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-rw-r--r--python/book_bbg.py2
-rw-r--r--python/db_csvheader.py21
-rw-r--r--python/headers/bond_upload.py163
-rw-r--r--python/headers/globeop_upload.py269
-rw-r--r--python/headers/mtm_upload.py201
-rw-r--r--python/markit_tranche_quotes.py6
-rw-r--r--python/position.py6
-rw-r--r--python/trade_dataclasses.py19
8 files changed, 665 insertions, 22 deletions
diff --git a/python/book_bbg.py b/python/book_bbg.py
index 0de463d1..786631ed 100644
--- a/python/book_bbg.py
+++ b/python/book_bbg.py
@@ -10,7 +10,7 @@ logger = logging.getLogger(__name__)
def get_bbg_id(s):
- if m := re.match("(CDX|BOND)-[^_]*_([^$]*)", s):
+ if m := re.match("(CDX|BOND)(?:BLOCK)-[^_]*_([^$]*)", s):
return m.groups()
if "DEAL" in s:
return "FX", s.split("_")[3]
diff --git a/python/db_csvheader.py b/python/db_csvheader.py
index 4f286584..6b9d4f66 100644
--- a/python/db_csvheader.py
+++ b/python/db_csvheader.py
@@ -11,17 +11,16 @@ if __name__ == "__main__":
)
args = parser.parse_args()
conn = dbconn("dawndb")
- with open(f"/home/serenitas/flint/{args.fname}.csv") as csvfile:
+ file_name, header_name = args.fname.split(".")
+ with open(f"/home/serenitas/flint/{header_name}.csv") as csvfile:
csvreader = csv.reader(csvfile)
for row in csvreader:
- sql_str = "INSERT INTO csv_templates values (%s, %s) ON CONFLICT DO NOTHING"
- with conn.cursor() as c:
- c.execute(sql_str, (args.fname, row))
- c.execute(
- "SELECT headers FROM csv_templates where template_name=%s",
- (args.fname,),
- )
- for row in c:
- print(row.headers)
- conn.commit()
+ row = [header.replace("\n", "") for header in row]
+ try:
+ with open(f"headers/{file_name}.py", "a") as template_file:
+ template_file.write(f"\n{header_name}={row}")
+ except:
+ with open(f"headers/{file_name}.py", "w") as template_file:
+ template_file.write(f"{header_name}={row}")
+ csvfile.close()
break
diff --git a/python/headers/bond_upload.py b/python/headers/bond_upload.py
new file mode 100644
index 00000000..c6ca15f1
--- /dev/null
+++ b/python/headers/bond_upload.py
@@ -0,0 +1,163 @@
+bbh_bonds = [
+ "Function of Instruction",
+ "Client Reference Number",
+ "Previous Reference Number",
+ "Account Number",
+ "Transaction Type",
+ "Place of Settlement/Country",
+ "Place of Safekeeping",
+ "Trade Date",
+ "Settlement Date",
+ "Security ID",
+ "Security Description",
+ "Unit / Original Face Amount",
+ "Currency",
+ "Unit Price Amount",
+ "Net Amount",
+ "Trading Broker Type/ID",
+ "Trading Broker Description",
+ "Beneficiary of Securities Account",
+ "Clearing Broker ID / Type",
+ "Clearing Broker Description",
+ "Clearing Agent Account",
+ "Stamp Duty Code",
+ "Stamp Duty Amount",
+ "Special Settlement Type",
+ "Special Indicator #1",
