diff options
Diffstat (limited to 'python/mtm_upload.py')
| -rw-r--r-- | python/mtm_upload.py | 60 |
1 files changed, 5 insertions, 55 deletions
diff --git a/python/mtm_upload.py b/python/mtm_upload.py index e48a26b6..358a878d 100644 --- a/python/mtm_upload.py +++ b/python/mtm_upload.py @@ -6,10 +6,10 @@ from serenitas.utils.env import DAILY_DIR from serenitas.utils.remote import SftpClient from serenitas.analytics.dates import next_business_day import datetime +from trade_dataclasses import CDSDeal HEADERS = { "tranche": [ - "Markit Field Name", "Swap ID", "Allocation ID", "Description", @@ -43,8 +43,7 @@ HEADERS = { "Settlement Amount", "Trader", "Executing Broker", - "Dealer", - "Trade ID", + "Dealer Trade ID", "Notes", "Parent Transaction Code", "Parent Trade Date", @@ -84,58 +83,9 @@ HEADERS = { def tranche_trades(conn): - with conn.cursor() as c: - trades = [] - c.execute( - "SELECT * FROM cds where attach is not NULL and trade_date > %s and id=3445", - (datetime.date(2020, 12, 1),), - ) - for row in c: - obj = row._asdict() - rename_keys( - obj, - { - "dealid": "Swap ID", - "cp_code": "Broker Id", - "trade_date": "Trade Date", - "effective_date": "Effective Date", - "maturity": "Maturity Date", - "notional": "1st Leg Notional", - "fixed_rate": "1st Leg Rate", - "upfront": "Initial Payment", - "security_id": "RED", - "orig_attach": "Attachment Point", - "orig_detach": "Exhaustion Point", - "currency": "Currency Code", - "upfront_settle_date": "First Payment Date", - "cp_code": "Broker Id", - }, - ) - if obj["Initial Payment"] >= 0: - obj["Transaction Code"] = "Receive" - else: - obj["Initial Payment"] = abs(obj["Initial Payment"]) - obj["Transaction Code"] = "Pay" - obj["Swap ID"] = "test_1" - obj["Trade ID"] = obj["Swap ID"] - obj["Product Type"] = "TRN" - obj["Transaction Type"] = "NEW" - obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell" - # obj["Trader"] = "Serenitas_Trader" - obj["Entity Matrix"] = "Publisher" - obj["Definitions Type"] = "ISDA2014Credit" - obj["Independent Amount (%)"] = obj["initial_margin_percentage"] - if "ITRX" in obj["security_desc"]: - obj["Include Contractual Supplement"] = "Y" - obj["Contractual Supplement"] = "StandardiTraxxEuropeTranche" - # Temporary Static Values - obj["Account Abbreviation"] = "Serenitas-test1" - # obj["Initial Payment Currency"] = "USD" - # obj["First Payment Date"] = "2022-01-18" - # obj["Broker Id"] = "0000571T" - # obj['DTCC Ineligible'] = 'N' - obj["Master Document Date"] = "2016-02-17" - trades.append(obj) + trades = [] + obj = CDSDeal.from_tradeid(3472).to_markit() + trades.append(obj) return trades |