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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
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="CURVE",
security_id=line["Red Code"],
security_desc=line["Security"],
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 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)
if __name__ == "__main__":
from serenitas.utils.db import serenitas_pool
d = datetime.date(2022, 2, 7)
conn = serenitas_pool.getconn()
book_trades(conn, d)
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