Chore: Make release 1.2.10

gs_quant/api/gs/backtests_xasset/response_datatypes/backtest_datatypes.py

@@ -40,6 +40,20 @@ class TransactionDirection(Enum):
     Exit = 'Exit'
 
 
+class RollDateMode(Enum):
+    OTC = 'OTC'
+    Listed = 'Listed'
+
+    @classmethod
+    def _missing_(cls, value):
+        if value is None:
+            return None
+        for member in cls:
+            if member.value.lower() == value.lower():
+                return member
+        return None
+
+
 @dataclass_json(letter_case=LetterCase.CAMEL)
 @dataclass
 class Transaction:
@@ -103,3 +117,4 @@ class Configuration:
     market_data_location: Optional[PricingLocation] = None
     market_model: Optional[EquityMarketModel] = None
     cash_accrual: bool = False
+    roll_date_mode: Optional[RollDateMode] = None

gs_quant/api/gs/data.py

@@ -131,6 +131,7 @@ class QueryType(Enum):
     COVARIANCE = "Covariance"
     FACTOR_EXPOSURE = "Factor Exposure"
     FACTOR_RETURN = "Factor Return"
+    HISTORICAL_BETA = "Historical Beta"
     FACTOR_PNL = "Factor Pnl"
     FACTOR_PROPORTION_OF_RISK = "Factor Proportion Of Risk"
     DAILY_RISK = "Daily Risk"

gs_quant/backtests/strategy_systematic.py

@@ -21,7 +21,7 @@
 from gs_quant.api.gs.backtests_xasset.apis import GsBacktestXassetApi
 from gs_quant.api.gs.backtests_xasset.request import BasicBacktestRequest
 from gs_quant.api.gs.backtests_xasset.response_datatypes.backtest_datatypes import DateConfig, Trade, \
-    CostPerTransaction, TransactionCostModel
+    CostPerTransaction, TransactionCostModel, Configuration, RollDateMode
 from gs_quant.backtests.core import Backtest, TradeInMethod
 from gs_quant.errors import MqValueError
 from gs_quant.target.backtests import *
@@ -121,6 +121,8 @@ def __init__(self,
         self.__trades = (Trade(tuple(trade_instruments), roll_frequency, trade_buy_dates, roll_frequency,
                                trade_exit_dates, quantity, quantity_type),)
         self.__delta_hedge_frequency = '1b' if delta_hedge else None
+        self.__xasset_bt_service_config = Configuration(roll_date_mode=RollDateMode(roll_date_mode) if
+                                                        roll_date_mode is not None else None)
 
         backtest_parameters_class: Base = getattr(backtests, self.__backtest_type + 'BacktestParameters')
         backtest_parameter_args = {
@@ -154,7 +156,8 @@ def __run_service_based_backtest(self, start: datetime.date, end: datetime.date,
         if not calc_measures:
             calc_measures = (FlowVolBacktestMeasure.PNL,)
         basic_bt_request = BasicBacktestRequest(date_cfg, self.__trades, calc_measures, self.__delta_hedge_frequency,
-                                                CostPerTransaction(TransactionCostModel.Fixed, 0), None)
+                                                CostPerTransaction(TransactionCostModel.Fixed, 0),
+                                                self.__xasset_bt_service_config)
         basic_bt_response = GsBacktestXassetApi.calculate_basic_backtest(basic_bt_request, decode_instruments=False)
         risks = tuple(
             BacktestRisk(name=k.value,

gs_quant/session.py

@@ -496,6 +496,8 @@ def _headers(self):
     def _get_mds_domain(self):
         env_config = GsSession._config_for_environment(self.environment.name)
         current_domain = self.domain.replace('marquee.web', 'marquee')  # remove .web from prod domain
+        if self.environment.name == Environment.QA.name:
+            current_domain = self.domain.replace('marquee-qa.web', 'marquee-qa')  # remove .web from qa domain
 
         is_mds_web = current_domain == Domain.MDS_WEB
         is_env_mds_web = current_domain == env_config['MdsWebDomain']

gs_quant/target/workflow_quote.py

@@ -86,6 +86,18 @@ class PriceFormat(EnumBase, Enum):
     Cents = 'Cents'    
 
