diff options
Diffstat (limited to 'python/Dawn/views.py')
| -rw-r--r-- | python/Dawn/views.py | 625 |
1 files changed, 0 insertions, 625 deletions
diff --git a/python/Dawn/views.py b/python/Dawn/views.py deleted file mode 100644 index 56bf0497..00000000 --- a/python/Dawn/views.py +++ /dev/null @@ -1,625 +0,0 @@ -import datetime -import os -import psycopg2 -import redis -import socket - -from flask import ( - abort, - request, - render_template, - redirect, - url_for, - send_from_directory, - send_file, - g, - jsonify, - session, -) - -from .models import ( - ModelForm, - CASH_STRAT, - CCY, - BondDeal, - CDSDeal, - FUND, - SwaptionDeal, - FutureDeal, - CashFlowDeal, - CapFloorDeal, - SpotDeal, - Counterparties, - Accounts, - Termination, -) - -from sqlalchemy.exc import IntegrityError -from sqlalchemy.sql import text -from sqlalchemy.sql.expression import func -from wtforms.fields import BooleanField - -from .utils import bump_rev, simple_serialize -from PyPDF2 import PdfFileMerger -from io import BytesIO -from . import app -from . import db - - -def cp_choices(kind="bond"): - if kind == "bond": - return Counterparties.query.order_by("name").with_entities( - Counterparties.code, Counterparties.name - ) - elif kind in ["future", "spot"]: - return [] - elif kind in ["cds", "swaption", "capfloor"]: - return ( - Counterparties.query.order_by("name") - .filter(Counterparties.name.ilike("%CDS%")) - .with_entities(Counterparties.code, Counterparties.name) - ) - - -def account_codes(): - return Accounts.query.order_by("code").with_entities(Accounts.code, Accounts.name) - - -def fcm_accounts(): - return ( - Accounts.query.order_by("code") - .filter(Accounts.name.ilike("%FCM%")) - .with_entities(Accounts.code, Accounts.name) - ) - - -def get_queue(): - q = getattr(g, "queue", None) - if q is None: - hostname = socket.gethostname() - if hostname == "ziggy": - q = g.queue = redis.Redis(unix_socket_path="/run/redis/redis.sock") - else: - q = g.queue = redis.Redis(host="ziggy") - return q - - -def get_db(): - db = getattr(g, "_database", None) - if db is None: - db = g._database = psycopg2.connect( - database="serenitasdb", user="serenitas_user", host="debian" - ) - return db - - -@app.teardown_appcontext -def close_connection(exception): - db = getattr(g, "_database", None) - if db is not None: - db.close() - - -class CounterpartyForm(ModelForm): - class Meta: - model = Counterparties - include_primary_keys = True - - -class BondForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = BondDeal - include_foreign_keys = True - exclude = [ - "dealid", - "lastupdate", # we generate it with a trigger at the server level - "principal_payment", - "accrued_payment", - ] - - -class CDSForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = CDSDeal - include_foreign_keys = True - exclude = [ - "dealid", - "lastupdate", - "custodian", - "cashaccount", - "attach", - "detach", - ] - - -class SwaptionForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = SwaptionDeal - include_foreign_keys = True - exclude = ["dealid", "lastupdate"] - - -class TerminationForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = Termination - include_foreign_keys = True - - -class FutureForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = FutureDeal - include_foreign_keys = True - exclude = ["dealid", "lastupdate"] - - -class SpotForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = SpotDeal - include_foreign_keys = True - exclude = ["dealid", "lastupdate"] - - -class CapFloorForm(ModelForm): - upload_globeop = BooleanField(label="Upload to globeop?") - - class Meta: - model = CapFloorDeal - include_foreign_keys = True - exclude = ["dealid", "lastupdate"] - - -def get_deal(kind): - if kind == "cds": - return CDSDeal - elif kind == "bond": - return BondDeal - elif kind == "swaption": - return SwaptionDeal - elif kind == "future": - return FutureDeal - elif kind == "wire": - return CashFlowDeal - elif kind == "capfloor": - return CapFloorDeal - elif kind == "spot": - return SpotDeal - else: - raise