diff options
| -rw-r--r-- | python/trade_dataclasses.py | 24 |
1 files changed, 24 insertions, 0 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index ecdadd86..234243ef 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -786,6 +786,30 @@ class SwaptionDeal( def to_citco(self): obj = self.serialize("citco") + obj["FillID"] = obj["ClientOrderID"] + obj["SecurityType"] = "BNDOPT" + obj["BuySellShortCover"] = "B" if obj["buysell"] == "Buy" else "S" + obj["Trader"] = "serenitas_trader" + obj["FillQty"] = obj["OrderQty"] + obj["FillPrice"] = obj["AvgPrice"] + obj["StrategyCode"] = f"{obj['portfolio']}/{obj['folder']}" + obj["SettleCurrency"] = obj["SecurityCurrency"] + obj["IDSource"] = "USERID" + obj["ClearingAgent"] = obj["ExecutionBroker"] + redcode = ( + obj["security_id"] + + "_" + + obj["SecurityDescription"].split()[4].removesuffix("Y") + ) + instrument = SwpationProduct( + underlying_security_id=redcode, + instrument="SWPO", + callput=obj["option_type"] == "RECEIVER", + strike=obj["strike"], + death_date=obj["expiration_date"], + ) + instrument.citco_stage() + obj["SecurityID"] = instrument.dealid @dataclass |