+ "Special Indicator #2",
+ "Registration Details",
+ "Special Instruction",
+ "Originator of Message",
+ "Current Face/Amortize Value",
+ "Principal Amount",
+ "Interest Amount",
+ "Other Fees Amount",
+ "Commission Amount",
+ "SEC Fees Amount",
+ "Transaction Tax Amount",
+ "Withholding Tax Amount",
+ "Exchange Rate",
+ "Resulting Currency",
+ "Resulting Amount",
+ "FX Currency",
+ "Pool Reference Number",
+ "Total Group Number",
+ "Trade Number",
+ "Repo Term Date (REPO only)",
+ "Repo Amount (REPO only)",
+ "Repo Reference Number (REPO only)",
+ "Repo Rate (REPO Only)",
+ "Ticker (CPF and CRF Only)",
+ "Strike Price (CPF and CRF Only)",
+ "Expiration Date (CPF and CRF Only)",
+ "Broker Number (CPF and CRF Only)",
+ "Broker Account (CPF and CRF Only)",
+ "Contract Size (Option Contract and Future Contract Only)",
+ "Place of Trade Narrative",
+ "Common Reference",
+ "Partial Settlement Allowed",
+ "Partial Settlement Tolerance",
+ "No Automatic Market Claim",
+ "Corporate Action Coupon Option",
+ "Triparty Collateral Segregation",
+ "FX Cancel - For CANC instructions only",
+ "Fund Accounting Only Trade (RPTO)",
+ "Custody Only Trade (NACT)",
+]
+
+bbh_swap = [
+ "Deal Type",
+ "Deal Id",
+ "Action",
+ "Client",
+ "Fund",
+ "Portfolio",
+ "Folder",
+ "Custodian",
+ "Cash Account",
+ "Counterparty",
+ "Comments",
+ "State",
+ "Trade Date",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Notional",
+ "PremiumSettlementDate",
+ "ExpirationDate",
+ "PremiumCurrency",
+ "PercentageOfPremium",
+ "ExerciseType",
+ "Reserved",
+ "SettlementMode",
+ "SettlementRate",
+ "Transaction Indicator",
+ "InitialMargin",
+ "InitialMarginPercentage",
+ "InitialMarginCurrency",
+ "ReceiveLegRateType",
+ "ReceiveFloatRate",
+ "ReceiveFirstCouponDate",
+ "ReceiveFirstCouponRate",
+ "ReceiveFixedRate",
+ "ReceiveDaycount",
+ "ReceiveFrequency",
+ "ReceivePaymentRollConvention",
+ "ReceiveEffectiveDate",
+ "ReceiveMaturityDate",
+ "ReceiveNotional",
+ "ReceiveArrears",
+ "ReceiveAdjusted",
+ "ReceiveCompound",
+ "ReceiveCurrency",
+ "PayLegRateType",
+ "PayFloatRate",
+ "PayFirstCouponDate",
+ "PayFirstCouponRate",
+ "PayFixedRate",
+ "PayDaycount",
+ "PayFrequency",
+ "PayPaymentRollConvention",
+ "PayEffectiveDate",
+ "PayMaturityDate",
+ "PayNotional",
+ "PayArrears",
+ "PayAdjusted",
+ "PayCompound",
+ "PayCurrency",
+ "RegenerateCashFlow",
+ "GiveUpBroker",
+ "ClientReference",
+ "ReceiveDiscountCurve",
+ "ReceiveForwardCurve",
+ "PayDiscountCurve",
+ "PayForwardCurve",
+ "ReceiveFixingFrequency",
+ "ReceiveInterestCalcMethod",
+ "ReceiveCompoundAverageFrequency",
+ "PayFixingFrequency",
+ "PayInterestCalcMethod",
+ "PayCompoundAverageFrequency",
+ "SwapType",
+ "AttachmentPoint",
+ "ExhaustionPoint",
+ "UnderlyingInstrument",