RuntimeError(f"Unknown Deal type: {kind}") - - -def _get_form(kind): - if kind == "cds": - return CDSForm - elif kind == "bond": - return BondForm - elif kind == "swaption": - return SwaptionForm - elif kind == "future": - return FutureForm - elif kind == "capfloor": - return CapFloorForm - elif kind == "spot": - return SpotForm - else: - raise RuntimeError("Unknown Deal type") - - -def get_form(trade, kind): - Form = _get_form(kind) - if trade.id: - form = Form(obj=trade) - else: - form = Form() - # add extra empty fields - empty_choice = (None, "") - for attr in ["folder", "buysell", "asset_class", "swaption_type"]: - try: - dropdown = getattr(form, attr) - if dropdown.choices[0] != empty_choice: - dropdown.choices.insert(0, empty_choice) - except AttributeError: - continue - - if kind == "cds": - form.account_code.choices = fcm_accounts() - form.portfolio.choices = [ - c for c in form.portfolio.choices if c[0] not in ("IR", "IG", "HY") - ] - form.folder.choices = [ - c - for c in form.folder.choices - if (c[0] is None or (not c[0].startswith("SER_") or c[0].endswith("CURVE"))) - ] - elif kind == "swaption": - form.portfolio.choices = [("OPTIONS", "OPTIONS"), ("IR", "IR")] - form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind)) - return form - - -def get_trade(tradeid, kind): - Deal = get_deal(kind) - return Deal.query.get(tradeid) if tradeid else Deal() - - -def save_ticket(trade, old_ticket_name): - if trade.ticket: - if old_ticket_name: - new_name = bump_rev(old_ticket_name) - else: - new_name = f"{trade.trade_date} {trade.id} {trade.description}.pdf" - trade.ticket.save(os.path.join(app.config["TICKETS_FOLDER"], new_name)) - trade.ticket = new_name - else: - trade.ticket = old_ticket_name - - -def save_confirm(trade, old_confirm): - d = {"C": "Cap", "F": "Floor"} - if trade.trade_confirm: - file_name = f"{trade.trade_date} {d[trade.cap_or_floor]}.pdf" - trade.trade_confirm.save(os.path.join(app.config["CONFIRMS_FOLDER"], file_name)) - trade.trade_confirm = file_name - else: - trade.trade_confirm = old_confirm - - -def split_direction(g, direction): - if direction == "outgoing": - return [ - { - "folder": cf.folder, - "amount": -cf.amount, - "code": cf.code, - "currency": cf.currency, - "action": cf.action, - } - for cf in g - if cf.amount < 0 - ] - elif direction == "incoming": - return [ - { - "folder": cf.folder, - "amount": cf.amount, - "code": cf.code, - "currency": cf.currency, - "action": cf.action, - } - for cf in g - if cf.amount > 0 - ] - else: - raise ValueError("direction can be one of 'outgoing' or 'incoming'") - - -def gen_cashflow_deals(form, sql_session, wire_id=None): - to_date = datetime.date.fromisoformat - d = { - "action": form.get("action"), - "trade_date": form.get("trade_date", None, to_date), - } - - for direction in ["incoming", "outgoing"]: - count = 1 - while True: - if f"{direction}-code-{count}" not in form: - break - else: - d.update( - { - field: form.get(f"{direction}-{field}-{count}") - for field in ["folder", "code", "amount", "currency"] - } - ) - count += 1 - if direction == "outgoing": - d["amount"] = -float(d["amount"]) - elif direction == "incoming": - d["amount"] = float(d["amount"]) - else: - raise ValueError("direction needs to be 'outgoing' or 'incoming'") - if wire_id: - cf = CashFlowDeal.query.get(wire_id) - for k, v in d.items(): - setattr(cf, k, v) - yield cf - else: - cf = CashFlowDeal(**d) - sql_session.add(cf) - yield cf - - -@app.route("/wires/<int:wire_id>", methods=["GET", "POST"]) -@app.route("/wires/", defaults={"wire_id": None}, methods=["GET", "POST"]) -def wire_manage(wire_id): - if request.method == "POST": - wires = list(gen_cashflow_deals(request.form, db.session, wire_id)) - - try: - db.session.commit() - except IntegrityError as e: - app.logger.error(e) - db.session.rollback() - return render_template( - "wire_entry.html", - strategies=CASH_STRAT.enums, - currencies=CCY.enums, - accounts=account_codes(), - outgoing_wires=split_direction(wires, "outgoing"), - incoming_wires=split_direction(wires, "incoming"), - action=request.form.get("action"), - trade_date=request.form.get("trade_date"), - ) - else: - if request.form.get("upload_globeop") == "y": - q = get_queue() - for wire in wires: - q.rpush("wire_SERCGMAST", simple_serialize(wire)) - return redirect(url_for("list_trades", kind="wire")) - - wire = CashFlowDeal() if wire_id is None else CashFlowDeal.query.get(wire_id) - return render_template( - "wire_entry.html", - strategies=CASH_STRAT.enums, - currencies=CCY.enums, - accounts=account_codes(), - outgoing_wires=split_direction([wire], "outgoing") if wire_id else [], - incoming_wires=split_direction([wire], "incoming") if wire_id else [], - trade_date=wire.trade_date if wire_id else datetime.date.today(), - action_url=url_for("wire_manage", wire_id=wire_id), - action=wire.action if wire_id else None, - ) - - -@app.route("/trades/<kind>/<dealid>/terminate", methods=["GET", "POST"]) -def terminate(dealid, kind): - termination = Termination() - form = TerminationForm(dealid=dealid) - form.termination_cp.choices = form.termination_cp.choices + list(cp_choices(kind)) - table = kind if kind.endswith("s") else kind + "s" - if form.validate_on_submit(): - form.populate_obj(termination) - sql_session = form.get_session() - rec = db.session.execute( - "SELECT notional, coalesce(terminated_amount, 0.), currency, b.globeop_id, " - "cp_code, fund " - f"FROM {table} " - "LEFT JOIN " - "(SELECT dealid, sum(termination_amount) AS terminated_amount " - " FROM terminations group by dealid) term USING (dealid) " - "LEFT JOIN LATERAL ( " - " SELECT globeop_id FROM id_mapping " - " WHERE serenitas_id=id AND date <= :date " - " ORDER BY date DESC LIMIT 1" - ") b ON true " - "WHERE dealid = :dealid", - {"dealid": dealid, "date": termination.termination_date}, - ) - notional, terminated_amount, currency, globeop_id, cp_code, fund = next(rec) - is_assignment = True - if not termination.partial_termination: - termination.termination_amount = notional - terminated_amount - if termination.termination_cp is None: - termination.termination_cp = cp_code - is_assignment = False - sql_session.add(termination) - try: - sql_session.commit() - except IntegrityError as e: - app.logger.error(e) - sql_session.rollback() - else: - buf = simple_serialize( - termination, - ccy=currency, - globeopid=globeop_id, - is_assignment=is_assignment, - ) - q = get_queue() - q.rpush(f"{kind}_{fund}_termination", buf) - return redirect(url_for("list_trades", kind=kind)) - else: - return render_template( - "termination.html", - form=form, - action_url=url_for("terminate", dealid=dealid, kind=kind), - ) - - -@app.route("/trades/<kind>/<int:tradeid>", methods=["GET", "POST"]) -@app.route("/trades/<kind>/", defaults={"tradeid": None}, methods=["GET", "POST"]) -@app.route( - "/trades/", defaults={"tradeid": None, "kind": "bond"}, methods=["GET", "POST"] -) -def trade_manage(tradeid, kind): - trade = get_trade(tradeid, kind) - form = _get_form(kind)() - - if kind == "bond": - old_ticket_name = trade.ticket - if kind == "capfloor": - old_confirm = trade.trade_confirm - if kind == "cds": - form.account_code.choices = fcm_accounts() - form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind)) - if form.validate_on_submit(): - form.populate_obj(trade) - sql_session = form.get_session() - if not tradeid: - sql_session.add(trade) - if kind == "bond": - save_ticket(trade, old_ticket_name) - if kind == "capfloor": - save_confirm(trade, old_confirm) - if kind == "cds": - if trade.swap_type != "CD_INDEX": - if trade.fund == "SERCGMAST": - trade.account_code = "BAC" - elif trade.fund == "BRINKER": - trade.account_code = "BBH" - elif trade.fund == "BOWDST": - trade.account_code = "BONY" - else: - raise ValueError("Unknown fund") - trade.cashaccount = trade.fcm_account.cash_account - trade.custodian = trade.fcm_account.custodian - try: - sql_session.commit() - except IntegrityError as e: - app.logger.error(e) - sql_session.rollback() - return render_template( - "trade_entry.html", - form=form, - action_url=url_for("trade_manage", tradeid=tradeid, kind=kind), - ) - else: - buf = simple_serialize(trade, upload=form.upload_globeop.data) - q = get_queue() - q.rpush(f"{kind}_{form.fund.data}", buf) - return redirect(url_for("list_trades", kind=kind)) - else: - if form.errors: - app.logger.error(form.errors) - form = get_form(trade, kind) - return render_template( - "trade_entry.html", - form=form, - action_url=url_for("trade_manage", tradeid=tradeid, kind=kind), - ) - - -@app.route("/", defaults={"kind": "bond", "fund": None}) -@app.route("/<kind>/<fund>") -@app.route("/<kind>", defaults={"fund": None}) -def list_trades(kind, fund): - try: - Deal = get_deal(kind) - except RuntimeError as e: - app.logger.error(e) - abort(404) - else: - if kind not in ("cds", "swaption"): - trade_list = Deal.query.order_by(Deal.trade_date.desc(), Deal.id.desc()) - if fund is not None: - trade_list = trade_list.filter( - Deal.fund == func.cast(func.upper(fund), FUND) - ) - else: - if fund is not None: - sql_str = text( - f"SELECT * FROM {kind}_trades WHERE fund=UPPER(:fund)::fund" - ) - trade_list = db.session.execute(sql_str, {"fund": fund}) - else: - trade_list = db.session.execute(f"SELECT * FROM {kind}_trades") - return render_template(f"{kind}_blotter.html", trades=trade_list) - - -@app.route("/tickets/<int:tradeid>") -def download_ticket(tradeid): - trade = BondDeal.query.get(tradeid) - pdf = PdfFileMerger() - pdf.append(os.path.join(app.config["TICKETS_FOLDER"], trade.ticket)) - pdf.append(os.path.join(app.config["CP_FOLDER"], trade.counterparty.instructions)) - fh = BytesIO() - pdf.write(fh) - pdf.close() - fh.seek(0) - return send_file(fh, mimetype="application/pdf") - - -@app.route("/confirms/<int:tradeid>") -def download_confirm(tradeid): - trade = CapFloorDeal.query.get(tradeid) - return send_file( - os.path.join(app.config["CONFIRMS_FOLDER"], trade.trade_confirm), - mimetype="application/pdf", - ) - - -@app.route("/counterparties/<path:instr>", methods=["GET"]) -@app.route("/counterparties/", defaults={"instr": None}, methods=["GET"]) -def list_counterparties(instr): - if instr: - return send_from_directory( - filename=instr, - directory=app.config["CP_FOLDER"], - mimetype="application/pdf", - ) - else: - cp_list = Counterparties.query.order_by(Counterparties.name) - return render_template("counterparties.html", counterparties=cp_list.all()) - - -@app.route("/edit_cp/<cpcode>", methods=["GET", "POST"]) -@app.route("/edit_cp/", defaults={"cpcode": None}, methods=["GET", "POST"]) -def edit_counterparty(cpcode): - if cpcode: - cp = Counterparties.query.get(cpcode) - else: - cp = Counterparties() - cp_form = CounterpartyForm() - - old_instructions = cp.instructions or None - if cp_form.validate_on_submit(): - cp_form.populate_obj(cp) - sql_session = cp_form.get_session() - if not cpcode: - sql_session.add(cp) - instructions = cp_form.instructions - if not instructions.data: - cp.instructions = old_instructions - else: - cp.instructions = cp.name + ".pdf" - instructions.data.save( - os.path.join(app.config["CP_FOLDER"], cp.instructions) - ) - sql_session.commit() - return redirect(url_for("list_counterparties")) - else: - return render_template( - "edit_cp.html", form=CounterpartyForm(obj=cp), code=cpcode - ) - - -@app.route("/_ajax", methods=["GET"]) -def get_bbg_id(): - bbg_id = request.args.get("bbg_id") - trade_date = request.args.get("trade_date", datetime.date.today()) - try: - _, indextype, _, series, tenor = bbg_id.split() - except ValueError: - return "not a valid bloomberg description", 400 - indextype = indextype[:2] - tenor = tenor[:-1] + "yr" - series = int(series[1:]) - sql_str = ( - "SELECT redindexcode, maturity, coupon " - "FROM index_desc " - "WHERE index=%s and series=%s and tenor=%s " - " and lastdate >=%s ORDER BY version" - ) - db = get_db() - with db.cursor() as c: - c.execute(sql_str, (indextype, series, tenor, trade_date)) - redcode, maturity, coupon = c.fetchone() - return jsonify( - { - "maturity": str(maturity), - "redcode": redcode, - "coupon": coupon, - } - ) |