import pandas as pd import os import re import psycopg2 import datetime import bbg_helpers from db import dbconn from db import dbengine from pickle import dumps from sqlalchemy import create_engine from itertools import chain from glob import glob, iglob from pandas.tseries.offsets import MonthEnd, BDay def runAllFill(): for f in get_globs(): if settings[os.path.basename(f)][2] == "N": runSingleFill(f) print("done " + f) def runSingleFill(f): range_name, sheet_name, done = settings[os.path.basename(f)] markdate = pd.Timestamp(os.path.dirname(f).rsplit(os.path.sep, 1)[-1])-5*BDay() + MonthEnd() #change /usr/lib/python3.6/site-packages/xlrd/xlsx.py line 609 to check for ":" in ref as well. Otherwise single merged cells bombs marks = pd.read_excel(f, sheet_name, skiprows=13, parse_cols=range_name) df = pd.DataFrame() for s in ['1st', '2nd', '3rd'] +[str(i)+'th' for i in range(4, 12)]: if s+' Source Price' not in marks: break temp = marks[['CUSIP', s+' Source Price', s+' Source']] temp.columns = ['identifier', 'mark', 'source'] df = df.append(temp) df = df.dropna() df = df[df.mark != 0] df['date'] = markdate df['source'] = df['source'].str.upper() conn = dbconn('dawndb') sql_str = "INSERT INTO external_marks VALUES(%(identifier)s, %(date)s, %(mark)s, %(source)s) ON CONFLICT DO NOTHING" with conn.cursor() as c: for r in df.to_dict(orient='record'): try: c.execute(sql_str, r) except (psycopg2.DataError, psycopg2.IntegrityError) as detail: print(detail) conn.rollback() finally: conn.commit() def get_CUSIPs(): conn = dbconn('dawndb') sql_str = "select distinct cusip from bonds where asset_class = 'Subprime'" df = pd.read_sql_query(sql_str, dbengine('dawndb')) return df def get_BVAL(): BBG_IP = ['192.168.9.65'] bbgstartdate = pd.datetime(2013, 1, 1) hist_securities = get_CUSIPs()['cusip']+ ' Mtge' hist_fields = ['PX_LAST'] with bbg_helpers.init_bbg_session(BBG_IP) as session: hist_data = bbg_helpers.retrieve_data(session, hist_securities, hist_fields, start_date=bbgstartdate) hist_data1 = pd.concat(hist_data, axis = 1) hist_data1 = hist_data1.resample('1m', closed= 'right').last() hist_data1 = hist_data1.drop(pd.Timestamp('2017-02-28')).stack(level = -2) hist_data1['source'] = 'BVAL' hist_data1 = hist_data1.reset_index().rename(columns = {'level_1':'identifier', 'PX_LAST': 'mark'}) hist_data1.identifier = hist_data1.identifier.str[:9] return hist_data1 def pop_BVAL_to_database(df): conn = dbconn('dawndb') sql_str = "INSERT INTO external_marks VALUES(%(identifier)s, %(date)s, %(mark)s, %(source)s) ON CONFLICT DO NOTHING" with conn.cursor() as c: for r in df.to_dict(orient='record'): try: c.execute(sql_str, r) except (psycopg2.DataError, psycopg2.IntegrityError) as detail: print(detail) conn.rollback() finally: conn.commit() def get_globs(): basedir = '/home/serenitas/Daily' globs = [iglob(os.path.join(basedir, year, "{}_*/{}*/ReviewedPack*.xlsx".format(year, year))) for year in ['2015', '2016', '2017', '2018']] for year in ['2013', '2014']: globs.append(iglob(os.path.join(basedir, year, "{}_*/{}*/Serenitas_Month-end_book*.xlsx".format(year, year)))) return chain.from_iterable(globs) settings = { 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20181001.20181031.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.jmircovi.SERENITAS.SERCGMAST.20180901.20180930.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180801.20180831.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180701.20180731.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180601.20180630.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.jipark.SERENITAS.SERCGMAST.20180501.20180531.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180401.20180430.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180301.20180331.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.pcharubh.SERENITAS.SERCGMAST.20180201.20180228.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20180101.20180131.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20171201.20171231.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 'ReviewedPack.bseeman.SERENITAS.SERCGMAST.20171101.20171130.Draft.xlsx': ("JA:JX", "Securities Valuation Details", "Y"), 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