import pandas as pd from . import DAILY_DIR def download_files(count=20): from exchange import ExchangeMessage em = ExchangeMessage() emails = em.get_msgs( path=["NYops", "Margin calls"], count=count, subject__contains="Margin" ) DATA_DIR = DAILY_DIR / "GS_reports" for msg in emails: for attach in msg.attachments: fname = attach.name if fname.endswith("xls"): p = DATA_DIR / fname if not p.exists(): p.write_bytes(attach.content) def load_file(d, pattern): try: fname = next( (DAILY_DIR / "GS_reports").glob(f"{pattern}*{d.strftime('%d_%b_%Y')}*") ) except StopIteration: raise FileNotFoundError(f"GS {pattern} file not found for date {d}") return pd.read_excel(fname, skiprows=9, skipfooter=77) def collateral(d, dawn_trades, *args): df = load_file(d, "Collateral_Detail") collateral = float(df.Quantity) df = load_file(d, "Trade_Detail") df = df[["Trade Id", "Transaction Type", "NPV (USD)", "Initial Margin Required"]] df = df.merge(dawn_trades, how="left", left_on="Trade Id", right_on="cpty_id") missing_ids = df.loc[df.cpty_id.isnull(), "Trade Id"] if not missing_ids.empty: raise ValueError(f"{missing_ids.tolist()} not in the database") df = df[["folder", "NPV (USD)", "Initial Margin Required"]] df = df.groupby("folder").sum() df = df.sum(axis=1).to_frame(name="Amount") df["Currency"] = "USD" df = df.reset_index() df.columns = ["Strategy", "Amount", "Currency"] df.Amount *= -1 df = df.append( { "Strategy": "M_CSH_CASH", "Amount": -collateral - df.Amount.sum(), "Currency": "USD", }, ignore_index=True, ) df["date"] = d return df.set_index("Strategy")