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-rw-r--r--python/Dawn/__init__.py2
-rw-r--r--python/Dawn/models.py33
-rw-r--r--python/Dawn/templates/base.html16
-rw-r--r--python/Dawn/templates/future_blotter.html40
-rw-r--r--python/Dawn/views.py31
5 files changed, 108 insertions, 14 deletions
diff --git a/python/Dawn/__init__.py b/python/Dawn/__init__.py
index a88b0301..87be366c 100644
--- a/python/Dawn/__init__.py
+++ b/python/Dawn/__init__.py
@@ -5,7 +5,7 @@ from sqlalchemy import MetaData
app = Flask(__name__)
app.config.from_envvar('CONF')
-db = SQLAlchemy(app, metadata = MetaData(schema=app.config['SCHEMA']))
+db = SQLAlchemy(app, metadata=MetaData(schema=app.config['SCHEMA']))
if not app.debug:
fh = logging.FileHandler(filename=app.config['LOGFILE'])
diff --git a/python/Dawn/models.py b/python/Dawn/models.py
index bb4ff002..4bda22d7 100644
--- a/python/Dawn/models.py
+++ b/python/Dawn/models.py
@@ -42,10 +42,15 @@ CDS_STRAT = ENUM('HEDGE_CSO', 'HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS',
SWAPTION_STRAT = ENUM('IGPAYER', 'IGREC', 'HYPAYER', 'HYREC',
name='swaption_strat')
+FUTURE_STRAT = ENUM('M_STR_MAV', 'M_MTG_IO', 'M_STR_MEZZ', 'M_MTG_RW', 'SER_ITRXCURVE',
+ name='future_strat')
+
SWAPTION_TYPE = ENUM('PAYER', 'RECEIVER',
name='swaption_type')
REPO_TYPE = ENUM('REPO', 'REVERSE REPO', name='repo_type')
+FUTURE_TYPE = ENUM('FUTURE', 'CFD', 'SYNTHETIC-FUTURE', 'LME-FORWARD', name='future_type')
+
CALL_NOTICE = ENUM('24H', '48H', '3D', '4D', '5D', '6D',
'1W', '8D', '9D', '10D', '2W', '1M', '2M', name='call_notice')
@@ -208,6 +213,34 @@ class SwaptionDeal(db.Model):
currency = db.Column(CCY, nullable=False)
counterparty = db.relationship(Counterparties)
+class FutureDeal(db.Model):
+ __tablename__ = 'futures'
+ id = db.Column('id', db.Integer, primary_key=True)
+ dealid = db.Column(db.String(28))
+ lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
+ action = db.Column(ACTION)
+ folder = db.Column(FUTURE_STRAT, nullable=False)
+ custodian = db.Column(db.String(12), default='INTBR', nullable=False)
+ cashaccount = db.Column(db.String(10), default='IANSCLMAFU', nullable=False)
+ cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
+ info={'choices': [('IBKRNY', 'Interactive Brokers')],
+ 'label': 'counterparty'}, nullable=False)
+ trade_date = db.Column(db.Date, nullable=False)
+ settle_date = db.Column(db.Date, nullable=False)
+ buysell = db.Column(db.Boolean, nullable=False, info={'choices':[(0, 'sell'), (1, 'buy')],
+ 'coerce': lambda x: bool(int(x)) \
+ if x is not None else x})
+ bbg_ticker = db.Column(db.String(32), nullable=False)
+ quantity = db.Column(db.Float, nullable=False)
+ price = db.Column(db.Float, nullable=False)
+ commission = db.Column(db.Float)
+ swap_type = db.Column(FUTURE_TYPE, nullable=False)
+ security_desc = db.Column(db.String(32), nullable=False)
+ maturity = db.Column(db.Date, nullable=False)
+ currency = db.Column(CCY, nullable=False)
+ exchange = db.Column(db.String(3), default='CME', nullable=False)
+ counterparty = db.relationship(Counterparties)
+
BaseModelForm = model_form_factory(FlaskForm)
class ModelForm(BaseModelForm):
@classmethod
diff --git a/python/Dawn/templates/base.html b/python/Dawn/templates/base.html
index fea79a92..a17f98d3 100644
--- a/python/Dawn/templates/base.html
+++ b/python/Dawn/templates/base.html
@@ -24,9 +24,10 @@
aria-expanded="false">Blotter <span class="caret"></span>
</a>
<ul class="dropdown-menu">
- <li><a href="{{url_for('list_trades', kind = 'bond')}}">Bonds</a></li>
- <li><a href="{{url_for('list_trades', kind = 'cds')}}">CDS</a></li>
- <li><a href="{{url_for('list_trades', kind = 'swaption')}}">Swaptions</a></li>
+ <li><a href="{{url_for('list_trades', kind='bond')}}">Bonds</a></li>
+ <li><a href="{{url_for('list_trades', kind='cds')}}">CDS</a></li>
+ <li><a href="{{url_for('list_trades', kind='swaption')}}">Swaptions</a></li>
+ <li><a href="{{url_for('list_trades', kind='future')}}">Futures</a></li>
</ul>
</li>
<li class="dropdown">
@@ -37,9 +38,10 @@
aria-expanded="false">Book <span class="caret"></span>
</a>
<ul class="dropdown-menu">
- <li><a href="{{url_for('trade_manage', kind = 'bond')}}">Bonds</a></li>
- <li><a href="{{url_for('trade_manage', kind = 'cds')}}">CDS</a></li>
- <li><a href="{{url_for('trade_manage', kind = 'swaption')}}">Swaptions</a></li>
+ <li><a href="{{url_for('trade_manage', kind='bond')}}">Bonds</a></li>
+ <li><a href="{{url_for('trade_manage', kind='cds')}}">CDS</a></li>
+ <li><a href="{{url_for('trade_manage', kind='swaption')}}">Swaptions</a></li>
