1 files changed, 51 insertions, 5 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py
index f66ca804..dad7421d 100644
--- a/python/trade_dataclasses.py
+++ b/python/trade_dataclasses.py
@@ -8,6 +8,7 @@ from psycopg2.extensions import register_adapter, AsIs
 from serenitas.analytics.dates import next_business_day, previous_twentieth
 from serenitas.analytics.index import CreditIndex
 from serenitas.utils.db import dbconn
+from process_queue import rename_keys
 
 Fund = Literal["SERCGMAST", "BRINKER", "BOWDST"]
 Portfolio = Literal[
@@ -124,12 +125,14 @@ class Deal:
         super().__init_subclass__()
         cls._table_name = table_name
         cls._sql_fields = list(cls.__annotations__)
-        place_holders = ",".join(["%s"] * len(cls.__annotations__))
-        columns = ",".join(c for c in cls._sql_fields)
-        cls._sql_insert = (
-            f"INSERT INTO {cls._table_name}({columns}) VALUES({place_holders})"
+        _sql_insert_fields = list(
+            c for c in cls.__annotations__ if c not in ("id", "dealid")
         )
-        cls._sql_select = f"SELECT {columns} FROM {cls._table_name} WHERE id=%s"
+        insert_place_holders = ",".join(["%s"] * len(_sql_insert_fields))
+        insert_columns = ",".join(c for c in _sql_insert_fields)
+        select_columns = ",".join(c for c in cls._sql_fields)
+        cls._sql_insert = f"INSERT INTO {cls._table_name}({insert_columns}) VALUES({insert_place_holders})"
+        cls._sql_select = f"SELECT {select_columns} FROM {cls._table_name} WHERE id=%s"
 
     def stage(self):
         self._insert_queue.append([getattr(self, f) for f in self._sql_fields])
@@ -151,6 +154,9 @@ class Deal:
 
 @dataclass
 class CDSDeal(Deal, table_name="cds"):
+    id: field(default=None)
+    dealid: field(default=None)
+    initial_margin_percentage: field(default=None)
     fund: Fund
     account_code: str
     cp_code: str
@@ -189,6 +195,46 @@ class CDSDeal(Deal, table_name="cds"):
         )
         index.direction = self.protection
 
+    def to_markit(self):
+        obj = self.__dict__
+        rename_keys(
+            obj,
+            {
+                "dealid": "Swap ID",
+                "cp_code": "Broker Id",
+                "trade_date": "Trade Date",
+                "effective_date": "Effective Date",
+                "maturity": "Maturity Date",
+                "notional": "1st Leg Notional",
+                "fixed_rate": "1st Leg Rate",
+                "upfront": "Initial Payment",
+                "security_id": "RED",
+                "orig_attach": "Attachment Point",
+                "orig_detach": "Exhaustion Point",
+                "currency": "Currency Code",
+                "upfront_settle_date": "First Payment Date",
+                "cp_code": "Broker Id",
+                "fund": "Account Abbreviation",
+            },
+        )
+        if obj["Initial Payment"] >= 0:
+            obj["Transaction Code"] = "Receive"
+        else:
+            obj["Initial Payment"] = abs(round(obj["Initial Payment"], 2))
+            obj["Transaction Code"] = "Pay"
+
+        obj["Trade ID"] = obj["Swap ID"]
+        obj["Product Type"] = "TRN"
+        obj["Transaction Type"] = "NEW"
+        obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell"
+        obj["Entity Matrix"] = "Publisher"
+        obj["Definitions Type"] = "ISDA2014Credit"
+        obj["Independent Amount (%)"] = obj["initial_margin_percentage"]
+        if "ITRX" in obj["security_desc"]:
+            obj["Include Contractual Supplement"] = "Y"
+            obj["Contractual Supplement"] = "StandardiTraxxEuropeTranche"
+        return obj
+
 
 @dataclass
 class BondDeal(Deal, table_name="bonds"):