diff options
Diffstat (limited to 'python/collateral/gs_fcm.py')
| -rw-r--r-- | python/collateral/gs_fcm.py | 25 |
1 files changed, 22 insertions, 3 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index 661408fc..49a9f427 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -14,7 +14,7 @@ def get_filename(d: datetime.date, name: str): try: fname = next( (DAILY_DIR / "BowdSt" / "GS_fcm_reports").glob( - f"GS-OTCSDIReporting-{name}-*-{d:%Y%m%d}-*.csv" + f"GS-*-{name}-*-{d:%Y%m%d}-*.csv" ) ) except StopIteration: @@ -63,7 +63,6 @@ def collateral(d: datetime.date, positions, *, engine, **kwargs): ) df = df.rename(columns={"folder": "Strategy", "currency": "Currency"}) df["date"] = cob_date - df_margin = pd.read_csv( get_filename( d + datetime.timedelta(days=1), "Account_Balances_and_Margin_extended" @@ -85,9 +84,29 @@ def collateral(d: datetime.date, positions, *, engine, **kwargs): "Commissions (local)": "transaction_fees", } df_margin = df_margin.rename(columns=col_mapping) + df_margin["current_im"] *= -1.0 cols = col_mapping.values() + df_margin_futures = pd.read_csv( + get_filename(d + datetime.timedelta(days=1), "Account_Balances_By_Currency"), + parse_dates=["COB Date"], + thousands=",", + ) + col_mapping = { + "Beginning Account Balance (Local)": "beginning_balance", + "Ending Account Balance (Local)": "ending_balance", + "Initial Margin Requirement (Local)": "current_im", + "GS Account Number": "account", + "COB Date": "date", + "Excess/Deficit (Local)": "current_excess_deficit", + "Total Equity (Local)": "account_value_market", + "Currency": "currency", + "Gross Realized P&L (Local)": "realized_pnl", + "Commission & Fees (Local)": "transaction_fees", + } + df_margin_futures = df_margin_futures.rename(columns=col_mapping) + df_margin_futures["pai"] = 0.0 + df_margin = pd.concat([df_margin, df_margin_futures]) place_holders = ",".join(["%s"] * len(cols)) - df_margin["current_im"] *= -1.0 engine.execute( f"INSERT INTO fcm_moneyline({','.join(cols)}) VALUES({place_holders})" "ON CONFLICT (date, account, currency) " |