path: root/python/process_queue.py

import argparse
import csv
import datetime
import logging
import os
import psycopg2
import re
import socket
import sys
import task_server.config as config

from io import StringIO

from itertools import groupby
from pickle import loads
from ftplib import FTP
from sqlalchemy import create_engine
from bbg_helpers import init_bbg_session, retrieve_data, BBG_IP
from common import get_redis_queue
from analytics.utils import previous_twentieth
from db import dbconn
from send_email import EmailMessage
from tabulate import tabulate

HEADERS = {'bond_trades': [
    'Deal Type', 'Deal ID', 'Action', 'Client', 'Reserved', 'Reserved',
    'Folder', 'Custodian', 'Cash Account', 'Counterparty', 'Comments',
    'State', 'Trade Date', 'Settlement Date', 'Reserved', 'GlopeOp Security Identifier',
    'CUSIP', 'ISIN', 'Reserved', 'Reserved',
    'Reserved', 'Security Description', 'Transaction Indicator',
    'SubTransaction Indicator', 'Accrued', 'Price', 'BlockId', 'BlockAmount',
    'Fund', 'Portfolio', 'Reserved', 'Reserved', 'ClientReference', 'ClearingMode',
    'FaceAmount', 'Pool Factor', 'FactorAsOfDate', 'Delivery'],
           'cds_trades': [
               'Deal Type', 'Deal ID', 'Action', 'Client', 'Reserved', 'Reserved',
               'Folder', 'Custodian', 'Cash Account', 'Counterparty', 'Comments',
               'State', 'Trade Date', 'Reserved', 'Reserved', 'EffectiveDate', 'MaturityDate',
               'Currency', 'Notional', 'FixedRate', 'PaymentRollDateConvention', 'DayCount',
               'PaymentFrequency', 'FirstCouponRate', 'FirstCouponDate', 'ResetLag', 'Liquidation',
               'LiquidationDate', 'Protection', 'UnderlyingSecurityId',
               'UnderlyingSecurityDescription', 'CreditSpreadCurve',
               'CreditEvents', 'RecoveryRate', 'Settlement', 'InitialMargin',
	       'InitialMarginPercentage','InitialMarginCurrency', 'DiscountCurve',
	       'ClientReference', 'UpfrontFee', 'UpfrontFeePayDate', 'RegenerateCashFlow',
               'UpfrontFeeComment', 'GiveUpBroker','SwapType', 'OnPrice',
	       'OffPrice', 'AttachmentPoint', 'ExhaustionPoint', 'Fees', 'Fee Payment Dates',
	       'Fee Comments', 'Credit Event Occurred', 'Calendar',
               'Clearing Facility', 'Adjusted', 'CcpTradeRef', 'BlockId',
	       'BlockAmount', 'NettingId', 'AnnouncementDate', 'ExecTS',
	       'DefaultProbability', 'ClientMargin', 'Factor', 'ISDADefinition'],
           'swaption_trades': [
               'Deal Type', 'Deal ID','Action', 'Client', 'Fund', 'Portfolio',
	       'Folder', 'Custodian', 'Cash Account', 'Counterparty', 'Comments',
	       'State', 'Trade Date', 'Reserved', 'Reserved', 'Reserved',
	       'Notional', 'PremiumSettlementDate', 'ExpirationDate',
               'PremiumCurrency', 'PercentageOfPremium', 'ExerciseType', 'Reserved',
	       'SettlementMode', 'SettlementRate', 'Transaction Indicator',
               'InitialMargin', 'InitialMarginPercentage', 'InitialMarginCurrency',
               'ReceiveLegRateType', 'ReceiveFloatRate', 'ReceiveFirstCouponDate',
	       'ReceiveFirstCouponRate', 'ReceiveFixedRate', 'ReceiveDaycount',
               'ReceiveFrequency', 'ReceivePaymentRollConvention',
               'ReceiveEffectiveDate', 'ReceiveMaturityDate',
               'ReceiveNotional', 'ReceiveArrears', 'ReceiveAdjusted', 'ReceiveCompound',
	       'ReceiveCurrency',
               'PayLegRateType', 'PayFloatRate', 'PayFirstCouponDate',
               'PayFirstCouponRate', 'PayFixedRate', 'PayDaycount', 'PayFrequency',
	       'PayPaymentRollConvention', 'PayEffectiveDate', 'PayMaturityDate',
               'PayNotional', 'PayArrears', 'PayAdjusted', 'PayCompound', 'PayCurrency',
	       'RegenerateCashFlow', 'GiveUpBroker', 'ClientReference', 'ReceiveDiscountCurve',
	       'ReceiveForwardCurve', 'PayDiscountCurve', 'PayForwardCurve', 'ReceiveFixingFrequency',
	       'ReceiveInterestCalcMethod', 'ReceiveCompoundAverageFrequency',
	       'PayFixingFrequency', 'PayInterestCalcMethod', 'PayCompoundAverageFrequency',
               'SwapType', 'AttachmentPoint', 'ExhaustionPoint', 'UnderlyingInstrument',
	       'AssociatedDealType', 'AssociatedDealId', 'CounterpartyReference',
               'PremiumSettlementCurrency', 'PremiumSettlementAmount', 'ReceiveIMM Period',
               'PayIMMPeriod', 'Reserved', 'ClearingFacility', 'Strike', 'CcpTradeRef',
               'BreakClauseFrequency', 'BlockId', 'BlockAmount', 'Cross Currency Premium Payment',
	       'Premium Payment Amount', 'Netting Id', 'BreakClauseDate'],
           'future_trades': [
               "Deal Type", "Deal ID", "Action", "Client", "Reserved", "Reserved",
               "Folder", "Custodian", "Cash Account", "Counterparty", "Comments",
               "State", "Trade Date", "Settlement Date", "Reserved",
               "GlopeOp Security Identifier", "Reserved", "Reserved", "Reserved",
               "Bloomberg Ticker", "RIC", "Security Description",
               "Transaction Indicator", "SubTransaction Indicator",
	       "Quantity", "Price", "Commission", "Tax", "VAT",
               "Trade Currency", "Reserved", "Reserved", "Broker Short Name",
	       "MaturityDate",	"Exchange", "Client Reference", "Swap Type",
               "Initial Margin", "Initial Margin Currency", "Future Event",
               "Commission Entries", "BlockId", "Block Amount"],
           'wires': [
               "Deal Type", "Deal ID", "Action", "Client", "Reserved", "Reserved",
               "Folder", "Custodian", "Cash Account", "Counterparty" "Comments",
               "State", "Trade Date", "Settlement Date", "Reserved", "Reserved",
	       "Currency", "Amount", "Associated Deal Type", "Associated Deal Id",
	       "Transaction Type", "Instrument Type", "Yield", "Client Reference",
	       "ClearingFacility", "Deal Function", "Reset Price", "Reset Date",
	       "Ccp Trade Ref", "Margin Type", "Block Id", "Block Amount"]
}

