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import datetime
import csv
from io import StringIO
from serenitas.utils.misc import rename_keys
from serenitas.utils.remote import SftpClient
from serenitas.utils.env import DAILY_DIR
from pandas.tseries.offsets import MonthEnd
from serenitas.utils.exchange import ExchangeMessage, FileAttachment
from serenitas.analytics.dates import prev_business_day
def process_upload(trades, asset_type, upload):
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()
fname = f"Innocap_ISOSEL_positions_{args.date}.csv"
if upload:
innocap_sftp = SftpClient.from_creds("innocap", folder="Innocap")
innocap_sftp.put(buf, fname)
citco_sftp = SftpClient.from_creds("citco", folder="incoming")
citco_sftp.put(buf, fname)
base_dir = DAILY_DIR / str(datetime.date.today())
base_dir.mkdir(exist_ok=True, parents=True)
dest = base_dir / fname
dest.write_bytes(buf)
return fname, buf
def build_line(obj, asset_type):
return [obj.get(h, None) for h in HEADERS[asset_type]]
HEADERS = {
"otc": [
"Client Name",
"Fund Name",
"Counterparty",
"AccountNumber",
"COB Date",
"SecurityDescription",
"Prime Broker",
"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",
"MarketPrice",
"COB Date",
"Clearing House Name",
],
}
def positions_otc(conn, date):
with conn.cursor() as c:
c.execute("SELECT * FROM risk_positions(%s, null, 'ISOSEL') ", (date,))
trades = []
for row in c:
obj = row._asdict()
obj["Client Name"] = "INNOCAP"
obj["Fund Name"] = "ISOSEL"
rename_keys(
obj,
{
"identifier": "Underlying (ISIN / CUSP / RED CODES)",
"description": "SecurityDescription",
"notional": "NotionalA",
"price": "MarketPrice",
"local_market_value": "Local Market Value",
"usd_market_value": "MTM Valuation",
},
)
obj["AccountNumber"] = "NT"
obj["Prime Broker"] = "NT"
obj["COB Date"] = date
obj["DealCurrencyA"] = "USD"
obj["Product Type"] = "Bond"
yield obj
# c.execute(
# "WITH tmp AS (SELECT bbg_ticker, fund, security_desc, currency, maturity, sum(quantity * (2*buysell::int-1)) OVER (PARTITION BY bbg_ticker, fund, security_desc, currency, maturity) notional FROM futures "
# "WHERE fund='ISOSEL' AND trade_date <= %s) "
# "SELECT bbg_ticker, notional, code AS cp_code, cash_account, security_desc, currency, maturity FROM tmp LEFT JOIN accounts USING (fund) WHERE tmp.notional != 0 AND account_type='Future';",
# (date,),
# )
# trades = []
# for row in c:
# obj = row._asdict()
# obj["Client Name"] = "HEDGEMARK"
# obj["Fund Name"] = "BOS_PAT_BOWDOIN"
# rename_keys(
# obj,
# {
# "bbg_ticker": "Underlying (ISIN / CUSP / RED CODES)",
# "notional": "NotionalA",
# "cp_code": "Prime Broker",
# "cash_account": "AccountNumber",
# "security_desc": "SecurityDescription",
# "currency": "DealCurrencyA",
# "maturity": "MaturityDate",
# },
# )
# obj["COB Date"] = date
# obj["Product Type"] = "Futures"
# yield obj
# c.execute(
# "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s",
# (date,),
# )
# 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
# 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",
# },
# )
# yield obj
# c.execute(
# "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'ISOSEL') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
# (date,),
# )
# 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
# 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",
# },
# )
# yield obj
# c.execute(
# "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'ISOSEL') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
# (date,),
# )
# for row in c:
# obj = row._asdict()
# obj["Client Name"] = "HEDGEMARK"
# obj["Fund Name"] = "BOS_PAT_BOWDOIN"
# obj["Product Type"] = "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
# rename_keys(
# obj,
# {
# "dealid": "Unique Deal ID",
# "cp_code": "Counterparty",
# "currency": "DealCurrencyA",
# "active_notional": "NotionalA",
# "fixed_rate": "FixedRate",
# "strike": "Strike",
# "effectivedate": "Effective Date",
# "trade_date": "Start Date",
# "maturity": "Maturity Date",
# "expiration_date": "Underlying Maturity",
# "security_id": "Underlying (ISIN / CUSP / RED CODES)",
# "security_desc": "Underlying Desc",
# "nav": "MTM Valuation",
# },
# )
# yield obj
# c.execute(
# "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'ISOSEL') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
# (date,),
# )
# for row in c:
# obj = row._asdict()
# obj["Client Name"] = "HEDGEMARK"
# obj["Fund Name"] = "BOS_PAT_BOWDOIN"
# obj["Counterparty"] = "GS"
# obj["Product Type"] = "Credit Index"
# obj["Unique Deal ID"] = obj["security_id"]
# obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["notional"] > 0 else "S"
# obj["DealCurrencyA"] = "EUR" if obj["index"] in ("EU", "XO") else "USD"
# obj["NotionalA"] = abs(obj["notional"]) * obj["factor"]
# obj["Start Date"] = date
# obj["MTM Currency"] = "USD"
# obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
# obj["COB Date"] = date
# obj["Clearing House Name"] = "ICE"
# obj["FixedRate"] = obj["coupon"] * 100
# rename_keys(
# obj,
# {
# "effectivedate": "Effective Date",
# "maturity": "Maturity Date",
# "security_id": "Underlying (ISIN / CUSP / RED CODES)",
# "security_desc": "Underlying Desc",
# },
# )
# yield obj
if __name__ == "__main__":
import argparse
from serenitas.utils.db import dbconn
parser = argparse.ArgumentParser(
description="Generate position files for ISOSEL Street"
)
parser.add_argument(
"date",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day(datetime.date.today()),
)
parser.add_argument(
"--no-upload",
"-n",
action="store_true",
default=False,
help="uploads to citco and innocap",
)
args = parser.parse_args()
conn = dbconn("dawndb")
fname, buf = process_upload(
positions_otc(conn, args.date), "otc", not args.no_upload
)
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