diff options
Diffstat (limited to 'python/markit/import_quotes.py')
| -rw-r--r-- | python/markit/import_quotes.py | 22 |
1 files changed, 12 insertions, 10 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index e0522b9a..0a8f108e 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -16,11 +16,14 @@ def convert(x): except ValueError: return None -index_list = ['HY9', 'HY10'] + ['HY' + str(s) for s in range(15, 29)] + ['IG9'] + \ - ['IG' + str(s) for s in range(16, 29)] + \ - ['XO' + str(s) for s in range(22, 28)] + \ - ['EU9'] + \ - ['EU' + str(s) for s in range(19, 28)] +def get_index_list(database, workdate): + with database.cursor() as c: + c.execute("SELECT distinct index, series FROM index_maturity " \ + "WHERE issue_date IS NOT NULL and issue_date <= %s", + (workdate,)) + for index, series in c: + yield index + str(series) + database.commit() DOC_CLAUSE_MAPPING14 = {'Full Restructuring': 'MM14', 'No Restructuring': 'XR14', @@ -31,7 +34,7 @@ DOC_CLAUSE_MAPPING = {'Full Restructuring': 'MM', 'Modified Modified Restructurin': 'MM'} def get_markit_bbg_mapping(database, basketid_list, workdate): - if workdate>=datetime.date(2014, 9, 19): + if workdate >= datetime.date(2014, 9, 19): doc_clause_mapping = DOC_CLAUSE_MAPPING14 else: doc_clause_mapping = DOC_CLAUSE_MAPPING @@ -40,7 +43,7 @@ def get_markit_bbg_mapping(database, basketid_list, workdate): with database.cursor() as c: c.execute("SELECT markit_ticker, markit_tier, spread, currency, cds_curve, " \ " doc_clause FROM historical_cds_issuers(%s) where index_list && %s", - (workdate, basketid_list)) + (workdate, list(basketid_list))) for line in c: all_tickers.add((line['markit_ticker'], line['markit_tier'])) key = (line['markit_ticker'], line['markit_tier'], line['currency'], @@ -56,15 +59,14 @@ def get_markit_bbg_mapping(database, basketid_list, workdate): return (all_tickers, markit_bbg_mapping) def get_basketids(database, index_list, workdate): - r = [] with database.cursor() as c: for index in index_list: c.execute("SELECT * FROM nameToBasketID(%s, %s)", (index, workdate)) - r.append(c.fetchone()[0]) + yield c.fetchone()[0] database.commit() - return r def get_current_tickers(database, workdate): + index_list = get_index_list(database, workdate) basketid_list = get_basketids(database, index_list, workdate) return get_markit_bbg_mapping(database, basketid_list, workdate) |