def get_effective_date(d):
    return previous_twentieth(d + datetime.timedelta(days=1))

def get_trades(q, queue_name='bond_trades'):
    r = q.lrange(queue_name, 0, -1)
    df = [loads(e) for e in r]
    list_trades = []
    if df:
        for tradeid, v in groupby(df, lambda x: x['id']):
            trades = list(v)
            trades = sorted(trades, key = lambda x: x['lastupdate'])
            if len(trades) == 1:
                list_trades.append(trades[0])
            else:
                if trades[-1]['action'] == 'CANCEL':
                    continue
                if trades[0].action == 'NEW':
                    trades[-1]['action'] = 'NEW'
                    list_trades.append(trades[-1])
    return list_trades

def rename_keys(d, mapping):
    """ rename keys in dictionary according to mapping dict inplace"""
    for k, v in mapping.items():
        if k in d:
            d[v] = d.pop(k)

def build_line(obj, queue_name='bond_trades'):
    obj['Client'] = 'Serenitas'
    obj['Fund'] = 'SERCGMAST'
    obj['State'] = 'Valid'
    rename_cols = {'action': 'Action',
                   'dealid': 'Deal ID',
                   'folder': 'Folder',
                   'custodian': 'Custodian',
                   'cashaccount': 'Cash Account',
                   'cp_code': 'Counterparty',
                   'identifier': 'GlopeOp Security Identifier',
                   'cusip': 'CUSIP',
                   'isin': 'ISIN',
                   'description': 'Security Description',
                   'accrued': 'Accrued',
                   'price': 'Price',
                   'faceamount': 'FaceAmount',
                   'trade_date': 'Trade Date',
                   'settle_date': 'Settlement Date',
                   'effective_date': 'EffectiveDate',
                   'maturity': 'MaturityDate',
                   'currency': 'Currency',
                   'curr_notional': 'Notional',
                   'fixed_rate': 'FixedRate',
                   'payment_rolldate': 'PaymentRollDateConvention',
                   'day_count': 'DayCount',
                   'protection': 'Protection',
                   'security_id': 'UnderlyingSecurityId',
                   'security_desc': 'UnderlyingSecurityDescription',
                   'upfront': 'UpfrontFee',
                   'upfront_settle_date': 'UpfrontFeePayDate',
                   'swap_type': 'SwapType',
                   'attach':'AttachmentPoint',
                   'detach':'ExhaustionPoint',
                   'clearing_facility': 'Clearing Facility',
                   'isda_definition': 'ISDADefinition',
                   'expiration_date': 'ExpirationDate'}

