diff options
Diffstat (limited to 'python/bbg_index_quotes.py')
| -rw-r--r-- | python/bbg_index_quotes.py | 16 |
1 files changed, 13 insertions, 3 deletions
diff --git a/python/bbg_index_quotes.py b/python/bbg_index_quotes.py index 92e3d180..349762f9 100644 --- a/python/bbg_index_quotes.py +++ b/python/bbg_index_quotes.py @@ -14,8 +14,14 @@ for series in range(10, 30): securities[f"ITRX {index_type} CDSI S{series} {t}Y Corp"] = \ (series, index_type, f"{t}yr") -sql_str = (f"INSERT INTO bbg_index_quotes VALUES({','.join(['%s'] * 8)}) " - "ON CONFLICT DO NOTHING") +place_holders = ",".join(['%s'] * 7) +sql_str_price = ("INSERT INTO index_quotes_pre" + "(date, index, series, version, tenor, close_price, source)" + f" VALUES({place_holders}) ON CONFLICT DO NOTHING") +sql_str_spread = ("INSERT INTO index_quotes_pre" + "(date, index, series, version, tenor, close_spread, source)" + f" VALUES({place_holders}) ON CONFLICT DO NOTHING") + start_date = datetime.date.today() - datetime.timedelta(days=7) # one weeek of overlap conn = dbconn('serenitasdb') with init_bbg_session(BBG_IP) as session: @@ -34,8 +40,12 @@ with init_bbg_session(BBG_IP) as session: index = "EU" if index == "XOVER": index = "XO" + if index == "HY": + sql_str = sql_str_price + else: + sql_str = sql_str_spread if not v.empty: c.executemany(sql_str, - [(t[0], ticker, index, series, tenor, version, t[1], pcs) + [(t[0], index, series, version, tenor, t[1], pcs) for t in v.itertuples()]) conn.commit() |