diff options
Diffstat (limited to 'python/parse_gs_exchange.py')
| -rw-r--r-- | python/parse_gs_exchange.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/parse_gs_exchange.py b/python/parse_gs_exchange.py index a39b034a..49edb970 100644 --- a/python/parse_gs_exchange.py +++ b/python/parse_gs_exchange.py @@ -2,7 +2,6 @@ from db import dbconn from exchange import get_msgs from pytz import timezone from parse_emails import write_todb - import datetime import logging import pandas as pd @@ -99,7 +98,6 @@ def clean_df(all_df): del all_df['VolBpd'], all_df['VolChg'] if 'Sprd' in all_df: del all_df['Sprd'] - all_df['quote_source'] = 'GS' return all_df if __name__=="__main__": @@ -112,8 +110,10 @@ if __name__=="__main__": logging.exception(e) swaption_quotes[(quotedate, indextype, series)] = df - - swaption_quotes = clean_df(swaption_quotes) index_df = pd.DataFrame(fwd_index) index_df = index_df.drop_duplicates(['quotedate', 'index', 'series', 'expiry']) + index_df['quote_source'] = 'GS' + swaption_quotes = clean_df(swaption_quotes) + swaption_quotes = swaption_quotes.set_index(['quotedate', 'index', 'series', 'expiry'], + append=True) write_todb(swaption_quotes, index_df) |