    rename_keys(obj, rename_cols)
    if queue_name in ['bond_trades', 'swaption_trades', 'future_trades']:
        obj['Transaction Indicator'] = "Buy" if obj['buysell'] else "Sell"
    if queue_name == 'bond_trades':
        obj['Deal Type'] = 'MortgageDeal'
        obj['Portfolio'] = 'MORTGAGE'
        obj['Delivery'] = 'S'
        ## zero coupon bond
        if obj['CUSIP'] != obj['GlopeOp Security Identifier']:
            obj['CUSIP'] = None
    elif queue_name == 'swaption_trades':
        obj['Deal Type'] = 'SwaptionDeal'
        obj['Portfolio'] = 'OPTIONS'
        obj['ExerciseType'] = 'European'
        obj['SettlementMode'] = 'Delivery'
        rename_keys(obj, {'Settlement Date': 'PremiumSettlementDate',
                          'Price': 'PercentageOfPremium',
                          'notional': 'Notional',
                          'initial_margin_percentage': 'InitialMarginPercentage'})

        obj['RegenerateCashFlow'] = 'N'
        for direction in ['Pay', 'Receive']:
            obj[direction + 'Daycount'] = 'ACT/360'
            obj[direction + 'Frequency'] = 'Quarterly'
            obj[direction + 'PaymentRollConvention'] = 'Following'
            obj[direction + 'MaturityDate'] = obj['MaturityDate']
            obj[direction + 'Currency'] = obj['Currency']
            obj[direction + 'Notional'] = obj['Notional']
            obj[direction + 'EffectiveDate'] = get_effective_date(obj['Trade Date'])
        obj['PremiumCurrency'] = obj['Currency']
        if obj['InitialMarginPercentage']:
            obj['InitialMarginCurrency'] = obj['Currency']
        obj['SwapType'] = 'CD_INDEX_OPTION'
        obj['UnderlyingInstrument'] = obj.pop('UnderlyingSecurityId')
        obj['Strike'] = obj.pop('strike')
        if obj['swaption_type'] == 'PAYER':
            obj['ReceiveLegRateType'] = 'Float'
            obj['ReceiveFloatRate'] = 'US0003M'
            obj['PayLegRateType'] = 'Fixed'
            obj['PayFixedRate'] = obj['FixedRate']
        elif obj['swaption_type'] == 'RECEIVER':
            obj['PayLegRateType'] = 'Float'
            obj['PayFloatRate'] = 'US0003M'
            obj['ReceiveLegRateType'] = 'Fixed'
            obj['ReceiveFixedRate'] = obj['FixedRate']
    elif queue_name == 'cds_trades':
        freq = {4: 'Quarterly', 12: 'Monthly'}
        obj['Deal Type'] = 'CreditDefaultSwapDeal'
        obj['PaymentFrequency'] = freq[obj['frequency']]
        obj['InitialMarginPercentage'] = obj.pop('initial_margin_percentage')
        if obj['InitialMarginPercentage']:
            obj['InitialMarginCurrency'] = obj['Currency']
    elif queue_name == 'future_trades':
        obj['Deal Type'] = 'FutureDeal'
        rename_keys(obj, {'currency':'Trade Currency',
                          'commission': 'Commission',
                          'quantity': 'Quantity',
                          'swap_type': 'Swap Type',
                          'bbg_ticker': 'Bloomberg Ticker',
                          'Currency': 'Trade Currency',
                          'exchange': 'Exchange'})
    elif queue_name == 'wires':
        obj['Deal Type'] = 'CashFlowDeal'
        obj['Transaction Type'] = 'Transfer'
        obj['Instrument Type'] = 'Cashflow'
        obj['Settlement Date'] = obj['Trade Date']

