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import csv
import datetime
import io
import logging
import requests
from serenitas.utils.db2 import dbconn
from functools import partial, lru_cache
from itertools import chain
from quote_parsing.parse_emails import get_current_version
params = {
"username": "serenitasreports",
"password": "_m@rk1t_",
"reportUri": "/MarkitQuotes/CLIENTS/AllTrancheQuotes",
"exportType": "csv",
"START_TIME": "11/13/2017",
}
r = requests.post("https://quotes.markit.com/reports/runReport", params=params)
f = io.StringIO(r.text)
index_mapping = {
"ITRAXX-Europe": "EU",
"ITRAXX-Xover": "XO",
"CDX-NAIG": "IG",
"CDX-NAHY": "HY",
}
def convert_float(s):
return float(s) if s else None
serenitasdb = dbconn("serenitasdb")
get_version = lru_cache()(partial(get_current_version, conn=serenitasdb))
runningdict1 = {0: 500, 3: 100, 7: 100, 15: 25}
runningdict2 = {0: 500, 3: 500, 7: 500, 10: 100, 15: 100, 30: 100}
headers = [h.lower() for h in next(f).strip().split(",")]
count = 0
to_insert = {}
tranche_ref = []
for d in csv.DictReader(f, fieldnames=headers):
d["quotedate"] = datetime.datetime.strptime(d["time"], "%m/%d/%Y %H:%M:%S")
d["quotedate"] = d["quotedate"].replace(tzinfo=datetime.timezone.utc)
d["index"] = index_mapping[d["ticker"]]
if d["tenor"] == "20":
continue
d["tenor"] = d["tenor"] + "yr"
for k1 in ["upfront", "spread", "price"]:
for k2 in ["_bid", "_ask"]:
d[k1 + k2] = convert_float(d[k1 + k2])
for k in ["upfront", "spread", "price"]:
d[k + "_mid"] = (
0.5 * (d[k + "_bid"] + d[k + "_ask"])
if d[k + "_bid"] is not None and d[k + "_ask"] is not None
else None
)
d["series"] = int(d["series"])
d["attachment"], d["detachment"] = int(d["attachment"]), int(d["detachment"])
if d["version"] == "":
d["version"] = get_version(d["index"], d["series"], d["quotedate"].date())
else:
d["version"] = int(d["version"])
ref = convert_float(d["reference"])
if d["ticker"] == "CDX-NAHY":
if d["contributor"] == "MS" and ref > 115.0:
d["deleted"] = True
d["indexrefspread"] = ref
for k in ["_bid", "_mid", "_ask"]:
d["upfront" + k] = 0.0
else:
d["indexrefprice"] = ref
for k in ["_bid", "_mid", "_ask"]:
if d["price" + k]:
d["upfront" + k] = d["price" + k]
elif d["spread" + k]:
d["upfront" + k] = d["spread" + k]
d["spread" + k] = (
0 if d["series"] in [9, 10] and d["attachment"] == 10 else 500
)
else:
d["indexrefspread"] = ref
if d["ticker"] == "ITRAXX-Xover":
if int(d["attachment"]) < 35:
for k in ["_bid", "_mid", "_ask"]:
##d[f'upfront{k}'] = d[f'spread{k}']
d["spread" + k] = 500
if d["ticker"] == "ITRAXX-Europe":
if d["attachment"] <= 3:
for k in ["_bid", "_mid", "_ask"]:
# d[f'upfront{k}'] = d[f'spread{k}']
d["spread" + k] = 500 if d["series"] == 19 else 100
if d["ticker"] == "CDX-NAIG":
for k in ["Bid", "Mid", "Ask"]:
# d[f'upfront{k}'] = d[f'spread{k}']
if d["series"] < 19:
try:
running = runningdict2[d["attachment"]]
except KeyError:
continue
elif d["series"] < 25:
running = runningdict1[d["attachment"]]
else:
running = 100
for k in ["_bid", "_mid", "_ask"]:
d["spread" + k] = running
d["delta"] = convert_float(d["delta"])
if d["delta"] is not None and d["delta"] >= 100:
logging.error(d)
d["delta"] = None
if d["version"] == "" and d["index"] == "HY" and d["series"] in (29, 31):
d["version"] = 5
if d["version"] == "" and d["index"] == "HY" and d["series"] == 27:
d["version"] = 7
if d["version"] == "":
if d["index"] == "IG":
d["version"] = 1
elif d["index"] == "EU":
if d["series"] == 32:
d["version"] = 1
elif d["series"] in (28, 30):
d["version"] = 2
key_ref = (
d["quotedate"],
d["index"],
d["series"],
d["version"],
d["tenor"],
d["contributor"][:4],
)
val = (
d["attachment"],
d["detachment"],
d["upfront_bid"],
d["upfront_mid"],
d["upfront_ask"],
d["spread_bid"],
d["spread_mid"],
d["spread_ask"],
d["delta"],
d["quote_id"],
d.get("deleted", False),
)
if key_ref not in to_insert:
tranche_ref.append(
(
*key_ref[:-1],
d.get("indexrefprice"),
d.get("indexrefspread"),
key_ref[-1],
)
)
to_insert[key_ref] = [val]
else:
to_insert[key_ref].append(val)
quoteset_mapping = []
serenitasdb.execute("SET time zone 'UTC'")
with serenitasdb.pipeline():
with serenitasdb.cursor() as c:
for tr in tranche_ref:
c.execute(
"INSERT INTO tranche_quotes_ref(quotedate, index, series, version, tenor, ref_price, ref_spread, quotesource) "
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s) "
"ON CONFLICT (quotedate, index, series, version, tenor, quotesource) DO NOTHING "
"RETURNING quoteset, quotedate, index, series, version, tenor, quotesource",
tr,
)
while True:
try:
quoteset, *key = c.fetchone()
quoteset_mapping.append((quoteset, tuple(key)))
if not c.nextset():
break
except TypeError:
break
c.executemany(
"INSERT INTO tranche_quotes_tranches("
"quoteset, attach, detach, upfront_bid, upfront_mid, upfront_ask, "
"running_bid, running_mid, running_ask, delta, markit_id, deleted)"
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)",
chain.from_iterable(
[[(q, *v) for v in to_insert[key]] for q, key in quoteset_mapping]
),
)
serenitasdb.commit()
print(f"loaded {len(quoteset_mapping)} new quotes")
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