diff options
Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 19 |
1 files changed, 11 insertions, 8 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index f587061b..241e3972 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -66,24 +66,27 @@ def download_ms_emails(count=20): def download_gs_emails(count=20): emails = get_msgs(path=["NYops", "Margin calls"], - subject_filter="Margin Summary from GSIL", + subject_filter="Margin", count=count) DATA_DIR = DAILY_DIR / "GS_reports" for msg in emails: for attach in msg.attachments: fname = attach.name if fname.endswith('xls'): - with open(DATA_DIR / fname, "wb") as fh: - fh.write(attach.content) + p = DATA_DIR / fname + if not p.exists(): + with open(DATA_DIR / fname, "wb") as fh: + fh.write(attach.content) def sg_collateral(d): - df_activity = pd.read_csv(DAILY_DIR / "SG_reports" / f"{d:%Y%m%d}_OTC_CASH_ACTIVITY.csv") - df_position = pd.read_csv(DAILY_DIR / "SG_reports" / f"{d:%Y%m%d}_OTC_POSITIONS.csv") - df_activity = (df_activity.loc[df_activity['Record Type'] == "VM", - ["Ticket Reference", "Record Type", "Currency", "Amount"]]. + 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"]) + df_position = pd.read_csv(DAILY_DIR / "SG_reports" / f"{d:%Y%m%d}_OTC_POSITIONS.csv", + usecols=["Ticket Reference", "Reference Entity", "Mtm Value"]) + df_activity = (df_activity.loc[df_activity['Record Type'] == "VM"]. set_index("Ticket Reference")) - df_position = df_position.set_index("Ticket Reference")[["Reference Entity", "Mtm Value"]] + df_position = df_position.set_index("Ticket Reference") # expired_trades # df_position = df_position.append( # pd.DataFrame({"Reference Entity": 'CDX-NAIGS29V1-5Y', "Mtm Value": 0.}, |