    return [obj.get(h, None) for h in HEADERS[queue_name]]

def get_bbg_data(conn, session, identifier, cusip=None, isin = None, settle_date = None, asset_class=None,
                 **kwargs):
    fields = ["MTG_FACTOR_SET_DT", "INT_ACC"]
    fields_dict = {'Mtge': ["MTG_FACE_AMT", "START_ACC_DT"],
                   'Corp': ["AMT_ISSUED", "PREV_CPN_DT"]}
    with conn.cursor() as c:
        c.execute("SELECT identifier FROM securities WHERE identifier=%s",
                  (identifier,))
        if not c.fetchone():
            fields += ["MATURITY", "CRNCY", "NAME", "FLOATER", "FLT_SPREAD", "CPN",
                       "CPN_FREQ", "FIRST_CPN_DT", "MTG_PAY_DELAY", "DAY_CNT_DES"]

    cusip_or_isin = cusip or isin
    for bbg_type in ['Mtge', 'Corp']:
        bbg_id = cusip_or_isin + ' ' + bbg_type
        data = retrieve_data(session, [bbg_id], fields + fields_dict[bbg_type],
                             overrides={'SETTLE_DT': settle_date} if settle_date else None)
        if data[bbg_id]:
            break
    else:
        logging.error('{0} not in bloomberg'.format(cusip_or_isin))
        return

    bbg_data = data[bbg_id]
    if bbg_data.get('MTG_FACTOR_SET_DT', 0) == 0:
        bbg_data['MTG_FACTOR_SET_DT'] = 1
        bbg_data['INT_ACC'] = 0
    if len(fields) > 2: #we don't have the data in the securities table
        sql_fields = ['identifier', 'cusip', 'isin', 'description', 'face_amount',
                      'maturity', 'floater', 'spread', 'coupon', 'frequency',
                      'day_count', 'first_coupon_date', 'pay_delay', 'currency',
                      'bbg_type', 'asset_class', 'start_accrued_date']
        sqlstr = "INSERT INTO securities({0}) VALUES({1})".format(",".join(sql_fields),
                                                                  ",".join(["%s"]*17))
        isfloater =  bbg_data['FLOATER'] == 'Y'
        pay_delay = bbg_data.get('MTG_PAY_DELAY', 0)
        day_count = bbg_data.get('DAY_CNT_DES')
        m = re.match("[^(\s]+", day_count)
        if m:
            day_count = m.group(0)
        if isinstance(pay_delay, str):
            pay_delay = int(pay_delay.split(' ')[0])
        with conn.cursor() as c:
            c.execute(sqlstr, (identifier, cusip, isin, bbg_data['NAME'],
                               bbg_data.get('MTG_FACE_AMT') or bbg_data.get('AMT_ISSUED'),
                               bbg_data.get('MATURITY'), isfloater,
                               bbg_data.get('FLT_SPREAD') if isfloater else None,
                               bbg_data.get('CPN') if not isfloater else None,
                               bbg_data.get('CPN_FREQ'), day_count,
                               bbg_data.get('FIRST_CPN_DT'), pay_delay,
                               bbg_data.get('CRNCY'), bbg_type, asset_class,
                               bbg_data.get('START_ACC_DT') or bbg_data.get('PREV_CPN_DT')))
        conn.commit()
    return bbg_data

def bond_trade_process(conn, session, trade):
    bbg_data = get_bbg_data(conn, session, **trade)
    currentface = trade['faceamount'] * bbg_data['MTG_FACTOR_SET_DT']
    accrued_payment = bbg_data['INT_ACC'] * currentface /100.
    principal_payment = currentface * trade['price'] / 100.
    with conn:
        with conn.cursor() as c:
            c.execute("UPDATE bonds SET principal_payment = %s, accrued_payment = %s "
                      "WHERE id = %s", (principal_payment, accrued_payment, int(trade['id'])))
    #mark it at buy price
    if trade['buysell']:
        sqlstr = "INSERT INTO marks VALUES(%s, %s, %s)"
        try:
            with conn:
                with conn.cursor() as c:
                    c.execute(sqlstr, (trade['trade_date'], trade['identifier'], trade['price']))
        except psycopg2.IntegrityError:
            logging.error('We already have a mark')
            conn.rollback()