 
+class RelativeExpiryType(EnumBase, Enum):
+    Relative = 'Relative'
+    Fixed = 'Fixed'
+
+
+class RelativeStrikeType(EnumBase, Enum):
+    Relative_Delta = 'Relative Delta'
+    Relative_Spot = 'Relative Spot'
+    Relative_Fwd = 'Relative Fwd'
+    Fixed = 'Fixed'
+
+
 @dataclass
 class HedgeTypes(Base):
     pass
@@ -284,6 +296,8 @@ class WorkflowPosition(Base):
     creator: Optional[str] = field(default=None, metadata=field_metadata)
     originating_system: Optional[str] = field(default=None, metadata=field_metadata)
     is_read_only: Optional[bool] = field(default=None, metadata=field_metadata)
+    strike_and_barrier_type: Optional[RelativeStrikeType] = field(default=None, metadata=field_metadata)
+    expiry_type: Optional[RelativeExpiryType] = field(default=None, metadata=field_metadata)
     name: Optional[str] = field(default=None, metadata=name_metadata)
 
 

gs_quant/test/timeseries/test_measures_risk_models.py

@@ -108,6 +108,51 @@ def mock_risk_model():
     return actual
 
 
+def test_risk_model_measure():
+    replace = Replacer()
+
+    # mock getting risk model entity()
+    mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model', Mock())
+    mock.return_value = mock_risk_model_obj
+
+    # mock getting risk model factor entity
+    mock = replace('gs_quant.api.gs.risk_models.GsFactorRiskModelApi.get_risk_model_data', Mock())
+    mock.return_value = mock_risk_model_data
+
+    # mock getting risk model factor entity
+    mock = replace('gs_quant.api.gs.risk_models.GsFactorRiskModelApi.get_risk_model_factor_data', Mock())
+    mock.return_value = mock_risk_model_factor_data
+
+    # mock getting asset gsid
+    mock = replace('gs_quant.markets.securities.Asset.get_identifier', Mock())
+    mock.return_value = '14593'
+
+    # mock getting risk model dates
+    mock = replace('gs_quant.api.gs.risk_models.GsRiskModelApi.get_risk_model_dates', Mock())
+    mock.return_value = ['2020-01-01', '2020-01-02', '2020-01-03']
+
+    # mock getting risk model data
+    mock = replace('gs_quant.models.risk_model.MarqueeRiskModel.get_data', Mock())
+    mock.return_value = {
+        'totalResults': 3,
+        'missingDates': [],
+        'results': [
+            {'date': '2024-08-19', 'assetData': {'universe': ['14593'], 'bidAskSpread30d': [0.1]}},
+            {'date': '2024-08-20', 'assetData': {'universe': ['14593'], 'bidAskSpread30d': [0.2]}},
+            {'date': '2024-08-21', 'assetData': {'universe': ['14593'], 'bidAskSpread30d': [0.3]}}
+        ]
+    }
+
+    with DataContext(datetime.date(2020, 1, 1), datetime.date(2020, 1, 3)):
+        actual = mrm.risk_model_measure(Stock(id_='id', name='Fake Asset'), 'model_id',
+                                        mrm.ModelMeasureString.BID_AKS_SPREAD_30D)
+        assert all(actual.values == [0.1, 0.2, 0.3])
+
+    with pytest.raises(AttributeError):
+        mrm.risk_model_measure(Stock(id_='id', name='Fake Asset'), 'model_id', 'Wrong Factor Name')
+    replace.restore()
+
+
 def test_factor_zscore():
     replace = Replacer()
 

gs_quant/timeseries/measures_risk_models.py

@@ -13,9 +13,11 @@
 specific language governing permissions and limitations
 under the License.
 """
+from enum import Enum
 from typing import Dict, Optional
 
 import pandas as pd
+import datetime as dt
 from pydash import decapitalize
 
 from gs_quant.api.gs.data import QueryType
@@ -30,6 +32,124 @@
 from gs_quant.timeseries import plot_measure_entity, plot_measure, prices
 from gs_quant.timeseries.measures import _extract_series_from_df
 
