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 _funds = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"} _fcms = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"} _cdx_cp = { "MSDU": "MSCSNY", "GSMX": "GOLDNY", "JPGP": "JPCBNY", "JFF": "JEFF", "BMLE": "BAMSNY", "BARX": "BARCNY", "CSDA": "CSFBBO", "EBNP": "BNPBNY", "WFCD": "WELFEI", "BSEF": "BSEONY", "JPOS": "JPCBNY", "CGCI": "CITINY", } _bond_cp = { "CG": "CITINY", "WFBS": "WELFEI", "MZZ": "MIZUNY", "BABS": "BAML", "PTRU": "PERFCH", "BARC": "BARCNY", "MS": "MORGNY", "BA": "BAML", "FB": "CSUINY", "INTC": "STONEX", "SOCG": "SGSANY", "NOM": "NOMINY", "JP": "JPCBNY", "BTIG": "BTIG", } 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): 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): return name.split("_", 1)[1] if __name__ == "__main__": from serenitas.utils.db import serenitas_pool, dawn_engine conn = serenitas_pool.getconn() _cache = LRU(128) 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)