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import datetime
import argparse
from dataclasses import field, dataclass
from serenitas.ops.funds import Service
from serenitas.ops.trade_dataclasses import Deal, Fund
from serenitas.ops.headers import DealType
from serenitas.analytics.dates import prev_business_day, next_business_day
from serenitas.utils.db import dbconn
_bowdst_iam_cp = {
"BAML_ISDA": "BOANNY",
"CS": "CSITLN",
"GS": "GOLINY",
"BNP": "BNPBNY",
"MS": "MSCILN",
"JPM": "JPCBNY",
"GS_FCM": "GOLDNY",
}
_serenitas_iam_cp = {
"BAML_ISDA": "BAMSNY",
"BAML_FCM": "BAMSNY",
"CS": "CSFBBO",
"GS": "GOLDNY",
"BNP": "BNPBNY",
"MS": "MSCSNY",
"JPM": "JPCBNY",
"WELLS": "WELFEI",
"CITI": "CITINY",
"BARCLAYS": "BARCNY",
}
def get_custodian_account(fund, iam_broker):
match fund, iam_broker:
case ("SERCGMAST", "WELLS"):
return ("WELLSFCM", "WFNSCLMFCM")
case ("SERCGMAST", "BAML_FCM"):
return ("BOMLCM", "V0NSCLMFCM")
case ("BOWDST", "GS_FCM"):
return ("GS", "057363418ICE-CDS")
case ("SERCGMAST", _):
return ("UMB", "159260.1")
case ("BOWDST", _):
return ("BNY", "751254")
def get_counterparty(fund, iam_broker):
match fund:
case "SERCGMAST":
return _serenitas_iam_cp[iam_broker]
case "BOWDST":
return _bowdst_iam_cp[iam_broker]
@dataclass
class IAMDeal(Deal, deal_type=DealType.IAM, table_name="iams"):
trade_date: datetime.date = field(metadata={"globeop": "Trade Date"})
folder: str = field(metadata={"globeop": "Folder"})
portfolio: str = field(metadata={"globeop": "Portfolio"})
broker: str
start_money: float = field(metadata={"globeop": "StartMoney"})
currency: str = field(metadata={"globeop": "Currency"})
fund: Fund = field(metadata={"globeop": "Fund"})
maturity: datetime.date = field(
default=None, metadata={"globeop": "ExpirationDate"}
)
uploaded: bool = False
is_offset: bool = False
id: int = field(default=None, metadata={"insert": False})
dealid: str = field(
default=None,
metadata={
"insert": False,
"globeop": "Deal Id",
},
)
cash_account: str = field(
default=None,
metadata={"insert": False, "select": False, "globeop": "Cash Account"},
)
custodian: str = field(default=None, metadata={"insert": False, "select": False})
def to_globeop(self, action):
obj = super().to_globeop(action)
obj["CallNoticeIndicator"] = "24H" if not self.maturity else None
obj["TransactionIndicator"] = "DEPOSIT" if obj["StartMoney"] > 0 else "LOAN"
obj["StartMoney"] = abs(obj["StartMoney"])
obj["DealFunction"] = "OTC"
obj["MarginType"] = "Net"
obj["Collateralized"] = "Y"
obj["Basis"] = "ACT/360"
obj["SettlementDate"] = self.trade_date
obj["ClearingFacilityCcpTradeRef"] = (
"ICE-CLEAR"
if (self.broker.endswith("_FCM") or self.broker == "WELLS")
else None
)
(custodian, cash_account) = get_custodian_account(self.fund, self.broker)
obj = obj | {
"Custodian": custodian,
"Cash Account": cash_account,
"Counterparty": get_counterparty(self.fund, self.broker),
}
return obj
def cancel_old_iam_trades(fund: str, cob: datetime.date, conn) -> "Iterable":
"""Finds and cancels old IAM trades"""
with conn.cursor() as cursor:
cursor.execute(
"DELETE FROM iams WHERE trade_date=%s AND fund=%s RETURNING *",
(cob, fund),
)
for row in cursor:
trade_data = row._asdict()
yield IAMDeal.from_dict(**trade_data)
conn.commit()
def generate_new_iam_trades(fund: str, cob: datetime.date, conn) -> "Iterable":
"""Generates new IAM deals"""
with conn.cursor() as cursor:
cursor.execute(
"SELECT * FROM list_iam(%s, %s)",
(cob, fund),
)
for row in cursor:
trade_data = row._asdict() | {"trade_date": cob}
yield IAMDeal.from_dict(**trade_data)
def generate_new_iam_offset_trades(fund: str, cob: datetime.date, conn) -> "Iterable":
"""Generates offsets if the sma has already updated these IAM deals"""
_ignore = {"BOWDST": ("GS_FCM",)}
with conn.cursor() as cursor:
cursor.execute(
"SELECT broker, currency, fund, sum(-start_money) AS start_money "
"FROM list_iam(%s, %s) GROUP BY (broker, currency, fund);",
(cob, fund),
)
for row in cursor:
if row.broker not in _ignore[fund]:
trade_data = row._asdict() | {
"is_offset": True,
"folder": "M_CSH_CASH",
"portfolio": "CASH",
"trade_date": cob,
}
yield IAMDeal.from_dict(**trade_data)
def update_matured_iam_trades(fund: str, prev_date: datetime.date, conn) -> "Iterable":
"""Sets previous days as matured"""
with conn.cursor() as cursor:
cursor.execute(
"UPDATE iams SET maturity=%s WHERE maturity is NULL AND trade_date<=%s AND fund=%s RETURNING *",
(next_business_day(prev_date), prev_date, fund),
)
for row in cursor:
trade_data = row._asdict() | {}
yield IAMDeal.from_dict(**trade_data)
conn.commit()
def build_iam(fund: str, cob: datetime.date, conn, upload: bool):
"""Generates IAM file for globeop"""
service = Service[fund]
for old_iam in cancel_old_iam_trades(fund, cob, conn):
service.push_trade(old_iam, "CANCEL")
for new_iam in generate_new_iam_trades(fund, cob, conn):
new_iam.stage()
if fund == "BOWDST":
for new_iam_offset in generate_new_iam_offset_trades(fund, cob, conn):
new_iam_offset.stage()
for iam in IAMDeal.commit(returning=True):
service.push_trade(iam, "NEW")
for update_iam in update_matured_iam_trades(fund, prev_business_day(cob), conn):
service.push_trade(update_iam, "UPDATE")
buf, dest = service.build_buffer(trade_type="iam")
if upload:
service.upload(buf, dest.name)
service().clear()
def parse_args():
parser = argparse.ArgumentParser(description="Generate IAM file for globeop")
parser.add_argument(
"cob",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day(datetime.date.today()),
)
parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload")
parser.add_argument(
"-b", "--backfill", action="store_true", help="backfill an old date"
)
return parser.parse_args()
if __name__ == "__main__":
conn = dbconn("dawndb")
args = parse_args()
for fund in ("SERCGMAST", "BOWDST"):
build_iam(fund, args.cob, conn, not args.no_upload)
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