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-rw-r--r--python/citco_ops/utils.py332
1 files changed, 0 insertions, 332 deletions
diff --git a/python/citco_ops/utils.py b/python/citco_ops/utils.py
deleted file mode 100644
index 36839865..00000000
--- a/python/citco_ops/utils.py
+++ /dev/null
@@ -1,332 +0,0 @@
-from collections import defaultdict
-from dataclasses import field, dataclass
-import logging
-from typing import Literal, ClassVar
-import datetime
-import csv
-from serenitas.ops.trade_dataclasses import Deal
-from serenitas.utils.exchange import ExchangeMessage
-from serenitas.utils.remote import SftpClient
-from exchangelib import HTMLBody
-from tabulate import tabulate
-from functools import lru_cache
-from serenitas.analytics.dates import next_business_day
-from decimal import Decimal
-import math
-import re
-from zoneinfo import ZoneInfo
-
-logger = logging.getLogger(__name__)
-
-
-def next_business_days(date, offset):
- for i in range(offset):
- date = next_business_day(date)
- return date
-
-
-def get_file_status(s):
- if m := re.match(r"([^\d]*)(\d*)-(PROCESSED|FAILED)_([^-]*)", s):
- orig_name, submit_date, status, process_date = m.groups()
- else:
- raise ValueError(f"Can't parse status from file {s}")
-
- zone = ZoneInfo("America/New_York")
- submit_date = datetime.datetime.strptime(submit_date, "%Y%m%d%H%M%S").replace(
- tzinfo=zone
- )
- process_date = datetime.datetime.strptime(process_date, "%Y%m%d%H%M%S").replace(
- tzinfo=datetime.timezone.utc
- )
- if orig_name == ("innocap_serenitas_trades_"):
- file_type = "trade"
- elif orig_name == "i.innocap_serenitas.":
- file_type = "instrument"
- else:
- raise ValueError(f"error with {s}")
- return file_type, "PROCESSED" in s, submit_date, process_date
-
-
-def instrument_table(instrument_id):
- if instrument_id.startswith("IRS"):
- return "citco_irs"
- elif instrument_id.startswith("SWPO_") or instrument_id.startswith("BNDO_"):
- return "citco_swaption"
- elif instrument_id.startswith("CDS_"):
- return "citco_tranche"
- elif instrument_id.startswith("TRS"):
- return "citco_trs"
-
-
-def round_up(n, decimals=0):
- multiplier = 10**decimals
- return math.ceil(n * multiplier) / multiplier
-
-
-@dataclass
-class CitcoSubmission(Deal, deal_type=None, table_name="citco_submission2"):
- id: int = field(init=False, metadata={"insert": False})
- identifier_type: Literal["trade", "instrument"]
- citco_id: str
- serenitas_id: str
- submit_date: datetime.datetime
- process_date: datetime.date
- _sftp: ClassVar = field(metadata={"insert": False})
-
- @classmethod
- @lru_cache(1280)
- def process(cls, fname):
- file_type, status, submit_date, process_date = get_file_status(fname)
- if status:
- if file_type == "trade":
- key = "Order"
- elif file_type == "instrument":
- key = "Security"
- with cls._sftp.client.open(fname) as fh:
- for row in csv.DictReader(fh):
- trade = cls(
- file_type,
- row[f"Internal_{key}_Id"],
- row[f"External_{key}_Id"],
- submit_date,
- process_date,
- )
- trade.stage()
- else:
- with cls._sftp.client.open(fname) as fh:
- next(fh)
- for row in csv.reader(fh):
- id_or_error = row[2] if len(row) > 2 else row[-1]
- trade = cls(
- "failed",
- row[-1],
- id_or_error,
- submit_date,
- process_date,
- )
- trade.stage()
-
- @classmethod
- def update_citco_tables(cls, newvals):
- d = defaultdict(list)
- for row in newvals:
- if row.identifier_type == "instrument":
- d[instrument_table(row.serenitas_id)].append((row.serenitas_id,))
- for table, v in d.items():
- sql_str = f"UPDATE {table} SET committed=True, status='Acknowledged' WHERE dealid=%s"
- with cls._conn.cursor() as c:
- c.executemany(sql_str, v)
- cls._conn.commit()
-
- @classmethod
- def commit(cls):
- if not cls._insert_queue:
- return
- with cls._conn.cursor() as c:
- c.executemany(cls._sql_insert, cls._insert_queue, returning=True)
- newvals = []
- while True:
- if val := c.fetchone():
- newvals.append(val)
- if not c.nextset():
- break
- cls._conn.commit()
- if newvals:
- cls.update_citco_tables(newvals)
- em = ExchangeMessage()
- em.send_email(
- "(CITCO) UPLOAD REPORT",
- cls._format(newvals),
- (
- "fyu@lmcg.com",
- "ghorel@lmcg.com",
- "etsui@lmcg.com",
- ),
- )
-
- @classmethod
- def _format(cls, vals):
- t = tabulate(
- vals,
- headers=[
- "upload_type",
- "citco_id",
- "serenitas_id",
- "submit_date",
- "process_date",
- ],
- tablefmt="unsafehtml",
- )
- html = HTMLBody(
- f"""
- <html>
- <head>
- <style>
