1 files changed, 55 insertions, 2 deletions

diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py
index 4dca21ff..f42dc9f5 100644
--- a/python/quote_parsing/parse_emails.py
+++ b/python/quote_parsing/parse_emails.py
@@ -538,6 +538,25 @@ def parse_jpm_block(fh, indextype):
     return makedf(df, indextype, "JPM"), line
 
 
+def parse_barc_block(fh, indextype):
+    next(fh)  # Skip headers
+    r = []
+    for line in fh:
+        line = line.strip()
+        if line == "":
+            break
+        option_data, pay_data, delta, rec_data, vol_data = [
+            item.strip() for item in line.split("|")
+        ]
+        strike, _ = option_data.split("  ")
+        vol = vol_data.split("  ")[0]
+        vals = [strike, *rec_data.split("/"), None, *pay_data.split("/"), delta, vol]
+        if indextype == "HY":
+            vals += [None]
+        r.append(vals)
+    return makedf(r, indextype, "BARC"), line
+
+
 def parse_ms(fh, index_desc, *args):
     option_stack = {}
     fwd_index = []
@@ -841,7 +860,37 @@ def parse_gs_eu(fh, index_desc):
     return option_stack, fwd_index
 
 
-# subject_baml = re.compile(r"(?:Fwd:){0,2}(?:BAML )?(\D{2})(\d{1,2})\s")
+def parse_barc(fh, index_desc):
+    option_stack = {}
+    fwd_index = []
+    regex = r"(?P<expiry>\d{1,2}[A-Za-z]{3}\d{2}) \(Fwd\s+(?P<fwdprice>\d+\.\d+)"
+    pat = re.compile(regex)
+    line = next(fh).strip()
+    while True:
+        if "00Jan00" in line:
+            break
+        elif "(" in line:
+            if m := pat.match(line):
+                d = m.groupdict()
+                d["expiry"] = pd.to_datetime(d["expiry"], format="%d%b%y")
+                fwd_index.append({**index_desc, **d})
+                (
+                    option_stack[
+                        (d["expiry"], index_desc["series"], index_desc["version"])
+                    ],
+                    line,
+                ) = parse_barc_block(fh, index_desc["index"])
+            else:
+                logger.error(
+                    "Can't parse expiry line: %s for filename: %s", line, fh.name
+                )
+        else:
+            try:
+                line = next(fh).strip()
+            except StopIteration:
+                break
+    return option_stack, fwd_index
+
 
 regex_dict = {
     re.compile(r"(?:Fwd:){0,2}(?:BofA |BAML )?(\D{2})(\d{1,2}).*Ref[^\d]*([\d.]+)"): (
@@ -881,6 +930,10 @@ regex_dict = {
     re.compile(
         r"GS Options - iTraxx (Xover|Main|FinSen)(\d+) 5Y V(\d+) Options Run - Ref ([\d.]+)"
     ): ("GS", parse_gs_eu),
+    re.compile(r"Barclays Options CDX\.(IG|HY)(\d+) - Ref: ([\d.]+)"): (
+        "BARC",
+        parse_barc,
+    ),
 }
 
 
@@ -942,7 +995,7 @@ def parse_email(email: Path, date_received: datetime.date, conn):
                     "series": series,
                     "version": version,
                 }
-                if source in ["GS", "MS", "NOM", "SG", "BAML"]:
+                if source in ["GS", "MS", "NOM", "SG", "BAML", "BARC"]:
                     index_desc["ref"] = ref
                 if source in ["BNP", "SG"]:
                     index_desc["expiration_dates"] = list_imm_dates(quotedate)