1 files changed, 53 insertions, 0 deletions
diff --git a/python/parse_citi_pdf.py b/python/parse_citi_pdf.py
new file mode 100644
index 00000000..ccbcd56b
--- /dev/null
+++ b/python/parse_citi_pdf.py
@@ -0,0 +1,53 @@
+import pandas as pd
+import subprocess
+from bs4 import BeautifulSoup
+from pathlib import Path
+
+def load_pdf(file_path):
+    proc = subprocess.run(["pdftohtml", "-xml", "-stdout", "-i",
+                           file_path.as_posix()],
+                          capture_output=True)
+    soup = BeautifulSoup(proc.stdout, features="lxml")
+    l = soup.findAll("text")
+    l = sorted(l, key=lambda x: (int(x["top"]), int(x["left"])))
+    return l
+
+def get_col(l, top, bottom, left, right):
+    return [c.text for c in l if int(c["left"]) >= left and \
+            int(c["left"]) < right and \
+            int(c["top"]) >= top and int(c["top"]) < bottom ]
+
+def parse_num(s):
+    s = s.replace(",", "")
+    if s[0] == "(":
+        return -float(s[1:-1])
+    else:
+        return float(s)
+
+def get_df(l, col1, col2, col3):
+    df = pd.DataFrame({"amount": get_col(l, *col2),
+                  "currency": get_col(l, *col3)},
+                      index=get_col(l, *col1))
+    df.amount = df.amount.apply(parse_num)
+    df.index = df.index.str.lstrip()
+    return df
+
+def get_citi_collateral(d):
+    try:
+        fname = next((DAILY_DIR / "CITI_reports").
+                     glob("262966_MarginNotice_*_.pdf"))
+    except StopIteration:
+        raise FileNotFoundError(f"CITI file not found for date {d}")
+    l = load_pdf(fname)
+    col1 = (370, 500, 70, 100)
+    col2 = (370, 500, 100, 500)
+    col3 = (370, 500, 500, 600)
+
+    variation_margin = get_df(l, col1, col2, col3)
+
+    col1 = (650, 800, 70, 100)
+    col2 = (650, 800, 100, 500)
+    col3 = (650, 800, 500, 600)
+    initial_margin = get_df(l, col1, col2, col3)
+    return variation_margin.loc["VM Total Collateral", "amount"] + \
+        initial_margin.loc["Non Reg IM Total Collateral", "amount"]