1 files changed, 85 insertions, 0 deletions
diff --git a/python/collateral/__main__.py b/python/collateral/__main__.py
new file mode 100644
index 00000000..3a326f27
--- /dev/null
+++ b/python/collateral/__main__.py
@@ -0,0 +1,85 @@
+import pandas as pd
+
+from importlib import import_module
+from utils import SerenitasFileHandler
+from utils.db import dawn_engine, dbconn
+
+from . import bus_day
+from .common import get_dawn_trades, send_email
+from pandas.tseries.offsets import BDay
+
+import argparse
+import logging
+
+fh = SerenitasFileHandler("collateral_calc.log")
+logger = logging.getLogger("collateral_calc")
+logger.addHandler(fh)
+logger.setLevel(logging.WARNING)
+
+parser = argparse.ArgumentParser()
+parser.add_argument(
+    "workdate",
+    nargs="?",
+    type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date(),
+    default=pd.Timestamp.today().normalize(),
+)
+parser.add_argument(
+    "-d", "--download", action="store_true", help="download counterparty reports"
+)
+parser.add_argument(
+    "-s", "--send-email", action="store_true", help="send email to Globeop"
+)
+args = parser.parse_args()
+counterparties = ["citi", "ms", "gs", "baml_fcm", "wells"]
+
+if args.download:
+    for cp in counterparties:
+        cp_mod = import_module(f".{cp}", "collateral")
+        cp_mod.download_files()
+
+dawn_trades = get_dawn_trades(args.workdate, dawn_engine)
+
+df = {}
+mapping = {"baml_fcm": "BAML", "wells": "WF"}
+for cp in counterparties:
+    print(cp)
+    cp_mod = import_module("." + cp, "collateral")
+    if cp in ["baml_fcm", "wells"]:
+        positions = pd.read_sql_query(
+            "SELECT security_id, security_desc, maturity, "
+            "folder, notional, currency "
+            "FROM  list_cds_positions_by_strat_fcm(%s, %s)",
+            dawn_engine,
+            params=(args.workdate.date(), mapping[cp]),
+            index_col=["security_id", "maturity"],
+        )
+    else:
+        positions = dawn_trades
+    try:
+        df[cp.upper()] = cp_mod.collateral(args.workdate, positions, dawn_engine)
+    except FileNotFoundError as e:
+        logger.info(e)
+        df[cp.upper()] = cp_mod.collateral(
+            args.workdate - bus_day, positions, dawn_engine
+        )
+    except ValueError as e:
+        logger.error(e)
+    if cp == "citi":
+        args.workdate = args.workdate - BDay()
+
+df = pd.concat(df, names=["broker", "strategy"]).reset_index()
+df.strategy = df.strategy.str.replace("^(M_|SER_)?", "", 1)
+df = df[["date", "broker", "strategy", "Amount", "Currency"]]
+conn = dbconn("dawndb")
+sql_str = (
+    "INSERT INTO strategy_im VALUES(%s, %s, %s, %s, %s) "
+    "ON CONFLICT (date, strategy, broker) DO UPDATE "
+    "SET currency=EXCLUDED.currency, amount=EXCLUDED.amount"
+)
+with conn.cursor() as c:
+    for t in df.itertuples(index=False):
+        c.execute(sql_str, t)
+conn.commit()
+conn.close()
+if args.send_email:
+    send_email(args.workdate, df)