from serenitas.utils.remote import SftpClient import datetime import csv from trade_dataclasses import CDSDeal, BondDeal from decimal import Decimal from stat import S_ISREG from psycopg2.errors import UniqueViolation 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(file_handle, index): for row in csv.DictReader(file_handle): line = {"bbg_ticket_id": index, **row} trade = BondDeal.from_bbg_line(line) trade.stage() BondDeal.commit() def get_bbg_id(name): return name.split("_", 1)[1] if __name__ == "__main__": import time sftp = SftpClient.from_creds("bbg") while True: for f in sftp.client.listdir_iter("/"): if S_ISREG(f.st_mode): if "BOND" in f.filename: if (bbg_id := get_bbg_id(f.filename)) not in BondDeal._cache: with sftp.client.open(f.filename) as fh: bond_booking_process(fh, bbg_id) BondDeal._cache[f.filename] = None time.sleep(60)