+ "AssociatedDealType",
+ "AssociatedDealId",
+ "CounterpartyReference",
+ "PremiumSettlementCurrency",
+ "PremiumSettlementAmount",
+ "ReceiveIMM Period",
+ "PayIMMPeriod",
+ "Reserved",
+ "ClearingFacility",
+ "Strike",
+ "CcpTradeRef",
+ "BreakClauseFrequency",
+ "BlockId",
+ "BlockAmount",
+ "Cross Currency Premium Payment",
+ "Premium Payment Amount",
+ "Netting Id",
+ "BreakClauseDate",
+]
diff --git a/python/headers/globeop_upload.py b/python/headers/globeop_upload.py
new file mode 100644
index 00000000..db5de036
--- /dev/null
+++ b/python/headers/globeop_upload.py
@@ -0,0 +1,269 @@
+globeop_TRS = [
+ "DealType",
+ "DealId",
+ "Action",
+ "Client",
+ "Reserved",
+ "Reserved",
+ "Strategy ",
+ "Custodian",
+ "CashAccount",
+ "Counterparty",
+ "Comments",
+ "State",
+ "TradeDate",
+ "Reserved",
+ "Reserved",
+ "ReceiveLegRateType",
+ "ReceiveUnderlyingType",
+ "ReceiveUnderlyingSecurity",
+ "ReceiveUnderlyingDescription",
+ "ReceiveFloatRate",
+ "ReceiveFirstCouponDate",
+ "ReceiveFirstCouponRate",
+ "ReceiveFixedRate",
+ "ReceiveDaycount",
+ "ReceiveFrequency",
+ "ReceivePaymentBDC",
+ "ReceiveEffectiveDate",
+ "ReceiveMaturityDate",
+ "ReceiveNotional",
+ "ReceivePrice",
+ "ReceiveArrears",
+ "Reserved",
+ "Reserved",
+ "ReceiveCurrency",
+ "Reserved",
+ "ReceiveSpread",
+ "PayLegRateType",
+ "PayUnderlyingType",
+ "PayUnderlyingSecurity",
+ "PayUnderlyingDescription",
+ "PayFloatRate",
+ "PayFirstCouponDate",
+ "PayFirstCouponRate",
+ "PayFixedRate",
+ "PayDaycount",
+ "PayFrequency",
+ "PayPaymentBDC",
+ "PayEffectiveDate",
+ "PayMaturityDate",
+ "PayNotional",
+ "PayPrice",
+ "PayArrears",
+ "Reserved",
+ "Reserved",
+ "PayCurrency",
+ "Reserved",
+ "PaySpread",
+ "Reserved",
+ "InitialMargin",
+ "InitialMarginPercent",
+ "InitialMarginCurrency",
+ "ClientReference",
+ "CcpTradeRef",
+ "BlockId",
+ "BlockAmount",
+ "Netting Id",
+ "ExchangeRate",
+ "ReceiveQuantity",
+ "PayQuantity",
+ "ReceiveAccrued",
+ "PayAccrued",
+ "ReceiveNotionalExchange",
+ "PayNotionalExchange",
+ "ReceiveResetLag",
+ "PayResetLag",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "ReceiveCalendar",
+ "PayCalendar",
+ "ReceiveInterestCalcMethod",
+ "PayInterestCalcMethod",
+ "ReceiveCompoundAverageFrequency",
+ "PayCompoundAverageFrequency",
+ "ReceiveFixingFrequency",
+ "PayFixingFrequency",
+ "ReceiveStubLocation",
+ "ReceiveBeginFloatRate1",
+ "ReceiveBeginFloatRate2",
+ "ReceiveEndFloatRate1",
+ "ReceiveEndFloatRate2",
+ "PayStubLocation",
+ "PayBeginFloatRate1",
+ "PayBeginFloatRate2",
+ "PayEndFloatRate1",
+ "PayEndFloatRate2",
+ "Fees",
+ "Fee Payment Dates",
+ "Fee Comments",
+ "ExecutionDateTimeStamp",
+ "FeeTypes",
+ "FeeCurrencies",
+ "ReceivePaymentAt",
+ "PayPaymentAt",
+ "SwapType",
