diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/bbg_helpers.py | 12 | ||||
| -rw-r--r-- | python/bbg_prices.py | 4 | ||||
| -rw-r--r-- | python/position.py | 10 | ||||
| -rw-r--r-- | python/process_queue.py | 6 |
4 files changed, 16 insertions, 16 deletions
diff --git a/python/bbg_helpers.py b/python/bbg_helpers.py index 5c2cd4b5..a2ae0f29 100644 --- a/python/bbg_helpers.py +++ b/python/bbg_helpers.py @@ -79,7 +79,7 @@ def process_reference_msg(msg): data[securityName] = row return data -def retreive_data(session, securities, fields, overrides={}, +def retrieve_data(session, securities, fields, overrides={}, start_date=None, end_date=None): refDataService = session.getService("//blp/refdata") if start_date: @@ -106,13 +106,13 @@ def retreive_data(session, securities, fields, overrides={}, return data if __name__=="__main__": - testdate = pd.datetime(2015, 1, 1) + testdate = pd.datetime(2013, 1, 1) hist_securities = ['CADUSD Curncy', "EURUSD Curncy"] hist_fields = ['PX_LAST'] - securities = ['38145BAA9 Mtge', '75157EAE2 Mtge'] + securities = ['38145BAA9 Mtge', '75157EAE2 Mtge', 'XS0295516776 Mtge'] fields = ['CUR_CPN', 'START_ACC_DT'] with init_bbg_session('192.168.0.4', 8194) as session: - hist_data = retreive_data(session, hist_securities, hist_fields, start_date=testdate) + hist_data = retrieve_data(session, hist_securities, hist_fields, start_date=testdate) overrides={'SETTLE_DT': testdate} - ref_data = retreive_data(session, securities, fields, overrides=overrides) - struct_data = retreive_data(session, securities, ["HIST_CASH_FLOW"]) + ref_data = retrieve_data(session, securities, fields, overrides=overrides) + struct_data = retrieve_data(session, securities, ["HIST_CASH_FLOW"]) diff --git a/python/bbg_prices.py b/python/bbg_prices.py index 2c272c91..5cf37aa6 100644 --- a/python/bbg_prices.py +++ b/python/bbg_prices.py @@ -1,4 +1,4 @@ -from bbg_helpers import init_bbg_session, retreive_data, process_msgs +from bbg_helpers import init_bbg_session, retrieve_data, process_msgs from sqlalchemy import create_engine import numpy as np import pandas as pd @@ -17,7 +17,7 @@ cusips = pd.read_sql_query("select id_bb_unique, substring(id_bb_unique from 3) securities = ["{0} Corp".format(cusip) for cusip in cusips.index] with init_bbg_session('192.168.0.4', 8194) as session: - data = retreive_data(session, securities, fields_update) + data = retrieve_data(session, securities, fields_update) df = process_msgs(data) df.security = df.security.str.slice(0,9) diff --git a/python/position.py b/python/position.py index ff0a7fc3..445cfee1 100644 --- a/python/position.py +++ b/python/position.py @@ -1,4 +1,4 @@ -from bbg_helpers import init_bbg_session, retreive_data +from bbg_helpers import init_bbg_session, retrieve_data import pandas as pd from sqlalchemy import create_engine from pandas.tseries.offsets import BDay @@ -38,14 +38,14 @@ def update_securities(session, fields): securities = pd.read_sql_table("securities", engine) securities['bbg_id'] = securities.cusip.where(securities.cusip.notnull(), securities['isin']) + \ ' ' + securities.bbg_type - data = retreive_data(session, securities.bbg_id.tolist(), fields) + data = retrieve_data(session, securities.bbg_id.tolist(), fields) df = pd.DataFrame.from_dict(data, orient='index') return securities.merge(df, left_on='bbg_id', right_index=True) def init_fx(session, startdate): currencies = ['EURUSD', 'CADUSD'] securities = [c + ' Curncy' for c in currencies] - data = retreive_data(session, securities, ['PX_LAST'], start_date=startdate) + data = retrieve_data(session, securities, ['PX_LAST'], start_date=startdate) data = data['CADUSD Curncy'].merge(data['CADUSD Curncy'], left_on='date', right_on='date') data.rename(columns={'PX_LAST_x': 'eurusd', 'PX_LAST_y': 'cadusd'}, inplace=True) @@ -53,7 +53,7 @@ def init_fx(session, startdate): def update_fx(session, conn, currencies): securities = [c + ' Curncy' for c in currencies] - data = retreive_data(session, securities, ['FIXED_CLOSING_PRICE_NY']) + data = retrieve_data(session, securities, ['FIXED_CLOSING_PRICE_NY']) colnames = ['date'] values = [pd.datetime.today()] for k, v in data.items(): @@ -71,7 +71,7 @@ def populate_cashflow_history(session, conn, workdate): securities['bbg_id'] = securities.cusip.where(securities.cusip.notnull(), securities['isin']) + \ ' ' + securities.bbg_type securities.set_index('bbg_id', inplace=True) - data = retreive_data(session, securities.index.tolist(), ['HIST_CASH_FLOW']) + data = retrieve_data(session, securities.index.tolist(), ['HIST_CASH_FLOW']) for k, v in data.items(): to_insert = v.get('HIST_CASH_FLOW') if to_insert is not None: diff --git a/python/process_queue.py b/python/process_queue.py index 4b083df5..4a387aa8 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -13,7 +13,7 @@ from ftplib import FTP import config import os from sqlalchemy import create_engine -from bbg_helpers import init_bbg_session, retreive_data +from bbg_helpers import init_bbg_session, retrieve_data import re def decode_dict(d): @@ -63,11 +63,11 @@ def bbg_process(cursor, session, trade): bbg_id = (trade['cusip'] or trade['isin']) + ' Mtge' bbg_type = 'Mtge' - data = retreive_data(session, [bbg_id], fields, overrides={'SETTLE_DT': trade['settle_date']}) + data = retrieve_data(session, [bbg_id], fields, overrides={'SETTLE_DT': trade['settle_date']}) if not data[bbg_id]: bbg_id = (trade['cusip'] or trade['isin']) + ' Corp' bbg_type = 'Corp' - data = retreive_data(session, [bbg_id], fields, overrides={'SETTLE_DT': trade['settle_date']}) + data = retrieve_data(session, [bbg_id], fields, overrides={'SETTLE_DT': trade['settle_date']}) bbg_data = data[bbg_id] if bbg_data.get('MTG_FACTOR_SET_DT', 0) == 0: |