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import datetime
import os
import pandas as pd
import re
from db import dbconn
from pathlib import Path
DAILY_DIR = Path(os.environ["DAILY_DIR"])
def gs_navs():
d = {}
for fname in (DAILY_DIR / "GS_reports").glob("Trade_Detail*.xls"):
try:
df = pd.read_excel(fname, skiprows=9, skipfooter=77,
index_col='Trade Id')
except ValueError:
continue
df['Trade Date'] = pd.to_datetime(df['Trade Date'])
df = df[['Trade Date', 'Buy/Sell', 'Notional (USD)', 'NPV (USD)']]
df.columns = ['trade_date', 'buy/sell', 'notional', 'nav']
name = fname.name.replace("9972734", "")
m = re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", name)
if m:
date_string, = m.groups()
date = datetime.datetime.strptime(date_string, "%d_%b_%Y")
d[date] = df
return pd.concat(d)
def ms_navs():
d = {}
for fname in (DAILY_DIR / "MS_reports").glob("Trade_Detail*.xls"):
df = pd.read_excel(fname, index_col='trade_id')
df.trade_date = pd.to_datetime(df.trade_date)
df = df[['trade_date', 'pay_rec', 'notional_in_trade_ccy', 'exposure_in_rpt_ccy']]
df.columns = ['trade_date', 'buy/sell', 'notional', 'nav']
m = re.match(r"[^\d]*(\d{8})", fname.name)
if m:
date_string, = m.groups()
date = datetime.datetime.strptime(date_string, "%Y%m%d")
d[date] = df
return pd.concat(d)
if __name__ == "__main__":
for cp in ["MS", "GS"]:
df = globals()[f"{cp.lower()}_navs"]()
with dbconn('dawndb') as conn:
with conn.cursor() as c:
for k, v in df[['nav']].iterrows():
c.execute("INSERT INTO external_marks_deriv "
"VALUES(%s, %s, %s, %s) ON CONFLICT DO NOTHING", (*k, float(v), cp))
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