+ "Reserved1",
+ "ReceiveAccrualBDC",
+ "PayAccrualBDC",
+ "ReceiveMaturityBDC",
+ "PayMaturityBDC",
+ "ReceiveRollConvention",
+ "PayRollConvention",
+ "ReceivePaymentLag",
+ "PayPaymentLag",
+ "ReceiveSettlementCurrency",
+ "PaySettlementCurrency",
+ "Collateralized",
+ "TradeDateFX",
+]
+
+globeop_IRS = [
+ "DealType",
+ "TradeId",
+ "ActionId",
+ "ClientId",
+ "Fund",
+ "Portfolio",
+ "StrategyId",
+ "CustodianId",
+ "CashAccountId",
+ "CounterpartyId",
+ "Comments",
+ "StateId",
+ "TradeDate",
+ "Reserved3",
+ "Reserved4",
+ "RecLegType",
+ "RecIndex",
+ "RecFirstCpnDate",
+ "RecFirstCpnRate",
+ "RecFixedRate",
+ "RecDayCount",
+ "RecPaymentFreq",
+ "ReceivePaymentBDC",
+ "RecEffectiveDate",
+ "RecMaturityDate",
+ "RecNotional",
+ "RecArrears",
+ "Reserved5",
+ "RecCompound",
+ "RecCurrency",
+ "Reserved6",
+ "PayLegType",
+ "PayIndex",
+ "PayFirstCpnDate",
+ "PayFirstCpnRate",
+ "PayFixedRate",
+ "PayDayCount",
+ "PayPaymentFreq",
+ "PayPaymentBDC",
+ "PayEffectiveDate",
+ "PayMaturityDate",
+ "PayNotional",
+ "PayArrears",
+ "Reserved7",
+ "PayCompound",
+ "PayCurrency",
+ "Reserved8",
+ "InitialMargin",
+ "InitialMarginPercent",
+ "InitialMarginCcy",
+ "CalendarPay",
+ "CalendarReceive",
+ "Reserved9",
+ "RecFloatingRateSpread",
+ "RecFixingFreq",
+ "RecInterestCalcMethod",
+ "Reserved10",
+ "PayFloatingRateSpread",
+ "PayFixingFreq",
+ "PayInterestCalcMethod",
+ "Reserved11",
+ "GiveUpBroker",
+ "RecBrokenPeriod",
+ "RecBeginFloatRate1",
+ "RecBeginFloatRate2",
+ "RecEndFloatRate1",
+ "RecEndFloatRate2",
+ "PayBrokenPeriod",
+ "PayBeginFloatRate1",
+ "PayBeginFloatRate2",
+ "PayEndFloatRate1",
+ "PayEndFloatRate2",
+ "Reserved12",
+ "Reserved13",
+ "SwapType",
+ "InflationMarketConv",
+ "ClientRef",
+ "Reserved14",
+ "Reserved15",
+ "Reserved16",
+ "Reserved17",
+ "Reserved18",
+ "Reserved19",
+ "RecResetLag",
+ "PayResetLag",
+ "RecExchangeAmount",
+ "PayExchangeAmount",
+ "AssociatedDealType",
+ "AssociatedDealId",
+ "ClearingFacility",
+ "CcpTradeRef",
+ "BreakClauseFreq",
+ "BlockId",
+ "BlockAmount",
+ "UpfrontFee",
+ "UpfrontFeePayDate",
+ "UpfrontFeeComment",
+ "UpfrontFeeCurrency",
+ "NettingId",
+ "BreakClauseDate",
+ "Reserved20",
+ "IndexLevel",
+ "TradeDateTime",
+ "ReceivePaymentLag",
+ "PayPaymentLag",
+ "ReceiveRateMultiplier",
+ "PayRateMultiplier",
+ "ReceiveRateCap",
+ "PayRateCap",
+ "ReceiveRateFloor",
+ "PayRateFloor",
+ "ReceiveRollConvention",
+ "PayRollConvention",
+ "ReceiveAccrualBDC",
+ "PayAccrualBDC",
+ "ReceiveMaturityBDC",
+ "PayMaturityBDC",
+ "ReceivePaymentAt",
+ "PayPaymentAt",
+ "ReceiveClientMargin",
+ "PayClientMargin",
+ "Resvered21",
+ "ReceiveRateCutOff",
+ "PayRateCutOff",
+ "ReceiveInflationLag",
+ "PayInflationLag",
+ "ReceiveSettlementCurrency",
