4 files changed, 134 insertions, 0 deletions
diff --git a/python/api_quotes/__init__.py b/python/api_quotes/__init__.py
new file mode 100644
index 00000000..e69de29b
--- /dev/null
+++ b/python/api_quotes/__init__.py
diff --git a/python/api_quotes/__main__.py b/python/api_quotes/__main__.py
new file mode 100644
index 00000000..e0cf8708
--- /dev/null
+++ b/python/api_quotes/__main__.py
@@ -0,0 +1,23 @@
+from .api import MarkitAPI
+from .quotes import Quote
+import pandas as pd
+import logging
+
+logger = logging.getLogger(__name__)
+
+if __name__ == "__main__":
+    asset_class = "CD"
+    after = None
+    while True:
+        if data := MarkitAPI.get_data(asset_class, after):
+            for row in data:
+                try:
+                    quote = Quote.from_markit_line(row)
+                except ValueError as e:
+                    logger.error(f"Couldn't pase {row['quoteid']}: {e}")
+                else:
+                    quote.stage()
+            quote.commit()
+            after = f"{row['receiveddatetime']},{asset_class}-9480-{row['quoteid']}"
+        else:
+            break
diff --git a/python/api_quotes/api.py b/python/api_quotes/api.py
new file mode 100644
index 00000000..af479d67
--- /dev/null
+++ b/python/api_quotes/api.py
@@ -0,0 +1,45 @@
+from serenitas.utils.misc import get_credential_path
+import json
+import posixpath
+from urllib.parse import urljoin
+from typing import ClassVar
+import requests
+import pandas as pd
+
+
+def load_api_key():
+    with get_credential_path("markit_api").open() as fh:
+        creds = json.load(fh)
+    base_url = creds.pop("url")
+    r = requests.post(
+        urljoin(base_url, "apikey"),
+        data=creds,
+    )
+    return base_url, r.text
+
+
+def lowercase_keys(d):
+    return {k.lower(): v for k, v in d.items()}
+
+
+class MarkitAPI:
+    base_url, api_key = load_api_key()
+
+    @classmethod
+    def get_data(cls, asset_class, after=None, service="latest"):
+        params = {
+            "format": "json",
+            "assetClass": asset_class,
+            "apikey": cls.api_key,
+            "limit": 1000,
+            "sortBy": "receivedDateTime",
+            "descending": "true",
+            "dateformat": "MILLISECONDSSINCEEPOCH",
+        }
+        if after:
+            params["after"] = after
+        print(params)
+        path = posixpath.join("parsing", "Quote", service)
+        url = urljoin(cls.base_url, path)
+        r = requests.get(url, params)
+        return map(lowercase_keys, json.loads(r.text))
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 *"
+)