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from serenitas.utils.exchange import ExchangeMessage
import pandas as pd
from serenitas.utils.db import dawn_engine
from sqlalchemy.exc import IntegrityError
import logging
from serenitas.ops.trade_dataclasses import SwaptionDeal
logger = logging.getLogger(__name__)
columns = [
"option_recap",
"index_buyer",
"index_seller",
"trade_date",
"effective_date",
"execution_time",
"notional",
"price",
"mid_price",
"strike",
"expiry_date",
"option_type",
"exercise_clearing_house",
"premium_fee",
"premium_fee_pay_date",
"trade_id",
"venue_mic",
]
em = ExchangeMessage()
for msg in em.get_msgs(path=["AutoBook", "BAML Swaption"], count=2):
dfs = pd.read_html(msg.body)
trades = []
for df in dfs:
if len(df[0]) > 5:
trade = dict(zip(df[0].values, df[1].values))
if "Block" in trade or "Unwind Price" in trade:
continue
trades.append(trade)
trade = SwaptionDeal.from_baml_email(trade)
trade.stage()
df = pd.DataFrame.from_dict(trades)
df.columns = df.columns.str.lower().str.replace(" ", "_")
if "collateral" in df.columns:
additional_columns = ["collateral"]
else:
additional_columns = []
df = df[columns + additional_columns]
try:
df.to_sql(
"baml_swaption_ticket", index=False, con=dawn_engine, if_exists="append"
)
except IntegrityError as e:
logger.warning(e)
SwaptionDeal.clear()
else:
SwaptionDeal.commit()
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