import datetime from serenitas.utils.db import dbconn from serenitas.ops.trade_dataclasses import CDSDeal from serenitas.ops.funds import Service from globeop_ce_tranche import calculate_attach_detach def upload_citco_products(index, affected_series, fund, event_date, conn, event_name): NEW_TRADES_QUERY = ( "SELECT trc.*, b.security_id, cds.currency, cds.fixed_rate, cds.cp_code as custodian_cpty, cds.cp_code, cds.protection, cds.account_code, cds.frequency, " "cds.dealid, cds.portfolio, cds.folder, cds.swap_type, cds.clearing_facility, a.custodian, a.cash_account " "FROM tranche_risk_citco trc " "LEFT JOIN LATERAL (SELECT redindexcode as security_id FROM index_desc WHERE index_desc.lastdate >%s AND index_desc.index=trc.index AND index_desc.series=trc.series LIMIT 1) b ON TRUE " "LEFT JOIN cds ON trc.trade_id=cds.id " "LEFT JOIN accounts a ON cds.account_code=a.code " "WHERE date=%s AND trc.fund=%s AND index=%s AND series in %s" ) with conn.cursor() as c: c.execute( NEW_TRADES_QUERY, ( event_date, event_date, fund, index, affected_series, ), ) service = Service["ISOSEL-Product"] for row in c: d = row._asdict() d["notional"] = abs(d["notional"]) d["traded_level"] = None d["upfront"] = (d["serenitas_clean_nav"] + d["serenitas_accrued"]) * -1 d["trade_date"] = event_date d["dealid"] = f'{d["dealid"]}_{event_name}' d["attach"], d["detach"] = calculate_attach_detach( d["security_id"], d["orig_attach"], d["orig_detach"], conn ) trade = CDSDeal.from_dict(**d) prod = trade.product service.staging_queue.append(prod.to_citco()) service.build_buffer(trade_type="cds") if __name__ == "__main__": index = "HY" affected_series = ( 34, 35, 36, 37, 38, 39, ) fund = "ISOSEL" event_date = datetime.date(2023, 4, 13) settlement_date = datetime.date(2023, 4, 18) event_name = "DIAMOND" conn = dbconn("dawndb") upload_citco_products(index, affected_series, fund, event_date, conn, event_name) # terminate_old_trades(index, affected_series, fund, event_date, )