diff options
Diffstat (limited to 'python/mark_backtest_backfill.py')
| -rw-r--r-- | python/mark_backtest_backfill.py | 153 |
1 files changed, 153 insertions, 0 deletions
diff --git a/python/mark_backtest_backfill.py b/python/mark_backtest_backfill.py new file mode 100644 index 00000000..1304a7e8 --- /dev/null +++ b/python/mark_backtest_backfill.py @@ -0,0 +1,153 @@ +import pandas as pd +import os +import re +import psycopg2 +import datetime +import bbg_helpers +from db import dbconn +from db import dbengine +from pickle import dumps +from sqlalchemy import create_engine +from itertools import chain +from glob import glob, iglob +from pandas.tseries.offsets import MonthEnd, BDay + +def runAllFill(): + for f in get_globs(): + if settings[os.path.basename(f)][2] == "N": + runSingleFill(f) + print("done " + f) + +def runSingleFill(f): + range_name, sheet_name, done = settings[os.path.basename(f)] + markdate = pd.Timestamp(os.path.dirname(f).rsplit(os.path.sep, 1)[-1])-5*BDay() + MonthEnd() + #change /usr/lib/python3.6/site-packages/xlrd/xlsx.py line 609 to check for ":" in ref as well. Otherwise single merged cells bombs + marks = pd.read_excel(f, sheet_name, skiprows=13, parse_cols=range_name) + + df = pd.DataFrame() + for s in ['1st', '2nd', '3rd'] +[str(i)+'th' for i in range(4, 12)]: + if s+' Source Price' not in marks: + break + temp = marks[['CUSIP', s+' Source Price', s+' Source']] + temp.columns = ['identifier', 'mark', 'source'] + df = df.append(temp) + df = df.dropna() + df = df[df.mark != 0] + df['date'] = markdate + df['source'] = df['source'].str.upper() + + conn = dbconn('dawndb') + sql_str = "INSERT INTO external_marks VALUES(%(identifier)s, %(date)s, %(mark)s, %(source)s)" + with conn.cursor() as c: + for r in df.to_dict(orient='record'): + try: + c.execute(sql_str, r) + except (psycopg2.DataError, psycopg2.IntegrityError) as detail: + print(detail) + conn.rollback() + finally: + conn.commit() + +def get_CUSIPs(): + conn = dbconn('dawndb') + sql_str = "select distinct cusip from bonds where asset_class = 'Subprime'" + df = pd.read_sql_query(sql_str, dbengine('dawndb')) + return df + +def get_BVAL(): + BBG_IP = ['192.168.9.65'] + bbgstartdate = pd.datetime(2013, 1, 1) + hist_securities = get_CUSIPs()['cusip']+ ' Mtge' + hist_fields = ['PX_LAST'] + + with bbg_helpers.init_bbg_session(BBG_IP) as session: + hist_data = bbg_helpers.retrieve_data(session, hist_securities, hist_fields, start_date=bbgstartdate) + + hist_data1 = pd.concat(hist_data, axis = 1) + hist_data1 = hist_data1.resample('1m', closed= 'right').last() + hist_data1 = hist_data1.drop(pd.Timestamp('2017-02-28')).stack(level = -2) + hist_data1['source'] = 'BVAL' + hist_data1 = hist_data1.reset_index().rename(columns = {'level_1':'identifier', 'PX_LAST': 'mark'}) + hist_data1.identifier = hist_data1.identifier.str[:9] + return hist_data1 + +def pop_BVAL_to_database(df): + conn = dbconn('dawndb') + sql_str = "INSERT INTO external_marks VALUES(%(identifier)s, %(date)s, %(mark)s, %(source)s)" + with conn.cursor() as c: + for r in df.to_dict(orient='record'): + try: + c.execute(sql_str, r) + except (psycopg2.DataError, psycopg2.IntegrityError) as detail: + print(detail) + conn.rollback() + finally: + conn.commit() + +def get_globs(): + basedir = '/home/serenitas/Daily' + globs = [iglob(os.path.join(basedir, + year, + "{}_*/{}*/ReviewedPack*.xlsx".format(year, year))) + for year in ['2015', '2016', '2017']] + for year in ['2013', '2014']: + globs.append(iglob(os.path.join(basedir, + year, + "{}_*/{}*/Serenitas_Month-end_book*.xlsx".format(year, year)))) + return chain.from_iterable(globs) + +settings = { + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170801.20170831.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170701.20170731.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170601.20170630.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170501.20170531.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170401.20170430.