diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/csv_headers/__init__.py | 0 | ||||
| -rw-r--r-- | python/csv_headers/bond_upload.py | 164 | ||||
| -rw-r--r-- | python/csv_headers/citco.py | 338 | ||||
| -rw-r--r-- | python/csv_headers/globeop_upload.py | 780 | ||||
| -rw-r--r-- | python/csv_headers/irs.py | 136 | ||||
| -rw-r--r-- | python/csv_headers/mtm_upload.py | 201 | ||||
| -rw-r--r-- | python/csv_headers/test.py | 136 |
7 files changed, 1755 insertions, 0 deletions
diff --git a/python/csv_headers/__init__.py b/python/csv_headers/__init__.py new file mode 100644 index 00000000..e69de29b --- /dev/null +++ b/python/csv_headers/__init__.py diff --git a/python/csv_headers/bond_upload.py b/python/csv_headers/bond_upload.py new file mode 100644 index 00000000..db1eb066 --- /dev/null +++ b/python/csv_headers/bond_upload.py @@ -0,0 +1,164 @@ +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)", + "Research Fee (RSCH)", +] + +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/csv_headers/citco.py b/python/csv_headers/citco.py new file mode 100644 index 00000000..689472a1 --- /dev/null +++ b/python/csv_headers/citco.py @@ -0,0 +1,338 @@ +GTL = [ + "OrdStatus", + "ExecTransType", + "ClientOrderID", + "FillID", + "IDofOrderOrFillforAction", + "LotNumber", + "Symbol", + "SecurityType", + "SecurityCurrency", + "SecurityDescription", + "BuySellShortCover", + "OpenClose", + "IDSource", + "SecurityID", + "ISIN", + "CUSIP", + "SEDOL", + "Bloomberg", + "CINS", + "WhenIssued", + "IssueDate", + "MaturityDate", + "Coupon%", + "ExecutionInterestDays", + "AccruedInterest", + "FaceValue", + "RollableType", + "RepoCurrency", + "DayCountFraction/RepoCalendar", + "RepoLoanAmount", + "Trader", + "OrderQty", + "FillQty", + "CumQty", + "HairCut", + "AvgPrice", + "FillPrice", + "TradeDate", + "TradeTime", + "OrigDate", + "Unused", + "SettlementDate", + "ExecutingUser", + "Comment", + "Account", + "Fund", + "SubFund", + "AllocationCode", + "StrategyCode", + "ExecutionBroker", + "ClearingAgent", + "ContractSize", + "Commission", + "FXRate", + "FWDFXpoints", + "Fee", + "CurrencyTraded", + "SettleCurrency", + "FX/BASErate", + "BASE/FXrate", + "StrikePrice", + "PutOrCall", + "DerivativeExpiry", + "SubStrategy", + "OrderGroup", + "RepoPenalty", + "CommissionTurn", + "AllocRule", + "PaymentFreq", + "RateSource", + "Spread", + "CurrentFace", + "CurrentPrincipalFactor", + "AccrualFactor", + "TaxRate", + "Expenses", + "Fees", + "PostCommAndFeesOnInit", + "ImpliedCommissionFlag", + "TransactionType", + "MasterConfrimType", + "MatrixTerm", + "EMInternalSeqNo.", + "ObjectivePrice", + "MarketPrice", + "StopPrice", + "NetConsdieration", + "FixingDate", + "DeliveryInstructions", + "ForceMatchID", + "ForceMatchType", + "ForceMatchNotes", + "CommissionRateforAllocation", + "CommissionAmountforFill", + "ExpenseAmountforFill", + "FeeAmountforFill", + "StandardStrategy", + "StrategyLinkName", + "StrategyGroup", + "FillFXSettleAmount", + "Reserved", + "Reserved", + "DealAttributes", + "FinanceLeg", + "PerformanceLeg", + "Attributes", + "DealSymbol", + "Initialmargintype", + "InitialMarginAmount", + "InitialmarginCCY", + "ConfirmStatus", + "Counterparty", + "TraderNotes", + "ConvertPricetoSettleCcy", + "BondCouponType", + "GenericFeesEnabled", + "GenericFeesListing", + "OrderLevelAttributes", + "Settling/Sub", + "ConfirmationTime", + "ConfirmationMeans", + "PaymentDate", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", +] +GIL = [ + "Command", + "Group_Id", + "UniqueIdentifier", + "InstrumentType", + "UnderlyingIDSource", + "UnderlyingSecurityId", + "UnderlyingISIN", + "UnderlyingCUSIP", + "UnderlyingSEDOL", + "UnderlyingBloombergCode", + "UnderlyingCINS", + "UnderlyingRIC", + "UnderlyingCDS", + "UnderlyingCDSDN", + "UnderlyingUserID", + "UnderlyingTID", + "Symbol", + "(BLANK)", + "Birth_date", + "Death_date", + "Active", + "(Blank)", + "(Blank)", + "(Blank)", + "Sec_Desc", + "(Blank)", + "LocalCcy", + "Country", + "SettleCal", + "(Blank)", + "TickSize", + "MarketID", + "PriceBase", + "PriceFactor", + "FixRate", + "ResetFreq", + "(Blank)", + "(Blank)", + "1stCpnDate", + "LastCpnDate", + "CouponRate", + "CashFlowFreq_Id", + "SettleDays", + "DayCount_ID", + "AccruMethodID", + "AccruStartDate", + "IssueAmount", + "CreditEvent", + "CounterParty", + "CtpyAbbrev", + "Tier", + "CtpyCountry", + "CtpyCountry", + "Ctpymoody", + "BondClass", + "BondType", + "SerisCode", + "(Blank)", + "RateSetDate", + "GeneralDirection", + "PrincipalExchTypeID", + "S_P_PaymentFreqID", + "S_P_CurrencyCode", + "S_P_RateIndexID", + "S_P_AccrualMethodID", + "S_P_InterestRate", + "S_P_PaymentCalandarID", + "S_P_DayConventionID", + "S_P_ResetFreqID", + "S_P_NotionalAmt", + "S_P_ResetCalandarID", + "S_P_RateSourceID", + "S_P_InitialResetRate", + "(Blank)", + "(Blank)", + "(Blank)", + "(Blank)", + "S_R_PaymentFreqID", + "S_R_CurrencyCode", + "S_R_RateIndexID", + "S_R_AccrualMethodID", + "S_R_InterestRate", + "S_R_PaymentCalandarID", + "S_R_DayConventionID", + "S_R_ResetFreqID", + "S_R_NotionalAmount", + "S_R_ResetCalandarID", + "S_R_RateSource", + "S_R_InitialResetRate", + "(Blank)", + "(Blank)", + "(Blank)", + "(Blank)", + "OtherCode1", + "OtherCode1-Value", + "OtherCode2", + "OtherCode2-Value", + "Attribute1", + "Attribute1-Value", + "Attribute1-Type", + "Attribute2", + "Attribute2-Value", + "Attribute2-Type", + "Attribute3", + "Attribute3-Value", + "Attribute3-Type", + "Attribute4", + "Attribute4-Value", + "Attribute4-Type", + "Attribute5", + "Attribute5-Value", + "Attribute5-Type", + "(Blank)", + "OptionType", + "StrikeMonth", + "StrikePrice", + "ExpirationDate", + "Put/CallFlag", + "ContractSize", + "CashRebate", + "Barrier1", + "Barrier2", + "Notes", + "(Blank)", + "DeliveryPeriodType", + "DeliveryPeriod", + "DeliveryAbbrev", + "DaysDelay", + "CurrentPrincipalFactor", + "AccrualFactor", + "(Blank)", + "Odd_First_Coupon", + "Odd_Last_Coupon", + "Accrual_Startdate", + "Accrual_Enddate", + "Balloon_Payment", + "Compound_Method", + "Scale_Factor", + "CDS_Subtype_ID", + "Recovery_Rate", + "Attachment_Points", + "Detachment_Points", + "(Blank)", + "Spread_Bps", + "Rate_Change_Fre", + "Spread_Start_Date", + "Rate_Source_Id", + "OTC_FloatingRate_Flag", + "VAR_Start_Date", + "FutureName", + "LastTradeDate", + "LCode", + "CurrentStartDate", + "SpotLimitDate", + "FirstNoticeDate", + "LastNoticeDate", + "CTDTID", + "CTDConv.Factor", + "RollDate", + "ValueDate1", + "EndDate1", + "ValueDate2", + "EndDate2", + "ValueDate3", + "EndDate3", + "ValueDate4", + "EndDate4", + "ValueDate5", + "EndDate5", + "ForeignFlag", + "RestrictedFlag", + "ParValue", + "SharesOutstanding", + "Industry_SIC_ID", + "GICSLevel3ID", + "InflationIndexFlag", + "LinearAccrualCalcFlag", + "ExpirationTime", + "ExpirationTimeZoneId", + "SwapStartDate", + "ExpValueDateTimeComponent", + "BasketTypeID", + "BasketLinkAmount2", + "BasketLinkPercent2", + "BasketLinkTID3", + "BasketLinkAmount3", + "BasketLinkPercent3", + "BasketLinkFromDate", + "BasketLinkToDate", + "BasketLinkComments", + "BarrierOptionWindow1", + "BarrierOptionWindow2", +] diff --git a/python/csv_headers/globeop_upload.py b/python/csv_headers/globeop_upload.py new file mode 100644 index 00000000..cd2cf00c --- /dev/null +++ b/python/csv_headers/globeop_upload.py @@ -0,0 +1,780 @@ +HEADERS_PRE = [ + "Deal Type", + "Deal Id", + "Action", + "Client", + "Fund", + "Portfolio", + "Folder", + "Custodian", + "Cash Account", + "Counterparty", + "Comments", + "State", + "Trade Date", +] + +HEADERS = { + "bond": HEADERS_PRE + + [ + "Settlement Date", + "BrokerShortName", + "GlopeOp Security Identifier", + "CUSIP", + "ISIN", + "Sedol", + "Reserved", + "Reserved", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Quantity", + "Price", + "Commission", + "Tax", + "BlockId", + "BlockAmount", + "Reserved", + "Reserved", + "Accrued", + "ClearingMode", + "FaceAmount", + "Reserved", + "SettlementCurrency", + "Reserved", + "CrossCurrencyRate", + "ClientReference", + "Reserved", + "SettlementAmount", + "Yield", + "TradeDateTimeStamp", + "CpiRefRatio", + "SettlementCurrencyHedge", + "TradeDateFx", + ], + "cds": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "EffectiveDate", + "MaturityDate", + "Currency", + "Notional", + "FixedRate", + "PaymentRollDateConvention", + "DayCount", + "PaymentFrequency", + "FirstCouponRate", + "FirstCouponDate", + "ResetLag", + "Liquidation", + "LiquidationDate", + "Protection", + "UnderlyingSecurityId", + "UnderlyingSecurityDescription", + "CreditSpreadCurve", + "CreditEvents", + "RecoveryRate", + "Settlement", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "DiscountCurve", + "ClientReference", + "UpfrontFee", + "UpfrontFeePayDate", + "RegenerateCashFlow", + "UpfrontFeeComment", + "Executing Broker", + "SwapType", + "OnPrice", + "OffPrice", + "AttachmentPoint", + "ExhaustionPoint", + "Fees", + "Fee Payment Dates", + "Fee Comments", + "Credit Event Occurred", + "Calendar", + "Clearing Facility", + "Adjusted", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "NettingId", + "AnnouncementDate", + "ExecTS", + "DefaultProbability", + "ClientMargin", + "Factor", + "ISDADefinition", + ], + "swaption": HEADERS_PRE + + [ + "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", + ], + "future": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "GlopeOp Security Identifier", + "Reserved", + "Reserved", + "Reserved", + "Bloomberg Ticker", + "RIC", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Quantity", + "Price", + "Commission", + "Tax", + "VAT", + "Trade Currency", + "Reserved", + "Reserved", + "Broker Short Name", + "MaturityDate", + "Exchange", + "Client Reference", + "Swap Type", + "Initial Margin", + "Initial Margin Currency", + "Future Event", + "Commission Entries", + "BlockId", + "Block Amount", + ], + "wire": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "Reserved", + "Currency", + "Amount", + "Associated Deal Type", + "Associated Deal Id", + "Transaction Type", + "Instrument Type", + "Yield", + "Client Reference", + "ClearingFacility", + "Deal Function", + "Reset Price", + "Reset Date", + "Ccp Trade Ref", + "Margin Type", + "Block