diff options
| -rw-r--r-- | python/reallocate_iam.py | 95 | ||||
| -rw-r--r-- | python/report_ops/cash.py | 51 |
2 files changed, 86 insertions, 60 deletions
diff --git a/python/reallocate_iam.py b/python/reallocate_iam.py index 520b4291..05070ac0 100644 --- a/python/reallocate_iam.py +++ b/python/reallocate_iam.py @@ -3,59 +3,23 @@ from serenitas.ops.funds import Service from report_ops.cash import IAMDeal from serenitas.analytics.dates import prev_business_day -_bowdst_iam_cp = { - "BAML_ISDA": "BOANNY", - "CS": "CSITLN", - "GS": "GOLINY", - "BNP": "BNPBNY", - "MS": "MSCILN", - "JPM": "JPCBNY", - "GS_FCM": "GOLDNY", -} -_serenitas_iam_cp = { - "BAML_ISDA": "BAMSNY", - "CS": "CSFBBO", - "GS": "GOLDNY", - "BNP": "BNPBNY", - "MS": "MSCSNY", - "JPM": "JPCBNY", - "GS_FCM": "GOLDNY", -} - - -def get_counterparty(fund, iam_broker): - match fund: - case "SERCGMAST": - return _serenitas_iam_cp[iam_broker] - case "BOWDST": - return _bowdst_iam_cp[iam_broker] - - -def get_custodian_account(fund, iam_broker): - match fund, iam_broker: - case ("SERCGMAST", "WF_FCM"): - return ("WELLSFCM", "WFNSCLMFCM") - case ("SERCGMAST", "BAML_FCM"): - return ("BOMLCM", "V0NSCLMFCM") - case ("BOWDST", "GS_FCM"): - return ("GS", "057363418ICE-CDS") - case ("SERCGMAST", _): - return ("UMB", "159260.1") - case ("BOWDST", _): - return ("BNY", "751254") - - -def globeop_mapping(fund, iam_broker): - (custodian, cash_account) = get_custodian_account(fund, iam_broker) - return { - "custodian": custodian, - "cash_account": cash_account, - "counterparty": get_counterparty(fund, iam_broker), - } +def gen_old_iam(fund, cob, conn): + with conn.cursor() as c: + c.execute( + "SELECT * FROM iam_tickets WHERE trade_date=%s AND fund=%s", + ( + cob, + fund, + ), + ) + for row in c: + d = row._asdict() + yield IAMDeal.from_dict(**d).to_globeop("CANCEL") + c.execute("DELETE FROM iam_tickets WHERE trade_date=%s AND fund=%s") -def gen_new_iam_deals(fund, cob, conn): +def gen_new_iam(fund, cob, conn): with conn.cursor() as c: c.execute( "SELECT * FROM list_iam(%s, %s)", @@ -65,8 +29,8 @@ def gen_new_iam_deals(fund, cob, conn): ), ) for row in c: - d = row._asdict() | globeop_mapping(fund, row.broker) - yield IAMDeal.from_dict(**d) + d = row._asdict() + yield IAMDeal.from_dict(**d).to_globeop("NEW") def gen_new_iam_offsets(fund, cob, conn): @@ -80,17 +44,29 @@ def gen_new_iam_offsets(fund, cob, conn): ), ) for row in c: - d = ( - row._asdict() - | globeop_mapping(fund, row.broker) - | {"offset": True, "folder": "M_CSH_CASH"} - ) - return IAMDeal.from_dict(**d) + d = row._asdict() | {"offset": True, "folder": "M_CSH_CASH"} + yield IAMDeal.from_dict(**d).to_globeop("NEW") + + +def gen_matured_iam(fund, cob, conn): + with conn.cursor() as c: + c.execute( + "SELECT * FROM iam_tickets WHERE maturity is NULL AND trade_date=%s AND fund=%s", + (prev_business_day(cob), fund), + ) + for row in c: + yield IAMDeal.from_dict(**d).to_globeop("UPDATE") + c.execute( + "UPDATE iam_tickets SET maturity =%s WHERE maturity is NULL AND trade_date=%s AND fund=%s", + (cob, fund), + ) def main(fund, cob, conn): service = Service[fund] - for iam in gen_iam_deals(fund, cob, conn): + for iam in gen_old_iam(fund, cob, conn): + iam.stage() + for iam in gen_iam(fund, cob, conn): iam.stage() if fund in ("BOWDST"): for iam in gen_iam_offsets(fund, cob, conn): @@ -98,6 +74,7 @@ def main(fund, cob, conn): for iam in IamDeal.commit(): service.push(iam) buf, dest = service.build_buffer() + conn.commit() if __name__ == "__main__": diff --git a/python/report_ops/cash.py b/python/report_ops/cash.py index 027cb350..e8f8d0cb 100644 --- a/python/report_ops/cash.py +++ b/python/report_ops/cash.py @@ -9,12 +9,55 @@ from .misc import get_dir, dt_from_fname from .custodians import NT, UMB, BNY from functools import partial +_bowdst_iam_cp = { + "BAML_ISDA": "BOANNY", + "CS": "CSITLN", + "GS": "GOLINY", + "BNP": "BNPBNY", + "MS": "MSCILN", + "JPM": "JPCBNY", + "GS_FCM": "GOLDNY", +} + +_serenitas_iam_cp = { + "BAML_ISDA": "BAMSNY", + "CS": "CSFBBO", + "GS": "GOLDNY", + "BNP": "BNPBNY", + "MS": "MSCSNY", + "JPM": "JPCBNY", + "GS_FCM": "GOLDNY", +} + + +def get_counterparty(fund, iam_broker): + match fund: + case "SERCGMAST": + return _serenitas_iam_cp[iam_broker] + case "BOWDST": + return _bowdst_iam_cp[iam_broker] + + +def get_custodian_account(fund, iam_broker): + match fund, iam_broker: + case ("SERCGMAST", "WF_FCM"): + return ("WELLSFCM", "WFNSCLMFCM") + case ("SERCGMAST", "BAML_FCM"): + return ("BOMLCM", "V0NSCLMFCM") + case ("BOWDST", "GS_FCM"): + return ("GS", "057363418ICE-CDS") + case ("SERCGMAST", _): + return ("UMB", "159260.1") + case ("BOWDST", _): + return ("BNY", "751254") + @dataclass class IAMDeal(Deal, deal_type=None, table_name="iam_tickets"): trade_date: datetime.date = field(metadata={"globeop": "SettlementDate"}) folder: str = field(metadata={"globeop": "Folder"}) - counterparty: str = field(metadata={"globeop": "Counterparty"}) + broker: str + # counterparty: str = field(metadata={"globeop": "Counterparty"}) start_money: float = field(metadata={"globeop": "StartMoney"}) currency: str = field(metadata={"globeop": "Currency"}) fund: Fund @@ -42,6 +85,12 @@ class IAMDeal(Deal, deal_type=None, table_name="iam_tickets"): obj["DealFunction"] = "OTC" obj["MarginType"] = "Variation" obj["Basis"] = "ACT/360" + (custodian, cash_account) = get_custodian_account(fund, self.broker) + obj = obj | { + "Custodian": custodian, + "Cash Account": cash_account, + "Counterparty": get_counterparty(fund, self.broker), + } return obj |