1 files changed, 80 insertions, 0 deletions
diff --git a/python/book_bbg2.py b/python/book_bbg2.py
new file mode 100644
index 00000000..b3c53de1
--- /dev/null
+++ b/python/book_bbg2.py
@@ -0,0 +1,80 @@
+from serenitas.utils.env import DAILY_DIR
+from serenitas.utils.remote import SftpClient
+from zoneinfo import ZoneInfo
+import datetime
+import csv
+from trade_dataclasses import CDSDeal
+from decimal import Decimal
+
+_funds = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"}
+_fcms = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"}
+
+
+def download_files(date: datetime.date):
+    sftp = SftpClient.from_creds("bbg")
+    dst = DAILY_DIR / str(date) / "bbg_tickets"
+    if not dst.exists():
+        dst.mkdir()
+    EST = ZoneInfo("US/Eastern")
+
+    def by_date(f, date):
+        local_dt = datetime.datetime.fromtimestamp(
+            f.st_mtime, tz=datetime.timezone.utc
+        ).astimezone(EST)
+        return local_dt.date() == date
+
+    sftp.download_files("/", dst, (lambda f: by_date(f, date),))
+
+
+def get_indic_data(conn, redcode, tenor):
+    sql_str = (
+        "SELECT maturity, coupon "
+        "FROM index_desc "
+        "WHERE tenor=%s AND redindexcode=%s "
+    )
+    with conn.cursor() as c:
+        c.execute(sql_str, (redcode, tenor))
+        return c.fetchone()
+
+
+def cdx_booking_process(path, conn):
+    with open(path) as fh:
+        reader = csv.DictReader(fh)
+        for line in reader:
+            tenor = line["Security"].rsplit(" ", 1)[-1].lower() + "r"
+            maturity, coupon = get_indic_data(conn, tenor, line["Red Code"])
+            trade = CDSDeal(
+                fund=_funds[line["Account"]],
+                folder="*",
+                portfolio="CURVE",
+                security_id=line["Red Code"],
+                security_desc=line["Security"],
+                traded_level=Decimal(line["Price (Dec)"]),
+                notional=line["Quantity"],
+                fixed_rate=coupon * 0.01,
+                trade_date=datetime.datetime.strptime(
+                    line["Trade Dt"], "%m/%d/%Y"
+                ).date(),
+                maturity=maturity,
+                currency=line["Curncy"],
+                protection="Buyer" if line["Side"] == "B" else "Seller",
+                upfront=line["Principal"],
+                cp_code="BNPBNY",
+                account_code=_fcms[line["Client FCM"]],
+            )
+            trade.stage()
+        CDSDeal.commit()
+
+
+def book_trades(conn, date=datetime.date.today()):
+    download_files(date)
+    for p in (DAILY_DIR / str(date) / "bbg_tickets").glob("CDX*"):
+        cdx_booking_process(p, conn)
+
+
+if __name__ == "__main__":
+    from serenitas.utils.db import serenitas_pool
+
+    d = datetime.date(2022, 2, 7)
+    conn = serenitas_pool.getconn()
+    book_trades(conn, d)