diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 137 |
1 files changed, 69 insertions, 68 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 8c1020a0..6895e14e 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -175,12 +175,7 @@ SwaptionStrat = Literal[ ] SpotStrat = Literal[ - 'M_STR_MAV', - 'M_STR_MEZZ', - 'SER_IRTXCURVE', - 'M_CSH_CASH', - 'TCSH', - "*" + "M_STR_MAV", "M_STR_MEZZ", "SER_IRTXCURVE", "M_CSH_CASH", "TCSH", "*" ] AssetClass = Literal["CSO", "Subprime", "CLO", "CRT"] @@ -708,32 +703,33 @@ class SpotDeal( insert_ignore=("id", "dealid"), ): folder: SpotStrat - spot_rate : float - buy_currency : str - buy_amount : float - sell_currency : str - sell_amount : float - commission_currency : str - commission : float - fund : Fund - cp_code : str + spot_rate: float + buy_currency: str + buy_amount: float + sell_currency: str + sell_amount: float + commission_currency: str + commission: float + fund: Fund + cp_code: str id: int = field(default=None, metadata={"insert": False}) dealid: str = field(default=None, metadata={"insert": False}) - trade_date : datetime.date = field( + trade_date: datetime.date = field( default_factory=datetime.date.today(), ) - settle_date : datetime.date = field( + settle_date: datetime.date = field( default_factory=datetime.date.today(), ) + @classmethod def from_bbg_line(cls, line: dict): - return cls( - folder = 'TCSH', - spot_rate = line[''] - ) + return cls(folder="TCSH", spot_rate=line[""]) + + +_fx_cp = {"BAST": "BAMSNY", "MSST": "MSCSNY"} +_fx_funds = {"serenitas": "SERCGMAST", "bowdst": "BOWDST"} + -_fx_cp = {'BAST': 'BAMSNY', 'MSST': 'MSCSNY'} -_fx_funds = {'serenitas': 'SERCGMAST', 'bowdst': 'BOWDST'} @dataclass class FxswapDeal( BbgDeal, @@ -744,63 +740,68 @@ class FxswapDeal( ): folder: str portfolio: str - trade_date : datetime.date - near_settle_date : datetime.date - near_buy_currency: str + trade_date: datetime.date + near_settle_date: datetime.date + near_buy_currency: str near_buy_amount: float near_sell_currency: str - near_sell_amount: float + near_sell_amount: float near_rate: float - far_rate: float + far_rate: float far_settle_date: datetime.date far_buy_currency: str far_buy_amount: float far_sell_currency: str far_sell_amount: str - fund : Fund - cp_code : str - cash_account : str + fund: Fund + cp_code: str + cash_account: str id: int = field(default=None, metadata={"insert": False}) dealid: str = field(default=None, metadata={"insert": False}) + @classmethod def from_bbg_line(cls, line: dict): - if line['Side'] == 'S': - near_buy_currency = line['Currency 1'] - near_buy_amount = line['Amount Dealt'] - near_sell_currency = line['Currency 2'] - near_sell_amount = line['Counter Amount'] - far_buy_currency = line['Currency 2'] - far_buy_amount = line['Far Counter Amount'] - far_sell_currency = line['Currency 1'] - far_sell_amount = line['Far Amount Dealt'] - elif line['Side'] == 'B': - near_sell_currency = line['Currency 1'] - near_sell_amount = line['Amount Dealt'] - near_buy_currency = line['Currency 2'] - near_buy_amount = line['Counter Amount'] - far_sell_currency = line['Currency 2'] - far_sell_amount = line['Far Counter Amount'] - far_buy_currency = line['Currency 1'] - far_buy_amount = line['Far Amount Dealt'] + if line["Side"] == "S": + near_buy_currency = line["Currency 1"] + near_buy_amount = line["Amount Dealt"] + near_sell_currency = line["Currency 2"] + near_sell_amount = line["Counter Amount"] + far_buy_currency = line["Currency 2"] + far_buy_amount = line["Far Counter Amount"] + far_sell_currency = line["Currency 1"] + far_sell_amount = line["Far Amount Dealt"] + elif line["Side"] == "B": + near_sell_currency = line["Currency 1"] + near_sell_amount = line["Amount Dealt"] + near_buy_currency = line["Currency 2"] + near_buy_amount = line["Counter Amount"] + far_sell_currency = line["Currency 2"] + far_sell_amount = line["Far Counter Amount"] + far_buy_currency = line["Currency 1"] + far_buy_amount = line["Far Amount Dealt"] sql_line = [None if not value else value for value in list(line.values())] cls._bbg_insert_queue.append(sql_line) return cls( - folder = '*', - portfolio= 'UNALLOCATED', - cp_code = _fx_cp[line['Counterparty Deal Code']], - trade_date = datetime.datetime.strptime(line['Date Of Deal'], "%Y%m%d"), - near_settle_date = datetime.datetime.strptime(line['Value Date Period 1 Currency 1'], "%Y%m%d"), - far_settle_date = datetime.datetime.strptime(line['Value Date Period 2 Currency 1'], "%Y%m%d"), - near_buy_currency = near_buy_currency, - near_buy_amount = near_buy_amount, - near_sell_currency = near_sell_currency, - near_sell_amount = near_sell_amount, - far_buy_currency = far_buy_currency, - far_buy_amount = far_buy_amount, - far_sell_currency = far_sell_currency, - far_sell_amount = far_sell_amount, - fund = _fx_funds[line['ALOC Account 1']], - near_rate = line['Exchange Rate Period 1'], - far_rate = line['Exchange Rate Period 2'], - cash_account = 'V0NSCLMAMB', - )
\ No newline at end of file + folder="*", + portfolio="UNALLOCATED", + cp_code=_fx_cp[line["Counterparty Deal Code"]], + trade_date=datetime.datetime.strptime(line["Date Of Deal"], "%Y%m%d"), + near_settle_date=datetime.datetime.strptime( + line["Value Date Period 1 Currency 1"], "%Y%m%d" + ), + far_settle_date=datetime.datetime.strptime( + line["Value Date Period 2 Currency 1"], "%Y%m%d" + ), + near_buy_currency=near_buy_currency, + near_buy_amount=near_buy_amount, + near_sell_currency=near_sell_currency, + near_sell_amount=near_sell_amount, + far_buy_currency=far_buy_currency, + far_buy_amount=far_buy_amount, + far_sell_currency=far_sell_currency, + far_sell_amount=far_sell_amount, + fund=_fx_funds[line["ALOC Account 1"]], + near_rate=line["Exchange Rate Period 1"], + far_rate=line["Exchange Rate Period 2"], + cash_account="V0NSCLMAMB", + ) |