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from bbg_helpers import init_bbg_session, retrieve_data, BBG_IP
from sqlalchemy import create_engine
import numpy as np
import pandas as pd
from psycopg2.extensions import register_adapter, AsIs
register_adapter(pd.tslib.NaTType, lambda nat: AsIs(None))
engine = create_engine('postgresql://et_user@debian/ET')
fields_update = ["LN_ISSUE_STATUS", "AMT_OUTSTANDING", "PX_LAST","LAST_UPDATE_DT",
"LN_CURRENT_MARGIN", "DEFAULTED", "DEFAULT_DATE",
"CALLED", "CALLED_DT", "PRICING_SOURCE"]
# append securities to request
cusips = pd.read_sql_query("SELECT id_bb_unique, substring(id_bb_unique from 3) AS cusip " \
"FROM bloomberg_corp_ref " \
"WHERE (status is Null or status NOT IN ('REFINANCED','RETIRED', 'REPLACED')) "\
"AND not called", engine, index_col='cusip')
securities = ["{0} Corp".format(cusip) for cusip in cusips.index]
with init_bbg_session(BBG_IP) as session:
data = retrieve_data(session, securities, fields_update)
df = pd.DataFrame.from_dict(data, orient='index')
df['security'] = df.index.str.slice(0,9)
df.set_index(['security'], inplace=True)
df['ID_BB_UNIQUE'] = cusips['id_bb_unique']
df.reset_index(inplace=True)
to_insert = df[['DEFAULTED', 'DEFAULT_DATE', 'CALLED', 'CALLED_DT', 'LN_ISSUE_STATUS', 'ID_BB_UNIQUE']]
to_insert = to_insert.where(to_insert.notnull(), None)
conn = engine.raw_connection()
with conn.cursor() as c:
c.executemany("UPDATE bloomberg_corp_ref SET defaulted = %(DEFAULTED)s, " \
"default_date = %(DEFAULT_DATE)s, called= %(CALLED)s, called_date = %(CALLED_DT)s, " \
"status = %(LN_ISSUE_STATUS)s WHERE id_bb_unique=%(ID_BB_UNIQUE)s",
to_insert.to_dict('records'))
conn.commit()
currentdata = pd.read_sql_query("SELECT id_bb_unique, pricingdate from bloomberg_corp",
engine,
parse_dates=["pricingdate"],
index_col=['id_bb_unique', 'pricingdate'])
#no need to insert empty prices
df.dropna(subset=['PX_LAST', 'LAST_UPDATE_DT'], inplace=True)
df.set_index(['ID_BB_UNIQUE', 'LAST_UPDATE_DT'], inplace=True)
df = df.ix[df.index.difference(currentdata.index)]
df.index.names = ['ID_BB_UNIQUE', 'LAST_UPDATE_DT']
df.reset_index(inplace=True)
to_insert = df[['ID_BB_UNIQUE','LAST_UPDATE_DT','PX_LAST','LN_CURRENT_MARGIN',
'AMT_OUTSTANDING', 'PRICING_SOURCE']]
to_insert.columns = ['id_bb_unique', 'pricingdate', 'price', 'loan_margin',
'amount_outstanding', 'source']
to_insert.to_sql('bloomberg_corp', engine, if_exists='append', index=False)
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