1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
|
from flask import (request, render_template, redirect,
url_for, send_from_directory, send_file, g, jsonify)
from .models import ModelForm, BondDeal, CDSDeal, SwaptionDeal, Counterparties
from sqlalchemy.exc import IntegrityError
from wtforms.fields import BooleanField
import pandas as pd
from pandas.tseries.offsets import CustomBusinessDay
from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
import os
import datetime
import redis
from .utils import load_counterparties, bump_rev, simple_serialize
from PyPDF2 import PdfFileMerger
from io import BytesIO
from . import app
import socket
import psycopg2
fed_cal = get_calendar('USFederalHolidayCalendar')
bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
bus_day = CustomBusinessDay(calendar=bond_cal())
def cp_choices():
return Counterparties.query.order_by('name').\
with_entities(Counterparties.code, Counterparties.name)
def get_queue():
q = getattr(g, 'queue', None)
if q is None:
hostname = socket.gethostname()
if hostname == 'debian':
q = g.queue = redis.Redis(unix_socket_path='/var/run/redis/redis.sock')
elif hostname =='gomez':
q = g.queue = redis.Redis(host='debian')
return q
def get_db():
db = getattr(g, '_database', None)
if db is None:
db = g._database = psycopg2.connect(database="serenitasdb",
user="serenitas_user",
host="debian")
return db
@app.teardown_appcontext
def close_connection(exception):
db = getattr(g, '_database', None)
if db is not None:
db.close()
class CounterpartyForm(ModelForm):
class Meta:
model = Counterparties
include_primary_keys = True
class BondForm(ModelForm):
upload_globeop = BooleanField(label="Upload to globeop?")
class Meta:
model = BondDeal
include_foreign_keys = True
exclude = ['dealid', 'lastupdate', #we generate it with a trigger at the server level
'principal_payment', 'accrued_payment']
class CDSForm(ModelForm):
upload_globeop = BooleanField(label="Upload to globeop?")
class Meta:
model = CDSDeal
include_foreign_keys = True
exclude = ['dealid', 'lastupdate']
class SwaptionForm(ModelForm):
upload_globeop = BooleanField(label="Upload to globeop?")
class Meta:
model = SwaptionDeal
include_foreign_keys = True
exclude = ['dealid', 'lastupdate']
def get_deal(kind):
if kind == 'cds':
return CDSDeal
elif kind == 'bond':
return BondDeal
elif kind == 'swaption':
return SwaptionDeal
else:
raise RuntimeError('Unknown Deal type')
def get_form(trade, kind):
if kind == 'cds':
Form = CDSForm
elif kind == 'bond':
Form = BondForm
elif kind == 'swaption':
Form = SwaptionForm
else:
raise RuntimeError('Unknown Deal type')
if trade.id:
form = Form(obj = trade)
else:
today = pd.datetime.today()
if kind == 'cds':
tomorrow = today + pd.DateOffset(1)
form = Form(trade_date = today.date(),
effective_date = tomorrow.date(),
upfront_settle_date = today.date() + 3 * bus_day)
else:
form = Form(trade_date = today.date(),
settle_date = today.date() + 3 * bus_day)
#add extra empty fields
empty_choice = (None, '')
for attr in ['folder', 'buysell', 'asset_class', 'swaption_type']:
try:
dropdown = getattr(form, attr)
if dropdown.choices[0] != empty_choice:
dropdown.choices.insert(0, empty_choice)
except AttributeError:
continue
return form
def get_trade(tradeid, kind):
Deal = get_deal(kind)
return Deal.query.get(tradeid) if tradeid else Deal()
def save_ticket(trade, old_ticket_name):
if trade.ticket.filename:
if old_ticket_name:
new_name = bump_rev(old_ticket_name)
else:
new_name = "{0} {1}.pdf".format(str(trade.trade_date),
trade.description)
trade.ticket.save(os.path.join(app.config['TICKETS_FOLDER'],
new_name))
trade.ticket = new_name
else:
trade.ticket = old_ticket_name
@app.route('/trades/<kind>/<int:tradeid>', methods = ['GET', 'POST'])
@app.route('/trades/<kind>/', defaults = {'tradeid': None}, methods = ['GET', 'POST'])
