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-rw-r--r--python/position_file_bowdst.py254
-rw-r--r--python/report_ops/__main__.py17
-rw-r--r--python/report_ops/misc.py5
-rw-r--r--python/report_ops/sma.py20
4 files changed, 58 insertions, 238 deletions
diff --git a/python/position_file_bowdst.py b/python/position_file_bowdst.py
index 7e2ecc07..8ee1e154 100644
--- a/python/position_file_bowdst.py
+++ b/python/position_file_bowdst.py
@@ -1,224 +1,50 @@
-import datetime
-import csv
-from io import StringIO
-from serenitas.utils.misc import rename_keys
-from serenitas.utils.remote import SftpClient
-from serenitas.utils.env import DAILY_DIR
-from pandas.tseries.offsets import MonthEnd
+from report_ops.sma import build_position_file
+import argparse
+from serenitas.utils.remote import Client
from serenitas.utils.exchange import ExchangeMessage, FileAttachment
-from csv_headers.globeop_upload import POSITION_HEADERS
-from serenitas.analytics.dates import prev_business_day
+from report_ops.misc import _recipients, _cc_recipients
-_otc_queries = {
- "Tranche": "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.*, COALESCE(nextredindexcode, security_id) AS redindexcode FROM tranche_risk_bowdst trb left join cds on trade_id=id LEFT JOIN index_version_markit ivm ON security_id=redindexcode WHERE date=%s;",
- "CDXSwaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav as nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
- "IRSwaption": "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
- "CDX": "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
-}
-
-def build_line(obj, asset_type):
- return [obj.get(h, None) for h in POSITION_HEADERS[asset_type]]
-
-
-def process_upload(positions, upload):
- attachments = []
- if upload:
- sftp = SftpClient.from_creds("hm_globeop", folder="incoming")
-
- for asset_type, trades in positions.items():
- buf = StringIO()
- csvwriter = csv.writer(buf)
- csvwriter.writerow(POSITION_HEADERS[asset_type])
- csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
- buf = buf.getvalue().encode()
- timestamp = datetime.datetime.now()
- fname = f"HEDGEMARK.POSITION.BOS_PAT_BOWDOIN.{timestamp:%Y%m%d.%H%M%S}.{asset_type.capitalize()}Deal.PositionsAsOf{args.date}.csv"
- if upload:
- sftp.put(buf, fname)
- base_dir = DAILY_DIR / f"{timestamp:%Y-%m-%d}"
- base_dir.mkdir(exist_ok=True, parents=True)
- dest = base_dir / fname
- dest.write_bytes(buf)
- attachments.append(FileAttachment(name=fname, content=buf))
+def main(cob, fund, upload):
+ buf, dest = build_position_file(
+ cob, fund, ["bond", "future", "tranche", "irswaption", "cdxswaption"]
+ )
if upload:
+ client = Client.from_creds("hm_globeop")
+ cls.client.put(buf, dest.name)
em = ExchangeMessage()
- recipients = (
- "hm-operations@bnymellon.com",
- "hedgemark.lmcg.ops@sscinc.com",
- "Hedgemark.OTC@sscinc.com",
- "catherine.porter@bnymellon.com",
- "shkumar@sscinc.com",
- )
- cc_recipients = ("bowdoin-ops@lmcg.com",)
- subject = f"Position_files for Bowdoin Street as of {args.date}"
- body = f"Please see monthend positions for Bowdoin Street as of {args.date}. They have been uploaded to the SFTP as well."
em.send_email(
- subject, body, recipients, cc_recipients=cc_recipients, attach=attachments
+ subject=f"Position_files for Bowdoin Street as of {cob}",
+ body=f"Please see monthend positions for Bowdoin Street as of {cob}. They have been uploaded to the SFTP as well.",
+ recipients=_recipients[fund],
+ cc_recipients=_cc_recipients[fund],
+ reply_to=_cc_recipients[fund],
+ attach=[FileAttachment(name=dest.name, content=buf)],
)
-def positions_bond(conn, date):
- with conn.cursor() as c:
- c.execute("SELECT * FROM risk_positions(%s, null, 'BOWDST') ", (date,))
- for row in c:
- obj = row._asdict()
- rename_keys(
- obj,
- {
- "identifier": "CUSIP",
- "description": "SecurityDescription",
- "notional": "Position",
- "price": "MarketPrice",
- "local_market_value": "Local Market Value",
- "usd_market_value": "Base Market Value",
- },
- )
- try:
- obj["Fx Rate"] = obj["Local Market Value"] / obj["Base Market Value"]
- except ZeroDivisionError:
- obj["Fx Rate"] = 1
- obj["AccountNumber"] = "319478"
- obj["Prime Broker"] = "BONY"
- obj["COB Date"] = date
- obj["Currency"] = "USD"
- obj["SecurityType"] = "Bond"
- obj["CurrentFace"] = obj["Position"] * obj["factor"]
