path: root/python/Dawn/views.py

import datetime
import os
import pandas as pd
import psycopg2
import redis
import socket

from flask import (request, render_template, redirect,
                   url_for, send_from_directory, send_file, g, jsonify)

from .models import (ModelForm, CASH_STRAT, CCY,
                     BondDeal, CDSDeal, SwaptionDeal, FutureDeal, CashFlowDeal,
                     Counterparties, Accounts)

from sqlalchemy.exc import IntegrityError
from wtforms.fields import BooleanField

from pandas.tseries.offsets import CustomBusinessDay
from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday

from .utils import bump_rev, simple_serialize
from PyPDF2 import PdfFileMerger
from io import BytesIO
from . import app
from . import db

fed_cal = get_calendar('USFederalHolidayCalendar')
bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday)
bus_day = CustomBusinessDay(calendar=bond_cal())

def cp_choices(kind='bond'):
    if kind == 'bond':
        return (Counterparties.query.order_by('name').
                with_entities(Counterparties.code, Counterparties.name))
    elif kind == 'future':
        return []
    elif kind == 'cds' or kind == 'swaption':
        return (Counterparties.query.
                order_by('name').
                filter(Counterparties.name.ilike('%CDS%')).
                with_entities(Counterparties.code, Counterparties.name))

def account_codes():
    return Accounts.query.order_by('code').with_entities(Accounts.code, Accounts.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')
        else:
            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']

class FutureForm(ModelForm):
    upload_globeop = BooleanField(label="Upload to globeop?")
    class Meta:
        model = FutureDeal
        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
    elif kind == 'future':
        return FutureDeal
    else:
        raise RuntimeError(f'Unknown Deal type: {kind}')

def _get_form(kind):
    if kind == 'cds':
        return CDSForm
    elif kind == 'bond':
        return BondForm
    elif kind == 'swaption':
        return SwaptionForm
    elif kind == 'future':
        return FutureForm
    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 in ['cds', 'swaption']:
            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() + 2 * 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_wire_form(wire):
    if wire.id:
        return WireForm(obj=trade)
    else:
        today = pd.datetime.today()
        form = WireForm(trade_date=today.date())
        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

def split_direction(g, direction):
    if direction == "outgoing":
        return [{"folder": cf.folder, "amount": -cf.amount, "code": cf.code,
                 "currency": cf.currency, "action": cf.action}
                for cf in g if cf.amount < 0]
    elif direction == "incoming":
        return [{"folder": cf.folder, "amount": cf.amount, "code": cf.code,
                 "currency": cf.currency, "action": cf.action}
                for cf in g if cf.amount > 0]
    else:
        raise ValueError("direction can be one of 'outgoing' or 'incoming'")

def gen_cashflow_deals(form, session, wire_id=None):
    to_date = lambda s: datetime.datetime.strptime(s, "%Y-%m-%d")
    d = {'action': form.get("action"),
         'trade_date': form.get("trade_date", None, to_date)}

    for direction in ["incoming", "outgoing"]:
        count = 1
        while True:
            if f"{direction}-code-{count}" not in form:
                break
            else:
                d .update({field: form.get(f"{direction}-{field}-{count}") for field \
                           in ["folder", "code", "amount", "currency"]})
                count += 1
                if direction == "outgoing":
                    d['amount'] = - float(d['amount'])
                elif direction == "incoming":
                    d['amount'] = float(d['amount'])
                else:
                    raise ValueError("direction needs to be 'outgoing' or 'incoming'")
                if wire_id:
                    cf = CashFlowDeal.query.get(wire_id)
                    for k, v in d.items():
                        setattr(cf, k, v)
                    yield cf
                else:
                    cf = CashFlowDeal(**d)
                    session.add(cf); yield cf

@app.route('/wires/<int:wire_id>', methods = ['GET', 'POST'])
@app.route('/wires/', defaults={'wire_id': None}, methods=['GET', 'POST'])
def wire_manage(wire_id):
    if request.method == 'POST':
        wires = list(gen_cashflow_deals(request.form, db.session, wire_id))

        try:
            db.session.commit()
        except IntegrityError as e:
            app.logger.error(e)
            db.session.rollback()
            return render_template('wire_entry.html',
                                   strategies=CASH_STRAT.enums,
                                   currencies=CCY.enums,
                                   accounts=account_codes(),
                                   outgoing_wires=split_direction(wires, "outgoing"),
                                   incoming_wires=split_direction(wires, "incoming"),
                                   action=request.form.get('action'),
                                   trade_date=request.form.get('trade_date'))
        else:
            if request.form.get('upload_globeop') == 'y':
                q = get_queue()
                for wire in wires:
                    q.rpush('wires', simple_serialize(wire))
            return redirect(url_for('list_trades', kind='wire'))

    wire = CashFlowDeal() if wire_id is None else CashFlowDeal.query.get(wire_id)
    return render_template('wire_entry.html',
                           strategies=CASH_STRAT.enums,
                           currencies=CCY.enums,
                           accounts=account_codes(),
                           outgoing_wires=split_direction([wire], "outgoing") if wire_id else [],
                           incoming_wires=split_direction([wire], "incoming") if wire_id else [],
                           trade_date=wire.trade_date if wire_id else datetime.date.today(),
                           action_url=url_for('wire_manage', wire_id=wire_id),
                           action=wire.action if wire_id else None)


@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(kind))
    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(f'{kind}_trades', 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(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('/<kind>')
def list_trades(kind):
    if kind == 'wire':
        Deal = CashFlowDeal
    else:
        Deal = get_deal(kind)
    trade_list = Deal.query.order_by(Deal.trade_date.desc(), Deal.id.desc())
    return render_template(f'{kind}_blotter.html', 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:
        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})