+ "PaySettlementCurrency",
+ "CounterpartyReference",
+ "ReceiveInflationReference",
+ "PayInflationReference",
+ "Collateralized",
+ "InitialFXRate",
+ "TradeDateFX",
+ "ReceiveFixingSource",
+ "PayFixingSource",
+ "ReceiveFxFixingLag",
+ "PayFxFixingLag",
+ "ReceiveFxFixingCalendar",
+ "PayFxFixingCalendar",
+ "SEFFlag",
+ "ReceiveObservationShift",
+ "PayObservationShift",
+ "ReceiveCashFlowStubType",
+ "PayCashFlowStubType",
+]
diff --git a/python/headers/mtm_upload.py b/python/headers/mtm_upload.py
new file mode 100644
index 00000000..d5619616
--- /dev/null
+++ b/python/headers/mtm_upload.py
@@ -0,0 +1,201 @@
+mtm_term = [
+ "Swap ID",
+ "Allocation ID",
+ "Description",
+ "Broker Id",
+ "DTCC CounterParty ID",
+ "Trade ID",
+ "Trade Date",
+ "Effective Date",
+ "Settle Date",
+ "Maturity Date",
+ "Account Abbreviation",
+ "1st Leg Notional",
+ "Currency Code",
+ "1st Leg Rate",
+ "Initial Payment",
+ "Initial Payment Currency",
+ "Payment Frequency Description",
+ "Original Issue Date",
+ "Interest Payment Method Description",
+ "First Payment Date",
+ "Product Type",
+ "Product Sub Type",
+ "Transaction Type",
+ "Protection",
+ "Transaction Code",
+ "Remaining Party",
+ "DTCC Remaining CounterParty ID",
+]
+mtm_swaption = [
+ "Swap ID",
+ "Broker Id",
+ "Trade ID",
+ "Trade Date",
+ "Settle Date",
+ "Supplement Date",
+ "Supplement 2 Date",
+ "Maturity Date",
+ "Account Abbreviation",
+ "1st Leg Notional",
+ "Currency Code",
+ "1st Leg Rate",
+ "Initial Payment Currency",
+ "Initial Payment",
+ "Product Type",
+ "Transaction Type",
+ "Transaction Code",
+ "Independent Amount (%)",
+ "RED",
+ "Issuer Name",
+ "Entity Matrix",
+ "Definitions Type",
+ "Swaption Expiration Date",
+ "Strike Price",
+ "Swaption Settlement Type",
+ "Master Document Date",
+ "OptionBuySellIndicator",
+ "Clearing House",
+ "Protection",
+ "Swaption Quotation Rate Type",
+ "Effective Date",
+]
+
+mtm_cds = [
+ "Swap ID",
+ "Allocation ID",
+ "Description",
+ "Broker Id",
+ "DTCC CounterParty ID",
+ "Trade ID",
+ "Trade Date",
+ "Effective Date",
+ "Settle Date",
+ "Maturity Date",
+ "Account Abbreviation",
+ "1st Leg Notional",
+ "Currency Code",
+ "1st Leg Rate",
+ "Initial Payment",
+ "Initial Payment Currency",
+ "Original Issue Date",
+ "Interest Payment Method Description",
+ "First Payment Date",
+ "Product Type",
+ "Product Sub Type",
+ "Transaction Type",
+ "Protection",
+ "Transaction Code",
+ "Remaining Party",
+ "DTCC Remaining CounterParty ID",
+ "Independent Amount (%)",
+ "Independent Amount ($)",
+ "RED",
+ "Issuer Name",
+ "Settlement Amount",
+ "Trader",
+ "Executing Broker",
+ "Dealer Trade ID",
+ "Notes",
+ "Parent Transaction Code",
+ "Parent Trade Date",
+ "Parent Notional",
+ "Parent Currency Code",
