1 files changed, 57 insertions, 0 deletions
diff --git a/python/collateral/gs.py b/python/collateral/gs.py
new file mode 100644
index 00000000..97c12b4b
--- /dev/null
+++ b/python/collateral/gs.py
@@ -0,0 +1,57 @@
+import pandas as pd
+from . import DAILY_DIR
+
+
+def download_files(count=20):
+    from exchange import ExchangeMessage
+
+    em = ExchangeMessage()
+    emails = em.get_msgs(
+        path=["NYops", "Margin calls"], count=count, subject__contains="Margin"
+    )
+    DATA_DIR = DAILY_DIR / "GS_reports"
+    for msg in emails:
+        for attach in msg.attachments:
+            fname = attach.name
+            if fname.endswith("xls"):
+                p = DATA_DIR / fname
+                if not p.exists():
+                    p.write_bytes(attach.content)
+
+
+def load_file(d, pattern):
+    try:
+        fname = next(
+            (DAILY_DIR / "GS_reports").glob(f"{pattern}*{d.strftime('%d_%b_%Y')}*")
+        )
+    except StopIteration:
+        raise FileNotFoundError(f"GS {pattern} file not found for date {d}")
+    return pd.read_excel(fname, skiprows=9, skipfooter=77)
+
+
+def collateral(d, dawn_trades, *args):
+    df = load_file(d, "Collateral_Detail")
+    collateral = float(df.Quantity)
+    df = load_file(d, "Trade_Detail")
+    df = df[["Trade Id", "Transaction Type", "NPV (USD)", "Initial Margin Required"]]
+    df = df.merge(dawn_trades, how="left", left_on="Trade Id", right_on="cpty_id")
+    missing_ids = df.loc[df.cpty_id.isnull(), "Trade Id"]
+    if not missing_ids.empty:
+        raise ValueError(f"{missing_ids.tolist()} not in the database")
+    df = df[["folder", "NPV (USD)", "Initial Margin Required"]]
+    df = df.groupby("folder").sum()
+    df = df.sum(axis=1).to_frame(name="Amount")
+    df["Currency"] = "USD"
+    df = df.reset_index()
+    df.columns = ["Strategy", "Amount", "Currency"]
+    df.Amount *= -1
+    df = df.append(
+        {
+            "Strategy": "M_CSH_CASH",
+            "Amount": -collateral - df.Amount.sum(),
+            "Currency": "USD",
+        },
+        ignore_index=True,
+    )
+    df["date"] = d
+    return df.set_index("Strategy")