diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/book_bbg.py | 80 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 10 |
2 files changed, 42 insertions, 48 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py index 8c6173f4..d9d139a7 100644 --- a/python/book_bbg.py +++ b/python/book_bbg.py @@ -58,51 +58,47 @@ def get_indic_data(conn, redcode, tenor): def cdx_booking_process(path, conn): - with open(path) as fh: - reader = csv.DictReader(fh) - for line in reader: - tenor = line["Security"].rsplit(" ", 1)[-1].lower() + "r" - maturity, coupon = get_indic_data(conn, tenor, line["Red Code"]) - trade = CDSDeal( - fund=_funds[line["Account"]], - folder="*", - portfolio="UNALLOCATED", - security_id=line["Red Code"], - security_desc=line["Security"].removesuffix(" PRC"), - traded_level=Decimal(line["Price (Dec)"]), - notional=line["Quantity"], - fixed_rate=coupon * 0.01, - trade_date=datetime.datetime.strptime( - line["Trade Dt"], "%m/%d/%Y" - ).date(), - maturity=maturity, - currency=line["Curncy"], - protection="Buyer" if line["Side"] == "B" else "Seller", - upfront=line["Principal"], - cp_code=_cdx_cp[line["Brkr"]], - account_code=_fcms[line["Client FCM"]], - ) - trade.stage() - CDSDeal.commit() + reader = csv.DictReader(path) + for line in reader: + tenor = line["Security"].rsplit(" ", 1)[-1].lower() + "r" + maturity, coupon = get_indic_data(conn, tenor, line["Red Code"]) + trade = CDSDeal( + fund=_funds[line["Account"]], + folder="*", + portfolio="UNALLOCATED", + security_id=line["Red Code"], + security_desc=line["Security"].removesuffix(" PRC"), + traded_level=Decimal(line["Price (Dec)"]), + notional=line["Quantity"], + fixed_rate=coupon * 0.01, + trade_date=datetime.datetime.strptime(line["Trade Dt"], "%m/%d/%Y").date(), + maturity=maturity, + currency=line["Curncy"], + protection="Buyer" if line["Side"] == "B" else "Seller", + upfront=line["Principal"], + cp_code=_cdx_cp[line["Brkr"]], + account_code=_fcms[line["Client FCM"]], + ) + trade.stage() + CDSDeal.commit() def bond_booking_process(path, fname): - with open(path) as fh: - reader = csv.DictReader(fh) - for line in reader: - line["bbg_ticket_id"] = fname - trade = BondDeal.from_bbg_line(line) - trade.stage() - try: - BondDeal.insert_bbg_line(line) - except Exception as e: - pass - BondDeal._insert_queue.clear() - print("error") - else: - _cache[fname] = None - finally: - BondDeal.commit() + reader = csv.DictReader(path) + for line in reader: + line["bbg_ticket_id"] = fname + trade = BondDeal + trade.stage() + try: + BondDeal.insert_bbg_line(line) + except Exception as e: + pass + BondDeal._insert_queue.clear() + print("error") + else: + _cache[fname] = None + finally: + BondDeal.commit() def get_bbg_id(name): diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index ce7a519c..9d174782 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -273,9 +273,7 @@ class BondDeal(Deal, table_name="bonds"): self.description = line["Security"].removesuffix(" Mtge") self.buysell = line["Side"] == "B" self.bbg_ticket_id = line["bbg_ticket_id"] - - def insert_bbg_line(self, line: dict): - bond_ticket_columns = ",".join(c for c in line.keys()) - bond_place_holders = ",".join(["%s"] * len(line.keys())) - self._bbg_sql_insert = f"INSERT INTO bond_tickets({bond_ticket_columns}) VALUES({bond_place_holders})" - self._bbg_insert_queue.append(line.values()) + bbg_tickets = [self.bbg_ticket_id, *line.values()] + place_holders = ",".join(["%s"] * len(bbg_tickets)) + self._bbg_sql_insert = f"INSERT INTO bond_tickets VALUES({place_holders})" + self._bbg_insert_queue.append(bbg_tickets) |