diff options
| -rw-r--r-- | python/trade_dataclasses.py | 15 |
1 files changed, 6 insertions, 9 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 9683930e..46ee4007 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -512,6 +512,8 @@ class CitcoTrade(Citco): ) obj["FillQty"] = obj.get("OrderQty") obj["FillPrice"] = obj.get("AvgPrice") + obj["FXRate"] = 1 + obj["SettleCurrency"] = obj.get("SecurityCurrency") return obj @@ -611,7 +613,6 @@ class CDSDeal( def to_citco(self): obj = super().to_citco() obj["SecurityType"] = "CDS" - obj["SettleCurrency"] = obj["SecurityCurrency"] obj["AvgPrice"] = ( obj["OrderQty"] / obj["upfront"] / obj["factor"] / 100 ) # Citco looks at factor as 1/100 @@ -788,8 +789,7 @@ class BondDeal( obj["SecurityType"] = "CMO" obj["ClearingAgent"] = "NT" obj["FXRate"] = 1 - obj["CurrencyTraded"] = "USD" - obj["SettleCurrency"] = obj["CurrencyTraded"] + obj["SettleCurrency"] = "USD" obj["BuySellShortCover"] = "B" if obj["buysell"] else "S" obj["IDSource"] = "CUSIP" with self._conn.cursor() as c: @@ -1087,6 +1087,7 @@ class SpotDeal( key1, key2 = "buy", "sell" obj["SecurityCurrency"] = obj[f"{key1}_currency"] obj["OrderQty"] = obj[f"{key1}_amount"] + obj["FillQty"] = obj["OrderQty"] obj["SecurityType"] = "FX" obj["BuySellShortCover"] = "S" if obj["buy_currency"] == "USD" else "B" obj["IDSource"] = "BLOOMBERG" @@ -1261,7 +1262,7 @@ class TRSDeal( buysell: bool underlying_security: str price: float = field(metadata={"mtm": "Initial Fixing Amount", "citco": "AvgPrice"}) - accrued: float = field(metadata={"mtm": "Initial Payment"}) + accrued: float = field(metadata={"mtm": "Initial Payment", "citco": "Fee"}) funding_freq: str funding_daycount: str funding_payment_roll_convention: str @@ -1316,11 +1317,6 @@ class TRSDeal( obj["2nd Leg Index"] = _mtm_index[obj["funding_index"]] obj["2nd Leg Spread"] = 0 obj["2nd Leg Initial Floating Rate"] = 0 - # obj["2nd Leg Initial Floating Rate"] = obj["Initial Payment"] / ( - # (obj["Effective Date"] - previous_twentieth(obj["Effective Date"])).days - # * obj["1st Leg Notional"] - # / 360 - # ) return obj def to_globeop(self): @@ -1374,6 +1370,7 @@ class TRSDeal( obj["BuySellShortCover"] = "B" if obj["buysell"] else "S" obj["SettleCurrency"] = obj["SecurityCurrency"] obj["IDSource"] = "USERID" + obj["Fee"] = -obj["Fee"] if obj["buysell"] else obj["Fee"] product = TRSProduct( birth_date=self.trade_date, death_date=self.maturity_date, |