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from serenitas.utils.remote import SftpClient
import datetime
import csv
from trade_dataclasses import CDSDeal, BondDeal
from decimal import Decimal
from stat import S_ISREG
from psycopg2.errors import UniqueViolation
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(file_handle, index):
for row in csv.DictReader(file_handle):
line = {"bbg_ticket_id": index, **row}
trade = BondDeal.from_bbg_line(line)
trade.stage()
BondDeal.commit()
def get_bbg_id(name):
return name.split("_", 1)[1]
if __name__ == "__main__":
import time
sftp = SftpClient.from_creds("bbg")
while True:
for f in sftp.client.listdir_iter("/"):
if S_ISREG(f.st_mode):
if "BOND" in f.filename:
if (bbg_id := get_bbg_id(f.filename)) not in BondDeal._cache:
with sftp.client.open(f.filename) as fh:
bond_booking_process(fh, bbg_id)
BondDeal._cache[f.filename] = None
time.sleep(60)
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