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
|
from pathlib import Path
from exchange import get_msgs
from pytz import timezone
from parse_emails import write_todb
import datetime
import logging
import os
import pandas as pd
import re
class ParseError(Exception):
pass
def parse_email(email, fwd_index):
m = re.search("(IG|HY)(\d{2}) 5y (?:.*)SWAPTION (?:UPDATE|CLOSES|CLOSE) - Ref\D+([\d.]+)(?:[^(]+\(([\d.]+)\))?",
email.subject)
if m:
indextype, series, ref, refspread = m.groups()
series = int(series)
if indextype == 'IG':
refspread = ref
try:
refspread = float(ref)
except ValueError as e:
raise ParseError(str(e))
else:
raise ParseError(f"can't parse subject line: {email.subject}")
quotedate = datetime.datetime.fromtimestamp(email.datetime_sent.timestamp(),
timezone('America/New_York'))
flag = False
masterdf = {}
for line in email.body.split("\r\n"):
if line.startswith("Expiry"):
m = re.match("Expiry (\d{2}\w{3}\d{2}) \((?:([\S]+) )?([\S]+)\)", line)
if m:
date, fwprice, fwspread = m.groups()
date = pd.to_datetime(date, format='%d%b%y')
continue
if line.startswith("Stk"):
flag = True
r = []
continue
if flag:
if line:
vals = re.sub(" +", " ", line).split(" ")
if indextype == 'HY':
vals.pop(2)
vals.pop(9)
else:
vals.pop(1)
vals.pop(8)
r.append(vals)
continue
else:
if indextype == 'HY':
cols = ['Strike', 'Sprd', 'Pay', 'DeltaPay', 'Rec', 'Vol',
'VolChg', 'VolBpd', 'Tail']
else:
cols = ['Strike', 'Pay', 'DeltaPay', 'Rec', 'Vol',
'VolChg', 'VolBpd', 'Tail']
df = pd.DataFrame.from_records(r, columns=cols)
df[['PayBid', 'PayOffer']] = df.Pay.str.split('/', expand=True)
df[['RecBid', 'RecOffer']] = df.Rec.str.split('/', expand=True)
df.drop(['Pay', 'Rec'], axis=1, inplace=True)
for col in df:
df[col] = pd.to_numeric(df[col], errors='coerce')
df.set_index('Strike', inplace=True)
d = {'quotedate': quotedate,
'expiry': date,
'index': indextype,
'series': series,
'ref': refspread if indextype == "IG" else ref,
'msg_id': int(get_msg_id(email), 16)}
if indextype == "IG":
d['fwdspread'] = float(fwspread)
else:
d['fwdprice'] = float(fwprice)
fwd_index.append(d)
masterdf[date] = df
flag = False
r = []
continue
return quotedate, indextype, series, pd.concat(masterdf, names=['expiry'])
def clean_df(all_df):
all_df = pd.concat(all_df, names=['quotedate', 'index', 'series'], sort=True)
all_df['DeltaPay'] = - all_df['DeltaPay']/100
all_df['Vol'] /= 100
all_df.reset_index(inplace=True)
all_df = all_df.rename(columns={'Strike':'strike',
'Vol': 'vol',
'PayOffer': 'pay_offer',
'PayBid': 'pay_bid',
'RecOffer': 'rec_offer',
'RecBid': 'rec_bid',
'Tail': 'tail',
'DeltaPay': 'delta_pay'})
del all_df['VolBpd'], all_df['VolChg']
if 'Sprd' in all_df:
del all_df['Sprd']
return all_df
def get_msg_id(msg):
return msg.message_id[1:17].lower()
def save_email(msg, path):
fname = path / ("{:%Y-%m-%d %H-%M-%S}_{}".
format(msg.datetime_sent,
get_msg_id(msg)))
with fname.open("w") as fh:
fh.write(msg.text_body)
if __name__ == "__main__":
fwd_index = []
swaption_quotes = {}
save_path = Path(os.environ["DATA_DIR"]) / "swaptions" / "exchange"
for email in get_msgs(count=20):
save_email(email, save_path)
try:
quotedate, indextype, series, df = parse_email(email, fwd_index)
except ParseError as e:
logging.exception(e)
continue
swaption_quotes[(quotedate, indextype, series)] = df
index_df = pd.DataFrame(fwd_index)
index_df = index_df.drop_duplicates(['quotedate', 'index', 'series', 'expiry'])
index_df['quote_source'] = 'GS'
swaption_quotes = clean_df(swaption_quotes)
swaption_quotes = swaption_quotes.set_index(['quotedate', 'index', 'series', 'expiry'])
write_todb(swaption_quotes, index_df)
|
