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from serenitas.utils.db import dbconn
import datetime
import csv
from io import StringIO
from pathlib import Path
from process_queue import rename_keys
def process_upload(trades, asset_type):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(HEADERS[asset_type])
csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
buf = buf.getvalue().encode()
dest = Path("/home/serenitas/flint/{asset_type}.csv")
dest.write_bytes(buf)
def build_line(obj, asset_type):
return [obj.get(h, None) for h in HEADERS[asset_type]]
# variables
date = datetime.date(2021, 11, 9)
dawndb = dbconn("dawndb")
HEADERS = {
"bond": [
"AccountNumber",
"COB Date",
"Prime Broker",
"SecurityType",
"CUSIP",
"ISIN",
"SEDOL",
"SecurityDescription",
"Position",
"MarketPrice",
"Currency",
"Base Market Value",
"Local Market Value",
"Fx Rate",
],
"otc": [
"Client Name",
"Fund Name",
"Counterparty",
"Product Type",
"Unique Deal ID",
"TransactionIndicator (Buy/Sell)",
"PutCall Indicator (Call/Put)",
"CapFloorIndicator",
"CurrencyPair",
"DealCurrencyA",
"DealCurrencyB",
"NotionalA",
"NotionalB",
"OriginalPrice",
"Strike",
"FixedRate",
"Quantity",
"Start Date",
"Effective Date",
"Maturity Date",
"Underlying Maturity",
"RecPayFixed",
"Underlying (ISIN / CUSP / RED CODES)",
"Underlying Desc",
"Exercise Type",
"MTM Currency",
"MTM Valuation",
"COB Date",
"Clearing House Name",
],
}
with dawndb.cursor() as c:
c.execute("SELECT * FROM risk_positions(%s, null, 'BOWDST') ", (date,))
trades = []
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"identifier": "CUSIP",
"description": "SecurityDescription",
"notional": "Position",
"price": "MarketPrice",
"local_market_value": "Local Market Value",
"usd_market_value": "Base Market Value",
},
)
try:
obj["Fx Rate"] = obj["Local Market Value"] / obj["Base Market Value"]
except ZeroDivisionError:
obj["Fx Rate"] = 1
obj["AccountNumber"] = "TELHEEACPB"
obj["Prime Broker"] = "TEST"
obj["COB Date"] = date
trades.append(obj)
process_upload(trades, "bond")
c.execute(
"SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s",
(date,),
)
trades = []
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Product Type"] = "Credit Index Tranche"
obj["TransactionIndicator (Buy/Sell)"] = (
"B" if obj["protection"] == "Buyer" else "S"
)
obj["MTM Currency"] = "USD"
obj["COB Date"] = date
obj["Clearing House Name"] = "Bilateral"
rename_keys(
obj,
{
"dealid": "Unique Deal ID",
"cp_code": "Counterparty",
"currency": "DealCurrencyA",
"active_notional": "NotionalA",
"fixed_rate": "FixedRate",
"trade_date": "Start Date",
"effective_date": "EffectiveDate",
"maturity": "Maturity Date",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
"mtm": "MTM Valuation",
},
)
trades.append(obj)
process_upload(trades, "otc")
c.execute(
"SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
(date,),
)
trades = []
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Product Type"] = "CD Swaption"
obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
obj["PutCall Indicator (Call/Put)"] = (
"P" if obj["option_type"] == "PAYER" else "C"
)
obj["Exercise Type"] = "European"
obj["MTM Currency"] = "USD"
obj["COB Date"] = date
obj["Clearing House Name"] = "Bilateral"
rename_keys(
obj,
{
"dealid": "Unique Deal ID",
"cp_code": "Counterparty",
"currency": "DealCurrencyA",
"active_notional": "NotionalA",
"fixed_rate": "FixedRate",
"strike": "Strike",
"annexdate": "EffectiveDate",
"trade_date": "Start Date",
"maturity": "Maturity Date",
"expiration_date": "Underlying Maturity",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
"serenitas_nav": "MTM Valuation",
},
)
trades.append(obj)
process_upload(trades, "otc")
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