diff options
Diffstat (limited to 'python/collateral/__main__.py')
| -rw-r--r-- | python/collateral/__main__.py | 23 |
1 files changed, 14 insertions, 9 deletions
diff --git a/python/collateral/__main__.py b/python/collateral/__main__.py index 36d424ba..84736354 100644 --- a/python/collateral/__main__.py +++ b/python/collateral/__main__.py @@ -55,15 +55,20 @@ for cp in counterparties: ) 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) + lookback = 0 + while lookback < 2: + try: + df[cp.upper()] = cp_mod.collateral( + args.workdate - BDay(lookback), positions, dawn_engine + ) + except FileNotFoundError as e: + logger.info(e) + lookback += 1 + except ValueError as e: + logger.error(e) + break + else: + break df = pd.concat(df, names=["broker", "strategy"]).reset_index() df.strategy = df.strategy.str.replace("^(M_|SER_)?", "", 1) |