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from serenitas.utils.env import DAILY_DIR
from serenitas.utils.remote import SftpClient
from zoneinfo import ZoneInfo
import datetime
import csv
from trade_dataclasses import CDSDeal, BondDeal
from decimal import Decimal
from serenitas.utils.db import dbconn
from lru import LRU
from stat import S_ISREG
import pandas as pd
from sqlalchemy.exc import SQLAlchemyError
import time
_funds = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"}
_fcms = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"}
_cdx_cp = {
"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 = {
"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",
}
def get_indic_data(conn, redcode, tenor):
sql_str = (
"SELECT maturity, coupon "
"FROM index_desc "
"WHERE tenor=%s AND redindexcode=%s "
)
with conn.cursor() as c:
c.execute(sql_str, (redcode, tenor))
return c.fetchone()
def cdx_booking_process(path, conn):
reader = csv.DictReader(path)
for line in reader:
tenor = line["Security"].rsplit(" ", 1)[-1].lower() + "r"
maturity, coupon = get_indic_data(conn, tenor, line["Red Code"])
trade = CDSDeal(
fund=_funds[line["Account"]],
folder="*",
portfolio="UNALLOCATED",
security_id=line["Red Code"],
security_desc=line["Security"].removesuffix(" PRC"),
traded_level=Decimal(line["Price (Dec)"]),
notional=line["Quantity"],
fixed_rate=coupon * 0.01,
trade_date=datetime.datetime.strptime(line["Trade Dt"], "%m/%d/%Y").date(),
maturity=maturity,
currency=line["Curncy"],
protection="Buyer" if line["Side"] == "B" else "Seller",
upfront=line["Principal"],
cp_code=_cdx_cp[line["Brkr"]],
account_code=_fcms[line["Client FCM"]],
)
trade.stage()
CDSDeal.commit()
def bond_booking_process(path, fname):
reader = csv.DictReader(path)
for line in reader:
line["bbg_ticket_id"] = fname
trade = BondDeal
trade.stage()
try:
BondDeal.insert_bbg_line(line)
except Exception as e:
pass
BondDeal._insert_queue.clear()
print("error")
else:
_cache[fname] = None
finally:
BondDeal.commit()
def get_bbg_id(name):
return name.split("_", 1)[1]
if __name__ == "__main__":
from serenitas.utils.db import serenitas_pool, dawn_engine
conn = serenitas_pool.getconn()
_cache = LRU(128)
while True:
d = datetime.date.today()
sftp = SftpClient.from_creds("bbg")
filters = [lambda f: S_ISREG(f.st_mode)]
for f in filter(
lambda f: all(filt(f) for filt in filters), sftp.client.listdir_iter("/")
):
if "BOND" in f.filename:
bbg_id = get_bbg_id(f.filename)
if bbg_id not in BondDeal._cache:
bond_booking_process(sftp.client.open(f.filename), bbg_id)
time.sleep(60)
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