+ <li><a href="{{url_for('trade_manage', kind='future')}}">Futures</a></li>
</ul>
</li>
<li class="dropdown">
@@ -51,7 +53,7 @@
</a>
<ul class="dropdown-menu">
<li><a href="../counterparties">List</a></li>
- <li><a href="{{url_for('edit_counterparty', cpcode= None)}}">New</a></li>
+ <li><a href="{{url_for('edit_counterparty', cpcode=None)}}">New</a></li>
</ul>
</li>
</ul>
diff --git a/python/Dawn/templates/future_blotter.html b/python/Dawn/templates/future_blotter.html
new file mode 100644
index 00000000..a436651a
--- /dev/null
+++ b/python/Dawn/templates/future_blotter.html
@@ -0,0 +1,40 @@
+{% extends "base.html" %}
+{% block content %}
+<table class="table table-striped">
+ <thead>
+ <tr>
+ <td>Deal ID</td>
+ <td>Trade Date</td>
+ <td>Settle Date</td>
+ <td>Buy/Sell</td>
+ <td>Quantity</td>
+ <td>Type</td>
+ <td>Maturity</td>
+ <td>Price</td>
+ <td>Commission</td>
+ <td>Description</td>
+ <td>Ticker</td>
+ <td>Counterparty</td>
+ <td>Strategy</td>
+ </tr>
+ </thead>
+ {% for trade in trades %}
+ <tr>
+ <td><a href="{{url_for('trade_manage', tradeid=trade.id, kind='future')}}">{{trade.dealid}}</a></td>
+ <td>{{trade.trade_date}}</td>
+ <td>{{trade.settle_date}}</td>
+ <td>{% if trade.buysell %}Buy{% else %}Sell{% endif %}</td>
+ <td>{{trade.quantity}}</td>
+ <td>{{trade.swap_type}}</td>
+ <td>{{trade.maturity}}</td>
+ <td>{{trade.price}}</td>
+ <td>{{trade.commission}}</td>
+ <td>{{trade.security_desc}}</td>
+ <td>{{trade.bbg_ticker}}</td>
+ <td><a href="{{url_for('edit_counterparty',
+ cpcode=trade.counterparty.code)}}">{{trade.counterparty.name}}</a></td>
+ <td>{{trade.folder}}</td>
+ </tr>
+ {% endfor %}
+</table>
+{% endblock %}
diff --git a/python/Dawn/views.py b/python/Dawn/views.py
index d1cbee24..dc2e2c25 100644
--- a/python/Dawn/views.py
+++ b/python/Dawn/views.py
@@ -1,6 +1,6 @@
from flask import (request, render_template, redirect,
url_for, send_from_directory, send_file, g, jsonify)
-from .models import ModelForm, BondDeal, CDSDeal, SwaptionDeal, Counterparties
+from .models import ModelForm, BondDeal, CDSDeal, SwaptionDeal, FutureDeal, Counterparties
from sqlalchemy.exc import IntegrityError
from wtforms.fields import BooleanField
import pandas as pd
@@ -20,9 +20,17 @@ fed_cal = get_calendar('USFederalHolidayCalendar')
bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
bus_day = CustomBusinessDay(calendar=bond_cal())
-def cp_choices():
- return Counterparties.query.order_by('name').\
- with_entities(Counterparties.code, Counterparties.name)
+def cp_choices(kind='bond'):
+ if kind == 'bond':
+ return (Counterparties.query.order_by('name').
+ with_entities(Counterparties.code, Counterparties.name))
+ elif kind == 'future':
+ return []
+ elif kind == 'cds':
+ return (Counterparties.query.
+ order_by('name').
+ filter(Counterparties.name.ilike('%CDS%')).
+ with_entities(Counterparties.code, Counterparties.name))
def get_queue():
q = getattr(g, 'queue', None)
@@ -75,6 +83,12 @@ class SwaptionForm(ModelForm):
include_foreign_keys = True
exclude = ['dealid', 'lastupdate']
+class FutureForm(ModelForm):
+ upload_globeop = BooleanField(label="Upload to globeop?")
+ class Meta:
+ model = FutureDeal
+ include_foreign_keys = True
+ exclude = ['dealid', 'lastupdate']
def get_deal(kind):
if kind == 'cds':
@@ -83,6 +97,8 @@ def get_deal(kind):
return BondDeal
elif kind == 'swaption':
return SwaptionDeal
+ elif kind == 'future':
+ return FutureDeal
else:
raise RuntimeError('Unknown Deal type')
@@ -93,6 +109,8 @@ def _get_form(kind):
return BondForm
elif kind == 'swaption':
return SwaptionForm
+ elif kind == 'future':
+ return FutureForm
else:
raise RuntimeError('Unknown Deal type')
@@ -144,7 +162,8 @@ def save_ticket(trade, old_ticket_name):
def trade_manage(tradeid, kind):
trade = get_trade(tradeid, kind)
form = _get_form(kind)()
- form.cp_code.choices = form.cp_code.choices + list(cp_choices())
+
+ form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind))
if kind == 'bond':
old_ticket_name = trade.ticket
if form.validate_on_submit():
@@ -169,7 +188,7 @@ def trade_manage(tradeid, kind):
return redirect(url_for('list_trades', kind=kind))
else:
form = get_form(trade, kind)
- form.cp_code.choices = form.cp_code.choices + list(cp_choices())
+ form.cp_code.choices = form.cp_code.choices + list(cp_choices(kind))
return render_template('trade_entry.html', form=form,
action_url = url_for('trade_manage', tradeid=tradeid, kind=kind))
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 16:33:49 +0000