diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 21 |
1 files changed, 13 insertions, 8 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 961e47b5..47a17e9e 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -408,7 +408,7 @@ subject_sg = re.compile(r"SG OPTIONS - CDX (IG|HY) S(\d{2}).* REF[^\d]*([\d.]+)" subject_citi = re.compile(r"(?:Fwd:)?Citi Options: (IG|HY)(\d{2}) 5Y") def parse_email(email, date_received): - with open(email.path, "rt") as fh: + with email.open("rt") as fh: subject = fh.readline().lstrip() for source in ['BAML', 'GS', 'MS', 'NOM', 'SG', 'CITI']: @@ -431,11 +431,12 @@ def parse_email(email, date_received): expiration_dates = list_imm_dates(quotedate) parse_fun = globals()[f'parse_{source.lower()}'] + key = (quotedate, indextype, series, source) if source in ['BAML', 'CITI']: - return (quotedate, indextype, series), \ + return (key, parse_fun(fh, indextype, series, quotedate)) parse_fun(fh, indextype, series, quotedate) elif source == "GS": - return (quotedate, indextype, series), \ + return (key, parse_fun(fh, indextype, series, quotedate, ref)) parse_fun(fh, indextype, series, quotedate, ref) else: option_stack = parse_fun(fh, indextype, expiration_dates) @@ -446,7 +447,7 @@ def parse_email(email, date_received): 'expiry': list(option_stack.keys()), 'quote_source': source}) fwd_index.set_index('quotedate', inplace=True) - return (quotedate, indextype, series), (option_stack, fwd_index) + return (key, (option_stack, fwd_index)) else: raise RuntimeError(f"can't parse subject line: {subject} for email {email.name}") @@ -469,12 +470,16 @@ def write_todb(swaption_stack, index_data, conn): continue else: try: - df = swaption_stack.loc[(t.quotedate, t.index, t.series, t.expiry),] + df = swaption_stack.loc[ + (t.quotedate, t.index, t.series, t.expiry, t.quote_source), + ] except KeyError as e: - logger.warning("missing key in swaption_stack: " - f"{t.quotedate}, {t.index}, {t.series}, {t.expiry}") + logger.warning( + "missing key in swaption_stack: " + f"{t.quotedate}, {t.index}, {t.series}, {t.expiry}, {t.quote_source}" + ) continue - except IndexingError: + except IndexError: breakpoint() df['ref_id'] = ref_id c.executemany(gen_sql_str(query, "swaption_quotes", df.columns), |