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import os
import pandas as pd
def create_trigger_function(db):
# need to escape % with %%
auto_dealid = db.DDL("""
CREATE OR REPLACE FUNCTION auto_dealid()
RETURNS TRIGGER AS $$
DECLARE stub text;
sqlstr text;
BEGIN
sqlstr:= 'UPDATE '|| TG_TABLE_NAME ||' SET %%s WHERE id = %%L AND dealid is NULL';
IF (TG_TABLE_NAME = 'bonds') THEN
stub := 'SC_';
sqlstr := format(sqlstr, 'dealid = $1||upper(left(asset_class::text,3))||id,
identifier = COALESCE(identifier, cusip, isin)', NEW.id);
ELSE
CASE TG_TABLE_NAME
WHEN 'cds' THEN
stub := 'SCCDS';
WHEN 'repo' THEN
stub := 'SC_REP';
WHEN 'swaptions' THEN
stub := 'SWPTN';
WHEN 'futures' THEN
stub := 'SCFUT';
WHEN 'wires' THEN
stub := 'SCCSH';
WHEN 'capfloors' THEN
stub := 'CAP';
WHEN 'spots' THEN
stub := 'SCFX';
END CASE;
sqlstr := format(sqlstr, 'dealid = $1||id', NEW.id);
END IF;
EXECUTE sqlstr USING stub;
RETURN NEW;
END;
$$ language plpgsql""")
db.event.listen(db.metadata, 'before_create', auto_dealid)
def create_triggers(db):
trigger = db.DDL("""CREATE TRIGGER dealid
AFTER INSERT ON %(fullname)s
FOR EACH ROW
EXECUTE PROCEDURE auto_dealid()""")
for name, tb in db.metadata.tables.items():
if not name.endswith('counterparties') and not name.endswith('accounts'):
db.event.listen(tb, 'after_create', trigger)
def load_counterparties(engine):
counterparties = pd.read_excel("/home/share/Daily/blotter.xlsm", 'Counterparties')
counterparties[['city', 'state']] = counterparties.Location.str.split(", ", expand=True)
counterparties.drop(['Location', 'Valuation Contact4', 'Valuation Contact4 Email'], axis=1, inplace=True)
counterparties.rename(columns={'CODE': 'code',
'DTC Number': 'dtc_number',
'Email1': 'sales_email',
'FIRM': 'name',
'Phone': 'sales_phone',
'Sales Contact': 'sales_contact',
'Valuation Contact1': 'valuation_contact1',
'Valuation Contact1 Email': 'valuation_email1',
'Valuation Contact2': 'valuation_contact2',
'Valuation Contact2 Email': 'valuation_email2',
'Valuation Contact3': 'valuation_contact3',
'Valuation Contact3 Email': 'valuation_email3',
'Valuation Note': 'notes'}, inplace=True)
counterparties.to_sql('counterparties', engine, if_exists='append', index=False)
def load_trades(engine, schema=None):
blotter = pd.read_excel("/home/serenitas/Daily/Blotter.xlsm", 'Bonds',
skiprows=[0, 1, 2, 3, 4])
blotter.dropna(axis=0, subset=['Deal ID'], inplace=True)
blotter = blotter.iloc[:,2:]
blotter.drop(['Unnamed: %s' % (i,) for i in range(19, 28)] +
['Comments', 'Acc Int $', 'Counterparty'], axis=1, inplace=True)
blotter.rename(columns={'Date': 'trade_date',
'Settle Date': 'settle_date',
'Strategy': 'folder',
'Custodian': 'custodian',
'Cash Account': 'cashaccount',
'CP Alias': 'cp_code',
'CUSIP': 'cusip',
'ISIN': 'isin',
'Description': 'description',
'Buy/Sell': 'buysell',
'Notional': 'faceamount',
'Price': 'price',
'Acc Int': 'accrued',
'Asset Class': 'asset_class',
'Deal ID': 'id'}, inplace=True)
blotter.buysell = blotter.buysell.apply(lambda x: x=='Buy')
blotter['action'] = 'NEW'
blotter['cashaccount'] = 'V0NSCLMAMB'
blotter['id'] = blotter['id'].str.replace('[A-Z_]', '').astype('int')
blotter.loc[blotter.asset_class == 'CLO','id'] = blotter.loc[blotter.asset_class == 'CLO','id'] + 5
blotter.to_sql('bonds', engine, if_exists='append', index=False, schema=schema)
return blotter
def load_trades_futures(engine, schema=None):
blotter = pd.read_excel("/home/serenitas/Daily/Blotter.xlsm", 'Futures',
skiprows=[0, 1, 2, 3, 4])
blotter.dropna(axis=0, subset=['Deal ID'], inplace=True)
blotter = blotter.iloc[:,2:]