@app.route('/trades/', defaults = {'tradeid': None, 'kind': 'bond'}, methods = ['GET', 'POST'])
def trade_manage(tradeid, kind):
trade = get_trade(tradeid, kind)
form = get_form(trade, kind)
if kind == 'bond':
old_ticket_name = trade.ticket
form.cp_code.choices = form.cp_code.choices + list(cp_choices())
if form.validate_on_submit():
form.populate_obj(trade)
session = form.get_session()
if not tradeid:
session.add(trade)
if kind == 'bond':
save_ticket(trade, old_ticket_name)
try:
session.commit()
except IntegrityError as e:
app.logger.error(e)
session.rollback()
return render_template('trade_entry.html', form = form,
action_url =
url_for('trade_manage', tradeid = tradeid, kind = kind))
else:
if form.upload_globeop.data:
q = get_queue()
q.rpush('{0}_trades'.format(kind), simple_serialize(trade))
return redirect(url_for('list_trades', kind=kind))
return render_template('trade_entry.html', form=form,
action_url = url_for('trade_manage', tradeid = tradeid, kind = kind))
@app.route('/', defaults = {'kind': 'bond'})
@app.route('/blotter/<kind>')
@app.route('/blotter/', defaults = {'kind': 'bond'})
def list_trades(kind):
Deal = get_deal(kind)
trade_list = Deal.query.order_by(Deal.trade_date.desc(), Deal.id.desc())
return render_template('{}_blotter.html'.format(kind), trades=trade_list.all())
@app.route('/tickets/<int:tradeid>')
def download_ticket(tradeid):
trade = BondDeal.query.get(tradeid)
pdf = PdfFileMerger()
pdf.append(os.path.join(app.config['TICKETS_FOLDER'], trade.ticket))
pdf.append(os.path.join(app.config['CP_FOLDER'], trade.counterparty.instructions))
fh = BytesIO()
pdf.write(fh)
pdf.close()
fh.seek(0)
return send_file(fh, mimetype='application/pdf')
@app.route('/counterparties/<path:instr>', methods = ['GET'])
@app.route('/counterparties/', defaults = {'instr': None}, methods = ['GET'])
def list_counterparties(instr):
if instr:
return send_from_directory(filename = instr,
directory = app.config['CP_FOLDER'],
mimetype='application/pdf')
else:
cp_list = Counterparties.query.order_by(Counterparties.name)
return render_template('counterparties.html', counterparties = cp_list.all())
@app.route('/edit_cp/<cpcode>', methods = ['GET', 'POST'])
@app.route('/edit_cp/', defaults = {'cpcode': None}, methods = ['GET', 'POST'])
def edit_counterparty(cpcode):
if cpcode:
cp = Counterparties.query.get(cpcode)
cp_form = CounterpartyForm(obj = cp)
else:
cp = Counterparties()
cp_form = CounterpartyForm()
old_instructions = cp.instructions or None
if cp_form.validate_on_submit():
cp_form.populate_obj(cp)
session = cp_form.get_session()
if not cpcode:
session.add(cp)
instructions = cp.instructions
if instructions.filename == '':
cp.instructions = old_instructions
else:
cp.instructions = cp.name + '.pdf'
instructions.save(os.path.join(app.config['CP_FOLDER'],
cp.instructions))
session.commit()
return redirect(url_for('list_counterparties'))
else:
return render_template('edit_cp.html', form=cp_form, code=cpcode)
@app.route('/_ajax', methods = ['GET'])
def get_bbg_id():
bbg_id = request.args.get('bbg_id')
try:
_, indextype, _, series, tenor = bbg_id.split()
except ValueError:
return "not a valid bloomberg description", 400
indextype = indextype[:2]
tenor = tenor[:-1] + 'yr'
series = int(series[1:])
sqlstr1 = "SELECT * FROM index_redcode(%s::index_type, %s::smallint, %s)"
sqlstr2 = "SELECT maturity, coupon FROM index_maturity WHERE index=%s and series=%s and tenor=%s"
db = get_db()
with db.cursor() as c:
print(indextype, series)
c.execute(sqlstr1, (indextype, series, pd.datetime.today().date()))
(redcode,) = c.fetchone()
c.execute(sqlstr2, (indextype, series, tenor))
maturity, coupon = c.fetchone()
return jsonify({'maturity': maturity.strftime('%Y-%m-%d'), 'redcode': redcode, 'coupon': coupon})
|