Id", + "Block Amount", + ], + "spot": HEADERS_PRE + + [ + "Settlement Date", + "Dealt Currency", + "Spot Rate", + "Forward Rate", + "Buy Currency", + "Buy Amount", + "Sell Currency", + "Sell Amount", + "ClearingFees", + "BlockId", + "BlockAmount", + "Commission Currency", + "Commission", + "Reserved", + "AssociatedDealType", + "AssociatedDealId", + "BrokerShortName", + "ClientReference", + ], + "fx_swap": HEADERS_PRE + + [ + "Reserved", + "Dealt Currency", + "Currency Pair", + "Near Side Currency Rate", + "Near Side Settlement Date", + "Near Side Buy Currency", + "Near Side Buy Amount", + "Near Side Sell Currency", + "Near Side Sell Amount", + "Reserved", + "Far Side Rate", + "Far Side Settlement Date", + "Far Side Point", + "Far Side Buy Currency", + "Far Side Buy Amount", + "Far Side Sell Currency", + "Far Side Sell Amount", + "Client Reference", + "BrokerShortName", + "CcpTradeRef", + "BlockId", + "BlockAmount", + ], + "repo": HEADERS_PRE + + [ + "Settlement Date", + "Broker", + "GlopeOp Security Identifier", + "CUSIP", + "ISIN", + "Sedol", + "Reserved", + "Reserved", + "Security Description", + "TransactionIndicator", + "CurrentFactor", + "Quantity", + "Price", + "Reserved", + "Reserved", + "Reserved", + "Currency", + "ExchangeRate", + "Comments", + "Reserved", + "ExpirationDate", + "Reserved", + "WeightedAmount", + "InterestCalcMethod", + "DirtyPrice", + "Haircut", + "RepoRate", + "OpenRepo", + "CallNotice", + "FaceAmount", + "AccruedInterest", + "Yield", + "CouponTo", + "DayCount", + "ClearingMode", + "SecurityType", + "BrokerShortName", + "ClientReference", + "DateTimeStamp", + ], + "capfloor": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "FloatingRateIndex", + "FloatingRateIndexDescription", + "TransactionIndicator", + "Reserved", + "CapOrFloor", + "Notional", + "Strike", + "ValueDate", + "ExpirationDate", + "PremiumPercent", + "PremiumDate", + "PricingType", + "PaymentFrequency", + "FixingFrequency", + "DayCountConvention", + "PaymentBDC", + "Reserved", + "PaymentAtBeginningOrEnd", + "Commission", + "FirstCouponDate", + "InitialMargin", + "InitialMarginPercent", + "InitialMarginCurrency", + "Reserved", + "Reserved", + "Reserved", + "ResetLag", + "Adjusted", + "CashType", + "BinaryFixedAmount", + "BarrierPaymentAt", + "KnockPeriod", + "UpperBarrier", + "LowerBarrier", + "RebateUp", + "RebateDown", + "RebateSettlementLag", + "ClientReference", + "BrokerShortName", + "CptyReference", + "SwapType", + "ClearingFacility", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "Netting Id", + "TradeDateTimeStamp", + "AccrualBDC", + "MaturityBDC", + "RollConvention", + "Calendar", + "Arrears", + "PaymentLag", + "Reserved1", + "InflationLag", + "InflationReference", + "SettlementCurrency", + "Collateralized", + "TradeDateFX", + ], + "trs": HEADERS_PRE + + [ + "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", + ], + "irs": [ + "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", + ], + "iam": HEADERS_PRE + + [ + "SettlementDate", + "Reserved", + "InstrumentType", + "ExpirationDate", + "CallNoticeIndicator", + "TransactionIndicator", + "StartMoney", + "Currency", + "Rate", + "Commission", + "DealFunction", + "FromAccount", + "ClientReference", + "Basis", + "MarginType", + "ClearingFacility" "CcpTradeRef", + "BlockId", + "BlockAmount", + "ExecutionDateTimeStamp", + "Collateralized", + "TradeDateFX", + ], + "termination": [ + "DealType", + "DealId", + "Action", + "Client", + "SubAction", + "PartialTermination", + "TerminationAmount", + "TerminationDate", + "FeesPaid", + "FeesReceived", + "DealFunction", + "Reserved", + "ClientReference", + "TradeDate", + "EffectiveDate", + "FirstCouponDate", + "FeePaymentDate", + "SpecialInstructions", + "AssignedCounterparty", + "AssignmentFee", + "AssignedFeeTradeDate", + "AssignedFeeValueDate", + "AssignedCustodian", + "AssignedCashAccount", + "Reserved", + "FeeCurrency", + "GoTradeId", + "FeeComments", + "ZeroOutInterestCashFlows", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "InitialMargin", + "InitialMarginCurrency", + ], +} + + +POSITION_HEADERS = { + "bond": [ + "AccountNumber", + "COB Date", + "Prime Broker", + "SecurityType", + "CUSIP", + "ISIN", + "SEDOL", + "SecurityDescription", + "Position", + "MarketPrice", + "Currency", + "Base Market Value", + "Local Market Value", + "Fx Rate", + "CurrentFace", + ], + "future": [ + "AccountNumber", + "COB Date", + "Prime Broker", + "SecurityType", + "BBGTicker", + "RIC", + "UnderlyingSecurity", + "SecurityDescription", + "Currency", + "Quantity", + "OpenTradeEquity", + "ClosingPrice", + "MaturityDate", + "Unrealised P&L in USD", + "Local Market Value", + "Fx Rate", + ], + "otc": [ + "Client Name", + "Fund Name", + "Counterparty", + "Product Type", + "Unique Deal ID", + "TransactionIndicator (Buy/Sell)", + "PutCall Indicator (Call/Put)", + "CapFloorIndicator", + "CurrencyPair", + "DealCurrencyA", + "DealCurrencyB", + "NotionalA", + "NotionalB", + "OriginalPrice", + "Strike", + "FixedRate", + "Quantity", + "Start Date", + "Effective Date", + "Maturity Date", + "Underlying Maturity", + "RecPayFixed", + "Underlying (ISIN / CUSP / RED CODES)", + "Underlying Desc", + "Exercise Type", + "MTM Currency", + "MTM Valuation", + "COB Date", + "Clearing House Name", + ], +} diff --git a/python/csv_headers/irs.py b/python/csv_headers/irs.py new file mode 100644 index 00000000..144d898c --- /dev/null +++ b/python/csv_headers/irs.py @@ -0,0 +1,136 @@ +irs_new = [ + "DealType", + "DealId", + "Action", + "Client", + "Fund", + "Portfolio/Business Unit", + "Strategy", + "Custodian", + "CashAccount", + "Counterparty", + "Comments", + "State", + "TradeDate", + "Reserved", + "Reserved", + "ReceiveLegRateType", + "ReceiveFloatRate", + "ReceiveFirstCouponDate", + "ReceiveFirstCouponRate", + "ReceiveFixedRate", + "ReceiveDaycount", + "ReceiveFrequency", + "RecievePaymentBDC", + "ReceiveEffectiveDate", + "ReceiveMaturityDate", + "ReceiveNotional", + "ReceiveResetArrears", + "Reserved", + "Reserved", + "ReceiveCurrency", + "Reserved", + "PayLegRateType", + "PayFloatRate", + "PayFirstCouponDate", + "PayFirstCouponRate", + "PayFixedRate", + "PayDaycount", + "PayFrequency", + "PayPaymentBDC[Previously PaymentRollConv]", + "PayEffectiveDate", + "PayMaturityDate", + "Pay