blotter.drop(['Unnamed: %s' % (i,) for i in range(25, 27)] + \
['Deal Type', 'Asset Class', 'Initial Margin Currency', 'Client', 'State'],
axis=1, inplace=True)
blotter.rename(columns = {'Trade Date': 'trade_date',
'Settlement Date': 'settle_date',
'Cash Account': 'cashaccount',
'Strategy': 'folder',
'Quantity': 'quantity',
'Commission': 'commission',
'CP Alias': 'cp_code',
'Description': 'security_desc',
'Buy/Sell': 'buysell',
'Price': 'price',
'Deal ID': 'id',
'Exchange': 'exchange',
'Ticker': 'bbg_ticker',
'Maturity': 'maturity',
'Action': 'action',
'Custodian': 'custodian',
'Trade Currency': 'currency',
'Swap Type': 'swap_type',
'Counterparty': 'cp_code'}, inplace=True)
blotter.buysell = blotter.buysell.apply(lambda x: x=='Buy')
blotter['action'] = 'NEW'
blotter['cashaccount'] = 'IANSCLMAFU'
blotter['swap_type'] = 'FUTURE'
blotter['id'] = blotter['id'].str.replace('[A-Z_]', '').astype('int')
blotter.to_sql('futures', engine, if_exists='append', index=False, schema=schema)
return blotter
def load_wires(engine, schema=None):
blotter = pd.read_excel("/home/serenitas/Daily/Blotter_gh.xlsm", 'Wires',
skiprows=[0, 1, 2, 3, 4])
blotter.dropna(axis=0, subset=['Deal ID'], inplace=True)
blotter = blotter.iloc[:,2:]
blotter.drop(['Unnamed: %s' % (i,) for i in range(19, 25)] + \
['Deal Type', 'Asset Class', 'Client', 'State', "Counterparty",
"Settlement Date", "Instrument Type", "Transaction Type",
"Custodian", "CashAccount"],
axis=1, inplace=True)
blotter.rename(columns = {'Date': 'trade_date',
'Account': 'code',
'Cash Account': 'cashaccount',
'Strategy': 'folder',
'Deal ID': 'id',
'Action': 'action',
'Currency': 'currency',
'Amount': 'amount'}, inplace=True)
blotter.folder = blotter.folder.str.rstrip()
blotter['action'] = 'NEW'
blotter['id'] = blotter['id'].str.replace('[A-Z_]', '').astype('int')
blotter.to_sql('wires', engine, if_exists='append', index=False, schema=schema)
return blotter
def load_spots(engine, schema=None):
blotter = pd.read_excel("/home/serenitas/Daily/Blotter_gh.xlsm", 'FXSpot',
skiprows=[0, 1, 2, 3, 4])
blotter.dropna(axis=0, subset=['Deal ID'], inplace=True)
blotter = blotter.iloc[:,2:]
blotter.drop(['Deal Type', 'Asset Class', 'Client', 'State', "Counterparty",
"Custodian", "Cash Account", "Account"],
axis=1, inplace=True)
blotter.rename(columns= {'Date': 'trade_date',
'Settlement Date': 'settlement_date',
'Cash Account': 'cashaccount',
'Strategy': 'folder',
'Deal ID': 'id',
'Action': 'action',
'Sell Currency': 'sell_currency',
'Sell Amount': 'sell_amount',
'Buy Currency': 'buy_currency',
'Buy Amount': 'buy_amount',
'Spot - Buy/Sold Rate': 'spot_rate',
'Commission Currency': 'commission_currency',
'commission note': 'commission'}, inplace=True)
blotter.folder = blotter.folder.str.rstrip()
blotter['action'] = 'NEW'
blotter['id'] = blotter['id'].str.replace('[A-Z_]', '').astype('int')
blotter['custodian'] = 'INTBR'
blotter['cashaccount'] = 'IANSCLMAFU'
blotter['cp_code'] = 'IBKRNY'
blotter.to_sql('spots', engine, if_exists='append', index=False, schema=schema)
return blotter
if __name__ == "__main__":
""" This script will create the tables and triggers for the Dawn app.
If schema is not None, it will create it under a specific schema"""
#conn.execute("CREATE SCHEMA IF NOT EXISTS {}".format(schema))
#conn.execute("SET search_path TO %s", (schema,))
os.environ['CONF'] = 'config.ini'
from Dawn import db, app
create_trigger_function(db)
create_triggers(db)
db.create_all()
#load_wires(db.engine, app.config['SCHEMA'])
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