- yield obj
-
-
-def positions_future(conn, date):
- with conn.cursor() as c:
- c.execute(
- "WITH tmp AS (SELECT bbg_ticker, fund, security_desc, currency, maturity, sum(quantity * (2*buysell::int-1)) OVER (PARTITION BY bbg_ticker, fund, security_desc, currency, maturity) notional FROM futures "
- "WHERE fund='BOWDST' AND trade_date <= %s) "
- "SELECT bbg_ticker, notional, code AS cp_code, cash_account, security_desc, currency, maturity FROM tmp LEFT JOIN accounts USING (fund) WHERE tmp.notional != 0 AND account_type='Future';",
- (date,),
- )
- for row in c:
- obj = row._asdict()
- rename_keys(
- obj,
- {
- "bbg_ticker": "BBGTicker",
- "notional": "Quantity",
- "cp_code": "Prime Broker",
- "cash_account": "AccountNumber",
- "security_desc": "SecurityDescription",
- "currency": "Currency",
- "maturity": "MaturityDate",
- },
- )
- obj["COB Date"] = date
- obj["SecurityType"] = "Futures"
- yield obj
-
-
-def _otc_serialize(obj, product_type, date):
- rename_keys(
- obj,
- {
- "dealid": "Unique Deal ID",
- "cp_code": "Counterparty",
- "currency": "DealCurrencyA",
- "active_notional": "NotionalA",
- "fixed_rate": "FixedRate",
- "trade_date": "Start Date",
- "effective_date": "EffectiveDate",
- "maturity": "Maturity Date",
- "security_id": "Underlying (ISIN / CUSP / RED CODES)",
- "security_desc": "Underlying Desc",
- "mtm": "MTM Valuation",
- "strike": "Strike",
- "annexdate": "EffectiveDate",
- "expiration_date": "Underlying Maturity",
- "nav": "MTM Valuation",
- },
- )
- data = {
- "Client Name": "HEDGEMARK",
- "Fund Name": "BOS_PAT_BOWDOIN",
- "Product Type": "Credit Index Tranche",
- "MTM Currency": "USD",
- "COB Date": date,
- }
- obj.update(data)
- if product_type == "Tranche":
- obj["Underlying (ISIN / CUSP / RED CODES)"] = obj["redindexcode"]
- obj["Product Type"] = "Credit Index Tranche"
- obj["TransactionIndicator (Buy/Sell)"] = (
- "B" if obj["protection"] == "Buyer" else "S"
- )
- elif product_type in ("CDXSwaption", "IRSwaption"):
- obj["Product Type"] = (
- "CD Swaption" if product_type == "CDXSwaption" else "Swaption"
- )
- obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
- obj["PutCall Indicator (Call/Put)"] = (
- "P" if obj["option_type"] == "PAYER" else "C"
- )
- obj["Exercise Type"] = "European"
- elif product_type == "CDX":
- obj["Product Type"] = "Credit Index"
- obj["Counterparty"] = "GS"
- obj["Unique Deal ID"] = obj[
- "Underlying (ISIN / CUSP / RED CODES)"
- ] # Different from rest, we will override
- obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["notional"] > 0 else "S"
- obj["DealCurrencyA"] = "EUR" if obj["index"] in ("EU", "XO") else "USD"
- obj["NotionalA"] = abs(obj["notional"]) * obj["factor"]
- obj["Start Date"] = date
- obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
- obj["Clearing House Name"] = "ICE"
- obj["FixedRate"] = obj["coupon"] * 100
- obj["Effective Date"] = obj["effectivedate"]
- return obj
-
-
-def positions_otc(conn, date):
- with conn.cursor() as c:
- for product_type, sql_query in _otc_queries.items():
- c.execute(sql_query, (date,))
- for row in c:
- yield _otc_serialize(row._asdict(), product_type, date)
-
-
-if __name__ == "__main__":
- import argparse
- from serenitas.utils.db import dbconn
-
- parser = argparse.ArgumentParser(
- description="Generate position files for Bowdoin Street"
- )
- parser.add_argument(
- "date",
- nargs="?",
- type=datetime.date.fromisoformat,
- default=prev_business_day((datetime.date.today().replace(day=1))),
- )
- parser.add_argument(
- "--product",
- nargs="+",
- choices=["bond", "future", "otc"],
- default=["bond", "future", "otc"],
- help="list of products to generate position files for",
- )
- parser.add_argument(
- "--no-upload",
- "-n",
- action="store_true",
- default=False,
- help="uploads to globeop",
- )
- args = parser.parse_args()
- conn = dbconn("dawndb")
- positions = {
- p: list(globals()[f"positions_{p}"](conn, args.date)) for p in args.product
- }
- if (
- not prev_business_day(datetime.date.today()) == args.date and not args.no_upload
- ): # We only want to upload if the previous business day was monthend
- pass
- else:
- process_upload(positions, not args.no_upload)
+parser = argparse.ArgumentParser(
+ description="Generate position files for Bowdoin Street"
+)
