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import datetime
import logging
from serenitas.analytics.bbg_helpers import bbg_retry, retrieve_data
from markit.import_quotes import get_basketids, get_bbg_tickers
from serenitas.utils import SerenitasFileHandler
from serenitas.utils.db import dbconn
logger = logging.getLogger("bbg_quotes")
fh = SerenitasFileHandler("bbg_quotes.log")
logger.addHandler(fh)
logger.setLevel(logging.INFO)
workdate = datetime.date.today()
serenitasdb = dbconn("serenitasdb")
basket_ids = get_basketids(serenitasdb, workdate)
bbg_tickers = set(get_bbg_tickers(serenitasdb, basket_ids, workdate))
logger.info("got bbg tickers")
securities = [f"{ticker} Curncy" for ticker in bbg_tickers]
fields = ["UPFRONT_RUNNING_SPREAD", "UPFRONT_BID", "UPFRONT_ASK", "CDS_RECOVERY_RT"]
@bbg_retry(2)
def bbg_call(session, securities, fields, r):
for pcs in ["CBGN", "CMAN"]: # , 'CMAN', 'MSG1']:
logger.info(f"Retrieving quotes for {pcs}")
r[pcs] = retrieve_data(
session, securities, fields, overrides={"PRICING_SOURCE": pcs}
)
r = {}
bbg_call(securities, fields, r)
sql_str = f"INSERT INTO cds_quotes VALUES({','.join(['%s'] * 8)})"
def build_tuple(k, v, workdate, source):
return (
workdate,
k.split()[0],
v.get("UPFRONT_BID"),
v.get("UPFRONT_ASK"),
v.get("UPFRONT_RUNNING_SPREAD"),
v.get("UPFRONT_RUNNING_SPREAD"),
source,
v.get("CDS_RECOVERY_RT"),
)
for pcs in ["CBGN", "CMAN"]:
logger.info(f"Inserting quotes for {pcs}")
with serenitasdb.cursor() as c:
c.executemany(
sql_str, [build_tuple(k, v, workdate, pcs) for k, v in r[pcs].items()]
)
serenitasdb.commit()
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