- table, th, td {{ border: 1px solid black; border-collapse: collapse;}}
- th, td {{ padding: 5px; }}
- </style>
- </head>
- <body>
- {t}
- </body>
- </html>
- """
- )
- return html
-
- @classmethod
- def init_sftp(cls):
- cls._sftp = SftpClient.from_creds("citco", folder="/outgoing/notifications")
-
- @classmethod
- def check_cache(cls):
- if cls.process.cache_info().currsize == cls.process.cache_info().maxsize:
- if (cls.process.cache_info().misses / cls.process.cache_info().hits) > 0.5:
- raise ValueError(
- "Too many files in the SFTP compared to cache max size"
- )
-
-
-CitcoSubmission._sql_insert = CitcoSubmission._sql_insert.replace(
- "RETURNING *",
- "ON CONFLICT (identifier_type, submit_date, process_date, citco_id) DO NOTHING RETURNING *",
-)
-
-
-_recipients = {
- "ISOSEL": (
- "luke.treacy@innocap.com",
- "margincalls@innocapglobal.com",
- ),
- "BOWDST": (
- "shkumar@sscinc.com",
- "mbisoye@sscinc.com",
- "hedgemark.lmcg.ops@sscinc.com",
- "hm-operations@bnymellon.com",
- ),
- "SERCGMAST": (
- "SERENITAS.FA@sscinc.com",
- "SERENITAS.ops@sscinc.com",
- ),
- "BAML_FCM": ("footc_margin_csr_amrs@bofa.com",),
- "NYOPS": ("nyops@lmcg.com",),
-}
-
-
-@dataclass
-class Payment:
- settle_date: datetime.date
- currency: str
- amount: float
- _insert_queue: ClassVar[list] = []
-
- @classmethod
- def stage_payment(cls, settlements):
- for row in settlements:
- cls._insert_queue.append(
- cls(row.settle_date, row.currency, row.payment_amount)
- )
-
- def to_email_format(self):
- return f"\t* {self.settle_date}: {self.amount:,.2f} {self.currency}"
-
-
-class PaymentSettlement(Payment):
- @classmethod
- def email_innocap(cls, date, account_balance):
- if not cls._insert_queue:
- return
- cls.subtract_cash_balance(account_balance)
- move_cash = ""
- for currency in ("USD", "EUR"):
- biggest_deficit = min(
- list(
- map(
- lambda x: int(x.amount) if x.currency == currency else 0,
- cls._insert_queue,
- )
- )
- )
- if biggest_deficit < 0:
- move_cash += f"\n\n***Please move ${round_up(abs(biggest_deficit), -6):,.2f} {currency} to Northern Trust from Scotia and confirm when done.***"
- em = ExchangeMessage()
- em.send_email(
- f"{'*ACTION REQUESTED* ' if move_cash else ''}Payment Settlements Bond/FX NT: ISOSEL {date}",
- "Good morning, \n\nProjected Balances at Northern Trust: (Positive Amounts = Positive Balance, Negative Amounts = Negative Balance)\n\n"
- + "\n".join(
- settlement.to_email_format() for settlement in cls._insert_queue
- )
- + move_cash,
- to_recipients=_recipients["ISOSEL"],
- cc_recipients=("Selene-Ops@lmcg.com",),
- )
- cls._insert_queue.clear()
-
- @classmethod
- def stage_payment(cls, settlements, date):
- for row in settlements:
- cls._insert_queue.append(cls(date, row.currency, row.payment_amount))
-
- @classmethod
- def subtract_cash_balance(cls, account_balance):
- for settlement in cls._insert_queue:
- settlement.amount = Decimal(account_balance[settlement.currency]) - (
- -settlement.amount
- )
-
-
-class GFSMonitor(Payment):
- @classmethod
- def email_globeop(cls, fund):
- if not cls._insert_queue:
- return
- em = ExchangeMessage()
- em.send_email(
- f"GFS Helper Strategy Issue: {fund}",
- "Good morning, \n\nWe noticed some cash in the GFS helper strategy that shouldn't be there:\n\n"
- + "\n".join(
- settlement.to_email_format() for settlement in cls._insert_queue
- ),
- to_recipients=_recipients[fund],
- cc_recipients=(
- "Bowdoin-Ops@LMCG.com" if fund == "BOWDST" else "NYOps@lmcg.com",
- ),
- )
-
-
-class BamlFcmNotify:
- @classmethod
- def email_fcm(cls, date, cash_account, data):
- em = ExchangeMessage()
- em.send_email(
- f"FX Details: {cash_account} {date}",
- HTMLBody(
- f"""
-<html>
- <head>
- <style>
- table, th, td {{ border: 1px solid black; border-collapse: collapse;}}
- th, td {{ padding: 5px; }}
- </style>
- </head>
- <body>
- Hello,<br><br>Please see below details for an FX Spot Trade we did with the desk today for account {cash_account} Please let me know if you need more information.<br><br>{data}
- </body>
-</html>"""
- ),
- to_recipients=_recipients["BAML_FCM"],
- cc_recipients=("nyops@lmcg.com",),
- )
-
-
-@dataclass
-class EmailOps:
- _em = ExchangeMessage()
-
- @classmethod
- def email_boston(cls, date):
- cls._em.send_email(
- f"Missing Cash Balance for Scotia {date}",
- f"Please provide cash balance for Scotia for {date} in Blotter.\n\nThanks!",
- to_recipients=_recipients["NYOPS"],
- )
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 08:21:53 +0000