diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/book_bbg.py | 2 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 130 |
2 files changed, 76 insertions, 56 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py index 33851193..45abe0d3 100644 --- a/python/book_bbg.py +++ b/python/book_bbg.py @@ -9,7 +9,7 @@ def get_bbg_id(s): if m := re.match("(CDX|BOND)-[^_]*_([^$]*)", s): return m.groups() if "DEAL" in s: - return "FXSWAP", s.split("_")[3] + return "FX", s.split("_")[3] def run(): diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index fbe294a9..7e91c265 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -295,7 +295,7 @@ class BbgDeal: cls._bbg_sql_insert = ( f"INSERT INTO cds_tickets VALUES({','.join(['%s'] * 22)})" ) - elif deal_type == DealType.FxSwap or deal_type == DealType.Spot: + elif deal_type in (DealType.Fx, DealType.Spot, DealType.FxSwap): cls._bbg_sql_insert = ( f"INSERT INTO fx_tickets VALUES({','.join(['%s'] * 211)})" ) @@ -696,11 +696,83 @@ class TerminationDeal( return obj +@dataclass +class SpotDeal( + BbgDeal, + Deal, + deal_type=DealType.Spot, + table_name="spots", + insert_ignore=("id", "dealid"), +): + folder: SpotStrat + portfolio: Portfolio + spot_rate: float + buy_currency: str + buy_amount: float + sell_currency: str + sell_amount: float + fund: Fund + cp_code: str + cash_account: str + commission_currency: str = "USD" + commission: float = None + id: int = field(default=None, metadata={"insert": False}) + dealid: str = field(default=None, metadata={"insert": False}) + trade_date: datetime.date = field( + default_factory=datetime.date.today(), + ) + settle_date: datetime.date = field( + default_factory=datetime.date.today(), + ) + bbg_ticket_id: str = None + + @classmethod + def from_bbg_line(cls, line: dict): + if line["Side"] == "S": + key1, key2 = "buy", "sell" + else: + key1, key2 = "sell", "buy" + + d = { + f"{key1}_currency": line["Currency 1"], + f"{key1}_amount": line["Amount Dealt"], + f"{key2}_currency": line["Currency 2"], + f"{key2}_amount": line["Counter Amount"], + } + for key in ("Comp Quote 1",): + if line[key] == "": + line[key] = None + cls._bbg_insert_queue.append(list(line.values())) + 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"), + settle_date=datetime.datetime.strptime( + line["Value Date Period 1 Currency 1"], "%Y%m%d" + ), + fund=_fx_funds[line["ALOC Account 1"]], + spot_rate=line["Exchange Rate Period 1"], + cash_account=_fx_accounts[line["ALOC Account 1"]], + bbg_ticket_id=line["bbg_ticket_id"], + **d, + ) + + _fx_cp = {"BAST": "BAMSNY", "MSST": "MSCSNY"} _fx_funds = {"serenitas": "SERCGMAST", "bowdst": "BOWDST"} _fx_accounts = {"serenitas": "V0NSCLMAMB", "bowdst": "751254"} +class FxDeal(BbgDeal, Deal, table_name=None, deal_type=DealType.Fx): + @classmethod + def from_bbg_line(cls, line: dict): + if line["Deal Type"] == "4": + return SpotDeal.from_bbg_line(line) + else: + return FxSwapDeal.from_bbg_line(line) + + @dataclass class FxSwapDeal( BbgDeal, @@ -729,6 +801,7 @@ class FxSwapDeal( cash_account: str id: int = field(default=None, metadata={"insert": False}) dealid: str = field(default=None, metadata={"insert": False}) + bbg_ticket_id: str = None @classmethod def from_bbg_line(cls, line: dict): @@ -766,59 +839,6 @@ class FxSwapDeal( near_rate=line["Exchange Rate Period 1"], far_rate=line["Exchange Rate Period 2"], cash_account=_fx_accounts[line["ALOC Account 1"]], - **d, - ) - - -@dataclass -class SpotDeal( - BbgDeal, - Deal, - deal_type=DealType.Spot, - table_name="spots", - insert_ignore=("id", "dealid"), -): - folder: str - trade_date: datetime.date - settle_date: datetime.date - spot_rate: float - buy_currency: str - buy_amount: float - sell_currency: str - sell_amount: float - fund: str - cp_code: str - cash_account: str - portfolio: str - action: str = field(default="NEW") - commission_currency: str = field(default="USD") - 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": - key1, key2 = "sell", "buy" - else: - key1, key2 = "buy", "sell" - - d = { - f"{key1}_currency": line["Currency 1"], - f"{key1}_amount": line["Amount Dealt"], - f"{key2}_currency": line["Currency 2"], - f"{key2}_amount": line["Counter Amount"], - } - cls._bbg_insert_queue.append(list(line.values())) - 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"), - settle_date=datetime.datetime.strptime( - line["Value Date Period 1 Currency 1"], "%Y%m%d" - ), - fund=_fx_funds[line["ALOC Account 1"]], - spot_rate=line["Spot Basis Rate"], - cash_account=_fx_accounts[line["ALOC Account 1"]], + bbg_ticket_id=line["bbg_ticket_id"], **d, ) |