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import csv
import datetime
import io
import pytz
import requests
from utils.db import dbconn
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)
with open("quotes.csv", "w") as fh:
fh.write(r.text)
index_mapping = {
"ITRAXX-Europe": "EU",
"ITRAXX-Xover": "XO",
"CDX-NAIG": "IG",
"CDX-NAHY": "HY",
}
sql_str = f"""INSERT INTO tranche_quotes(quotedate, index, series, version, tenor, attach, detach,
trancheupfrontbid, trancheupfrontmid, trancheupfrontask,
trancherunningbid, trancherunningmid, trancherunningask,
indexrefprice, indexrefspread, tranchedelta, quotesource, markit_id)
VALUES({",".join(["%s"]*18)}) ON CONFLICT DO NOTHING"""
def get_latest_quote_id(db):
with db.cursor() as c:
c.execute("SELECT max(markit_id) FROM tranche_quotes")
markit_id, = c.fetchone()
return markit_id
def convert_float(s):
return float(s) if s else None
serenitasdb = dbconn("serenitasdb")
runningdict1 = {0: 500, 3: 100, 7: 100, 15: 25}
runningdict2 = {0: 500, 3: 500, 7: 500, 10: 100, 15: 100, 30: 100}
markit_id = get_latest_quote_id(serenitasdb)
headers = [h.lower() for h in next(f).strip().split(",")]
count = 0
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=pytz.UTC)
d["index"] = index_mapping[d["ticker"]]
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"] and d[k + "_ask"]
else None
)
d["series"] = int(d["series"])
d["attachment"], d["detachment"] = int(d["attachment"]), int(d["detachment"])
if d["ticker"] == "CDX-NAHY":
d["indexrefprice"] = convert_float(d["reference"])
else:
d["indexrefspread"] = convert_float(d["reference"])
if d["ticker"] == "CDX-NAHY":
for k in ["_bid", "_mid", "_ask"]:
d["upfront" + k] = d["price" + k]
d["spread" + k] = (
0 if d["series"] in [9, 10] and d["attachment"] == 10 else 500
)
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:
running = runningdict2[d["attachment"]]
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["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"] == "" and d["index"] == "IG":
d["version"] = 1
with serenitasdb.cursor() as c:
if d["contributor"] == "BROWNSTONE":
d["contributor"] = "BIG"
c.execute(
sql_str,
(
d["quotedate"],
d["index"],
d["series"],
d["version"],
d["tenor"],
d["attachment"],
d["detachment"],
d["upfront_bid"],
d.get("upfront_mid"),
d["upfront_ask"],
d["spread_bid"],
d.get("spread_mid"),
d["spread_ask"],
d.get("indexrefprice"),
d.get("indexrefspread"),
d["delta"],
d["contributor"][:4],
d["quote_id"],
),
)
count += 1
serenitasdb.commit()
print(f"loaded {count} new quotes")
|