+ "Parent Net Amount",
+ "Parent Effective Date",
+ "Parent First Payment Date",
+ "Parent Settle Date",
+ "ComplianceHubAction",
+ "DTCC Ineligible",
+ "Master Document Date",
+ "Master Document Version",
+ "Include Contractual Supplement",
+ "Contractual Supplement",
+ "Supplement Date",
+ "Entity Matrix",
+ "Entity Matrix Date",
+ "Modified Equity Delivery",
+ "Calculation Agent Business Center",
+ "Calculation Agent",
+ "Attachment Point",
+ "Exhaustion Point",
+ "Strategy",
+ "First Payment Period Accrual Start Date",
+ "TieOut Ineligible",
+ "Electronic Consent Ineligible",
+ "External OMS ID",
+ "Independent Amount Currency",
+ "Independent Amount Payer",
+ "Trade Revision",
+ "Alternate Swap ID",
+ "Alternate Trade ID",
+ "Definitions Type",
+]
+mtm_trs = [
+ "Swap ID ",
+ "Allocation ID",
+ "Description ",
+ "Broker Id ",
+ "DTCC CounterParty ID",
+ "Trade ID ",
+ "Trade Date ",
+ "Effective Date",
+ "Settle Date",
+ "Maturity Date ",
+ "Account Abbreviation ",
+ "1st Leg Notional",
+ "Currency Code ",
+ "Initial Payment",
+ "Initial Payment Currency",
+ "Original Issue Date",
+ "Interest Payment Method Description",
+ "Product Type ",
+ "Product Sub Type",
+ "Transaction Type ",
+ "Protection",
+ "Transaction Code",
+ "Remaining Party ",
+ "DTCC Remaining CounterParty ID",
+ "Independent Amount (%)",
+ "Independent Amount ($)",
+ "RED",
+ "Issuer Name",
+ "Settlement Amount",
+ "Trader",
+ "Dealer Trade ID",
+ "Notes",
+ "Parent Transaction Code",
+ "Parent Trade Date",
+ "Parent Notional",
+ "Parent Currency Code",
+ "Parent Net Amount",
+ "Parent Effective Date",
+ "Parent First Payment Date",
+ "Parent Settle Date",
+ "ComplianceHubAction",
+ "DTCC Ineligible",
+ "Master Document Date",
+ "Master Document Type",
+ "Master Document Version",
+ "",
+ "",
+ "Annex Date",
+ "Supplement Date",
+ "Documentation Type",
+ "Calculation Agent Business Center",
+ "",
+ "Strategy",
+ "Electronic Consent Ineligible",
+ "External OMS ID",
+ "Traded Rate/Price",
+ "Independent Amount Currency",
+ "Independent Amount Payer",
+ "Trade Revision",
+ "Alternate Swap ID",
+ "Alternate Trade ID",
+ "Definitions Type",
+ "Initial Fixing Amount",
+ "2nd Leg Index",
+ "2nd Leg Spread",
+ "2nd Leg Initial Floating Rate",
+]
diff --git a/python/markit_tranche_quotes.py b/python/markit_tranche_quotes.py
index 611ed129..894ec56a 100644
--- a/python/markit_tranche_quotes.py
+++ b/python/markit_tranche_quotes.py
@@ -54,6 +54,7 @@ headers = [h.lower() for h in next(f).strip().split(",")]
count = 0
for d in csv.DictReader(f, fieldnames=headers):
+
d["quotedate"] = datetime.datetime.strptime(d["time"], "%m/%d/%Y %H:%M:%S")
d["quotedate"] = d["quotedate"].replace(tzinfo=pytz.UTC)
d["index"] = index_mapping[d["ticker"]]
