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from serenitas.utils.misc import rename_keys
import datetime
from collections import defaultdict
from psycopg2.errors import UniqueViolation
from serenitas.analytics.dates import bus_day
from serenitas.ops.funds import Service
_iam_brokers = {
"BAML_ISDA": "BOANNY",
"CS": "CSITLN",
"GS": "GOLINY",
"BNP": "BNPBNY",
"MS": "MSCILN",
"JPM": "JPCBNY",
"GS_FCM": "GOLDNY",
}
_custodian = {"GOLDNY": "GS"}
_cash_account = {"GOLDNY": "057363418ICE-CDS"}
def iam_serialize(obj, action, trade_date):
rename_keys(
obj,
{
"dealid": "Deal Id",
"counterparty": "Counterparty",
"currency": "Currency",
"start_money": "StartMoney",
"trade_date": "Trade Date",
},
)
deal_fields = {
"Deal Type": "IamDeal",
"Client": "HEDGEMARK",
"Fund": "BOS_PAT_BOWDOIN",
"Custodian": _custodian.get(obj["Counterparty"], "BNY"),
"Cash Account": _cash_account.get(obj["Counterparty"], 751254),
"State": "Valid",
"SettlementDate": obj["Trade Date"],
"Basis": "ACT/360",
"MarginType": "Variation",
"DealFunction": "OTC",
"Folder": "M_CSH_CASH" if obj["strategy"] == "CSH_CASH" else obj["strategy"],
"Action": action,
"TransactionIndicator": "DEPOSIT" if obj["StartMoney"] > 0 else "LOAN",
"ExpirationDate": trade_date
if action == "UPDATE"
else None, # We are updating old IAMDeals to expire
"CallNoticeIndicator": "24H" if action == "NEW" else None, # This is a new IAM
}
obj["StartMoney"] = abs(obj["StartMoney"])
obj.update(deal_fields)
return obj
def gen_offset(totals, trade_date):
offsets = [
(trade_date, "NEW", "CSH_CASH", broker, None, -amount, "USD", True)
for broker, amount in totals.items()
]
return offsets
def gen_strat_alloc(conn, trade_date):
new_iam = []
totals = defaultdict(int) # Need to figure out how much to offset
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:
new_iam.append(
(
trade_date,
"NEW",
row.strategy,
_iam_brokers[row.broker],
None,
row.amount,
row.currency,
False,
)
)
if row.broker != "GS_FCM": # HM doesn't book FCM, no need to offset
totals[_iam_brokers[row.broker]] += row.amount
new_iam += gen_offset(totals, trade_date)
return new_iam
def process_trades(conn, trade_date):
# We will be grabbing the IAM deals from the DB for the new trades and for the updated trades
deals = []
actions = [
(
"NEW",
"UPDATE iam_tickets set uploaded=True where maturity is null and trade_date =%s "
"and action='NEW' and not uploaded returning *",
(trade_date,),
),
(
"UPDATE",
"UPDATE iam_tickets set maturity=%s where trade_date != %s and maturity is null and action='NEW' returning *",
(trade_date, trade_date),
),
]
for action, query, params in actions:
with conn.cursor() as c:
c.execute(query, params)
for row in c:
deals.append(iam_serialize(row._asdict(), action, trade_date))
return deals
def gen_iam_deals(conn, trade_date):
new_iam = gen_strat_alloc(conn, trade_date)
iam_deals = []
with conn.cursor() as c:
insert_query = (
"INSERT INTO iam_tickets(trade_date, action, strategy, counterparty, maturity, start_money, currency, booked_offset) "
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s)"
)
try:
c.executemany(insert_query, new_iam)
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,)
)
cancel_iam_deals = [
iam_serialize(row._asdict(), "CANCEL", trade_date) for row in c
]
iam_deals += cancel_iam_deals
c.executemany(insert_query, new_iam)
iam_deals += process_trades(conn, trade_date)
return iam_deals
def process_upload(conn, trade_date, iam_deals):
bowdst = Service["BOWDST"]()
bowdst.staging_queue.extend(iam_deals)
if bowdst.staging_queue:
buf, dest = bowdst.build_buffer("iam")
bowdst.upload(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()
iam_deals = gen_iam_deals(conn, args.date)
process_upload(conn, args.date, iam_deals)
conn.commit()
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