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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:Serenitas1@debian/serenitasdb')
metadata = MetaData(bind = engine)
quotes = Table('tranche_quotes', metadata, autoload = True)
ins = quotes.insert()
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}
def insert_quotes(year=2014):
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 'csv' in f]
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':
if csvdict['Price Bid']=='':
continue
try:
trancheupfront = (float(csvdict['Price Bid'])+float(csvdict['Price Ask']))/2
except ValueError:
trancheupfront = None
d.update({'indexrefprice': float(csvdict['Ref']),
'indexrefspread': 375 if series==9 else 500,
'trancheupfront' : trancheupfront,
'trancherunning' : 0 if series in [9, 10] and attach==10 else 500,
'index': 'HY'
})
elif csvdict['Ticker'] == 'CDX-NAIG':
if series>=22:
continue
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
trancheupfront = None
try:
d.update({'indexrefspread': int(float(csvdict['Ref'])),
'trancheupfront' : trancheupfront,
'trancherunning' : runningdict2[attach] if series<19 else runningdict1[attach],
'index' : 'IG'})
except KeyError:
continue
elif csvdict['Ticker'] == 'ITRAXX-Europe':
if series<=15:
if attach<=6:
trancherunning = 500 if attach<=3 else 300
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
trancheupfront = None
else:
try:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
except ValueError:
trancherunning = None
trancheupfront=0
if series==19:
if attach<=3:
trancherunning = 500
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
trancheupfront=None
else:
try:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
except ValueError:
trancherunning=(float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
trancheupfront = 0
if series==21:
if attach<=3:
trancherunning =100
try:
trancheupfront = (float(csvdict['Upfront Bid'])+float(csvdict['Upfront Ask']))/2
except ValueError:
trancheupfront = None
else:
trancherunning=(float(csvdict['Bid'])+float(csvdict['Ask']))/2
trancheupfront = 0
d.update({'indexrefspread': int(float(csvdict['Ref'])),
'trancheupfront' : trancheupfront,
'trancherunning' : trancherunning,
'index' : 'EU',
})
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:
print(e.orig)
t.rollback()
os.unlink(os.path.join(quote_dir, quotefile))
if __name__=="__main__":
insert_quotes()
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