=datetime.datetime.fromisoformat(placement['created_date'])
+                )
+            )
+
+        return models.PlacementSetRequest(requests=placement_requests)
+
+    @staticmethod
+    def create_execution_set_request_from_df(df, scope):
+        execution_requests = list()
+
+        for index, execution in df.iterrows():
+            execution_requests.append(
+                models.ExecutionRequest(
+                    id=models.ResourceId(
+                        scope=scope,
+                        code=execution['execution_id']
+                    ),
+                    placement_id=models.ResourceId(
+                        scope=scope,
+                        code=execution['placement_id']
+                    ),
+                    instrument_identifiers={
+                        'Instrument/default/Figi': execution['figi']
+                    },
+                    quantity=execution['quantity'],
+                    state=execution['state'],
+                    side=execution['side'],
+                    type=execution['type'],
+                    price=models.CurrencyAndAmount(amount=execution['price'], currency=execution['currency']),
+                    settlement_currency=execution['settlement_currency'],
+                    settlement_currency_fx_rate=execution['settlement_currency_fx_rate'],
+                    counterparty=execution['counterparty'],
+                    created_date=datetime.datetime.fromisoformat(execution['created_date'])
+                )
+            )
+
+        return models.ExecutionSetRequest(requests=execution_requests)
+
+    @staticmethod
+    def create_allocation_set_request_from_df(df, scope):
+        allocation_requests = list()
+
+        for index, allocation in df.iterrows():
+            execution_ids = list()
+            placement_ids = list()
+            for x in allocation['execution_ids'].split(","):
+                execution_ids.append(models.ResourceId(scope=scope, code=x))
+            for x in allocation['placement_ids'].split(","):
+                placement_ids.append(models.ResourceId(scope=scope, code=x))
+
+            allocation_requests.append(
+                models.AllocationRequest(
+                    instrument_identifiers={
+                        'Instrument/default/Figi': allocation['figi']
+                    },
+                    quantity=allocation['quantity'],
+                    portfolio_id=models.ResourceId(
+                        scope=scope,
+                        code=allocation['portfolio_id']
+                    ),
+                    allocated_order_id=models.ResourceId(
+                        scope=scope,
+                        code=allocation['order_id']
+                    ),
+                    id=models.ResourceId(
+                        scope=scope,
+                        code=allocation['allocation_id']
+                    ),
+                    price=models.CurrencyAndAmount(amount=allocation['price'], currency=allocation['currency']),
+                    execution_ids=execution_ids,
+                    placement_ids=placement_ids,
+                    date=datetime.datetime.fromisoformat(allocation['date'])
+                )
+            )
+        return models.AllocationSetRequest(allocation_requests=allocation_requests)
+
+    @staticmethod
+    def create_transaction_request_dict_from_df(df, scope):
+        txn_requests = defaultdict(list)
+
+        for index, txn in df.iterrows():
+            txn_requests[txn['portfolio_id']].append(
+                models.TransactionRequest(
+                    transaction_id=txn['transaction_id'],
+                    type=txn['type'],
+                    instrument_identifiers={
+                        'Instrument/default/Figi': txn['figi']
+                    },
+                    transaction_date=txn['transaction_date'],
+                    settlement_date=txn['settlement_date'],
+                    units=txn['quantity'],
+                    transaction_price=models.TransactionPrice(txn['price'], "Price"),
+                    total_consideration=models.CurrencyAndAmount(txn['cost'], txn['currency']),
+                    order_id=models.ResourceId(
+                        scope=scope,
+                        code=txn['order_id']
+                    ),
+                    allocation_id=models.ResourceId(
+                        scope=scope,
+                        code=txn['allocation_id']
+                    )
+                )
+            )
+
+        return txn_requests