diff options
Diffstat (limited to 'python/report_ops/utils.py')
| -rw-r--r-- | python/report_ops/utils.py | 18 |
1 files changed, 17 insertions, 1 deletions
diff --git a/python/report_ops/utils.py b/python/report_ops/utils.py index c4c1561d..f5a5ee35 100644 --- a/python/report_ops/utils.py +++ b/python/report_ops/utils.py @@ -98,6 +98,22 @@ def notify_fx_hedge(date, fund, conn): FxHedge._staging_queue.clear() +def check_cleared_cds(date, fund, conn): + _tolerance = {"IG": 0.10, "HY": 0.20, "EU": 0.20, "XO": 0.30} + with conn.cursor() as c: + c.execute( + "SELECT *, abs(price-globeop_quote) AS difference FROM list_cds_marks(%s, NULL, %s)", + (date, fund), + ) + for row in c: + d = row._asdict() + d["serenitas_quote"] = d["price"] + if d["difference"] > _tolerance[d["index"]]: + CDXQuoteMonitor.stage(d) + CDXQuoteMonitor.email(fund) + CDXQuoteMonitor._staging_queue.clear() + + @dataclass class CitcoSubmission(Deal, deal_type=None, table_name="citco_submission2"): id: int = field(init=False, metadata={"insert": False}) @@ -300,7 +316,7 @@ class CDXQuoteMonitor( Monitor, headers=( "security_desc", - "identifier", + "security_id", "maturity", "globeop_quote", "serenitas_quote", |