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import pandas as pd
from serenitas.utils.misc import rename_keys
import datetime
from collections import defaultdict
from io import StringIO
import csv
from serenitas.utils.env import DAILY_DIR
from serenitas.utils.remote import SftpClient
from psycopg2.errors import UniqueViolation
from serenitas.analytics.dates import bus_day
from csv_headers.globeop_upload import HEADERS
columns = HEADERS["iam"]
_brokers = {
"BAML_ISDA": "BOANNY",
"CS": "CSITLN",
"GS": "GOLINY",
"BNP": "BNPBNY",
"MS": "MSCILN",
"JPM": "JPCBNY",
"GS_FCM": "GOLDNY",
}
def iam_process(obj, action, trade_date):
rename_keys(
obj,
{
"dealid": "DealId",
"action": "Action",
"strategy": "Strategy",
"counterparty": "Counterparty",
"currency": "Currency",
"start_money": "StartMoney",
"trade_date": "TradeDate",
},
)
if action == "UPDATE":
obj["ExpirationDate"] = trade_date
obj["Action"] = "UPDATE"
elif action == "NEW":
obj["CallNoticeIndicator"] = "24H"
elif action == "CANCEL":
obj["Action"] = "CANCEL"
if obj["StartMoney"] > 0:
obj["TransactionIndicator"] = "DEPOSIT"
else:
obj["TransactionIndicator"] = "LOAN"
obj["StartMoney"] = abs(obj["StartMoney"])
if obj["Strategy"] == "CSH_CASH":
obj["Strategy"] = "M_CSH_CASH"
# static values
obj["DealType"] = "IamDeal"
obj["Client"] = "HEDGEMARK"
obj["Fund"] = "BOS_PAT_BOWDOIN"
obj["Custodian"] = "GS" if obj["Counterparty"] == "GOLDNY" else "BNY"
obj["CashAccount"] = (
"057363418ICE-CDS" if obj["Counterparty"] == "GOLDNY" else 751254
)
obj["State"] = "Valid"
obj["SettlementDate"] = obj["TradeDate"]
obj["Basis"] = "ACT/360"
obj["MarginType"] = "Variation"
obj["DealFunction"] = "OTC"
return [obj.get(h, None) for h in columns]
def insert_iam_sql(conn, trade_date):
data = []
totals = defaultdict(int)
with conn.cursor() as c:
strategy_allocation = (
"SELECT broker, amount, currency, strategy FROM (SELECT *, rank() "
"OVER(PARTITION BY broker,fund ORDER BY date desc) FROM strategy_im si "
"WHERE fund = 'BOWDST' AND date<=%s ORDER BY date DESC) test WHERE RANK=1 and abs(amount) >= .01;"
)
c.execute(strategy_allocation, (trade_date,))
for row in c:
data.append(
(
trade_date,
"NEW",
row.strategy,
_brokers[row.broker],
None,
row.amount,
row.currency,
False,
)
)
totals[_brokers[row.broker]] += row.amount
for broker, amount in totals.items():
if broker == "GOLDNY":
# We don't need to offset Goldman FCM because BONY doesn't book them
continue
data.append(
(trade_date, "NEW", "CSH_CASH", broker, None, -amount, "USD", True)
)
cancel_trades = []
insert_query = (
"""INSERT INTO iam_tickets(trade_date, action, strategy, counterparty, maturity, start_money, currency, "offset") """
"""VALUES (%s, %s, %s, %s, %s, %s, %s, %s);"""
)
try:
c.executemany(insert_query, data)
except UniqueViolation:
# We already uploaded the IAM tickets today in that case, we need to update and cancel the old uploads
conn.rollback()
c.execute(
"DELETE FROM iam_tickets where trade_date=%s returning *", (trade_date,)
)
for row in c:
cancel_trades.append(iam_process(row._asdict(), "CANCEL", trade_date))
c.executemany(insert_query, data)
return cancel_trades
def process_upload(conn, trade_date, cancel_trades, upload=True):
csv_lines = cancel_trades
actions = {
"NEW": (
"UPDATE iam_tickets set uploaded=True where maturity is null and trade_date =%s and trade_date =%s "
"and action='NEW' and not uploaded returning *"
),
"UPDATE": (
"UPDATE iam_tickets set maturity=%s where trade_date != %s and maturity is null and action='NEW' returning *"
),
}
for action, query in actions.items():
with conn.cursor() as c:
c.execute(query, (trade_date, trade_date))
for row in c:
csv_lines.append(iam_process(row._asdict(), action, trade_date))
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(columns)
csvwriter.writerows(csv_lines)
buf = buf.getvalue().encode()
dest = (
DAILY_DIR
/ str(datetime.date.today())
/ f"Bowdst.ALL.{datetime.datetime.now():%Y%m%d.%H%M%S}.IamDeal.csv"
)
dest.write_bytes(buf)
if upload:
sftp = SftpClient.from_creds("hm_globeop")
sftp.client.chdir("incoming")
sftp.put(buf, dest.name)
if __name__ == "__main__":
import argparse
from serenitas.utils.db import dbconn
conn = dbconn("dawndb")
parser = argparse.ArgumentParser(description="Generate IAM file for globeop")
parser.add_argument(
"date",
nargs="?",
type=datetime.date.fromisoformat,
default=(datetime.date.today() - bus_day).date(),
)
args = parser.parse_args()
cancel_trades = insert_iam_sql(conn, args.date)
process_upload(conn, args.date, cancel_trades, True)
conn.commit()
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