import psycopg2 import os import datetime from datetime import date import csv, sys, re import pdb from common import root, sanitize_float from db import conn import logging def convertToNone(s): return None if s in ["", "-", "NR"] else s def upload_cusip_data(conn, filename): dealupdate = {} with open( filename, "r") as fh: dr = csv.DictReader(fh, dialect='excel-tab') data = [] deals_to_update = [] for line in dr: if "ISIN" not in line: line['ISIN'] = None sp = line["Tranche"].split(",") if len(sp)==2: line["dealname"], line["tranche"] = sp else: continue line["dealname"] = line["dealname"].lower() dealname = line['dealname'] line = {k: convertToNone(v) for k, v in line.items()} if dealname not in dealupdate: with conn.cursor() as c: c.execute("SELECT \"Latest Update\" FROM clo_universe " \ "WHERE dealname = %s ORDER BY \"Latest Update\" DESC", (dealname,)) dealupdate[dealname] = c.fetchone()[0] sqlstring = "SELECT updatedate FROM latest_cusip_universe WHERE cusip = %s" with conn.cursor() as c: c.execute(sqlstring, (line['CUSIP'],)) curr_date = c.fetchone() conn.commit() if not curr_date or curr_date[0] < dealupdate[dealname]: if dealname not in deals_to_update: deals_to_update.append(dealname) line['updatedate'] = dealupdate[dealname] try: for key in ['Curr Balance', 'Orig Balance', 'Orig Attachment Point', 'Curr Attachment Point (def at MV)', 'Orig Detachment Point', 'Curr Detachment Point (def at MV)', 'Factor', 'Coupon', 'Floater Spread/Margin']: if line[key]: line[key] = sanitize_float(line[key]) line[key] = convertToNone(line[key]) except ValueError: continue line['Curr Attachment Point'] = line['Curr Attachment Point (def at MV)'] line['Curr Detachment Point'] = line['Curr Detachment Point (def at MV)'] if "Curr Moody" not in line: line['Curr Moody'] = line['Orig Moody'] sqlstring = "INSERT INTO cusip_universe(Cusip, ISIN, \"Bloomberg Ticker\", dealname, tranche, " \ "Coupon, Orig_Balance, Curr_Balance, Factor, Orig_Moody, Curr_Moody, " \ "Orig_Attach, Orig_Detach, Curr_Attach, Curr_Detach, Floater_Index, " \ "Spread, updatedate) " \ "VALUES(%(CUSIP)s, %(ISIN)s, %(Bloomberg Ticker)s, %(dealname)s, %(tranche)s, %(Coupon)s, " \ "%(Orig Balance)s, %(Curr Balance)s, %(Factor)s, %(Orig Moody)s, %(Curr Moody)s, " \ "%(Orig Attachment Point)s, %(Orig Detachment Point)s, "\ "%(Curr Attachment Point)s, %(Curr Detachment Point)s, " \ "%(Floater Index)s, %(Floater Spread/Margin)s, %(updatedate)s)" try: with conn.cursor() as c: c.execute(sqlstring, line) except psycopg2.DataError as e: logging.error(e) logging.debug("uploaded: {0}".format(line['CUSIP'])) conn.commit() # for dealname in deals_to_update: # with conn.cursor() as c: # c.execute("SELECT p_cusip, p_curr_subordination, "\ # "p_curr_thickness from et_deal_subordination(%s)", # (dealname,)) # data = [ (t[1], t[2], t[0], dealupdate[dealname]) for t in c] # c.executemany("UPDATE cusip_universe SET subordination = %s, " # "thickness = %s WHERE cusip = %s AND " # "updatedate = %s", data) # conn.commit() def upload_deal_data(conn, filename): sqlstr = "select dealname, array_agg(\"Latest Update\") from clo_universe group by dealname" with conn.cursor() as c: c.execute(sqlstr) deallist1 = dict(c) sqlstr = "select dealname from deal_indicative" with conn.cursor() as c: c.execute(sqlstr) deallist2 = [d[0] for