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from sqlalchemy import Table, create_engine, MetaData
from sqlalchemy.exc import IntegrityError, DataError
import os
import csv
import datetime
import logging
engine = create_engine('postgresql://serenitas_user@debian/serenitasdb')
metadata = MetaData(bind = engine)
quotes = Table('tranche_quotes', metadata, autoload = True)
ins = quotes.insert()
def convert(x):
try:
return float(x)
except ValueError:
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}
def insert_quotes(year=2015, quote_dir=None):
if not quote_dir:
root_dir = '/home/share/CorpCDOs'
quote_dir = os.path.join(root_dir, 'Tranche_data', 'Quotes')
quotefiles = [f for f in os.listdir(quote_dir) if f.endswith('csv')]
for quotefile in quotefiles:
with open(os.path.join(quote_dir, 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=int(year))
except ValueError:
logging.error("%s: Date in the wrong format", csvdict['Date'])
return
attach = int(csvdict['Attach'])
series = int(csvdict['Series'])
version = int(csvdict['Version'])
if csvdict['Ref']=='': #no delta quote maybe
continue
#common values to all indices
try:
d = {'quotedate' : timestamp,
'tranchedelta': convert(csvdict['Delta']),
'quotesource' : csvdict['Source'],
'series': series,
'version': version,
'attach': attach,
'detach': int(csvdict['Detach']),
'tenor': tenordict[csvdict['Tenor']]
}
except KeyError:
continue
if csvdict['Ticker'] == 'CDX-NAHY':
trancheupfrontbid = convert(csvdict['Price Bid'])
trancheupfrontask = convert(csvdict['Price Ask'])
try:
trancheupfrontmid = (trancheupfrontbid+trancheupfrontask)/2
except TypeError:
trancheupfrontmid = None
running = 0 if series in [9, 10] and attach==10 else 500
d.update({'indexrefprice': float(csvdict['Ref']),
'indexrefspread': 375 if series==9 else 500,
'trancheupfrontbid' : trancheupfrontbid,
'trancheupfrontmid' : trancheupfrontmid,
'trancheupfrontask' : trancheupfrontask,
'trancherunningbid' : running,
'trancherunningmid' : running,
'trancherunningask' : running,
'index': 'HY'
})
elif csvdict['Ticker'] == 'CDX-NAIG':
if series>=24:
continue
trancheupfrontbid = convert(csvdict['Upfront Bid'])
trancheupfrontask = convert(csvdict['Upfront Ask'])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask)/2
except TypeError:
trancheupfrontmid = None
running = runningdict2[attach] if series<19 else runningdict1[attach]
try:
d.update({'indexrefspread': int(float(csvdict['Ref'])),
'trancheupfrontbid' : trancheupfrontbid,
'trancheupfrontmid' : trancheupfrontmid,
'trancheupfrontask' : trancheupfrontask,
'trancherunningbid' : running,
'trancherunningmid' : running,
'trancherunningask' : running,
'index' : 'IG'})
except KeyError:
continue
elif csvdict['Ticker'] == 'ITRAXX-Europe':
if series<=15:
if attach<=6:
trancherunningbid = trancherunningmid = trancherunningask = 500 if attach<=3 else 300
trancheupfrontbid = convert(csvdict['Upfront Bid'])
trancheupfrontask = convert(csvdict['Upfront Ask'])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask)/2
except TypeError:
trancheupfrontmid = None
else:
trancherunningbid = convert(csvdict['Bid'])
trancherunningask = convert(csvdict['Ask'])
try:
trancherunningmid = (trancherunningbid+trancherunningask)/2
except TypeError:
trancherunning = None
trancheupfrontbid = trancheupfrontmid = trancheupfrontask = 0
if series in [19, 21, 22]:
if attach<=3:
trancherunningbid = trancherunningask = trancherunningmid = 500 if series==19 else 100
trancheupfrontbid = convert(csvdict['Upfront Bid'])
trancheupfrontask = convert(csvdict['Upfront Ask'])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask)/2
except TypeError:
trancheupfrontmid = None
else:
trancherunningbid = convert(csvdict['Bid'])
trancherunningask = convert(csvdict['Ask'])
try:
trancherunningmid = (trancherunningbid+trancherunningask)/2
except TypeError:
trancherunning = None
trancheupfrontbid = trancheupfrontmid = trancheupfrontask = 0
d.update({'indexrefspread': int(float(csvdict['Ref'])),
'trancheupfrontbid' : trancheupfrontbid,
'trancheupfrontmid' : trancheupfrontmid,
'trancheupfrontask' : trancheupfrontask,
'trancherunningbid' : trancherunningbid,
'trancherunningmid' : trancherunningmid,
'trancherunningask' : trancherunningask,
'index' : 'EU'})
elif csvdict['Ticker'] == 'ITRAXX-Xover':
if attach<35:
## the quote is sometimes in Price Bid, sometimes in Bid/Ask
## so we try both
trancheupfrontbid = convert(csvdict['Price Bid'])
trancheupfrontask = convert(csvdict['Price Ask'])
if trancheupfrontbid is None:
trancheupfrontbid = convert(csvdict['Bid'])
trancheupfrontask = convert(csvdict['Ask'])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask)/2
except TypeError:
trancheupfrontmid = None
trancherunningbid = trancherunningask = trancherunningmid = 500
else:
trancherunningbid= convert(csvdict['Bid'])
trancherunningask= convert(csvdict['Ask'])
try:
trancherunningmid = (trancherunningbid + trancherunningask)/2
except TypeError:
trancherunningmid = None
trancheupfrontbid = trancheupfrontmid = trancheupfrontask = 0
d.update({'indexrefspread': int(float(csvdict['Ref'])),
'trancheupfrontbid' : trancheupfrontbid,
'trancheupfrontmid' : trancheupfrontmid,
'trancheupfrontask' : trancheupfrontask,
'trancherunningbid' : trancherunningbid,
'trancherunningmid' : trancherunningmid,
'trancherunningask' : trancherunningask,
'index' : 'XO'})
data.append(d)
with engine.connect() as conn:
for i, l in enumerate(data):
with conn.begin() as t:
try:
conn.execute(ins, l)
except (IntegrityError, DataError) as e:
logging.debug(e.orig)
t.rollback()
os.unlink(os.path.join(quote_dir, quotefile))
if __name__=="__main__":
insert_quotes()
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