1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
|
import csv
import datetime
import pathlib
from csv_headers.citco import GTL
from serenitas.utils.remote import FtpClient, SftpClient
from serenitas.utils.exchange import ExchangeMessage, FileAttachment
from io import StringIO
from typing import Tuple, Union
from serenitas.utils.env import DAILY_DIR
from .file_gen import get_headers, build_line
class Fund:
staging_queue = []
_registry = {}
filepath_pattern = None
def __class_getitem__(cls, fund_name: str):
return cls._registry[fund_name]
def __init_subclass__(cls, fund_name: str):
cls.name = fund_name
cls._registry[fund_name] = cls
@classmethod
def build_buffer(cls, trade_type):
buf = StringIO()
csvwriter = csv.writer(buf)
cls.set_headers(trade_type)
csvwriter.writerow(cls.headers)
csvwriter.writerows(
[[obj.get(h) for h in cls.headers] for obj in cls.staging_queue]
)
buf = buf.getvalue().encode()
dest = cls.get_filepath(DAILY_DIR, trade_type)
dest.parent.mkdir(exist_ok=True)
dest.write_bytes(buf)
return buf, dest
@classmethod
def set_headers(cls, trade_type):
cls.headers = get_headers(trade_type, cls.name)
@classmethod
def stage(cls, trade, *, trade_type, **kwargs):
cls.staging_queue.append(build_line(trade, trade_type, cls.name))
@classmethod
def get_filepath(
cls,
base_dir: pathlib.Path,
trade_type: Union[str, Tuple[str, str]],
) -> pathlib.Path:
d = {
"bond": "Mortgages",
"cds": "CreditDefaultSwapDeal",
"swaption": "SwaptionDeal",
"future": "Future",
"wire": "CashFlowDeal",
"spot": "SpotDeal",
"fx_swap": "FxSwapDeal",
"capfloor": "CapFloor",
"repo": "RepoDeal",
"iam": "IamDeal",
"trs": "TRSDeal",
"irs": "IRSDeal",
}
trade_tag: str
if isinstance(trade_type, tuple):
trade_tag = d[trade_type[0]] + trade_type[1]
else:
trade_tag = d[trade_type]
timestamp = datetime.datetime.now()
return (
base_dir
/ str(timestamp.date())
/ cls.filepath_pattern.format(timestamp=timestamp, trade_tag=trade_tag)
)
class Serenitas(Fund, fund_name="SERCGMAST"):
filepath_pattern = "Serenitas.ALL.{timestamp:%Y%m%d.%H%M%S}.{trade_tag}.csv"
@staticmethod
def upload(buf, dest):
ftp = FtpClient.from_creds("serenitas")
ftp.client.cwd("incoming")
ftp.client.put(buf, dest)
class Brinker(Fund, fund_name="BRINKER"):
filepath_pattern = "LMCG_BBH_SWAP_TRADES_P.{timestamp:%Y%m%d%H%M%S}.csv"
@staticmethod
def upload(buf, dest):
sftp = SftpClient.from_creds("bbh")
sftp.put(buf, dest)
class Bowdst(Fund, fund_name="BOWDST"):
filepath_pattern = "Bowdst.ALL.{timestamp:%Y%m%d.%H%M%S}.{trade_tag}.csv"
@staticmethod
def upload(buf, dest):
sftp = SftpClient.from_creds("hm_globeop")
sftp.client.chdir("incoming")
sftp.put(buf, dest)
em = ExchangeMessage()
recipients = ("hm-operations@bnymellon.com",)
em.send_email(
"Trade file",
"",
to_recipients=recipients,
cc_recipients=("bowdoin-ops@lmcg.com",),
attach=(FileAttachment(name=dest, content=buf),),
)
class Selene(Fund, fund_name="ISOSEL"):
filepath_pattern = "innocap_serenitas_trades_{timestamp:%Y%m%d%H%M%S}.csv"
headers = GTL
@classmethod
def set_headers(cls, trade_type):
pass
@classmethod
def stage(cls, trade, *, trade_type, action="NEW", **kwargs):
if (trade_type not in ("cds", "irs", "swaption", "trs")) or (
trade_type == "cds" and trade.attach is None
):
cls.staging_queue.append(trade.to_citco(action))
else:
if trade.product.committed:
cls.staging_queue.append(trade.to_citco(action))
else:
# Push to product queue
pass
|