d in c] conn.commit() with open( filename, "r") as fh: dr = csv.DictReader(fh, dialect='excel-tab') data = [] for line in dr: if not line['Deal Name, Tranche Name'] or (line['Deal Name, Tranche Name'] == 'Unknown Security'): continue if not line['Latest Update']: continue for key in line.keys(): line[key] = convertToNone(line[key]) line["CDOpercent"] = line["CDO Pct of Assets that are Structured Finance Obligations"] line["Paid Down"] = None if "Paid Down" in line["Latest Update"]: line["Paid Down"] = re.sub("Paid Down: ","", line["Latest Update"]) line["Latest Update"] = line["Paid Down"] for field in ["Deal Issue Date", "Deal Termination Date", "Reinv End Date", \ "Latest Update", "Pay Day", "Deal First Pay Date", "Paid Down"]: if line[field]: try: line[field] = datetime.datetime.strptime(line[field], '%b %d, %Y').date() except ValueError: pdb.set_trace() if line["Pay Day"]: line["Pay Day"] = line["Pay Day"].day for key in ["Collection Account Principal Balance", "Collection Account Interest Balance", "Curr Deal Bal", "Tranche Curr Bal", "CDO Pct of Assets that are Structured Finance Obligations", "CDO Defaulted Security Balance (Reported)"]: if line[key]: line[key] = sanitize_float(line[key]) line['Deal/Tranche ID'] = line['Deal/Tranche ID'].lower() dealname = line['Deal/Tranche ID'] line['defaultedbal'] = line["CDO Defaulted Security Balance (Reported)"] if dealname not in deallist2: for key in ["Orig Deal Bal", "Tranche Orig Bal"]: if line[key]: line[key] = sanitize_float(line[key]) if line['Deal CUSIP List']: line['Deal CUSIP List'] = line['Deal CUSIP List'].split(",") sqlstr = "INSERT INTO deal_indicative VALUES( %(Deal/Tranche ID)s, %(Deal Name)s, " \ "%(Collateral Manager)s, %(Deal Issue Date)s, %(Deal Termination Date)s, " \ "%(Pay Day)s, %(Reinv End Date)s, %(Deal First Pay Date)s, %(Orig Deal Bal)s, " \ "%(Tranche Orig Bal)s, %(Deal CUSIP List)s, %(Paid Down)s)" try: with conn.cursor() as c: c.execute(sqlstr, line) except (psycopg2.DataError, KeyError) as detail: logging.error(detail) pdb.set_trace() with conn.cursor() as c: if line['Paid Down']: c.execute("UPDATE deal_indicative SET paid_down=%s WHERE dealname=%s", (line['Paid Down'], dealname)) if dealname not in deallist1 or line['Latest Update'] not in deallist1[dealname]: sqlstring = \ "INSERT INTO clo_universe " \ "VALUES (%(Deal/Tranche ID)s, %(Curr Deal Bal)s, %(Tranche Curr Bal)s, " \ "%(Tranche Factor)s, %(Collection Account Principal Balance)s, " \ "%(Collection Account Interest Balance)s, %(CDOpercent)s, %(defaultedbal)s, " \ "%(Coupon)s, %(Latest Update)s)" try: with conn.cursor() as c: c.execute(sqlstring, line) deallist1[dealname] = [line['Latest Update']] except (psycopg2.DataError, KeyError) as detail: logging.error(detail) pdb.set_trace() conn.commit() if __name__=="__main__": if len(sys.argv) > 1: workdate = sys.argv[1] else: workdate = str(datetime.date.today()) files = [os.path.join(root, "data", "Indicative_" + workdate, f) for f in os.listdir(os.path.join(root, "data", "Indicative_" + workdate))] cusip_files = [f for f in files if "TrInfo" in f] deal_files = [f for f in files if "TrInfo" not in f] #first load deal data for deal in deal_files: upload_deal_data(conn, deal) #then load tranche data for cusip in cusip_files: upload_cusip_data(conn, cusip) conn.close()