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import argparse
import datetime
import logging
import numpy as np
import time
from .cds import download_cds_data, download_composite_data
from .loans import (
download_facility,
insert_facility,
download_marks,
update_facility,
download_recupdates,
)
from .rates import downloadMarkitIRData
from .import_quotes import *
from pandas.tseries.offsets import BDay
from serenitas.utils import SerenitasFileHandler
from serenitas.utils.db import serenitas_pool
# parse arguments
parser = argparse.ArgumentParser()
group = parser.add_mutually_exclusive_group(required=True)
group.add_argument(
"-l", "--loans", action="store_true", help="download markit loan data"
)
group.add_argument("-c", "--cds", action="store_true", help="download markit cds data")
group.add_argument("-r", "--rates", action="store_true", help="download markit IR data")
parser.add_argument(
"-i", "--insert-only", action="store_true", help="do not re-download data"
)
parser.add_argument(
"-s",
"--same-day",
action="store_true",
dest="same_day",
help="download same day reports",
)
parser.add_argument("workdate", nargs="?", type=datetime.date.fromisoformat)
def default_date():
return (datetime.date.today() - BDay(1)).date()
args = parser.parse_args()
historical = True
if args.workdate is None:
if not args.rates:
historical = False
if not args.same_day:
workdate = default_date()
else:
workdate = datetime.date.today()
else:
workdate = datetime.date.today()
else:
workdate = args.workdate
if args.loans:
fh = SerenitasFileHandler("markit_loans.log")
elif args.cds:
fh = SerenitasFileHandler("markit_cds.log")
elif args.rates:
fh = SerenitasFileHandler("markit_rates.log")
# set up logging
logger = logging.getLogger("markit")
logger.addHandler(fh)
logger.setLevel(logging.INFO)
if args.loans:
payload = {"LEGALENTITY": "lmcg", "USERNAME": "serecapuser", "PASSWORD": "Welcome1"}
download_facility(workdate, payload)
logger.info("facility downloaded")
insert_facility(workdate)
logger.info("facility inserted")
payload.update({"RELATIVEVERSION": np.busday_count(default_date(), workdate)})
download_marks(workdate, payload)
logger.info("marks downloaded")
payload.pop("RELATIVEVERSION")
update_facility(workdate, payload)
logger.info("facility updated")
download_recupdates(workdate, payload)
logger.info("recommanded updates downloaded")
elif args.cds:
if not args.insert_only:
payload = {
"user": "GuillaumeHorel",
"password": "password",
"version": "5",
"format": "csv",
"date": f"{workdate:%Y%m%d}",
"type": "CDS",
}
# download_cds_data(payload, workdate, "COMPOSITES")
if not args.same_day:
download_cds_data(payload, workdate)
else:
pass
# not permissioned
# payload.update({"type": "fccds", "version": "6"})
# download_cds_data(payload, workdate, "SAME_DAY_FC_CDS_NEWYORK_CLOSE")
payload.update({"type": "CredIndex", "version": 4})
if args.same_day:
download_composite_data(
payload, workdate, historical, ("SAME_DAY_INDICES",)
)
else:
download_composite_data(payload, workdate, historical)
if not args.same_day:
conn = serenitas_pool.getconn()
remove_curves(conn, workdate)
insert_cds(conn, workdate)
copy_curves_forward(conn, workdate)
if not args.insert_only:
insert_index(conn, workdate)
insert_tranche(conn, workdate)
serenitas_pool.putconn(conn)
elif args.rates:
conn = serenitas_pool.getconn()
for curr in ["USD", "EUR", "JPY"]:
retry = 0
while retry < 10:
try:
downloadMarkitIRData(conn, workdate, curr)
except ValueError as e:
logger.error(e)
logger.error(f"Could not download {curr} rates for date {workdate}")
time.sleep(30)
retry += 1
else:
logger.info(f"Downloaded {curr} rates")
break
serenitas_pool.putconn(conn)
|
