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
|
from serenitas.utils.db import dbconn
import numpy as np
import datetime
import pandas as pd
conn = dbconn("dawndb")
with conn.cursor() as c:
days = pd.bdate_range(end=datetime.date.today(), periods=60)
for date in days:
df = pd.read_sql(
sql="SELECT * FROM list_bowd_quotes(%s)",
con=conn,
params=(date.date(),),
)
try:
print(df[~np.isclose(df["bowd_price"], df["closeprice"], atol=0.15)])
except TypeError:
pass
# c.execute("select security_desc, tenor, price, closeprice from list_cds_marks(%s, null, 'BOWDST') a left join index_quotes using (index, series, version, tenor) where date = %s",
# (date.date(), date.date(),))
# for row in c:
# print(date)
# print(row.price, row.closeprice)
# if row.price != row.closeprice:
# breakpoint()
# if not np.isclose(row.price, row.closeprice, atol=.01):
# print(row.security_desc, row.tenor, row.price, row.closeprice)
|
