diff options
Diffstat (limited to 'python/book_bbg.py')
| -rw-r--r-- | python/book_bbg.py | 35 |
1 files changed, 33 insertions, 2 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py index bd817377..63f7f2ac 100644 --- a/python/book_bbg.py +++ b/python/book_bbg.py @@ -4,6 +4,10 @@ import datetime import pytz from stat import S_ISREG import csv +from process_queue import rename_keys + +fund_dictionary = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"} +fcm_dictionary = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"} def download_files(date): @@ -29,8 +33,35 @@ def download_files(date): def cdx_booking_process(path): reader = csv.DictReader(open(path)) for csvdict in reader: - breakpoint() - pass + rename_keys( + csv_dict, + { + "Curncy": "currency", + "Quantity": "notional", + }, + ) + csv_dict["security_desc"] = csv_dict["security_desc"].replace(" PRC", "") + csv_dict["traded_level"] = float(csv_dict["Price (Dec)"]) + csv_dict["notional"] = float(csv_dict["Quantity"]) + csv_dict["trade_date"] = datetime.datetime.strptime( + csv_dict["Trade Dt"], "%Y-%m-%d" + ) + csv_dict["upfront_settle_date"] = datetime.datetime.strptime( + csv_dict["SetDt"], "%Y-%m-%d" + ) + csv_dict["protection"] = "Buyer" if csv_dict["Side"] == "B" else "Seller" + csv_dict["account_code"] = fcm_dictionary[csv_dict["Client FCM"]] + csv_dict["fund"] = fund_dictionary[csv_dict["Account"]] + csv_dict["action"] = "NEW" + csv_dict["folder"] = None + csv_dict["cp_code"] = None + csv_dict["payment_rolldate"] = "Following" + csv_dict["fixed_rate"] = None + csv_dict["day_count"] = None + csv_dict["frequency"] = None + csv_dict["security_id"] = None + csv_dict["swap_type"] = None + csv_dict["portfolio"] = None def book_trades(date): |