+ModelMeasureStr = {
+    'Asset Universe': RiskModelDataMeasure.Asset_Universe,
+    'Historical Beta': RiskModelDataMeasure.Historical_Beta,
+    'Total Risk': RiskModelDataMeasure.Total_Risk,
+    'Specific Risk': RiskModelDataMeasure.Specific_Risk,
+    'Specific Return': RiskModelDataMeasure.Specific_Return,
+    'Daily Returns': RiskModelDataMeasure.Daily_Return,
+    'Estimation Universe Weight': RiskModelDataMeasure.Estimation_Universe_Weight,
+    'Residual Variance': RiskModelDataMeasure.Residual_Variance,
+    'Predicted Beta': RiskModelDataMeasure.Predicted_Beta,
+    'Global Predicted Beta': RiskModelDataMeasure.Global_Predicted_Beta,
+    'Universe Factor Exposure': RiskModelDataMeasure.Universe_Factor_Exposure,
+    'R Squared': RiskModelDataMeasure.R_Squared,
+    'Fair Value Gap Percent': RiskModelDataMeasure.Fair_Value_Gap_Percent,
+    'Fair Value Gap Standard Deviation': RiskModelDataMeasure.Fair_Value_Gap_Standard_Deviation,
+    'Bid Ask Spread': RiskModelDataMeasure.Bid_Ask_Spread,
+    'Bid Ask Spread 30d': RiskModelDataMeasure.Bid_Ask_Spread_30d,
+    'Bid Ask Spread 60d': RiskModelDataMeasure.Bid_Ask_Spread_60d,
+    'Bid Ask Spread 90d': RiskModelDataMeasure.Bid_Ask_Spread_90d,
+    'Trading Volume': RiskModelDataMeasure.Trading_Volume,
+    'Trading Volume 30d': RiskModelDataMeasure.Trading_Volume_30d,
+    'Trading Volume 60d': RiskModelDataMeasure.Trading_Volume_60d,
+    'Trading Volume 90d': RiskModelDataMeasure.Trading_Volume_90d,
+    'Trading Value 30d': RiskModelDataMeasure.Traded_Value_30d,
+    'Composite Volume': RiskModelDataMeasure.Composite_Volume,
+    'Composite Volume 30d': RiskModelDataMeasure.Composite_Volume_30d,
+    'Composite Volume 60d': RiskModelDataMeasure.Composite_Volume_60d,
+    'Composite Volume 90d': RiskModelDataMeasure.Composite_Volume_90d,
+    'Composite Value 30d': RiskModelDataMeasure.Composite_Value_30d,
+    'Composite Issuer Market Cap': RiskModelDataMeasure.Issuer_Market_Cap,
+    'Composite Price': RiskModelDataMeasure.Price,
+    'Composite Model Price': RiskModelDataMeasure.Model_Price,
+    'Composite Capitalization': RiskModelDataMeasure.Capitalization,
+    'Composite Currency': RiskModelDataMeasure.Currency,
+    'Composite Unadjusted Specific Risk': RiskModelDataMeasure.Unadjusted_Specific_Risk,
+    'Dividend Yield': RiskModelDataMeasure.Dividend_Yield}
+
+
+class ModelMeasureString(Enum):
+    ASSET_UNIVERSE = 'Asset Universe'
+    HISTORICAL_BETA = 'Historical Beta'
+    TOTAL_RISK = 'Total Risk'
+    SPECIFIC_RISK = 'Specific Risk'
+    SPECIFIC_RETURNS = 'Specific Return'
+    DAILY_RETURNS = 'Daily Returns'
+    ESTIMATION_UNVERSE_WEIGHT = 'Estimation Universe Weight'
+    RESIDUAL_VARIANCE = 'Residual Variance'
+    PREDICTED_BETA = 'Predicted Beta'
+    GLOBAL_PREDICTED_BETA = 'Global Predicted Beta'
+    UNIVERSE_FACTOR_EXPOSURE = 'Universe Factor Exposure'
+    R_SQUARED = 'R Squared'
+    FAIR_VALUE_GAP_PERCENT = 'Fair Value Gap Percent'
+    FAIR_VALUE_GAP_STANDARD_DEVIATION = 'Fair Value Gap Standard Deviation'
+    BID_ASK_SPREAD = 'Bid Ask Spread'
+    BID_AKS_SPREAD_30D = 'Bid Ask Spread 30d'
