1 files changed, 32 insertions, 41 deletions

diff --git a/python/notify_bowdst.py b/python/notify_bowdst.py
index 782dc629..e51ea094 100644
--- a/python/notify_bowdst.py
+++ b/python/notify_bowdst.py
@@ -9,14 +9,21 @@ from serenitas.utils.exchange import ExchangeMessage
 from serenitas.utils import SerenitasFileHandler
 import logging
 import argparse
+import numpy as np
 
 parser = argparse.ArgumentParser(description="determine sender destination")
 parser.add_argument("--globeop", help="send to globeop")
+parser.add_argument(
+    "--debug", "-d", action="store_true", default=False, help="log to the console"
+)
 
 args = parser.parse_args()
 
+if args.debug:
+    logging.basicConfig()
+
 logger = logging.getLogger(__name__)
-if not logger.hasHandlers():
+if not logger.handlers:
     fh = SerenitasFileHandler("mismatched_trades.log")
     logger.addHandler(fh)
 logger.setLevel(logging.WARNING)
@@ -25,77 +32,61 @@ conn = dbconn("dawndb")
 cob = (datetime.date.today() - BDay(1)).date()
 dates = pd.date_range(end=cob, periods=50)
 df = pd.concat(
-    {
-        d: pd.read_sql_query(
+    [
+        pd.read_sql_query(
             "SELECT *, notional * factor AS db_notional "
             "FROM list_cds_marks(%s, NULL, 'BOWDST')",
             conn,
             params=(d,),
+            index_col=["security_desc"],
         )
         for d in dates.date
-    }
-).droplevel(level=1)
-data = df.loc[
-    cob, ["tenor", "security_desc", "security_id", "globeop_notional", "db_notional"]
-]
-inaccurate_balances = data[
-    round(data["db_notional"], 2) != round(data["globeop_notional"], 2)
-]
+    ],
+    keys=dates,
+)
 
+mask = np.isclose(df.globeop_notional, df.db_notional, atol=1e-2, rtol=0.0)
+inaccurate_balances = df[~mask].loc[
+    pd.Timestamp(cob), ["tenor", "security_id", "globeop_notional", "db_notional"]
+]
+accurate_balances = df[mask]
 
 for row in inaccurate_balances.itertuples():
-    subject = (
-        f"ACTION REQUESTED: Missing Trades {row.security_desc} RED: {row.security_id}"
-    )
-
-    new_df = df[df["security_desc"] == row.security_desc]
+    subject = f"ACTION REQUESTED: Missing Trades {row.Index} RED: {row.security_id}"
     try:
-        data = (
-            new_df[
-                round(new_df["globeop_notional"], 2) == round(new_df["db_notional"], 2)
-            ]
-            .sort_index(ascending=False)
-            .iloc[0, :]
-        )
-        security_desc = data.security_desc
-        date = data.name
-        globeop_notional = data.globeop_notional
+        last_date = accurate_balances.xs(row.Index, level="security_desc").index[-1]
+
     except IndexError:
         logger.warning(f"No matches for {row.security_desc}")
         continue
-
     buf = StringIO()
     output = pd.read_sql_query(
         "SELECT * FROM cds WHERE trade_date > %s and trade_date  <= %s "
         "AND fund = 'BOWDST' AND security_desc = %s "
         "AND orig_detach IS NULL AND orig_attach IS NULL ORDER BY trade_date DESC",
         conn,
-        params=(date, cob, security_desc),
+        params=(last_date, cob, row.Index),
     )
     if not output[output.trade_date >= cob - BDay(1)].empty:
-        print(
-            f"Mismatch balance {row.security_desc} {row.globeop_notional} :{row.db_notional} Trades Recently"
-        )
         logger.warning(
-            f"Mismatch balance {row.security_desc} {row.globeop_notional} :{row.db_notional} Trades Recently"
+            f"Mismatch balance {row.Index} {row.globeop_notional} :{row.db_notional} Trades Recently"
         )
         continue
-    output.to_csv(buf)
+    output.to_csv(buf, index=False)
     attachments = [
-        FileAttachment(name=f"{security_desc}.csv", content=buf.getvalue().encode())
+        FileAttachment(name=f"{row.Index}.csv", content=buf.getvalue().encode())
     ]
     buf.close()
     msg = (
-        f"Good morning!\n\n"
+        "Good morning!\n\n"
         f"We notice a difference in our notional ({row.db_notional:,.2f}) versus yours ({row.globeop_notional:,.2f}) "
-        f"for security {row.security_desc} RED: {row.security_id}.\n"
-        f"Our notionals last matched on {date} for ${globeop_notional:,.2f}.\n\n"
-        f"Please see attached all the trades since we last matched. Please ensure they match your data.\n\n"
-        f"Thanks for your help!\n\n"
-        f"Flint"
+        f"for security {row.Index} RED: {row.security_id}.\n"
+        f"Our notionals last matched on {last_date} for ${row.globeop_notional:,.2f}.\n\n"
+        "Please see attached all the trades since we last matched. Please ensure they match your data.\n\n"
+        "Thanks for your help!\n\n"
+        "Flint"
     )
     em = ExchangeMessage()
-
     if args.globeop:
         recipients = (
             "caagtradecapture@bnymellon.com",