+parser.add_argument(
+ "date",
+ nargs="?",
+ type=datetime.date.fromisoformat,
+ default=prev_business_day((datetime.date.today().replace(day=1))),
+)
+parser.add_argument(
+ "--no-upload",
+ "-n",
+ action="store_true",
+ default=False,
+ help="uploads to globeop",
+)
+args = parser.parse_args()
+conn = dbconn("dawndb")
+if (
+ not prev_business_day(datetime.date.today()) == args.date and not args.no_upload
+): # We only want to upload if the previous business day was monthend
+ pass
+else:
+ main(args.date, "BOWDST", not args.no_upload)
diff --git a/python/report_ops/__main__.py b/python/report_ops/__main__.py
index 9b7af168..fb01e86d 100644
--- a/python/report_ops/__main__.py
+++ b/python/report_ops/__main__.py
@@ -19,6 +19,7 @@ from .cash import NTCashReport, UMBCashReport, BNYCashReport
from .admin import AccruedReport, AllReport
from .wires import BowdstWire, NTWire
from .custodians import upload_to_custodian
+from serenitas.utils.remote import Client
logger = logging.getLogger(__name__)
@@ -117,19 +118,3 @@ if args.send_to_custodians:
upload_to_custodian(account, args.date, conn, not args.no_upload, em)
except ValueError as e:
logger.info(e)
-
-if args.send_positions:
- conn = dbconn("dawndb")
- for fund in ("ISOSEL", "BOWDST"):
- for position_report in (
- BondPosition,
- FuturePosition,
- TranchePosition,
- CDXPosition,
- IRSwaptionPosition,
- CDXSwaptionPosition,
- ):
- for position in position_report.gen_positions(cob, fund):
- PositionReport.staging_queue.append(position.serialize("position"))
- PositionReport.build_buffer(cob, fund, not args.no_upload)
- PositionReport.staging_queue.clear()
diff --git a/python/report_ops/misc.py b/python/report_ops/misc.py
index 76ec9cbb..da7d61ac 100644
--- a/python/report_ops/misc.py
+++ b/python/report_ops/misc.py
@@ -12,6 +12,7 @@ _recipients = {
"mbisoye@sscinc.com",
"hedgemark.lmcg.ops@sscinc.com",
"hm-operations@bnymellon.com",
+ "Hedgemark.OTC@sscinc.com",
),
"SERCGMAST": (
"SERENITAS.FA@sscinc.com",
@@ -48,7 +49,9 @@ _cc_recipients = {
}
-def get_dir(workdate: datetime.date, archived=True) -> pathlib.Path:
+def get_dir(
+ workdate: datetime.date = datetime.date.today(), archived=True
+) -> pathlib.Path:
p = DAILY_DIR / str(workdate) / "Reports"
if not p.exists() and archived:
p = (
diff --git a/python/report_ops/sma.py b/python/report_ops/sma.py
index 0d7fea61..24e01a76 100644
--- a/python/report_ops/sma.py
+++ b/python/report_ops/sma.py
@@ -4,7 +4,7 @@ from serenitas.utils.db import dbconn
from serenitas.utils.exchange import ExchangeMessage
from serenitas.utils.misc import rename_keys
from serenitas.ops.trade_dataclasses import Deal
-from .misc import _sma_recipients, _cc_recipients
+from .misc import _sma_recipients, _cc_recipients, get_dir
from exchangelib import FileAttachment
import pandas as pd
from io import StringIO
@@ -15,6 +15,15 @@ import csv
from serenitas.utils.env import DAILY_DIR
+def build_position_file(cob, fund, asset_classes: list):
+ for asset_class in asset_classes:
+ for position in PositionReport[asset_class].gen_positions(cob, fund):
+ PositionReport.staging_queue.append(position.serialize("position"))
+ buf, dest = PositionReport.build_buffer(cob, fund)
+ PositionReport.staging_queue.clear()
+ return buf, dest
+
+
@dataclass
class SMA:
date: datetime.date
@@ -104,11 +113,7 @@ def get_path(cob, fund):
filepath_pattern = "Innocap_{fund}_positions_{cob:%Y%m%d}.csv"
case _:
filepath_pattern = "{fund}_positions_{cob:%Y%m%d}.csv"
- return (
- DAILY_DIR
- / str(datetime.date.today())
- / filepath_pattern.format(fund=fund, cob=cob)
- )
+ return get_dir() / filepath_pattern.format(fund=fund, cob=cob)
@dataclass
@@ -157,6 +162,7 @@ class PositionReport(Deal, deal_type=None, table_name=None):
def __init_subclass__(cls, asset_class, **kwargs):
cls.asset_class = asset_class
cls._query = _sql_query[asset_class]
+ cls._registry[asset_class] = cls
@classmethod
def gen_positions(cls, cob, fund):
@@ -167,7 +173,7 @@ class PositionReport(Deal, deal_type=None, table_name=None):
yield cls.from_query(row._asdict(), cob, fund)
@classmethod
- def build_buffer(cls, cob, fund, upload=False):
+ def build_buffer(cls, cob, fund):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(POSITION_HEADERS)
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-24 14:42:24 +0000