+    BID_AKS_SPREAD_60D = 'Bid Ask Spread 60d'
+    BID_AKS_SPREAD_90D = 'Bid Ask Spread 90d'
+    TRADING_VOLUME = 'Trading Volume'
+    TRADING_VOLUME_30D = 'Trading Volume 30d'
+    TRADING_VOLUME_60D = 'Trading Volume 60d'
+    TRADING_VOLUME_90D = 'Trading Volume 90d'
+    TRADING_VALUE_30D = 'Trading Value 30d'
+    COMPOSITE_VOLUME = 'Composite Volume'
+    COMPOSITE_VOLUME_30D = 'Composite Volume 30d'
+    COMPOSITE_VOLUME_60D = 'Composite Volume 60d'
+    COMPOSITE_VOLUME_90D = 'Composite Volume 90d'
+    COMPOSITE_VALUE_30d = 'Composite Value 30d'
+    COMPOSITE_ISSUER_MARKET_CAP = 'Composite Issuer Market Cap'
+    COMPOSITE_PRICE = 'Composite Price'
+    COMPOSITE_MODEL_PRICE = 'Composite Model Price'
+    COMPOSITE_CAPITALIZATION = 'Composite Capitalization'
+    COMPOSITE_CURRENCY = 'Composite Currency'
+    COMPOSITE_UNADJUSTED_SPECIFIC_RISK = 'Composite Unadjusted Specific Risk'
+    DIVIDEND_YIELD = 'Dividend Yield'
+
+
+@plot_measure((AssetClass.Equity,), (AssetType.Single_Stock,), [QueryType.HISTORICAL_BETA])
+def risk_model_measure(asset: Asset, risk_model_id: str,
+                       risk_model_measure_selected: ModelMeasureString = ModelMeasureString.HISTORICAL_BETA,
+                       start_date: dt.date = dt.date.today(),
+                       end_date: dt.date = dt.date.today() - dt.timedelta(7), *,
+                       source: str = None, real_time: bool = False, request_id: Optional[str] = None) -> pd.Series:
+    """
+    Retrieve risk model measures for a given asset.
+
+    :param asset: Asset object loaded from security master
+    :param risk_model_id: ID of the risk model
+    :param risk_model_measure_selected: Selected risk model measure
+    :param start_date: Start date for the data retrieval
+    :param end_date: End date for the data retrieval
+    :param source: Name of function caller
+    :param real_time: Whether to retrieve intraday data instead of EOD
+    :param request_id: Service request ID, if any
+    :return: Risk model measure data for the asset
+    """
+    model = MarqueeRiskModel.get(risk_model_id)
+    gsid = asset.get_identifier(AssetIdentifier.GSID)
+    risk_model_measure_selected = ModelMeasureStr[risk_model_measure_selected.value]
+
+    query_results = model.get_data(
+        measures=[risk_model_measure_selected,
+                  RiskModelDataMeasure.Asset_Universe],
+        start_date=start_date,
+        end_date=end_date,
+        assets=RiskModelDataAssetsRequest(identifier=RiskModelUniverseIdentifierRequest.gsid, universe=[gsid]),
+        limit_factors=False
+    ).get('results', [])
+
+    measures = {}
+    for result in query_results:
+        if result:
+            measure_name = set(result.get('assetData', {}).keys()).difference({'universe'})
+            exposures = result.get('assetData', {}).get(measure_name.pop(), [])
+            if exposures:
+                measures[result['date']] = exposures[0]
+
+    return __format_plot_measure_results(measures, QueryType.FACTOR_EXPOSURE)
+
 
 @plot_measure((AssetClass.Equity,), (AssetType.Single_Stock,))
 def factor_zscore(asset: Asset, risk_model_id: str, factor_name: str, *,