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from serenitas.utils.env import DAILY_DIR
from serenitas.utils.remote import SftpClient
import datetime
import pytz
from stat import S_ISREG
import csv
from process_queue import rename_keys
from serenitas.utils.db import dbconn
from collections import defaultdict
fund_dictionary = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"}
fcm_dictionary = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"}
cdx_cp_dictionary = {
"MSDU": "MSCSNY",
"GSMX": "GOLDNY",
"JPGP": "JPCBNY",
"JFF": "JEFF",
"BMLE": "BAMSNY",
"BARX": "BARCNY",
"CSDA": "CSFBBO",
"EBNP": "BNPBNY",
"WFCD": "WELFEI",
"BSEF": "BSEONY",
"JPOS": "JPCBNY",
"CGCI": "CITINY",
}
bond_cp_dictionary = {
"CG": "CITINY",
"WFBS": "WELFEI",
"MZZ": "MIZUNY",
"BABS": "BAML",
"PTRU": "PERFCH",
"BARC": "BARCNY",
"MS": "MORGNY",
"BA": "BAML",
"FB": "CSUINY",
"INTC": "STONEX",
"SOCG": "SGSANY",
"NOM": "NOMINY",
"JP": "JPCBNY",
"BTIG": "BTIG",
}
sql_str_by_trade = {
"CDX": "INSERT INTO cds (action, folder, cp_code, account_code, trade_date, effective_date, maturity, currency, payment_rolldate, notional, fixed_rate, day_count, frequency, protection, security_id, security_desc, upfront, upfront_settle_date, swap_type, clearing_facility, portfolio, fund) "
"VALUES (%(action)s, %(folder)s, %(cp_code)s, %(account_code)s, %(trade_date)s, %(effective_date)s, %(maturity)s, %(currency)s, %(payment_rolldate)s, %(notional)s, %(fixed_rate)s, %(day_count)s, %(frequency)s, %(protection)s, %(security_id)s, %(security_desc)s, %(upfront)s, %(upfront_settle_date)s, %(swap_type)s, %(clearing_facility)s, %(portfolio)s, %(fund)s);",
"BOND": "INSERT INTO bonds(folder, cp_code, trade_date, settle_date, cusip, identifier, description, buysell, faceamount, price, asset_class ) "
"VALUES (%(folder)s, %(cp_code)s, %(trade_date)s, %(settle_date)s, %(cusip)s, %(identifier)s, %(description)s, %(buysell)s, %(faceamount)s, %(price)s, %(asset_class)s)",
}
def download_files(date):
downloaded_files = []
sftp = SftpClient.from_creds("bbg")
dst = DAILY_DIR / f"{date:%Y-%m-%d}" / "bbg_tickets"
if not dst.exists():
dst.mkdir()
est = pytz.timezone("US/Eastern")
src = ""
for f in sftp.client.listdir_iter():
if S_ISREG(f.st_mode):
local_file = dst / f.filename
modification_time = datetime.datetime.fromtimestamp(
f.st_mtime, tz=datetime.timezone.utc
).astimezone(est)
if not local_file.exists() and (modification_time.date() == date):
sftp.client.get(f"{src}/{f.filename}", localpath=local_file)
downloaded_files.append(local_file)
return downloaded_files
def get_bbg_data(bbg_id, trade_date, conn):
try:
_, indextype, _, series, tenor = bbg_id.split()
except ValueError:
return "not a valid bloomberg description", 400
indextype = indextype[:2]
tenor = tenor[:-1] + "yr"
series = int(series[1:])
sql_str = (
"SELECT redindexcode, maturity, coupon "
"FROM index_desc "
"WHERE index=%s and series=%s and tenor=%s "
" and lastdate >=%s ORDER BY version"
)
with conn.cursor() as c:
c.execute(sql_str, (indextype, series, tenor, trade_date))
redcode, maturity, coupon = c.fetchone()
return str(maturity), redcode, coupon / 100
def cdx_trade_process(reader, conn):
trades = []
for obj in reader:
rename_keys(
obj,
{"Curncy": "currency", "Net": "upfront", "Quantity": "notional"},
)
obj["security_desc"] = obj["Security"].replace(" PRC", "")
obj["trade_date"] = datetime.datetime.strptime(obj["Trade Dt"], "%m/%d/%Y")
obj["upfront_settle_date"] = datetime.datetime.strptime(
obj["SetDt"], "%m/%d/%Y"
)
obj["protection"] = "Buyer" if obj["Side"] == "B" else "Seller"
obj["account_code"] = fcm_dictionary[obj["Client FCM"]]
obj["fund"] = fund_dictionary[obj["Account"]]
obj["action"] = "NEW"
obj["folder"] = "*"
obj["cp_code"] = cdx_cp_dictionary[obj["BrkrName"]]
obj["payment_rolldate"] = "Following"
obj["day_count"] = "ACT/360"
obj["frequency"] = 4
obj["swap_type"] = "CD_INDEX"
obj["portfolio"] = "UNALLOCATED"
obj["clearing_facility"] = "ICE-CREDIT"
(
obj["maturity"],
obj["security_id"],
obj["fixed_rate"],
) = get_bbg_data(obj["security_desc"], obj["trade_date"], conn)
obj["effective_date"] = datetime.date(2021, 12, 20)
trades.append(obj)
return trades
def bond_trade_process(reader, conn):
trades = []
for obj in reader:
if obj["Block Status"] != "Accepted":
print(obj["Cusip"])
continue
rename_keys(
obj,
{"Quantity": "faceamount", "Price (Dec)": "price", "Cusip": "cusip"},
)
obj["buysell"] = True if obj["Side"] == "B" else False
obj["description"] = obj["Security"].replace(" Mtge", "")
obj["trade_date"] = datetime.datetime.strptime(obj["Trade Dt"], "%m/%d/%Y")
obj["settle_date"] = datetime.datetime.strptime(obj["SetDt"], "%m/%d/%Y")
obj["folder"] = None
obj["cp_code"] = bond_cp_dictionary[obj["Brkr"]]
obj["portfolio"] = "UNALLOCATED"
obj["identifier"] = obj["cusip"]
obj["asset_class"] = None
trades.append(obj)
return trades
def book_trades(date):
conn = dbconn("dawndb")
downloaded_files = download_files(date)
bbg_trades = defaultdict(list)
for f in downloaded_files:
if ("CDX" in f.name) or ("BOND" in f.name):
reader = csv.DictReader(open(f))
if "CDX" in f.name:
bbg_trades["CDX"].extend(cdx_trade_process(reader, conn))
elif "BOND" in f.name:
if "52377" in f.name:
continue
bbg_trades["BOND"].extend(bond_trade_process(reader, conn))
else:
print(f.name, "NOT VALID")
with conn.cursor() as c:
for asset_type, trades in bbg_trades.items():
c.executemany(sql_str_by_trade[asset_type], trades)
conn.commit()
if __name__ == "__main__":
book_trades(datetime.date(2022, 2, 8))
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