diff options
Diffstat (limited to 'python/Dawn/views.py')
| -rw-r--r-- | python/Dawn/views.py | 430 |
1 files changed, 263 insertions, 167 deletions
diff --git a/python/Dawn/views.py b/python/Dawn/views.py index 2960d78c..4dfb3c47 100644 --- a/python/Dawn/views.py +++ b/python/Dawn/views.py @@ -5,19 +5,38 @@ import psycopg2 import redis import socket -from flask import (abort, request, render_template, redirect, - url_for, send_from_directory, send_file, g, jsonify) +from flask import ( + abort, + request, + render_template, + redirect, + url_for, + send_from_directory, + send_file, + g, + jsonify, +) -from .models import (ModelForm, CASH_STRAT, CCY, - BondDeal, CDSDeal, SwaptionDeal, FutureDeal, CashFlowDeal, - CapFloorDeal, SpotDeal, Counterparties, Accounts) +from .models import ( + ModelForm, + CASH_STRAT, + CCY, + BondDeal, + CDSDeal, + SwaptionDeal, + FutureDeal, + CashFlowDeal, + CapFloorDeal, + SpotDeal, + Counterparties, + Accounts, +) from sqlalchemy.exc import IntegrityError from wtforms.fields import BooleanField from pandas.tseries.offsets import CustomBusinessDay -from pandas.tseries.holiday import (get_calendar, HolidayCalendarFactory, - GoodFriday) +from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday from pyisda.date import previous_twentieth from .utils import bump_rev, simple_serialize @@ -26,56 +45,61 @@ from io import BytesIO from . import app from . import db -fed_cal = get_calendar('USFederalHolidayCalendar') -bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday) +fed_cal = get_calendar("USFederalHolidayCalendar") +bond_cal = HolidayCalendarFactory("BondCalendar", fed_cal, GoodFriday) bus_day = CustomBusinessDay(calendar=bond_cal()) -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']: +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)) + 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) + 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)) + 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) + 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') + if hostname == "ziggy": + q = g.queue = redis.Redis(unix_socket_path="/run/redis/redis.sock") else: - q = g.queue = redis.Redis(host='ziggy') + q = g.queue = redis.Redis(host="ziggy") return q def get_db(): - db = getattr(g, '_database', None) + db = getattr(g, "_database", None) if db is None: - db = g._database = psycopg2.connect(database="serenitasdb", - user="serenitas_user", - host="debian") + 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) + db = getattr(g, "_database", None) if db is not None: db.close() @@ -92,8 +116,12 @@ class BondForm(ModelForm): 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'] + exclude = [ + "dealid", + "lastupdate", # we generate it with a trigger at the server level + "principal_payment", + "accrued_payment", + ] class CDSForm(ModelForm): @@ -102,9 +130,17 @@ class CDSForm(ModelForm): class Meta: model = CDSDeal include_foreign_keys = True - exclude = ['dealid', 'lastupdate', 'termination_amount', - 'termination_cp', 'termination_date', 'custodian', - 'cashaccount', 'attach', 'detach'] + exclude = [ + "dealid", + "lastupdate", + "termination_amount", + "termination_cp", + "termination_date", + "custodian", + "cashaccount", + "attach", + "detach", + ] class SwaptionForm(ModelForm): @@ -113,8 +149,13 @@ class SwaptionForm(ModelForm): class Meta: model = SwaptionDeal include_foreign_keys = True - exclude = ['dealid', 'lastupdate', 'termination_amount', - 'termination_cp', 'termination_date'] + exclude = [ + "dealid", + "lastupdate", + "termination_amount", + "termination_cp", + "termination_date", + ] class FutureForm(ModelForm): @@ -123,7 +164,8 @@ class FutureForm(ModelForm): class Meta: model = FutureDeal include_foreign_keys = True - exclude = ['dealid', 'lastupdate'] + exclude = ["dealid", "lastupdate"] + class SpotForm(ModelForm): upload_globeop = BooleanField(label="Upload to globeop?") @@ -131,7 +173,7 @@ class SpotForm(ModelForm): class Meta: model = SpotDeal include_foreign_keys = True - exclude = ['dealid', 'lastupdate'] + exclude = ["dealid", "lastupdate"] class CapFloorForm(ModelForm): @@ -140,44 +182,49 @@ class CapFloorForm(ModelForm): class Meta: model = CapFloorDeal include_foreign_keys = True - exclude = ['dealid', 'lastupdate', 'termination_amount', - 'termination_cp', 'termination_date'] + exclude = [ + "dealid", + "lastupdate", + "termination_amount", + "termination_cp", + "termination_date", + ] def get_deal(kind): - if kind == 'cds': + if kind == "cds": return CDSDeal - elif kind == 'bond': + elif kind == "bond": return BondDeal - elif kind == 'swaption': + elif kind == "swaption": return SwaptionDeal - elif kind == 'future': + elif kind == "future": return FutureDeal - elif kind == 'wire': + elif kind == "wire": return CashFlowDeal - elif kind == 'capfloor': + elif kind == "capfloor": return CapFloorDeal - elif kind == 'spot': + elif kind == "spot": return SpotDeal else: - raise RuntimeError(f'Unknown Deal type: {kind}') + raise RuntimeError(f"Unknown Deal type: {kind}") def _get_form(kind): - if kind == 'cds': + if kind == "cds": return CDSForm - elif kind == 'bond': + elif kind == "bond": return BondForm - elif kind == 'swaption': + elif kind == "swaption": return SwaptionForm - elif kind == 'future': + elif kind == "future": return FutureForm - elif kind == 'capfloor': + elif kind == "capfloor": return CapFloorForm - elif kind == 'spot': + elif kind == "spot": return SpotForm else: - raise RuntimeError('Unknown Deal type') + raise RuntimeError("Unknown Deal type") def get_form(trade, kind): @@ -187,28 +234,35 @@ def get_form(trade, kind): else: today = pd.datetime.today() tomorrow = today + pd.DateOffset(1) - if kind == 'cds': - form = Form(trade_date=today.date(), - effective_date=previous_twentieth(today.date()), - upfront_settle_date=today.date() + 1 * bus_day) + if kind == "cds": + form = Form( + trade_date=today.date(), + effective_date=previous_twentieth(today.date()), + upfront_settle_date=today.date() + 1 * bus_day, + ) 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 (not c[0].startswith("SER_") or c[0].endswith("CURVE"))] + 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 (not c[0].startswith("SER_") or c[0].endswith("CURVE")) + ] elif kind == "swaption": - form = Form(trade_date=today.date(), - effective_date=tomorrow.date(), - upfront_settle_date=today.date() + 3 * bus_day) - form.portfolio.choices = [('OPTIONS', 'OPTIONS'), ('IR', 'IR')] + form = Form( + trade_date=today.date(), + effective_date=tomorrow.date(), + upfront_settle_date=today.date() + 3 * bus_day, + ) + form.portfolio.choices = [("OPTIONS", "OPTIONS"), ("IR", "IR")] else: - form = Form(trade_date=today.date(), - settle_date=today.date() + 2 * bus_day) + form = Form(trade_date=today.date(), settle_date=today.date() + 2 * bus_day) # add extra empty fields - empty_choice = (None, '') - for attr in ['folder', 'buysell', 'asset_class', 'swaption_type']: + empty_choice = (None, "") + for attr in ["folder", "buysell", "asset_class", "swaption_type"]: try: dropdown = getattr(form, attr) if dropdown.choices[0] != empty_choice: @@ -229,20 +283,17 @@ def save_ticket(trade, 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.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'} + 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.save(os.path.join(app.config["CONFIRMS_FOLDER"], file_name)) trade.trade_confirm = file_name else: trade.trade_confirm = old_confirm @@ -250,21 +301,39 @@ def save_confirm(trade, 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] + 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] + 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, session, wire_id=None): to_date = lambda s: datetime.datetime.strptime(s, "%Y-%m-%d") - d = {'action': form.get("action"), - 'trade_date': form.get("trade_date", None, to_date)} + d = { + "action": form.get("action"), + "trade_date": form.get("trade_date", None, to_date), + } for direction in ["incoming", "outgoing"]: count = 1 @@ -272,13 +341,17 @@ def gen_cashflow_deals(form, session, wire_id=None): 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"]}) + 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']) + d["amount"] = -float(d["amount"]) elif direction == "incoming": - d['amount'] = float(d['amount']) + d["amount"] = float(d["amount"]) else: raise ValueError("direction needs to be 'outgoing' or 'incoming'") if wire_id: @@ -292,10 +365,10 @@ def gen_cashflow_deals(form, session, wire_id=None): yield cf -@app.route('/wires/<int:wire_id>', methods=['GET', 'POST']) -@app.route('/wires/', defaults={'wire_id': None}, methods=['GET', 'POST']) +@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': + if request.method == "POST": wires = list(gen_cashflow_deals(request.form, db.session, wire_id)) try: @@ -303,90 +376,99 @@ def wire_manage(wire_id): 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')) + 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': + 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')) + 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) + 