diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 21 |
1 files changed, 11 insertions, 10 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index c2713ed9..87050119 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -430,15 +430,16 @@ def parse_jpm_block(fh, indextype): line = line.strip() if "**" in line or line == "": break - if line.startswith("K"): - continue - rec_strike, rec_data, pay_strike, pay_data = [item.strip() for item in line.split('|')] - rec_data = rec_data.replace("/", " ") - if rec_strike is not '-': - receivers[rec_strike] = rec_data.split()[:-2] - pay_data = pay_data.replace("/", " ") - if pay_strike is not '-': - payers[pay_strike] = pay_data.split()[:-2] + if "|" in line: + if line.startswith("K"): + continue + rec_strike, rec_data, pay_strike, pay_data = [item.strip() for item in line.split('|')] + rec_data = rec_data.replace("/", " ") + if rec_strike is not '-': + receivers[rec_strike] = rec_data.split()[:-2] + pay_data = pay_data.replace("/", " ") + if pay_strike is not '-': + payers[pay_strike] = pay_data.split()[:-2] cols = ['bid', 'offer', 'delta', 'vol'] pay = pd.DataFrame.from_dict(payers, orient='index', columns=cols).add_prefix('pay_') @@ -615,7 +616,7 @@ def parse_bnp(fh, index_desc): def parse_jpm(fh, index_desc): option_stack = {} fwd_index = [] - pat = pat = re.compile(r"JPM CDX Options: IG [(](?P<ticker>[\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwd>[\d.]+), Delta @(?P<delta>[\d]+)") + pat = re.compile(r"JPM CDX Options: IG [(](?P<ticker>[\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwd>[\d.]+), Delta @(?P<delta>[\d]+)") expiration_dates = index_desc.pop("expiration_dates") line = next(fh).strip() while True: |