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from sqlalchemy import create_engine, MetaData, select, Column, func, bindparam
from collections import defaultdict
import pandas as pd
from db import conn
import numpy as np
from bbg_helpers import init_bbg_session, retreive_data, process_msgs
from psycopg2 import IntegrityError
engine = create_engine('postgresql://et_user@debian/ET')
meta = MetaData(bind=engine)
meta.reflect(only = ['bloomberg_corp_ref', 'bloomberg_corp', 'deal_indicative'])
deal_indicative = meta.tables['deal_indicative']
bloomberg_corp_ref = meta.tables['bloomberg_corp_ref']
bloomberg_corp = meta.tables['bloomberg_corp']
s = select([Column('cusip'), Column('loanxid')]).\
select_from(func.et_latestdealinfo(bindparam('dealname'))).where(Column('cusip')!=None)
# we build a dictionary with cusips as keys and values is a set of lonxids mapped to this cusip
result = select([deal_indicative.c.dealname]).execute()
d = defaultdict(set)
for r in result:
result2 = engine.execute(s, dealname = r.dealname)
for t in result2:
d[t.cusip].add(t.loanxid)
clean_mapping = ((cusip, loanxid - {None}) for cusip, loanxid in d.items())
def f(s):
if s:
return "{%s}" % ",".join(s)
else:
return ""
clean_mapping = {cusip: f(loanxid) for cusip, loanxid in clean_mapping}
mapping = pd.DataFrame.from_dict(clean_mapping, orient='index')
mapping.index.name = 'cusip'
mapping.columns = ['loanxid']
currentdata = pd.read_sql_query("select id_bb_unique, cusip from bloomberg_corp_ref",
engine, index_col='cusip')
mapping = mapping.ix[mapping.index.difference(currentdata.index)]
session = init_bbg_session('192.168.1.108', 8194)
all_fields = ["ISSUE_DT", "LN_ISSUE_STATUS", "ID_CUSIP", "ID_BB_UNIQUE",
"SECURITY_TYP", "AMT_OUTSTANDING", "PX_LAST","LAST_UPDATE_DT",
"ISSUER", "MATURITY","CPN","CPN_TYP", "CPN_FREQ","FLT_SPREAD",
"LIBOR_FLOOR","LN_CURRENT_MARGIN", "LN_TRANCHE_SIZE", "AMT_ISSUED",
"LN_COVENANT_LITE","SECOND_LIEN_INDICATOR","DEFAULTED", "DEFAULT_DATE",
"CALLED", "CALLED_DT", "PRICING_SOURCE"]
securities = ["{0} Corp".format(cusip) for cusip in mapping.index]
data = retreive_data(session, securities, all_fields)
df = process_msgs(data, all_fields)
df.security = df.security.str.slice(0,9)
df.set_index('security', inplace=True)
df.reset_index(inplace=True)
df['loanxid'] = mapping.loanxid
df.dropna(subset=['ID_BB_UNIQUE'], inplace=True)
df.loc[df.LN_TRANCHE_SIZE.isnull(),'LN_TRANCHE_SIZE'] = df[df.LN_TRANCHE_SIZE.isnull()].AMT_ISSUED.values
df.drop_duplicates(subset='ID_BB_UNIQUE', inplace=True)
df.set_index('ID_BB_UNIQUE', inplace=True, drop=False)
currentdata.set_index('id_bb_unique', inplace=True)
df = df.ix[df.index.difference(currentdata.index)]
sql_colnames = [c.name for c in bloomberg_corp_ref.columns]
to_insert = df[['ID_BB_UNIQUE', 'ID_CUSIP', 'ISSUER', 'MATURITY', 'CPN', 'CPN_TYP',
'CPN_FREQ', 'FLT_SPREAD', 'LIBOR_FLOOR', 'LN_TRANCHE_SIZE', 'LN_COVENANT_LITE',
'SECOND_LIEN_INDICATOR', 'SECURITY_TYP', 'ISSUE_DT', 'DEFAULTED',
'DEFAULT_DATE', 'CALLED', 'CALLED_DT', 'LN_ISSUE_STATUS', 'loanxid']]
to_insert.columns = sql_colnames
to_insert.to_sql("bloomberg_corp_ref", engine, if_exists='append', index=False)
to_insert2 = df[['ID_BB_UNIQUE','LAST_UPDATE_DT','PX_LAST','LN_CURRENT_MARGIN',
'AMT_OUTSTANDING','PRICING_SOURCE']]
sql_colnames = [c.name for c in bloomberg_corp.columns]
to_insert2.columns = sql_colnames
to_insert2.dropna(subset=['pricingdate'], inplace=True)
to_insert2.set_index(['id_bb_unique', 'pricingdate'], inplace=True)
to_insert2.to_sql("bloomberg_corp", engine, if_exists='append', index=True)
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