diff options
Diffstat (limited to 'python/book_bbg.py')
| -rw-r--r-- | python/book_bbg.py | 16 |
1 files changed, 9 insertions, 7 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py index 9baf2f8e..a52592c3 100644 --- a/python/book_bbg.py +++ b/python/book_bbg.py @@ -43,8 +43,8 @@ bond_cp_dictionary = { sql_str_by_trade = { "CDX": "INSERT INTO cds (action, folder, cp_code, account_code, trade_date, effective_date, maturity, currency, payment_rolldate, notional, fixed_rate, day_count, frequency, protection, security_id, security_desc, upfront, upfront_settle_date, swap_type, clearing_facility, portfolio, fund) " "VALUES (%(action)s, %(folder)s, %(cp_code)s, %(account_code)s, %(trade_date)s, %(effective_date)s, %(maturity)s, %(currency)s, %(payment_rolldate)s, %(notional)s, %(fixed_rate)s, %(day_count)s, %(frequency)s, %(protection)s, %(security_id)s, %(security_desc)s, %(upfront)s, %(upfront_settle_date)s, %(swap_type)s, %(clearing_facility)s, %(portfolio)s, %(fund)s);", - "BOND": "INSERT INTO bonds(folder, cp_code, trade_date, settle_date, cusip, identifier, description, buysell, faceamount, price, asset_class )" - "VALUES (%(folder)s, %(cp_code)s, %(trade_date)s, %(settle_date)s, %(cusip)s, %(identifier)s, %(description)s, %(buysell)s, %(faceamount)s, %(price)s, %(asset_class)s", + "BOND": "INSERT INTO bonds(folder, cp_code, trade_date, settle_date, cusip, identifier, description, buysell, faceamount, price, asset_class ) " + "VALUES (%(folder)s, %(cp_code)s, %(trade_date)s, %(settle_date)s, %(cusip)s, %(identifier)s, %(description)s, %(buysell)s, %(faceamount)s, %(price)s, %(asset_class)s)", } @@ -62,7 +62,7 @@ def download_files(date): modification_time = datetime.datetime.fromtimestamp( f.st_mtime, tz=datetime.timezone.utc ).astimezone(est) - if notlocal_file.exists() and (modification_time.date() == date): + if not local_file.exists() and (modification_time.date() == date): sftp.client.get(f"{src}/{f.filename}", localpath=local_file) downloaded_files.append(local_file) return downloaded_files @@ -136,16 +136,16 @@ def bond_trade_process(reader, conn): obj["description"] = obj["Security"].replace(" Mtge", "") obj["trade_date"] = datetime.datetime.strptime(obj["Trade Dt"], "%m/%d/%Y") obj["settle_date"] = datetime.datetime.strptime(obj["SetDt"], "%m/%d/%Y") - obj["folder"] = "*" + obj["folder"] = None obj["cp_code"] = bond_cp_dictionary[obj["Brkr"]] obj["portfolio"] = "UNALLOCATED" obj["identifier"] = obj["cusip"] - obj["asset_class"] = "*" + obj["asset_class"] = None trades.append(obj) return trades -def book_trades(downloaded_files, date): +def book_trades(date): conn = dbconn("dawndb") downloaded_files = download_files(date) bbg_trades = defaultdict(list) @@ -155,6 +155,8 @@ def book_trades(downloaded_files, date): if "CDX" in f.name: bbg_trades["CDX"].extend(cdx_trade_process(reader, conn)) elif "BOND" in f.name: + if "52377" in f.name: + continue bbg_trades["BOND"].extend(bond_trade_process(reader, conn)) else: print(f.name, "NOT VALID") @@ -165,4 +167,4 @@ def book_trades(downloaded_files, date): if __name__ == "__main__": - book_trades(datetime.date(2022, 2, 7)) + book_trades(datetime.date(2022, 2, 8)) |