Notional", + "PayResetArrears", + "Reserved", + "Reserved", + "PayCurrency", + "Reserved", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "CalendarPay", + "CalendarReceive", + "Reserved", + "ReceiveSpread", + "ReceiveFixingFrequency", + "ReceiveInterestCalcMethod", + "Reserved", + "PaySpread", + "PayFixingFrequency", + "PayInterstCalcMethod", + "Reserved", + "GiveUpCounterparty", + "ReceiveStubLocation", + "ReceiveBeginFloatRate1", + "ReceiveBeginFloatRate2", + "ReceiveEndFloatRate1", + "ReceiveEndFloatRate2", + "PayStubLocation", + "PayBeginFloatRate1", + "PayBeginFloatRate2", + "PayEndFloatRate1", + "PayEndFloatRate2", + "Reserved", + "Reserved", + "SwapType", + "Reserved", + "ClientReference", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "ReceiveResetLag", + "PayResetLag", + "ReceiveExchangeAmount", + "PayExchangeAmount", + "AssociatedDealType", + "AssociatedDealId", + "ClearingFacility", + "CcpTradeRef", + "BreakClauseFrequency", + "BlockId", + "BlockAmount", + "UpfrontFee", + "UpfrontFeePaydate", + "UpFrontFeeComments", + "UpfrontFeeCurrency ", + "Netting Id", + "BreakClauseDate", + "CashFlowStubType", + "IndexLevel", + "ExecutionDateTimeStamp", + "ReceivePaymentLag", + "PayPaymentLag", + "ReceiveRateMultiplier", + "PayRateMultiplier", + "ReceiveRateCap", + "PayRateCap", + "ReceiveRateFloor", + "PayRateFloor", + "ReceiveRollConvention", + "PayRollConvention", + "ReceiveAccrualBDC", + "PayAccrualBDC", + "ReceiveMaturityBDC", + "PayMaturityBDC", + "ReceivePaymentAt", + "PayPaymentAt", + "ReceiveClientMargin", + "PayClientMargin", + "Reserved1", + "ReceiveRateCutOff", + "PayRateCutOff", + "InflationLag", + "InflationReference", + "ReceiveSettlementCurrency", + "PaySettlementCurrency", + "CounterpartyReference", + "ReceiveInflationReference", + "PayInflationReference", + "Collateralized", + "InitialFXRate", + "TradeDateFX", +] diff --git a/python/csv_headers/mtm_upload.py b/python/csv_headers/mtm_upload.py new file mode 100644 index 00000000..d5619616 --- /dev/null +++ b/python/csv_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/csv_headers/test.py b/python/csv_headers/test.py new file mode 100644 index 00000000..e578fa77 --- /dev/null +++ b/python/csv_headers/test.py @@ -0,0 +1,136 @@ +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 ($)", + "RED", + "Issuer Name", + "Settlement Amount", + "Trader", + "Dealer Trade ID", + "Notes", + "Parent Transaction Code", + "Parent Trade Date", + "Parent Notional", + "Parent Currency Code", + "Parent Net Amount", + "Parent Effective Date", + "Parent First Payment Date", + "Parent Settle Date", + "ComplianceHubAction", + "DTCC Ineligible", + "Master Document Date", + "Master Document Type", + "Master Document Version", + "", + "", + "Annex Date", + "Supplement Date", + "Documentation Type", + "Calculation Agent Business Center", + "", + "Strategy", + "Electronic Consent Ineligible", + "External OMS ID", + "Traded Rate/Price", + "Independent Amount Currency", + "Independent Amount Payer", + "Trade Revision", + "Alternate Swap ID", + "Alternate Trade ID", + "Definitions Type", + "Initial Fixing Amount", + "2nd Leg Index", + "2nd Leg Spread", + "2nd Leg Initial Floating Rate", +] +mtm_trs = [ + "Swap ID ", + "Allocation ID", + "Description ", + "Broker Id ", + "DTCC CounterParty ID", + "Trade ID ", + "Trade Date ", + "Effective Date", + "Settle Date", + "Maturity Date ", + "Account Abbreviation ", + "1st Leg Notional", + "Currency Code ", + "Initial Payment", + "Initial Payment Currency", + "Original Issue Date", + "Interest Payment Method Description", + "Product Type ", + "Product Sub Type", + "Transaction Type ", + "Protection", + "Transaction Code", + "Remaining Party ", + "DTCC Remaining CounterParty ID", + "Independent Amount (%)", + "Independent Amount ($)", + "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", +] |