1 files changed, 66 insertions, 0 deletions
diff --git a/python/api_quotes/quotes.py b/python/api_quotes/quotes.py
new file mode 100644
index 00000000..28ca708b
--- /dev/null
+++ b/python/api_quotes/quotes.py
@@ -0,0 +1,66 @@
+from serenitas.ops.trade_dataclasses import Deal
+from dataclasses import dataclass
+import datetime
+from typing import Literal
+from serenitas.utils.db2 import dbconn
+
+firmness = Literal["FIRM", "INDICATIVE"]
+asset_class = Literal["CD"]
+
+
+def maturity_dt(d):
+    try:
+        return datetime.date(
+            int(d["maturityyear"]), int(d["maturitymonth"]), int(d["maturityday"])
+        )
+    except (
+        ValueError,
+        KeyError,
+    ):  # Sometimes maturity isn't included but we still have tenor
+        return
+
+
+@dataclass
+class Quote(Deal, table_name="markit_singlename_quotes", deal_type=None):
+    quoteid: int
+    assetclass: asset_class
+    msg_id: str
+    quotesource: str
+    confidence: int
+    redcode: str = None
+    ticker: str = None
+    maturity: datetime.date = None
+    tenor: int = None
+    runningcoupon: int = None
+    bidconventionalspread: float = None
+    bidupfront: float = None
+    bidsize: float = None
+    askconventionalspread: float = None
+    askupfront: float = None
+    asksize: float = None
+    firmness: firmness = None
+    quotedate: datetime.datetime = None
+
+    @classmethod
+    def from_markit_line(cls, d):
+        additional_attributes = {
+            "maturity": maturity_dt(d),
+            "msg_id": d["message"]["id"],
+            "quotedate": datetime.datetime.fromtimestamp(
+                d["receiveddatetime"] / 1000
+            ).replace(tzinfo=datetime.timezone.utc),
+            "quotesource": d["sourceshortname"],
+            "tenor": f"{d['tenor']}Y",
+        }
+        d.update(additional_attributes)
+        return cls.from_dict(**d)
+
+    @property
+    def message(self):
+        return QuoteDetails.from_tradeid(self.msg_id)
+
+
+Quote.init_dbconn(dbconn("serenitasdb"))
+Quote._sql_insert = Quote._sql_insert.replace(
+    "RETURNING *", "ON CONFLICT (quoteid) DO NOTHING RETURNING *"
+)