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from bbg_helpers import BBG_IP, init_bbg_session, retrieve_data
from psycopg2.extensions import connection
from typing import List, Dict, Tuple
import datetime
import pandas as pd
def insert_bbg_tickers(
conn: connection, tickers: List[str]
) -> Dict[str, Tuple[str, str]]:
""" insert bbg tickers into the database
Parameters
----------
conn: psycopg2 connection
ticker: list of bloomberg tickers
Returns
-------
dict mapping list of tickers to (company_id, seniority)
"""
fields = [
"cds_company_id",
"cds_company_name",
"crncy",
"cds_restructuring_type",
"cds_corp_tkr",
"sw_seniority",
"cds_curve_info",
"restructuring_type_short_code",
]
securities = [f"{t} Corp" for t in tickers]
with init_bbg_session(BBG_IP) as session:
ticker_data = retrieve_data(session, securities, fields)
placeholder = ",".join(["%s"] * 8)
sql_str = (
"INSERT INTO bbg_issuers(name, company_id, ticker, currency,"
"seniority, doc_clause, cds_curve, short_code) "
f"VALUES({placeholder}) "
"ON CONFLICT DO NOTHING"
)
d = {}
with conn.cursor() as c:
for k, v in ticker_data.items():
c.execute(
sql_str,
(
v["cds_company_name"],
v["cds_company_id"],
v.get("cds_corp_tkr"),
v["crncy"],
v["sw_seniority"],
v["cds_restructuring_type"].replace("-", " "),
v["cds_curve_info"]["Ticker"].to_list(),
v["restructuring_type_short_code"],
),
)
d[k.split()[0]] = (v["cds_company_id"], v["sw_seniority"])
conn.commit()
return d
def insert_bbg_markit_mapping(
conn: connection, d: Dict[str, Tuple[str, str]], df: pd.DataFrame
):
sql_str = (
"INSERT INTO bbg_markit_mapping VALUES(%s, %s, %s, %s, %s, %s) "
"ON CONFLICT DO NOTHING"
)
with conn.cursor() as c:
for markit_ticker, bbg_ticker in df.itertuples(index=False):
company_id, seniority = d[bbg_ticker]
mkit_tier = "SNRFOR" if seniority == "Senior" else "SUBLT2"
c.execute(
sql_str,
("infinity", company_id, markit_ticker, mkit_tier, 100, seniority),
)
conn.commit()
def backpopulate_short_codes(conn: connection):
with conn.cursor() as c:
c.execute("SELECT cds_curve[6] from bbg_issuers")
securities = [f"{t} Corp" for t, in c]
with init_bbg_session(BBG_IP) as session:
short_code = retrieve_data(
session, securities, ["restructuring_type_short_code", "cds_company_id"]
)
sql_str = "UPDATE bbg_issuers SET short_code=%s WHERE company_id=%s"
with conn.cursor() as c:
for v in short_code.values():
if "restructuring_type_short_code" in v:
c.execute(
sql_str, (v["restructuring_type_short_code"], v["cds_company_id"])
)
c.executemany(
sql_str,
[
(v["restructuring_type_short_code"], v["cds_company_id"])
for v in short_code.values()
if "restructuring_type_short_code" in v
],
)
conn.commit()
def get_bbg_ids(
conn: connection, df: pd.DataFrame, date: datetime.date = datetime.date.today()
) -> pd.DataFrame:
df_mapping = pd.read_sql_query(
"SELECT company_id, markit_ticker, markit_tier, "
"seniority FROM historical_cds_issuers(%s) "
"WHERE markit_ticker IS NOT NULL",
conn,
params=(date,),
index_col=["markit_ticker", "markit_tier"],
)
df.columns = ["markit_ticker", "markit_tier"]
df = df.set_index(["markit_ticker", "markit_tier"])
df = df.join(df_mapping).groupby(level=["markit_ticker", "markit_tier"]).first()
df.company_id = df.company_id.astype("Int64")
return df
def get_basketid(conn: connection, name: str) -> Tuple[int, int]:
with conn.cursor() as c:
c.execute("SELECT max(series)+1 FROM index_version where index='BS'")
(serie,) = c.fetchone()
c.execute(
"INSERT INTO index_version(index, series, version, redindexcode) "
"VALUES('BS', %s, 1, %s) RETURNING basketid",
(serie, name),
)
(basket_id,) = c.fetchone()
conn.commit()
return serie, basket_id
def add_basket_constituents(
conn: connection, basketid: int, df: pd.DataFrame = pd.read_clipboard(header=None)
):
df_bbg = get_bbg_ids(conn, df.iloc[:, :2])
df.columns = ["markit_ticker", "markit_tier", "weight"]
df = df.set_index(["markit_ticker", "markit_tier"])
df = df.join(df_bbg)
with conn.cursor() as c:
c.executemany(
"INSERT INTO basket_constituents VALUES(%s, %s, %s, %s)",
[
(t.company_id, t.seniority, basketid, t.weight)
for t in df.itertuples(index=False)
],
)
conn.commit()
if __name__ == "__main__":
df = pd.read_clipboard(header=None)
from utils.db import serenitas_pool
conn = serenitas_pool.getconn()
df = get_bbg_ids(conn, pd.read_clipboard(header=None))
# missing tickers
missing_tickers = df[df.company_id.isnull()]
df_mapping = pd.read_clipboard(header=None)
bbg_tickers = df_mapping[1].to_list()
d = insert_bbg_tickers(conn, bbg_tickers)
insert_bbg_markit_mapping(conn, d, df_mapping)
serenitas_pool.putconn(conn)
|
