diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/mtm_upload.py | 60 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 56 |
2 files changed, 56 insertions, 60 deletions
diff --git a/python/mtm_upload.py b/python/mtm_upload.py index e48a26b6..358a878d 100644 --- a/python/mtm_upload.py +++ b/python/mtm_upload.py @@ -6,10 +6,10 @@ from serenitas.utils.env import DAILY_DIR from serenitas.utils.remote import SftpClient from serenitas.analytics.dates import next_business_day import datetime +from trade_dataclasses import CDSDeal HEADERS = { "tranche": [ - "Markit Field Name", "Swap ID", "Allocation ID", "Description", @@ -43,8 +43,7 @@ HEADERS = { "Settlement Amount", "Trader", "Executing Broker", - "Dealer", - "Trade ID", + "Dealer Trade ID", "Notes", "Parent Transaction Code", "Parent Trade Date", @@ -84,58 +83,9 @@ HEADERS = { def tranche_trades(conn): - with conn.cursor() as c: - trades = [] - c.execute( - "SELECT * FROM cds where attach is not NULL and trade_date > %s and id=3445", - (datetime.date(2020, 12, 1),), - ) - for row in c: - obj = row._asdict() - 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", - }, - ) - if obj["Initial Payment"] >= 0: - obj["Transaction Code"] = "Receive" - else: - obj["Initial Payment"] = abs(obj["Initial Payment"]) - obj["Transaction Code"] = "Pay" - obj["Swap ID"] = "test_1" - obj["Trade ID"] = obj["Swap ID"] - obj["Product Type"] = "TRN" - obj["Transaction Type"] = "NEW" - obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell" - # obj["Trader"] = "Serenitas_Trader" - 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" - # Temporary Static Values - obj["Account Abbreviation"] = "Serenitas-test1" - # obj["Initial Payment Currency"] = "USD" - # obj["First Payment Date"] = "2022-01-18" - # obj["Broker Id"] = "0000571T" - # obj['DTCC Ineligible'] = 'N' - obj["Master Document Date"] = "2016-02-17" - trades.append(obj) + trades = [] + obj = CDSDeal.from_tradeid(3472).to_markit() + trades.append(obj) return trades 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"): |