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import datetime
import pandas as pd
from . import DAILY_DIR
from .common import load_pdf, get_col, next_business_day, parse_num
def load_file(d, fund="Serenitas"):
try:
fname = next(
(DAILY_DIR / fund / "CITI_reports").glob(
f"262966_Portfolio_{d.strftime('%Y%m%d')}*"
)
)
except StopIteration:
raise FileNotFoundError(f"CITI file not found for date {d}")
return pd.read_excel(fname, skiprows=6, skipfooter=2)
def download_files(em, count=20, fund="Serenitas", **kwargs):
if fund != "Serenitas":
return
emails = em.get_msgs(
path=["NYops", "Margin Calls Citi"], count=count, subject__startswith="262966"
)
DATA_DIR = DAILY_DIR / fund / "CITI_reports"
for msg in emails:
for attach in msg.attachments:
fname = attach.name
p = DATA_DIR / fname
if not p.exists():
p.write_bytes(attach.content)
def get_df(l, col1, col2, col3):
df = pd.DataFrame(
{"amount": get_col(l, *col2), "currency": get_col(l, *col3)},
index=get_col(l, *col1),
)
df.amount = df.amount.apply(parse_num)
df.index = df.index.str.lstrip()
return df
def get_total_collateral(d: datetime.date, fund="Serenitas"):
try:
fname = next(
(DAILY_DIR / fund / "CITI_reports").glob(
f"262966_MarginNotice_{d.strftime('%Y%m%d')}_*.pdf"
)
)
except StopIteration:
raise FileNotFoundError(f"CITI file not found for date {d}")
l = load_pdf(fname)
col1 = (370, 500, 70, 250)
col2 = (370, 500, 300, 530)
col3 = (370, 500, 530, 600)
variation_margin = get_df(l, col1, col2, col3)
anchor = next(c for c in l if c.text == "Non Regulatory Initial Margin")
top = int(anchor["top"]) + 10
bottom = top + 160
col1 = (top, bottom, 70, 320)
col2 = (top, bottom, 320, 530)
col3 = (top, bottom, 530, 600)
initial_margin = get_df(l, col1, col2, col3)
try:
net_im = -initial_margin.loc["Non Reg IM Requirement Due Customer", "amount"]
except KeyError:
net_im = -initial_margin.loc["Non Reg IM Requirement Due Citi", "amount"]
return (
variation_margin.loc["VM Total Collateral", "amount"],
initial_margin.loc["Non Reg IM Total Collateral", "amount"],
-variation_margin.loc["Regulatory VM Requirement", "amount"],
net_im,
)
def collateral(d, dawn_trades, fund="Serenitas", **kwargs):
if fund != "Serenitas":
raise ValueError
df = load_file(next_business_day(d), fund)
collat = sum(get_total_collateral(d, fund)[:2])
df = df[["Operations File", "Market Value", "BasicAmt"]].dropna(
subset=["Operations File"]
) # missing Operations File means assignment usually
# but could be a fee
df = df.merge(
dawn_trades, how="left", left_on="Operations File", right_on="cpty_id"
)
missing_ids = df.loc[df.cpty_id.isnull(), "Operations File"]
if not missing_ids.empty:
raise ValueError(f"{missing_ids.tolist()} not in the database")
df = df.groupby("folder").sum()
df = df[["Market Value", "BasicAmt"]].sum(axis=1).to_frame(name="Amount")
df["Currency"] = "USD"
df = df.reset_index()
df.columns = ["Strategy", "Amount", "Currency"]
df.Amount *= -1
df.loc[len(df.index)] = ["M_CSH_CASH", collat - df.Amount.sum(), "USD"]
df["date"] = d
return df.set_index("Strategy")
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