diff options
Diffstat (limited to 'python/collateral/sg.py')
| -rw-r--r-- | python/collateral/sg.py | 22 |
1 files changed, 14 insertions, 8 deletions
diff --git a/python/collateral/sg.py b/python/collateral/sg.py index 064890b6..9aefd6e1 100644 --- a/python/collateral/sg.py +++ b/python/collateral/sg.py @@ -1,6 +1,12 @@ +import logging +import pandas as pd +import time + from . import DAILY_DIR from paramiko import Transport, SFTPClient +logger = logging.getLogger(__name__) + def get_sftp_client(): transport = Transport(("prmssp.amer.sgcib.com", 22)) @@ -8,7 +14,7 @@ def get_sftp_client(): return SFTPClient.from_transport(transport) -def download_sftp_files( +def download_files( d=None, report_types=[ "OTC_CASH_ACTIVITY", @@ -46,15 +52,15 @@ def download_sftp_files( if f not in file_list: logger.info("File not here yet, trying again in 500s...") logger.info(f"Try count: {retry_count}") - sleep(500) + time.sleep(500) sftp.close() - download_sftp_files(d, report_types, retry_count + 1) + download_files(d, report_types, retry_count + 1) else: sftp.get(f"OTC/{f}", localpath=DATA_DIR / f) sftp.close() -def collateral(d): +def collateral(d, engine): df_activity = pd.read_csv( DAILY_DIR / "SG_reports" / f"{d:%Y%m%d}_OTC_CASH_ACTIVITY.csv", usecols=["Ticket Reference", "Record Type", "Currency", "Amount"], @@ -85,7 +91,7 @@ def collateral(d): del ref_entity[0] ref_entity.columns = ["to_split", "tenor"] ref_entity = ref_entity.join( - ref_entity["to_split"].str.extract("(IG|HY|EUROPE)S(\d+)V(\d+)$", expand=True) + ref_entity["to_split"].str.extract(r"(IG|HY|EUROPE)S(\d+)V(\d+)$", expand=True) ) del ref_entity["to_split"] ref_entity.columns = ["tenor", "index_type", "series", "version"] @@ -95,12 +101,12 @@ def collateral(d): positions = pd.read_sql_query( "SELECT security_desc, folder, notional, currency " "FROM list_cds_positions_by_strat(%s)", - dawn_engine, + engine, params=(d.date(),), ) instruments = positions.security_desc.str.split(expand=True)[[1, 3, 4]] instruments.columns = ["index_type", "series", "tenor"] - instruments.series = instruments.series.str.extract("S(\d+)") + instruments.series = instruments.series.str.extract(r"S(\d+)") instruments.index_type[instruments.index_type == "EUR"] = "EU" positions = positions.join(instruments) del positions["security_desc"] @@ -130,7 +136,7 @@ def collateral(d): df_margin = df_margin.rename(columns={"SG IMR": "amount", "Currency": "currency"}) df_margin["date"] = d try: - df_margin.to_sql("fcm_im", dawn_engine, if_exists="append", index=False) + df_margin.to_sql("fcm_im", engine, if_exists="append", index=False) except IntegrityError: pass df["date"] = d |