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import pandas as pd
from . import DAILY_DIR
def download_files(count=20):
from exchange import ExchangeMessage
em = ExchangeMessage()
emails = em.get_msgs(
path=["NYops", "Margin calls"], count=count, subject__contains="Margin"
)
DATA_DIR = DAILY_DIR / "GS_reports"
for msg in emails:
for attach in msg.attachments:
fname = attach.name
if fname.endswith("xls"):
p = DATA_DIR / fname
if not p.exists():
p.write_bytes(attach.content)
def load_file(d, pattern):
try:
fname = next(
(DAILY_DIR / "GS_reports").glob(f"{pattern}*{d.strftime('%d_%b_%Y')}*")
)
except StopIteration:
raise FileNotFoundError(f"GS {pattern} file not found for date {d}")
return pd.read_excel(fname, skiprows=9, skipfooter=77)
def collateral(d, dawn_trades, *args):
df = load_file(d, "Collateral_Detail")
collateral = float(df.Quantity)
df = load_file(d, "Trade_Detail")
df = df[["Trade Id", "Transaction Type", "NPV (USD)", "Initial Margin Required"]]
df = df.merge(dawn_trades, how="left", left_on="Trade Id", right_on="cpty_id")
missing_ids = df.loc[df.cpty_id.isnull(), "Trade Id"]
if not missing_ids.empty:
raise ValueError(f"{missing_ids.tolist()} not in the database")
df = df[["folder", "NPV (USD)", "Initial Margin Required"]]
df = df.groupby("folder").sum()
df = df.sum(axis=1).to_frame(name="Amount")
df["Currency"] = "USD"
df = df.reset_index()
df.columns = ["Strategy", "Amount", "Currency"]
df.Amount *= -1
df = df.append(
{
"Strategy": "M_CSH_CASH",
"Amount": -collateral - df.Amount.sum(),
"Currency": "USD",
},
ignore_index=True,
)
df["date"] = d
return df.set_index("Strategy")
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