1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
|
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
_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 download_files(date: datetime.date):
sftp = SftpClient.from_creds("bbg")
dst = DAILY_DIR / str(date) / "bbg_tickets"
if not dst.exists():
dst.mkdir()
EST = ZoneInfo("US/Eastern")
def by_date(f, date):
local_dt = datetime.datetime.fromtimestamp(
f.st_mtime, tz=datetime.timezone.utc
).astimezone(EST)
return local_dt.date() == date
sftp.download_files("/", dst, (lambda f: by_date(f, date),))
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):
with open(path) as fh:
reader = csv.DictReader(fh)
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, conn):
with open(path) as fh:
reader = csv.DictReader(fh)
for line in reader:
trade = BondDeal(
faceamount=Decimal(line["Quantity"]),
price=Decimal(line["Price (Dec)"]),
cp_code=_bond_cp[line["cp_code"]],
cusip=line["Cusip"],
identifier=line["Cusip"],
trade_date=datetime.datetime.strptime(line["Trade Dt"], "%m/%d/%Y"),
settle_date=datetime.datetime.strptime(line["SetDt"], "%m/%d/%Y"),
portfolio="UNALLOCATED",
asset_class=None,
description=line["Security"].removesuffix(" Mtge"),
buysell=line["Side"] == "B",
)
trade.stage()
CDSDeal.commit()
def book_trades(conn, date=datetime.date.today()):
download_files(date)
for p in (DAILY_DIR / str(date) / "bbg_tickets").glob("CDX*"):
cdx_booking_process(p, conn)
for p in (DAILY_DIR / str(date) / "bbg_tickets").glob("BOND*"):
bond_booking_process(p, conn)
if __name__ == "__main__":
from serenitas.utils.db import serenitas_pool
d = datetime.date(2022, 2, 7)
conn = serenitas_pool.getconn()
book_trades(conn, d)
|
