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from sqlalchemy import Table, create_engine, MetaData
from sqlalchemy.exc import IntegrityError
import os
import csv
import datetime
import pdb
engine = create_engine('postgresql://mlpdb_user:Serenitas1@debian/mlpdb')
metadata = MetaData(bind = engine)
quotes = Table('tranche_quotes', metadata, autoload = True)
ins = quotes.insert()
root_dir = '/home/share/CorpCDOs'
quotefiles = [f for f in os.listdir(os.path.join(root_dir, 'Tranche_data', 'Quotes')) if '2' in f]
def convert(x):
try:
return float(x)
except:
return None
tenordict = {'3': '3yr', '5': '5yr', '7':'7yr', '10':'10yr'}
runningdict1 = {0: 500, 3:100, 7:100, 15: 25}
runningdict2 = {0: 500, 3:500, 7:500, 10:100, 15:100, 30:100}
for quotefile in quotefiles:
with open(os.path.join(root_dir, 'Tranche_data', 'Quotes', quotefile)) as fh:
reader = csv.DictReader(fh)
data = []
for csvdict in reader:
try:
timestamp = datetime.datetime.strptime(csvdict['Date'], "%d %b %H:%M")
timestamp = timestamp.replace(year=2014)
except ValueError:
pdb.set_trace()
attach = int(csvdict['Attach'])
series = int(csvdict['Series'])
version = int(csvdict['Version'])
if csvdict['Ticker'] == 'CDX-NAHY':
if csvdict['Price Bid']=='':
continue
if series==9:
version = 20
elif series==10:
version = 19
d = {'quotedate' : timestamp,
'indexrefprice': float(csvdict['Ref']),
'indexrefspread': 375 if series==9 else 500,
'tranchedelta': convert(csvdict['Delta']),
'quotesource' : csvdict['Source'],
'trancheupfront' : (float(csvdict['Price Bid'])+float(csvdict['Price Ask']))/2,
'trancherunning' : 0 if series in [9, 10] and attach==10 else 500,
'tenor' : tenordict[csvdict['Tenor']],
'index' : 'HY',
'series': series,
'version': version,
'attach': attach,
'detach': int(csvdict['Detach'])
}
elif csvdict['Ticker'] == 'CDX-NAIG':
if csvdict['Ref']=='': #no delta quote maybe
continue
if series>=22:
continue
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
continue
d = {'quotedate' : timestamp,
'indexrefspread': int(float(csvdict['Ref'])),
'tranchedelta': convert(csvdict['Delta']),
'quotesource' : csvdict['Source'],
'trancheupfront' : trancheupfront,
'trancherunning' : runningdict2[attach] if series==9 else runningdict1[attach],
'tenor' : tenordict[csvdict['Tenor']],
'index' : 'IG',
'series': series,
'version': version,
'attach': attach,
'detach': int(csvdict['Detach'])
}
elif csvdict['Ticker'] == 'ITRAXX-Europe':
if series==9:
if attach<=6:
trancherunning = 500 if attach<=3 else 300
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
else:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
trancheupfront=0
if series==19:
if attach<=3:
trancherunning = 500
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
else:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
trancheupfront = 0
if series==21:
if attach<=3:
trancherunning =100
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
else:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
trancheupfront = 0
d = {'quotedate' : timestamp,
'indexrefspread': int(float(csvdict['Ref'])),
'tranchedelta': convert(csvdict['Delta']),
'quotesource' : csvdict['Source'],
'trancheupfront' : trancheupfront,
'trancherunning' : trancherunning,
'tenor' : tenordict[csvdict['Tenor']],
'index' : 'EU',
'series': series,
'version': version,
'attach': attach,
'detach': int(csvdict['Detach'])
}
data.append(d)
with engine.begin() as conn:
for l in data:
with conn.begin() as t:
try:
conn.execute(ins, l)
except IntegrityError:
t.rollback()
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