pjS)(UdZddlmZddlZddlmZddlZddlZ ddddddddddddddddZ de d < d dd Z dd Z ddddd  dd Z ddZdd ddZy)u9 UnifiedMarginTracker — daily combined-margin estimate for the Best Ideas portfolio. Aggregates margin estimates from each sleeve, scaled by fund_weights × fund_scale. Reports combined utilisation and applies a dynamic scale cap when projected margin would exceed ``margin_cap_frac`` (default 0.85) of the running NAV. Sleeve margin sources --------------------- * ``spy_theta`` — actual margin from ``evaluate_theta_margin`` column: ``margin_total_usd`` * ``vxx_regime`` — VXX regime stack daily CSV column: ``margin_total_usd`` (added 2026-06) * ``vxx_long_call`` — long OTM calls, paid premium → zero margin required * ``macro_aw`` — from per-trade ``margin_reserved_usd`` (added 2026-06) reconstructed as daily open-position margin * ``tactical_aw`` — Tactical AW daily CSV column ``margin_usd`` (added 2026-06) * ``tsmom`` — TSMOM daily CSV column ``margin_usd`` (added 2026-06) * ``orb_zarattini`` — Zarattini 5m ORB daily CSV column ``margin_usd`` (added 2026-07) ) annotationsN)Pathmargin_total_usd margin_usd) spy_theta vxx_regime tactical_awtsmom orb_zarattinivol_edge ls_equity vxx_long_callmacro_aw equity_dipsector_momentum ride_rockets ma_slope_topnma_slope_inversema_slope_intradayzdict[str, str] _MARGIN_COLcp|js'|rtjd|Std|tj|dg}tj |dj j|d<|jd}||jvrR|r?tjd|d|jdd tjd|Std|d|||j|jj!dj#t$S) z>Load a single margin column from a CSV and reindex to ``idx``.indexzMargin CSV not found: date parse_dateszColumn 'z ' not in zV; margin set to 0 for this sleeve. Re-run the sleeve backtest to populate this column. stacklevel)is_filepdSeriesFileNotFoundErrorread_csv to_datetimedt normalize set_indexcolumnswarningswarnnameKeyErrorreindexffillfillnaastypefloat)pathcolidx fallback_zerodfs I/opt/rentech/trading_bot/RenTech/strategy_stack/unified_margin_tracker.py_load_margin_colr:6s <<> 99S, ,"8 ?@@ Tx 0B6 +..88:BvJ f B "**  MM3%y 4FF  99S, ,#iv677 c7??3  % % ' . .s 3 : :5 AAc|jstjd|Stj|ddg}tj|dj j |d<tj|dj j |d<d|jvr.tjdd tjd|Stjd|}|jD]\}}t|jddxsd}|dk(r+tj|d}tj|d}tj|stj|r|j }|j }|||k\||kz} |j| xx|z cc<|S) uReconstruct per-day open Macro AW margin from the trade log. For each business day, sum ``margin_reserved_usd`` for all trades where ``entry_date ≤ day < exit_date`` (position still open). rr entry_date exit_datermargin_reserved_usdzhmacro_aw trades CSV has no 'margin_reserved_usd' column. Re-run macro_aw_options_portfolio.py to add it.rr)r!r"r#r%r&r'r(r*r+r,iterrowsr3get Timestampisnaloc) trades_pathr6trades margin_by_day_rowmentryexit_ days_opens r9_macro_aw_daily_marginrNPs    yyC(( [[<2M NF>>&*>?BBLLNF<.. )<=@@JJLF;FNN2  > yyC((IIc-M//# *3 #''/5< = 8  S./ S-. 775>RWWU^ !!#+67 )$)$ * r;)equity_dip_dailyvol_edge_dailyls_equity_dailyorb_zarattini_dailyc @i}|D]}tj|}|dk(rt|d|||</|dk(rt|d|||<E|dk(rt|d|||<[|dk(r.| t| d|||<stjd|||<|d k(rt|d|||<|d k(r.|t|d|||<tjd|||<|d k(r/| t| d|||<tjd|||< |d k(rtjd|||<,|d k(rt ||||<B|dvr6| j|d}|| z}tj|dz|||<|tjd|||<|S)zReturn ``{sleeve_key: daily_margin_usd_at_scale_1}`` for every active sleeve. The series are at scale=1 (unlevered); multiply by ``fund_scale`` to get the margin consumed by the levered position. rrrr rr rrr r r rr)rr johansen_etfrrrrqs_actionable_etfg333333?)rrAr:r"r#rN)r6active_sleeves lit_mtm_dailyvxx_regime_daily tsmom_dailytactical_aw_dailymacro_aw_trades_pathrOrPrQrR fund_weights fund_scalecapitalresultsleever5w base_notionals r9build_sleeve_margin_maprcws0$&F 47oof% [ -m=OQTUF6N | #-.>@RTWXF6N w -k<MF6N  &".!12E|UX!Yv!#3c!:v } $-.?sSF6N z !)!1.,PS!Tv!#3c!:v { "*!1/_usd`` — sleeve margin scaled by fund_weight × fund_scale * ``margin_combined_usd`` — total across all sleeves (at fund_weight × fund_scale) * ``margin_scale1_usd`` — total at scale=1 weighted by fund_weights (for gating) rrmargin__usdmargin_combined_usdmargin_scale1_usd)r" DataFramer#itemsr3rA) r6sleeve_margin_mapr\r]outcombined_scale1r` margin_s1ramargin_weighted_s1r5s r9build_combined_marginrps& ,,S !Cii3/O.446? ,""63/ 0&]xt$% 2C),>> ?"1:!=C.C Jr;g333333?)margin_cap_fracc||z}|jdtj}||z }|j|}tj||j d}||z} | |fS)u_Apply a per-day dynamic scale cap so margin ≤ ``margin_cap_frac`` × prev_NAV. Parameters ---------- port_ret_unscaled : daily portfolio return at scale=1 (normalized weights, no leverage) fund_scale : requested leverage multiplier margin_scale1 : combined margin at scale=1 per day nav : prior-day NAV (or starting capital on day 0) margin_cap_frac : max allowed margin / NAV (default 0.85 = 85%) Returns ------- effective_ret : levered daily return, capped when margin would breach effective_scale : the scale actually applied each day (≤ fund_scale) r)lower)replacenpnanr1minimumclip) port_ret_unscaledr] margin_scale1navrq max_marginsafemax_scale_from_margineffective_scale effective_rets r9apply_margin_caprsv.&J  bff -D&-188Djj-B-G-Gc-G-RSO%7M / ))r;)T) r4rr5strr6pd.DatetimeIndexr7boolreturn pd.Series)rErr6rrr)r6rrVzset[str]rWrrXrrYrrZrr[rrO Path | NonerPrrQrrRrr\dict[str, float]r]r3r^r3rdict[str, pd.Series]) r6rrkrr\rr]r3rz pd.DataFrame) ryrr]r3rzrr{rrqr3rztuple[pd.Series, pd.Series])__doc__ __future__rr+pathlibrnumpyrupandasr"r__annotations__r:rNrcrprr;r9rs*#'&  !   ^. 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