1 files changed, 48 insertions, 0 deletions
diff --git a/python/parse_baml_swaption.py b/python/parse_baml_swaption.py
new file mode 100644
index 00000000..51f2e8f6
--- /dev/null
+++ b/python/parse_baml_swaption.py
@@ -0,0 +1,48 @@
+from serenitas.utils.exchange import ExchangeMessage
+import pandas as pd
+from serenitas.utils.db import dawn_engine
+
+columns = [
+    "option_recap",
+    "index_buyer",
+    "index_seller",
+    "trade_date",
+    "effective_date",
+    "execution_time",
+    "notional",
+    "price",
+    "mid_price",
+    "strike",
+    "expiry_date",
+    "option_type",
+    "exercise_clearing_house",
+    "premium_fee",
+    "premium_fee_pay_date",
+    "trade_id",
+    "venue_mic",
+]
+
+
+em = ExchangeMessage()
+for msg in em.get_msgs(path=["AutoBook", "BAML Swaption"]):
+    dfs = pd.read_html(msg.body)
+    trades = []
+    for df in dfs:
+        if len(df[0]) > 5:
+            trade = dict(zip(df[0].values, df[1].values))
+            if "Block" in trade or "Unwind Price" in trade:
+                continue
+            trades.append(trade)
+
+    df = pd.DataFrame.from_dict(trades)
+    df.columns = df.columns.str.lower().str.replace(" ", "_")
+    additional_columns = ["collateral"] if "collateral" in df.columns else []
+    print(additional_columns)
+    df = df[columns + additional_columns]
+
+    try:
+        df.to_sql(
+            "baml_swaption_ticket", index=False, con=dawn_engine, if_exists="append"
+        )
+    except Exception as e:
+        print(e)