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from serenitas.ops.trade_dataclasses import Deal
from dataclasses import dataclass
import datetime
from typing import Literal
from serenitas.utils.db2 import dbconn
firmness = Literal["FIRM", "INDICATIVE"]
def maturity_dt(d):
try:
return datetime.date(
int(d["maturityyear"]), int(d["maturitymonth"]), int(d["maturityday"])
)
except (
ValueError,
KeyError,
): # Sometimes maturity isn't included but we still have tenor
return
class MarkitQuoteKind:
def __class_getitem__(cls, quote_type: str):
match quote_type:
case "CD":
return SingleNameQuote
case "ABS":
return BondQuote
case "TRS":
return TRSQuote
class MarkitQuote(Deal, table_name=None, deal_type=None):
def __init_subclass__(cls, deal_type, table_name: str, **kwargs):
super().__init_subclass__(deal_type=deal_type, table_name=table_name, **kwargs)
cls._sql_insert = cls._sql_insert.replace(
"RETURNING *", "ON CONFLICT (quoteid) DO NOTHING RETURNING *"
)
cls.init_dbconn(dbconn("serenitasdb"))
@classmethod
def from_markit_line(cls, d):
base_attributes = {
"msg_id": d["message"]["id"],
"quotedate": datetime.datetime.fromtimestamp(d["receiveddatetime"] / 1000),
"quotesource": d["sourceshortname"],
}
return base_attributes
@classmethod
def clear(cls):
cls._insert_queue.clear()
@classmethod
def already_uploaded(cls):
with cls._conn.cursor() as c:
c.execute(f"SELECT distinct msg_id as msg_id FROM {cls._table_name}")
return set(row.msg_id for row in c)
# TODO
# @property
# def message(self):
# return QuoteDetails.from_tradeid(self.msg_id)
@dataclass
class SingleNameQuote(
MarkitQuote, table_name="markit_singlename_quotes", deal_type=None
):
quoteid: int
msg_id: str
quotesource: str
confidence: int
redcode: str = None
ticker: str = None
maturity: datetime.date = None
tenor: int = None
runningcoupon: int = None
bidconventionalspread: float = None
bidupfront: float = None
bidsize: float = None
askconventionalspread: float = None
askupfront: float = None
asksize: float = None
firmness: firmness = None
quotedate: datetime.datetime = None
@classmethod
def from_markit_line(cls, d):
base_attributes = super().from_markit_line(d)
additional_attributes = {
"maturity": maturity_dt(d),
"tenor": f"{d['tenor']}Y",
}
d.update(base_attributes | additional_attributes)
return cls.from_dict(**d)
@dataclass
class BondQuote(MarkitQuote, table_name="markit_bond_quotes", deal_type=None):
quoteid: int
msg_id: str
quotesource: str
confidence: int
identifier: str = None
cusip: str = None
bidprice: float = None
bidsize: float = None
askprice: float = None
asksize: float = None
pricelevel: float = None
subtype: str = None
quotetype: str = None
firmness: firmness = None
quotedate: datetime.datetime = None
@classmethod
def from_markit_line(cls, d):
base_attributes = super().from_markit_line(d)
additional_attributes = {
"identifier": d["internalinstrumentidentifier"],
"pricelevel": d.get("pricelevelnormalized"),
}
d.update(base_attributes | additional_attributes)
return cls.from_dict(**d)
@dataclass
class TRSQuote(MarkitQuote, table_name="markit_trs_quotes", deal_type=None):
quoteid: int
msg_id: str
quotesource: str
confidence: int
maturity: datetime.date
identifier: str = None
bidlevel: float = None
asklevel: float = None
nav: float = None
ref: float = None
firmness: firmness = None
funding_benchmark: str = None
quotedate: datetime.datetime = None
@classmethod
def from_markit_line(cls, d):
base_attributes = super().from_markit_line(d)
additional_attributes = {
"identifier": d["ticker"],
"ref": d.get("reference"),
"nav": d.get("inavparsed"),
"funding_benchmark": d.get("parsedbenchmark"),
"maturity": maturity_dt(d),
}
d.update(base_attributes | additional_attributes)
return cls.from_dict(**d)
|
