diff options
Diffstat (limited to 'python/api_quotes/quotes.py')
| -rw-r--r-- | python/api_quotes/quotes.py | 150 |
1 files changed, 100 insertions, 50 deletions
diff --git a/python/api_quotes/quotes.py b/python/api_quotes/quotes.py index f795d5df..1470648d 100644 --- a/python/api_quotes/quotes.py +++ b/python/api_quotes/quotes.py @@ -1,10 +1,17 @@ -from serenitas.ops.trade_dataclasses import Deal from dataclasses import dataclass import datetime -from typing import Literal +from typing import ClassVar, Literal +from enum import Enum from serenitas.utils.db2 import dbconn -firmness = Literal["FIRM", "INDICATIVE"] +FIRMNESS = Literal["FIRM", "INDICATIVE"] + + +class AssetClass(Enum): + ABS = "ABS" + CD = "CD" + TRS = "TRS" + TR = "TR" def maturity_dt(d): @@ -19,44 +26,63 @@ def maturity_dt(d): return -class MarkitQuoteKind: - def __class_getitem__(cls, quote_type: str): - match quote_type: - case "CD": - return SingleNameQuote - case "ABS": - return BondQuote - case "TRS": - return TRSQuote - +class MarkitQuote: + _conn: ClassVar + _registry: ClassVar[dict] = {} + _table_name: ClassVar[str | None] + _sql_insert: ClassVar[str] + _insert_queue: ClassVar[list] -class MarkitQuote(Deal, table_name=None, deal_type=None): - def __init_subclass__(cls, deal_type, table_name: str, **kwargs): - super().__init_subclass__(deal_type=deal_type, table_name=table_name, **kwargs) - cls._sql_insert = cls._sql_insert.replace( - "RETURNING *", "ON CONFLICT (quoteid) DO NOTHING RETURNING *" + @classmethod + def init_dbconn(cls, conn=None): + cls._conn = conn or dbconn( + "serenitasdb", application_name="markit_quotes", autocommit=True ) - cls.init_dbconn(dbconn("serenitasdb")) + + def __init_subclass__(cls, asset_class, table_name: str): + cls._registry[asset_class] = cls + cls._table_name = table_name + place_holders = ",".join(["%s"] * len(cls.__annotations__)) + cls._sql_insert = f"INSERT INTO {table_name}({','.join(cls.__annotations__)}) VALUES({place_holders}) ON CONFLICT DO NOTHING" + cls._insert_queue = [] + + def __class_getitem__(cls, asset_class: AssetClass): + return cls._registry[asset_class] @classmethod - def from_markit_line(cls, d): - base_attributes = { + def enrich_dict(cls, d): + return d | { "msg_id": d["message"]["id"], "quotedate": datetime.datetime.fromtimestamp(d["receiveddatetime"] / 1000), "quotesource": d["sourceshortname"], } - return base_attributes @classmethod - def clear(cls): - cls._insert_queue.clear() + def from_markit_line(cls, d): + return cls.from_dict(cls.enrich_dict(d)) + + @classmethod + def from_dict(cls, d): + return cls(**{k: d[k] for k in cls.__annotations__ if k in d}) @classmethod def already_uploaded(cls): - with cls._conn.cursor() as c: - c.execute(f"SELECT distinct msg_id as msg_id FROM {cls._table_name}") + with cls._conn.cursor(binary=True) as c: + c.execute(f"SELECT distinct msg_id AS msg_id FROM {cls._table_name}") return set(row.msg_id for row in c) + def stage(self): + self._insert_queue.append( + tuple([getattr(self, col) for col in self.__annotations__]) + ) + + @classmethod + def commit(cls): + with cls._conn.cursor() as c: + c.executemany(cls._sql_insert, cls._insert_queue) + cls._conn.commit() + cls._insert_queue.clear() + # TODO # @property # def message(self): @@ -65,7 +91,7 @@ class MarkitQuote(Deal, table_name=None, deal_type=None): @dataclass class SingleNameQuote( - MarkitQuote, table_name="markit_singlename_quotes", deal_type=None + MarkitQuote, asset_class=AssetClass.CD, table_name="markit_singlename_quotes" ): quoteid: int msg_id: str @@ -82,22 +108,21 @@ class SingleNameQuote( askconventionalspread: float = None askupfront: float = None asksize: float = None - firmness: firmness = None + firmness: FIRMNESS = None quotedate: datetime.datetime = None @classmethod - def from_markit_line(cls, d): - base_attributes = super().from_markit_line(d) - additional_attributes = { + def enrich_dict(cls, d): + return { "maturity": maturity_dt(d), "tenor": f"{d['tenor']}Y", - } - d.update(base_attributes | additional_attributes) - return cls.from_dict(**d) + } | super().enrich_dict(d) @dataclass -class BondQuote(MarkitQuote, table_name="markit_bond_quotes", deal_type=None): +class BondQuote( + MarkitQuote, asset_class=AssetClass.ABS, table_name="markit_bond_quotes" +): quoteid: int msg_id: str quotesource: str @@ -111,22 +136,19 @@ class BondQuote(MarkitQuote, table_name="markit_bond_quotes", deal_type=None): pricelevel: float = None subtype: str = None quotetype: str = None - firmness: firmness = None + firmness: FIRMNESS = None quotedate: datetime.datetime = None @classmethod - def from_markit_line(cls, d): - base_attributes = super().from_markit_line(d) - additional_attributes = { + def enrich_dict(cls, d): + return { "identifier": d["internalinstrumentidentifier"], "pricelevel": d.get("pricelevelnormalized"), - } - d.update(base_attributes | additional_attributes) - return cls.from_dict(**d) + } | super().enrich_dict(d) @dataclass -class TRSQuote(MarkitQuote, table_name="markit_trs_quotes", deal_type=None): +class TRSQuote(MarkitQuote, asset_class=AssetClass.TRS, table_name="markit_trs_quotes"): quoteid: int msg_id: str quotesource: str @@ -137,19 +159,47 @@ class TRSQuote(MarkitQuote, table_name="markit_trs_quotes", deal_type=None): asklevel: float = None nav: float = None ref: float = None - firmness: firmness = None + firmness: FIRMNESS = None funding_benchmark: str = None quotedate: datetime.datetime = None @classmethod - def from_markit_line(cls, d): - base_attributes = super().from_markit_line(d) - additional_attributes = { + def enrich_dict(cls, d): + return { "identifier": d["ticker"], "ref": d.get("reference"), "nav": d.get("inavparsed"), "funding_benchmark": d.get("parsedbenchmark"), "maturity": maturity_dt(d), - } - d.update(base_attributes | additional_attributes) - return cls.from_dict(**d) + } | super().enrich_dict(d) + + +@dataclass +class TrancheQuote( + MarkitQuote, asset_class=AssetClass.TR, table_name="markit_tranche_quotes" +): + quoteid: int + msg_id: str + quotesource: str + confidence: int + maturity: datetime.date + identifier: str = None + bidlevel: float = None + asklevel: float = None + nav: float = None + ref: float = None + attach: int = None + detach: int = None + tenor: int = 5 + firmness: FIRMNESS = None + quotedate: datetime.datetime = None + + @classmethod + def enrich_dict(cls, d): + return { + "identifier": d["ticker"], + "ref": d.get("reference"), + "nav": d.get("inavparsed"), + "funding_benchmark": d.get("parsedbenchmark"), + "maturity": maturity_dt(d), + } | super().enrich_dict(d) |