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>/<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']) +@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)() form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind)) - if kind == 'bond': + if kind == "bond": old_ticket_name = trade.ticket - if kind == 'capfloor': + if kind == "capfloor": old_confirm = trade.trade_confirm - if kind == 'cds': + if kind == "cds": form.account_code.choices = fcm_accounts() if form.validate_on_submit(): form.populate_obj(trade) session = form.get_session() if not tradeid: session.add(trade) - if kind == 'bond': + if kind == "bond": save_ticket(trade, old_ticket_name) - if kind == 'capfloor': + if kind == "capfloor": save_confirm(trade, old_confirm) try: session.commit() except IntegrityError as e: app.logger.error(e) session.rollback() - return render_template('trade_entry.html', form=form, - action_url= - url_for('trade_manage', tradeid=tradeid, kind=kind)) + return render_template( + "trade_entry.html", + form=form, + action_url=url_for("trade_manage", tradeid=tradeid, kind=kind), + ) else: - if kind == 'cds': - if trade.swap_type != 'CD_INDEX': - trade.account_code = 'BAC' + if kind == "cds": + if trade.swap_type != "CD_INDEX": + trade.account_code = "BAC" trade.cashaccount = trade.fcm_account.cash_account session.commit() 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)) + return redirect(url_for("list_trades", kind=kind)) else: if form.errors: app.logger.error(form.errors) form = get_form(trade, kind) form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind)) - if kind == 'cds': + if kind == "cds": form.account_code.choices = list(fcm_accounts()) - return render_template('trade_entry.html', form=form, - action_url=url_for('trade_manage', tradeid=tradeid, kind=kind)) + return render_template( + "trade_entry.html", + form=form, + action_url=url_for("trade_manage", tradeid=tradeid, kind=kind), + ) -@app.route('/', defaults={'kind': 'bond'}) -@app.route('/<kind>') +@app.route("/", defaults={"kind": "bond"}) +@app.route("/<kind>") def list_trades(kind): try: Deal = get_deal(kind) @@ -395,42 +477,47 @@ def list_trades(kind): abort(404) else: trade_list = Deal.query.order_by(Deal.trade_date.desc(), Deal.id.desc()) - return render_template(f'{kind}_blotter.html', trades=trade_list.all()) + return render_template(f"{kind}_blotter.html", trades=trade_list.all()) -@app.route('/tickets/<int:tradeid>') +@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)) + 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') + return send_file(fh, mimetype="application/pdf") + -@app.route('/confirms/<int:tradeid>') +@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') + 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']) +@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') + 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()) + 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']) +@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) @@ -448,34 +535,43 @@ def edit_counterparty(cpcode): 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)) + cp.instructions = cp.name + ".pdf" + instructions.data.save( + os.path.join(app.config["CP_FOLDER"], cp.instructions) + ) session.commit() - return redirect(url_for('list_counterparties')) + return redirect(url_for("list_counterparties")) else: - return render_template('edit_cp.html', form=CounterpartyForm(obj=cp), code=cpcode) + return render_template( + "edit_cp.html", form=CounterpartyForm(obj=cp), code=cpcode + ) -@app.route('/_ajax', methods=['GET']) +@app.route("/_ajax", methods=["GET"]) def get_bbg_id(): - bbg_id = request.args.get('bbg_id') + bbg_id = request.args.get("bbg_id") try: _, indextype, _, series, tenor = bbg_id.split() except ValueError: return "not a valid bloomberg description", 400 indextype = indextype[:2] - tenor = tenor[:-1] + 'yr' + tenor = tenor[:-1] + "yr" series = int(series[1:]) sqlstr1 = "SELECT * FROM index_redcode(%s::index_type, %s::smallint, %s)" - sqlstr2 = ("SELECT maturity, coupon FROM index_maturity WHERE index=%s " - "and series=%s and tenor=%s") + sqlstr2 = ( + "SELECT maturity, coupon FROM index_maturity WHERE index=%s " + "and series=%s and tenor=%s" + ) db = get_db() with db.cursor() as c: c.execute(sqlstr1, (indextype, series, pd.datetime.today().date())) (redcode,) = c.fetchone() c.execute(sqlstr2, (indextype, series, tenor)) maturity, coupon = c.fetchone() - return jsonify({'maturity': maturity.strftime('%Y-%m-%d'), - 'redcode': redcode, - 'coupon': coupon}) + return jsonify( + { + "maturity": maturity.strftime("%Y-%m-%d"), + "redcode": redcode, + "coupon": coupon, + } + ) |