@@ -81,7 +82,10 @@ for d in csv.DictReader(f, fieldnames=headers):
else:
d["indexrefprice"] = ref
for k in ["_bid", "_mid", "_ask"]:
- d["upfront" + k] = d["price" + k]
+ if d["price" + k]:
+ d["upfront" + k] = d["price" + k]
+ elif d["spread" + k]:
+ d["upfront" + k] = d["spread" + k]
d["spread" + k] = (
0 if d["series"] in [9, 10] and d["attachment"] == 10 else 500
)
diff --git a/python/position.py b/python/position.py
index 45dcecad..02499164 100644
--- a/python/position.py
+++ b/python/position.py
@@ -230,7 +230,7 @@ def update_swaption_vol(
match vol_type:
case "N":
db_vol_type = "Normal"
- ticker_pattern = "USSV{:0>2}{} {} Curncy"
+ ticker_pattern = "USSN{:0>2}{} {} Curncy"
case "V":
db_vol_type = "LogNormal"
ticker_pattern = "USSV{:0>2}{} {} Curncy"
@@ -283,8 +283,8 @@ def update_cash_rates(conn, session, start_date: datetime.date = None):
"FEDL01 Index": "FED_FUND",
"US0001M Index": "1M_LIBOR",
"US0003M Index": "3M_LIBOR",
- "SOFRRATE Index": "SOFR_RATE",
- "SOFRINDX Index": "SOFR_INDEX",
+ "SOFRRATE Index": "SOFRRATE",
+ "SOFRINDX Index": "SOFRINDX",
}
if start_date is None:
data = retrieve_data(
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py
index f99dad2e..43d92da3 100644
--- a/python/trade_dataclasses.py
+++ b/python/trade_dataclasses.py
@@ -30,10 +30,7 @@ Portfolio = Literal[
"OPTIONS", "IR", "MORTGAGES", "CURVE", "TRANCHE", "CLO", "HEDGE_MAC"
] # deprecated IG, HY, STRUCTURED
-_funds = {
- "SERENITAS_CGMF": "SERCGMAST",
- "BOWDOINST": "BOWDST",
-}
+_funds = {"BAML": "SERCGMAST", "GS": "BOWDST", "WF": "SERCGMAST"}
_fcms = {
"Bank of America, N.A.": "BAML",
"Goldman Sachs": "GS",
@@ -501,6 +498,8 @@ class CDSDeal(
@classmethod
def from_bbg_line(cls, line: dict):
+ if "SEQ#" in line and line["Brkr"] != "BSEF":
+ raise ValueError("Ignoring file, we have an allocation file")
if line["Coupon"] == "":
with cls._conn.cursor() as c:
c.execute(
@@ -514,10 +513,18 @@ class CDSDeal(
coupon, index, series, tenor = c.fetchone()
line["Security"] = desc_str(index, series, tenor.removesuffix("yr"))
line["Coupon"] = coupon
+ if line["Brkr"] == "BSEF": # BSEF means CDX BLOCK
+ line["Price (Dec)"] = line["Price"]
+ line["Quantity"] = line["Qty (M)"] * 1000
+ values = [line["bbg_ticket_id"]] + [None] * 21
+ values[14] = _funds[_fcms[line["Client FCM"]]]
+ values[15] = _fcms[line["Client FCM"]]
+ else:
+ values = line.values()
cp_code = cls.get_cp_code(line["Brkr"], "CDS")
- cls._bbg_insert_queue.append(list(line.values()))
+ cls._bbg_insert_queue.append(list(values))
return cls(
- fund=_funds[line["Account"]],
+ fund=_funds[_fcms[line["Client FCM"]]],
folder="*",
portfolio="UNALLOCATED",
security_id=line["Red Code"],
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-23 07:40:54 +0000