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Diffstat (limited to 'python/import_cds_quotes.py')
| -rw-r--r-- | python/import_cds_quotes.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/import_cds_quotes.py b/python/import_cds_quotes.py index c53e99b7..058213c9 100644 --- a/python/import_cds_quotes.py +++ b/python/import_cds_quotes.py @@ -17,13 +17,18 @@ def get_current_tickers(database, workdate): sqlstr = "SELECT markit_ticker, markit_tier, cds_curve from index_members(%s, %s)" markit_bbg_mapping = {} all_tickers = set([]) + if workdate >= datetime.date(2014, 9, 19): + doc_clause = 'XR14' + else: + doc_clause = 'XR' for index in ['HY9', 'HY10', 'HY15', 'HY17', 'HY19', 'HY21', 'IG9', 'IG19', 'IG21']: spread=0.05 if 'HY' in index else 0.01 with database.cursor() as c: c.execute(sqlstr, (index, workdate)) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) - key = (line['markit_ticker'], line['markit_tier'], 'USD', 'XR14', spread) + if workdate <= datetime.date(2014, 9, 19): + key = (line['markit_ticker'], line['markit_tier'], 'USD', doc_clause, spread) hykey = key[:-1]+(0.05,) if hykey in markit_bbg_mapping: del markit_bbg_mapping[hykey] ## we only keep the tightest quote |