diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 55 |
1 files changed, 50 insertions, 5 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index e764ec85..5f4a2eb3 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -1,14 +1,18 @@ from dataclasses import dataclass, field, fields, Field +from enum import Enum +from io import StringIO +from headers import DealType, MTM_HEADERS from typing import ClassVar from decimal import Decimal from typing import Literal import csv import datetime -from enum import Enum from psycopg.types.numeric import Int2BinaryDumper from psycopg import adapters from serenitas.analytics.dates import next_business_day, previous_twentieth from serenitas.utils.db2 import dbconn +from serenitas.utils.env import DAILY_DIR +from serenitas.utils.remote import SftpClient from lru import LRU from psycopg.errors import UniqueViolation import logging @@ -225,13 +229,13 @@ class Deal: cls._table_name = table_name insert_columns = [c for c in cls.__annotations__ if c not in insert_ignore] place_holders = ",".join(["%s"] * len(insert_columns)) - select_columns = [ - c for c in cls.__annotations__ if is_default_init_field(cls, c) - ] + cls._sql_fields = set( + [c for c in cls.__annotations__ if is_default_init_field(cls, c)] + ) cls._sql_insert = f"INSERT INTO {table_name}({','.join(insert_columns)}) VALUES({place_holders})" cls._sql_select = ( - f"SELECT {','.join(select_columns)} FROM {table_name} WHERE id=%s" + f"SELECT {','.join(cls._sql_fields)} FROM {table_name} WHERE id=%s" ) def stage(self): @@ -303,9 +307,49 @@ class BbgDeal: cls.commit() +class MTMDeal: + _mtm_queue: ClassVar[list] = [] + _mtm_headers = None + _sftp = SftpClient.from_creds("mtm") + product_type: str + + def __init_subclass__(cls, deal_type, **kwargs): + super().__init_subclass__(deal_type, **kwargs) + cls._mtm_headers = MTM_HEADERS[deal_type] + if deal_type == DealType.Swaption: + cls.product_type = "CDISW" + elif deal_type == DealType.CDS: + cls.product_type = "TRN" + + @classmethod + def mtm_upload(cls): + if not cls._mtm_queue: # early exit + return + buf = StringIO() + csvwriter = csv.writer(buf) + csvwriter.writerow(cls._mtm_headers) + csvwriter.writerows( + [row.get(h, None) for h in cls._mtm_headers for row in cls._mtm_queue] + ) + buf = buf.getvalue().encode() + fname = f"MTM.{datetime.datetime.now():%Y%m%d.%H%M%S}.{cls.product_type.capitalize()}.csv" + cls._sftp.put(buf, fname) + dest = DAILY_DIR / str(datetime.date.today()) / fname + dest.write_bytes(buf) + cls._mtm_queue.clear() + + def mtm_stage(self): + self._mtm_queue.append(self.to_markit()) + + @classmethod + def from_dict(cls, **kwargs): + return cls(**{k: v for k, v in kwargs.items() if k in cls._sql_fields}) + + @dataclass class CDSDeal( BbgDeal, + MTMDeal, Deal, deal_type=DealType.CDS, table_name="cds", @@ -456,6 +500,7 @@ class BondDeal(BbgDeal, Deal, deal_type=DealType.Bond, table_name="bonds"): @dataclass class SwaptionDeal( + MTMDeal, Deal, deal_type=DealType.Swaption, table_name="swaptions", |