diff options
Diffstat (limited to 'python/quote_parsing')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index d44cdb91..f2627a48 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -548,12 +548,20 @@ def parse_barc_block(fh, indextype): option_data, pay_data, delta, rec_data, vol_data = [ item.strip() for item in line.split("|") ] + delta = -float(delta) try: strike, _ = option_data.split(" ") except ValueError: # Spread is not always provided strike = option_data vol = vol_data.split(" ")[0] - vals = [strike, *rec_data.split("/"), None, *pay_data.split("/"), -delta, vol] + vals = [ + strike, + *rec_data.split("/"), + None, + *pay_data.split("/"), + str(delta), + vol, + ] if indextype == "HY": vals += [None] r.append(vals) |