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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 == 'ziggy':
q = g.queue = redis.Redis(unix_socket_path='/run/redis/redis.sock')
elif hostname == 'debian':
q = g.queue = redis.Redis(host='ziggy')
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(kind):
if kind == 'cds':
return CDSForm
elif kind == 'bond':
return BondForm
elif kind == 'swaption':
return SwaptionForm
else:
raise RuntimeError('Unknown Deal type')
def get_form(trade, kind):
Form = _get_form(kind)
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:
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(kind)()
form.cp_code.choices = form.cp_code.choices + list(cp_choices())
if kind == 'bond':
old_ticket_name = trade.ticket
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))
else:
form = get_form(trade, kind)
form.cp_code.choices = form.cp_code.choices + list(cp_choices())
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)
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_form.instructions
if not instructions.data:
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=CounterpartyForm(obj=cp), 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})
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