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170301.20170331.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170201.20170228.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20170101.20170131.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20161201.20161231.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20161101.20161130.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20161001.20161031.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20160901.20160930.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20160801.20160831.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20160701.20160731.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160601.20160630.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160501.20160531.Draft.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160401.20160430.Final.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160301.20160331.Final.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160201.20160229.Draft.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20160101.20160131.Draft.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20151201.20151231.Draft.xlsx': ("IA:IV", "Securities Valuation Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20151101.20151130.Draft.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20151001.20151031.Draft.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150901.20150930.Draft.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150801.20150831.Draft.savable.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150701.20150731.Draft.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150601.20150630.Draft.xlsx': ("GA:GR", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150501.20150531.Draft.xlsx': ("GA:GR", "VC Report 0531", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150401.20150430.Draft.xlsx': ("GA:GR", "All Securities Valuation Report", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150301.20150331.Draft.xlsx': ("GA:GP", "Actual Valuation Detail", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150201.20150228.Draft.xlsx': ("GA:GL", "Securities Valuation - Details", "Y"), + 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20150101.20150131.Draft.xlsx': ("GA:GL", "Securities Valuation - Details", "Y"), + 'Serenitas_Month-end_book_12.31.14.xlsx': ("NA:NR", "Valuation report", "Y"), + 'Serenitas_Month-end_book_113014.xlsx': ("NA:NR", "Valuation report", "Y"), + 'Serenitas_Month-end_book-10_31_2014_updated.xlsx': ("NA:NR", "Valuation report", "Y"), + 'Serenitas_Month-end_book-09_30_2014.xlsx': ("II:IZ", "Valuation report", "Y"), + 'Serenitas_Month-end_book--08_31_2014_Final.xlsx': ("II:IZ", "Valuation report", "Y"), + 'Serenitas_Month-end_book--07_31_2014_final.xlsx': ("II:IZ", "Valuation report", "Y"), + 'Serenitas_Month-end_book--06_30_2014_-_Final_with_VC_Report (with CAD payments).xlsx': ("II:IZ", "Valuation report", "Y"), + 'Serenitas_Month-end_book--05_31_2014_Final.xlsx': ("II:IZ", "Valuation report", "Y"), + 'Serenitas_Month-end_book--04_30_2014 Final VC Report.xlsx': ("II:IZ", "All Securities Report", "Y"), + 'Serenitas_Month-end_book--03_31_2014 - Final.xlsx': ("II:IZ", "All Securities Report", "Y"), + 'Serenitas_Month-end_book--02_28_2014 Final.xlsx': ("II:IZ", "All Securities Report", "Y"), + 'Serenitas_Month-end_book--01_31_2014.xlsx': ("II:IZ", "ALL Securities", "Y"), + 'Serenitas_Month-end_book--12_31_2013.xlsx': ("II:IZ", "ALL Securities", "Y"), + 'Serenitas_Month-end_book--11_30_2013.xlsx': ("II:IZ", "ALL Securities", "Y"), + 'Serenitas_Month-end_book--10_31_2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--09_30_2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--08_31_2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--07_31_2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--06_30_2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--05 31 2013.xlsx': ("II:IZ", "All Securities", "Y"), + 'Serenitas_Month-end_book--04 30 2013.xlsx': ("II:IZ", "All Securities", "Y") +} |