diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 37 |
1 files changed, 24 insertions, 13 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index ec36973a..eac25f53 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -132,7 +132,7 @@ def parse_refline(line): return d -def parse_baml(fh, index_desc, *args): +def parse_baml_us(fh, index_desc, *args): option_stack = {} fwd_index = [] line = "" @@ -146,7 +146,7 @@ def parse_baml(fh, index_desc, *args): d = parse_refline(line) d.update(index_desc) df, line = parse_baml_block(fh, index_desc["index"]) - option_stack[d["expiry"]] = df + option_stack[(d["expiry"], index_desc["version"])] = df fwd_index.append(d) else: line = "" @@ -360,7 +360,6 @@ def parse_gs_block(fh, indextype): 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] @@ -488,7 +487,7 @@ def parse_ms_us(fh, index_desc, *args): if block is None or block.empty: logger.warning("MS: block is empty for {expiry} expiry") else: - option_stack[expiry] = block + option_stack[(expiry, index_desc["version"])] = block return option_stack, fwd_index @@ -500,7 +499,7 @@ def parse_nom_us(fh, index_desc, *args): expiry = line.split(" ")[0] expiry = pd.to_datetime(expiry, format="%d-%b-%y") next_line, df = parse_nomura_block(fh, index_desc["index"]) - option_stack[expiry] = df + option_stack[(expiry, index_desc["version"])] = df fwd_index.append({"expiry": expiry, **index_desc}) if next_line: if "EXPIRY" in next_line: @@ -524,7 +523,7 @@ def parse_sg_us(fh, index_desc): line = line.rstrip() if line.startswith("Type"): expiry, df = parse_sg_block(fh, index_desc["index"], expiration_dates) - option_stack[expiry] = df + option_stack[(expiry, index_desc["version"])] = df fwd_index.append({"expiry": expiry, **index_desc}) return option_stack, fwd_index @@ -551,7 +550,10 @@ def parse_gs_us(fh, index_desc): } ) try: - option_stack[expiry], line = parse_gs_block(fh, index_desc["index"]) + ( + option_stack[(expiry, index_desc["version"])], + line, + ) = parse_gs_block(fh, index_desc["index"]) except IndexError as e: logger.debug(traceback.format_exc()) logger.error(f"Something is wrong with file {Path(fh.name).stem}") @@ -594,7 +596,9 @@ def parse_citi_us(fh, index_desc): expiry, ref = m.groups() expiry = pd.to_datetime(expiry, format="%d-%b-%y") fwd_index.append({"ref": ref, "expiry": expiry, **index_desc}) - option_stack[expiry] = parse_citi_block(fh, index_desc["index"]) + option_stack[(expiry, index_desc["version"])] = parse_citi_block( + fh, index_desc["index"] + ) else: logger.error("Can't parse expiry line:", line) return option_stack, fwd_index @@ -616,7 +620,9 @@ def parse_cs_us(fh, index_desc): d = m.groupdict() d["expiry"] = pd.to_datetime(d["expiry"], format="%d-%b-%y") fwd_index.append({**index_desc, **d}) - option_stack[d["expiry"]] = parse_cs_block(fh, index_desc["index"]) + option_stack[(d["expiry"], index_desc["version"])] = parse_cs_block( + fh, index_desc["index"] + ) else: logger.error("Can't parse expiry line:", line, "filename:", fh.name) return option_stack, fwd_index @@ -643,7 +649,7 @@ def parse_bnp_us(fh, index_desc): d for d in expiration_dates if d.month == expiry_month ) fwd_index.append({**index_desc, **d}) - option_stack[d["expiry"]] = parse_bnp_block( + option_stack[(d["expiry"], index_desc["version"])] = parse_bnp_block( fh, index_desc["index"], c == -1 ) else: @@ -654,7 +660,6 @@ def parse_bnp_us(fh, index_desc): def parse_jpm_useu(fh, index_desc): option_stack = {} fwd_index = [] - versions = set() regex = r"JPM (CDX|iTrx) Options: (HY|IG|MAIN|XOVER) \(\w\d+V(?P<version>\d+)\) (?P<expiry>[\d]+-[\w]+-[\d]+) \*\* Fwd @(?P<fwdref>[\d.]+)" pat = re.compile(regex) line = next(fh).strip() @@ -667,7 +672,6 @@ def parse_jpm_useu(fh, index_desc): ) d["expiry"] = pd.to_datetime(d["expiry"], format="%d-%b-%y") index_desc["version"] = d["version"] - versions.add(d["version"]) fwd_index.append({**index_desc, **d}) try: @@ -813,7 +817,14 @@ def write_todb(swaption_stack, index_data, conn): else: try: df = swaption_stack.loc[ - (t.quotedate, t.index, t.series, t.expiry, t.quote_source), + ( + t.quotedate, + t.index, + t.series, + t.expiry, + t.quote_source, + t.version, + ), ] except KeyError as e: logger.warning( |