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from serenitas.utils.db import dbconn
from serenitas.utils.env import BASE_DIR
import datetime
import re
import lxml.etree as etree
from psycopg2.extras import Json
parser = etree.XMLParser(remove_blank_text=True)
def todict(xml, uselist=set()):
if len(xml):
if xml.tag in uselist:
return [todict(c, uselist) for c in xml]
else:
d = {}
for c in xml:
if c.tag in d:
d[c.tag].append(todict(c, uselist))
else:
if c.tag in ["cdssuccession", "creditevent", "auctionccyrate"]:
d[c.tag] = [todict(c, uselist)]
else:
d[c.tag] = todict(c, uselist)
return d
else:
return xml.text.strip()
def dispatch_parsing(col, uselist):
if len(col):
if col.tag == "ratings":
return [el.text for el in col.iterfind(".//tier")]
else:
return Json(todict(col, uselist))
else:
if col.tag == "holdco":
return col.text == "TRUE"
else:
return col.text
def insert_refentity(fname):
tree = etree.parse(fname, parser=parser)
conn = dbconn("serenitasdb")
names = [
"referenceentity",
"shortname",
"ticker",
"redentitycode",
"entitycusip",
"lei",
"entitytype",
"jurisdiction",
"depthlevel",
"markitsector",
"isdatradingdefinition",
"recorddate",
"ratings",
"entityform",
"companynumber",
"alternativenames",
"isdatransactiontypes",
"validto",
"validfrom",
"events",
"holdco",
"country",
]
# these are tags which enclose a list
uselist = set(
[
"events",
"isdatransactiontypes",
"nextredentitycodes",
"prevredentitycodes",
"isdatransactiontypes",
"tiers",
"auctions",
]
)
sql_str = """INSERT INTO RefEntity VALUES({})
ON CONFLICT(redentitycode) DO UPDATE SET {}""".format(
",".join(["%s"] * len(names)),
",".join(f"{name}=EXCLUDED.{name}" for name in names[1:]),
)
skipfirst = True
with conn.cursor() as c:
for child in tree.getroot():
if skipfirst:
skipfirst = False
continue
d = {col.tag: dispatch_parsing(col, uselist) for col in child}
c.execute(sql_str, [d.get(name) for name in names])
conn.commit()
def parse_prospectus(xml):
return Json({c.tag: [e.text for e in c] for c in xml})
def insert_refobligation(fname):
tree = etree.parse(fname, parser=parser)
conn = dbconn("serenitasdb")
names_redpair = [
"redpaircode",
"role",
"referenceentity",
"redentitycode",
"tier",
"pairiscurrent",
"pairvalidfrom",
"pairvalidto",
"ticker",
"ispreferred",
"preferreddate",
"indexconstituents",
"recorddate",
"publiccomments",
"myticker",
"subordinationtype",
"holdco",
"preferredremovaldate",
]
names_refobligation = [
"obligationname",
"prospectusinfo",
"refentities",
"type",
"isconvert",
"isperp",
"coupontype",
"ccy",
"maturity",
"issuedate",
"coupon",
"isin",
"cusip",
"event",
]
redpair_insert = """INSERT INTO RedPairMapping VALUES({})
ON CONFLICT(redpaircode) DO UPDATE SET {}""".format(
",".join(["%s"] * len(names_redpair)),
",".join(f"{name}=EXCLUDED.{name}" for name in names_redpair[1:]),
)
refobligation_insert = """INSERT INTO RefObligation({}) VALUES({})
ON CONFLICT(obligationname) DO UPDATE SET {}""".format(
",".join(names_refobligation),
",".join(["%s"] * len(names_refobligation)),
",".join(f"{name}=EXCLUDED.{name}" for name in names_refobligation[1:]),
)
skipfirst = True
def simple_parse(e):
if e.tag == "indexconstituents":
return [ic.text for ic in e]
elif e.tag == "holdco":
return e.text == "TRUE"
else:
return e.text
with conn.cursor() as c:
for child in tree.getroot():
if skipfirst:
skipfirst = False
continue
d = {col.tag: col if len(col) else col.text for col in child}
with conn.cursor() as c2:
for el in d["refentities"]:
redpair = {e.tag: simple_parse(e) for e in el}
c2.execute(
redpair_insert, [redpair.get(name) for name in names_redpair]
)
conn.commit()
d["refentities"] = [
el.text for el in d["refentities"].iterfind(".//redpaircode")
]
if "prospectusinfo" in d:
d["prospectusinfo"] = parse_prospectus(d["prospectusinfo"])
c.execute(
refobligation_insert, [d.get(name) for name in names_refobligation]
)
conn.commit()
def get_date(f):
m = re.search(r"(\d*)\.", f.name)
if m:
timestamp = int(m.groups(0)[0])
return datetime.datetime.fromtimestamp(timestamp / 1000)
if __name__ == "__main__":
from markit_red import download_report
base_dir = BASE_DIR / "Tranche_data/RED_reports/Deltas"
for report in ["REDEntityDelta", "REDObligationDelta"]:
g = download_report(report)
f = base_dir / next(g)[0]
if "Entity" in report:
insert_refentity(f.as_posix())
else:
insert_refobligation(f.as_posix())
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