    # send out email with trade content
    email = EmailMessage(print_trade(trade))
    email['to'] = 'nyops@lmcg.com'
    email['subject'] = email_subject(trade)
    email.send()

def cds_trade_process(serenitasdb, dawndb, session, trade):
    sqlstr = 'SELECT indexfactor/100 FROM index_version WHERE redindexcode=%(security_id)s'
    try:
        with serenitasdb:
            with serenitasdb.cursor() as c:
                c.execute(sqlstr, trade)
                factor, = c.fetchone()
    except ValueError:
        bbg_data = get_bbg_data(dawndb, session, trade['security_id'], isin=trade['security_id'],
                                asset_class='Subprime')

        factor = bbg_data['MTG_FACTOR_SET_DT']
    trade['curr_notional'] = trade['notional'] * factor
    return trade

def wire_process(dawndb, trade):
    sql_str = "SELECT cash_account, custodian FROM accounts WHERE code = %(code)s"
    with dawndb.cursor() as c:
        c.execute(sql_str, trade)
        trade['cashaccount'], trade['custodian'] = c.fetchone()

def generate_csv(l, queue_name='bond_trades'):
    output = StringIO()
    csvwriter = csv.writer(output)
    csvwriter.writerow(HEADERS[queue_name])
    for trade in l:
        csvwriter.writerow(build_line(trade.copy(), queue_name))
    if sys.version_info.major == 3:
        return output.getvalue().encode()
    else:
        return output.getvalue()

def get_filename(timestamp, queue_name):
    d = {'bond_trades': 'Mortgages',
         'cds_trades':'CreditDefaultSwapDeal',
         'swaption_trades': 'SwaptionDeal',
         'future_trades': 'Future',
         'wires': 'CashFlowDeal'}
    return 'Serenitas.ALL.{0:%Y%m%d.%H%M%S}.{1}.csv'.format(timestamp, d[queue_name])

def upload_file(timestamp, queue_name='bond_trades'):
    ftp = FTP('ftp.globeop.com')
    ftp.login('srntsftp', config.ftp_password)
    ftp.cwd('incoming')
    filename = get_filename(timestamp, queue_name)
    cmd = 'STOR {0}'.format(filename)
    try:
        with open(os.path.join(os.environ['DAILY_DIR'], str(timestamp.date()), filename), 'rb') as fh:
            ftp.storbinary(cmd, fh)
    except KeyError:
        logging.error("Please set daily directory in DAILY_DIR")

def write_buffer(buf, queue_name='bond_trades'):
    timestamp = datetime.datetime.now()
    filename = get_filename(timestamp, queue_name)
    try:
        with open(os.path.join(os.environ['DAILY_DIR'], str(timestamp.date()), filename), 'wb') as fh:
            fh.write(buf)
        return timestamp
    except KeyError:
        logging.error("Please set daily directory in DAILY_DIR")

def email_subject(trade):
    return "[{0}] {1} {2} {3}".format(trade['asset_class'], trade['action'],
                                      "Buy" if trade['buysell'] else "Sell",
                                      trade['description'])
def print_trade(trade):
    d = trade.copy()
    d['buysell'] = "Buy" if d["buysell"] else "Sell"
    return tabulate((k, v) for k, v in d.items())

if __name__=="__main__":
    parser = argparse.ArgumentParser()
    parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload to Globeop")
    args = parser.parse_args()
    q = get_redis_queue()
    serenitasdb = dbconn('serenitasdb')
    dawndb = dbconn('dawndb')
    for queue_name in ['bond_trades', 'cds_trades', 'swaption_trades', 'future_trades', 'wires']:
        list_trades = get_trades(q, queue_name)
        if list_trades:
            if queue_name == 'bond_trades':
                with init_bbg_session(BBG_IP) as session:
                    for trade in list_trades:
                        bond_trade_process(dawndb, session, trade)
            elif queue_name == 'cds_trades':
                with init_bbg_session(BBG_IP) as session:
                    for trade in list_trades:
                        cds_trade_process(serenitasdb, dawndb, session, trade)
            elif queue_name == 'wires':
                for trade in list_trades:
                    wire_process(dawndb, trade)

            buf = generate_csv(list_trades, queue_name)
            timestamp = write_buffer(buf, queue_name)
            if not args.no_upload:
                upload_file(timestamp, queue_name)
            q.delete(queue_name)
    serenitasdb.close()
    dawndb.close()