diff options
Diffstat (limited to 'python/reallocate_cash.py')
| -rw-r--r-- | python/reallocate_cash.py | 162 |
1 files changed, 0 insertions, 162 deletions
diff --git a/python/reallocate_cash.py b/python/reallocate_cash.py deleted file mode 100644 index 6a322754..00000000 --- a/python/reallocate_cash.py +++ /dev/null @@ -1,162 +0,0 @@ -from serenitas.utils.misc import rename_keys -import datetime -from collections import defaultdict -from psycopg2.errors import UniqueViolation -from serenitas.analytics.dates import bus_day -from ops.funds import Fund - -_iam_brokers = { - "BAML_ISDA": "BOANNY", - "CS": "CSITLN", - "GS": "GOLINY", - "BNP": "BNPBNY", - "MS": "MSCILN", - "JPM": "JPCBNY", - "GS_FCM": "GOLDNY", -} -_custodian = {"GOLDNY": "GS"} -_cash_account = {"GOLDNY": "057363418ICE-CDS"} - - -def iam_serialize(obj, action, trade_date): - rename_keys( - obj, - { - "dealid": "Deal Id", - "counterparty": "Counterparty", - "currency": "Currency", - "start_money": "StartMoney", - "trade_date": "Trade Date", - }, - ) - - deal_fields = { - "Deal Type": "IamDeal", - "Client": "HEDGEMARK", - "Fund": "BOS_PAT_BOWDOIN", - "Custodian": _custodian.get(obj["Counterparty"], "BNY"), - "Cash Account": _cash_account.get(obj["Counterparty"], 751254), - "State": "Valid", - "SettlementDate": obj["Trade Date"], - "Basis": "ACT/360", - "MarginType": "Variation", - "DealFunction": "OTC", - "Folder": "M_CSH_CASH" if obj["strategy"] == "CSH_CASH" else obj["strategy"], - "Action": action, - "TransactionIndicator": "DEPOSIT" if obj["StartMoney"] > 0 else "LOAN", - "ExpirationDate": trade_date - if action == "UPDATE" - else None, # We are updating old IAMDeals to expire - "CallNoticeIndicator": "24H" if action == "NEW" else None, # This is a new IAM - } - obj["StartMoney"] = abs(obj["StartMoney"]) - obj.update(deal_fields) - return obj - - -def gen_offset(totals, trade_date): - offsets = [ - (trade_date, "NEW", "CSH_CASH", broker, None, -amount, "USD", True) - for broker, amount in totals.items() - ] - return offsets - - -def gen_strat_alloc(conn, trade_date): - new_iam = [] - totals = defaultdict(int) # Need to figure out how much to offset - with conn.cursor() as c: - strategy_allocation = ( - "SELECT broker, amount, currency, strategy FROM (SELECT *, rank() " - "OVER(PARTITION BY broker,fund ORDER BY date desc) FROM strategy_im si " - "WHERE fund = 'BOWDST' AND date<=%s ORDER BY date DESC) test WHERE RANK=1 and abs(amount) >= .01;" - ) - c.execute(strategy_allocation, (trade_date,)) - for row in c: - new_iam.append( - ( - trade_date, - "NEW", - row.strategy, - _iam_brokers[row.broker], - None, - row.amount, - row.currency, - False, - ) - ) - if row.broker != "GOLDNY": # HM doesn't book FCM, no need to offset - totals[_iam_brokers[row.broker]] += row.amount - new_iam += gen_offset(totals, trade_date) - return new_iam - - -def process_trades(conn, trade_date): - # We will be grabbing the IAM deals from the DB for the new trades and for the updated trades - deals = [] - actions = { - "NEW": ( - "UPDATE iam_tickets set uploaded=True where maturity is null and trade_date =%s and trade_date =%s " - "and action='NEW' and not uploaded returning *" - ), - "UPDATE": ( - "UPDATE iam_tickets set maturity=%s where trade_date != %s and maturity is null and action='NEW' returning *" - ), - } - for action, query in actions.items(): - with conn.cursor() as c: - c.execute(query, (trade_date, trade_date)) - for row in c: - deals.append(iam_serialize(row._asdict(), action, trade_date)) - return deals - - -def gen_iam_deals(conn, trade_date): - new_iam = gen_strat_alloc(conn, trade_date) - iam_deals = [] - with conn.cursor() as c: - insert_query = ( - """INSERT INTO iam_tickets(trade_date, action, strategy, counterparty, maturity, start_money, currency, "offset") """ - """VALUES (%s, %s, %s, %s, %s, %s, %s, %s);""" - ) - try: - c.executemany(insert_query, new_iam) - except UniqueViolation: - # We already uploaded the IAM tickets today in that case, we need to update and cancel the old uploads - conn.rollback() - c.execute( - "DELETE FROM iam_tickets where trade_date=%s returning *", (trade_date,) - ) - cancel_iam_deals = [ - iam_serialize(row._asdict(), "CANCEL", trade_date) for row in c - ] - iam_deals += cancel_iam_deals - c.executemany(insert_query, new_iam) - iam_deals += process_trades(conn, trade_date) - return iam_deals - - -def process_upload(conn, trade_date, iam_deals): - bowdst = Fund["BOWDST"]() - bowdst.staging_queue.extend(iam_deals) - if bowdst.staging_queue: - buf, dest = bowdst.build_buffer("iam") - bowdst.upload(buf, dest.name) - - -if __name__ == "__main__": - import argparse - from serenitas.utils.db import dbconn - - conn = dbconn("dawndb") - parser = argparse.ArgumentParser(description="Generate IAM file for globeop") - parser.add_argument( - "date", - nargs="?", - type=datetime.date.fromisoformat, - default=(datetime.date.today() - bus_day).date(), - ) - args = parser.parse_args() - iam_deals = gen_iam_deals(conn, args.date) - process_upload(conn, args.date, iam_deals) - conn.commit() |