diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 32 |
1 files changed, 17 insertions, 15 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index ba203c0f..fbeb2868 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -3,6 +3,7 @@ import re import psycopg2.sql as sql import datetime import pickle +import traceback from . import logger from functools import partial, lru_cache from pathlib import Path @@ -340,21 +341,21 @@ def parse_gs_block(fh, indextype): continue if line.startswith("Expiry") or line.startswith("Assumes"): break + line = line.replace("|", " ") vals = line.split() - if indextype == "HY": - vals.pop(2) - vals.pop(9) - else: - vals.pop(1) - vals.pop(8) strike = vals.pop(0) - if indextype == "HY": + if indextype == "HY" and "/" not in vals[0]: vals.pop(0) # pop the spread pay, pay_delta = vals[:2] - pay_bid, pay_offer = pay.split("/") - rec_bid, rec_offer = vals[2].split("/") - vol = vals[3] - tail = vals[6] + pay_bid, pay_offer = pay.split("/", 1) + rec_bid, rec_offer = vals[2].split("/", 1) + if rec_offer.count(".") == 2: + rec_offer, vol = rec_offer[:6], rec_offer[6:] + print(rec_offer, vol) + tail = vals[5] + else: + vol = vals[3] + tail = vals[6] vals = [strike, rec_bid, rec_offer, None, pay_bid, pay_offer, pay_delta, vol] if indextype == "HY": vals.append(None) @@ -493,9 +494,10 @@ def parse_gs(fh, index_desc): ) try: option_stack[expiry], line = parse_gs_block(fh, index_desc["index"]) - except IndexError: - logger.error(f"Something went wrong wifh file {Path(fh.name).stem}") - break + except IndexError as e: + logger.debug(traceback.format_exc()) + logger.error(f"Something is wrong with file {Path(fh.name).stem}") + raise RuntimeError() else: logger.error("Can't parse expiry line:", line) elif line.startswith("Assumes"): @@ -580,7 +582,7 @@ def parse_bnp(fh, index_desc): # subject_baml = re.compile(r"(?:Fwd:){0,2}(?:BAML )?(\D{2})(\d{1,2})\s") subject_baml = re.compile(r"(?:Fwd:){0,2}(?:BofA )?(\D{2})(\d{1,2}).*Ref[^\d]*([\d.]+)") subject_ms = re.compile( - r"[^$]*\$\$ MS CDX OPTIONS: (IG|HY)(\d{2})[^-]*- REF[^\d]*([\d.]+)" + r"[^$]*\${1,2} MS CDX OPTIONS: (IG|HY)(\d{2})[^-]*- REF[^\d]*([\d.]+)" ) subject_nom = re.compile(r"(?:Fwd:)?CDX (IG|HY)(\d{2}).*- REF:[^\d]*([\d.]+)") subject_gs = re.compile(r"(?:FW: |Fwd: )?GS (IG|HY)(\d{2}) 5y.*- Ref [^\d]*([\d.]+)") |