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import pandas as pd
from process_queue 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
columns = [
"DealType",
"DealId",
"Action",
"Client",
"Fund",
"Portfolio/Business Unit",
"Strategy",
"Custodian",
"CashAccount",
"Counterparty",
"Comments",
"State",
"TradeDate",
"SettlementDate",
"Reserved",
"InstrumentType",
"ExpirationDate",
"CallNoticeIndicator",
"TransactionIndicator",
"StartMoney",
"Currency",
"Rate",
"Commission",
"DealFunction",
"FromAccount",
"ClientReference",
"Basis",
"MarginType",
"ClearingFacility" "CcpTradeRef",
"BlockId",
"BlockAmount",
"ExecutionDateTimeStamp",
"Collateralized",
"TradeDateFX",
]
_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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