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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 MS"],
count=count,
subject__contains="SERCX **Daily",
)
DATA_DIR = DAILY_DIR / "MS_reports"
for msg in emails:
for attach in msg.attachments:
if "NETSwaps" in attach.name:
fname = "Trade_Detail_" + attach.name.split("_")[1]
elif "NET_Collateral" in attach.name:
fname = "Collateral_Detail_" + attach.name.rsplit("_", 1)[1]
else:
continue
p = DATA_DIR / fname
if not p.exists():
p.write_bytes(attach.content)
def collateral(d, dawn_trades, *args):
df = pd.read_excel(DAILY_DIR / "MS_reports" / f"Collateral_Detail_{d:%Y%m%d}.xls")
collat = df.loc[1, "coll_val_ccy"].replace(",", "")
if "(" in collat:
collat = collat[1:-1]
collat = -float(collat)
else:
collat = float(collat)
df = pd.read_excel(DAILY_DIR / "MS_reports" / f"Trade_Detail_{d:%Y%m%d}.xls")
df = df.dropna(subset=["trade_ccy"])
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.groupby("folder")[["collat_req_in_agr_ccy"]].sum()
df["Currency"] = "USD"
df = df.reset_index()
df.columns = ["Strategy", "Amount", "Currency"]
df = df.append(
{
"Strategy": "M_CSH_CASH",
"Amount": -collat - df.Amount.sum(),
"Currency": "USD",
},
ignore_index=True,
)
df["date"] = d
return df.set_index("Strategy")
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