diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 78 |
1 files changed, 37 insertions, 41 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index ee462e5b..0b0b88d5 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -262,8 +262,10 @@ class Deal: def __class_getitem__(cls, deal_type: DealType): return cls._registry[deal_type] - def __init_subclass__(cls, deal_type: DealType, table_name: str, insert_ignore=()): - super().__init_subclass__() + def __init_subclass__( + cls, deal_type: DealType, table_name: str, insert_ignore=(), **kwargs + ): + super().__init_subclass__(**kwargs) cls._registry[deal_type] = cls cls._table_name = table_name insert_columns = [c for c in cls.__annotations__ if c not in insert_ignore] @@ -428,35 +430,10 @@ class MTMDeal: return cls(**{k: v for k, v in kwargs.items() if k in cls._sql_fields}) -from csv_headers.citco import GIL, GTL - - -class CitcoDeal: +class Citco: _citco_queue: ClassVar[list] = [] - _citco_trade_queue: ClassVar[list] = [] - _citco_headers = None - _citco_trade_headers = None + _citco_headers = [] _sftp = SftpClient.from_creds("citco") - product_key = () - - def __init_subclass__(cls, deal_type, product_key, **kwargs): - super().__init_subclass__(deal_type, **kwargs) - cls._citco_headers = GIL - cls._citco_trade_headers = GTL - cls.product_key = product_key - - def get_dealid(self): - filter_clause = " AND ".join([f"{k}=%s" for k in self.product_key]) - sql_str = ( - f"SELECT id, dealid, committed FROM {self.table_name} WHERE {filter_clause}" - ) - with self._conn.cursor() as c: - c.execute( - sql_str, - tuple([getattr(self, k) for k in self.product_key]), - ) - if results := c.fetchone(): - (self.id, self.dealid, self.committed) = results @classmethod def citco_upload(cls): @@ -504,6 +481,25 @@ class CitcoDeal: self._citco_trade_queue.append(self.to_citco()) +class CitcoProduct(Citco): + _citco_headers = GIL + product_key = () + + def __init_subclass__(cls, product_key, **kwargs): + cls.product_key = product_key + + def get_productid(self): + filter_clause = " AND ".join([f"{k}=%s" for k in self.product_key]) + sql_str = f"SELECT id, dealid, committed FROM {self._table_name} WHERE {filter_clause}" + with self._conn.cursor() as c: + c.execute( + sql_str, + tuple([getattr(self, k) for k in self.product_key]), + ) + if results := c.fetchone(): + (self.id, self.dealid, self.committed) = results + + @dataclass class CDSDeal( CitcoDeal, @@ -1314,8 +1310,8 @@ class TrancheType(IntEnum): @dataclass class TrancheProduct( - CitcoProduct, Deal, + CitcoProduct, deal_type=DealType.TrancheProduct, table_name="citco_tranche", product_key=("underlying_security_id", "attach", "detach"), @@ -1364,7 +1360,7 @@ class TrancheProduct( index, series, ) = c.fetchone() - self.get_dealid() + self.get_productid() self.security_desc = ( f"{desc_str(index, series, '5')} {self.attach}-{self.detach}" ) @@ -1374,7 +1370,7 @@ class TrancheProduct( if not self.id: self.stage() self.commit() - self.get_dealid() + self.get_productid() obj = self.serialize("citco") obj["Command"] = "N" obj["Active"] = "Y" @@ -1387,8 +1383,8 @@ class TrancheProduct( @dataclass class SwaptionProduct( - CitcoProduct, Deal, + CitcoProduct, deal_type=DealType.SwaptionProduct, table_name="citco_swaption", product_key=( @@ -1430,7 +1426,7 @@ class SwaptionProduct( ) def __post_init__(self): - self.get_dealid() + self.get_productid() if self.underlying_id_source == "RED": sql_str = "SELECT issue_date, maturity, coupon, index, series FROM index_desc WHERE tenor='5yr' AND redindexcode=%s" with self._conn.cursor() as c: @@ -1453,7 +1449,7 @@ class SwaptionProduct( if not self.id: self.stage() self.commit() - self.get_dealid() + self.get_productid() obj = self.serialize("citco") if self.underlying_id_source == "USERID": irs = IRSProduct( @@ -1482,8 +1478,8 @@ _citco_ratesource = {"SOFRRATE": 17819} @dataclass class IRSProduct( - CitcoProduct, Deal, + CitcoProduct, deal_type=DealType.IRSProduct, table_name="citco_irs", product_key=("birth_date", "death_date", "float_index", "fixed_rate"), @@ -1514,14 +1510,14 @@ class IRSProduct( ) def __post_init__(self): - self.get_dealid() + self.get_productid() self.security_desc = f"SWAP IRS {self.float_index}-{self.fixed_rate}" def to_citco(self): if not self.id: self.stage() self.commit() - self.get_dealid() + self.get_productid() obj = self.serialize("citco") d = { @@ -1552,8 +1548,8 @@ class IRSProduct( @dataclass class TRSProduct( - CitcoProduct, Deal, + CitcoProduct, deal_type=DealType.TRSProduct, table_name="citco_trs", product_key=("birth_date", "death_date", "funding_index", "underlying_security"), @@ -1585,7 +1581,7 @@ class TRSProduct( ) def __post_init__(self): - self.get_dealid() + self.get_productid() _citco_trs = {"4J623JAA8": "IBOXHY_TRS"} self.security_desc = _citco_trs[self.underlying_security] @@ -1594,7 +1590,7 @@ class TRSProduct( self.stage() self.commit() - self.get_dealid() + self.get_productid() obj = self.serialize("citco") d = { |