from serenitas.utils.env import DAILY_DIR from serenitas.utils.remote import SftpClient from zoneinfo import ZoneInfo import datetime import csv from trade_dataclasses import CDSDeal, BondDeal from decimal import Decimal from serenitas.utils.db import dbconn from lru import LRU from stat import S_ISREG import pandas as pd from sqlalchemy.exc import SQLAlchemyError import time def get_indic_data(conn, redcode, tenor): sql_str = ( "SELECT maturity, coupon " "FROM index_desc " "WHERE tenor=%s AND redindexcode=%s " ) with conn.cursor() as c: c.execute(sql_str, (redcode, tenor)) return c.fetchone() def cdx_booking_process(path, conn): 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): for row in csv.DictReader(path): line = {"bbg_ticket_id": fname} line.update(row) breakpoint() trade = BondDeal.from_bbg_line(line) trade.stage() BondDeal.commit() def get_bbg_id(name): return name.split("_", 1)[1] if __name__ == "__main__": from serenitas.utils.db import serenitas_pool, dawn_engine conn = serenitas_pool.getconn() while True: d = datetime.date.today() sftp = SftpClient.from_creds("bbg") filters = [lambda f: S_ISREG(f.st_mode)] for f in filter( lambda f: all(filt(f) for filt in filters), sftp.client.listdir_iter("/") ): if "BOND" in f.filename: bbg_id = get_bbg_id(f.filename) if bbg_id not in BondDeal._cache: bond_booking_process(sftp.client.open(f.filename), bbg_id) time.sleep(60)