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from dataclasses import field, dataclass
from serenitas.ops.trade_dataclasses import Deal, Fund
from serenitas.ops.headers import DealType
from serenitas.analytics.dates import prev_business_day
import datetime
import pandas as pd
from serenitas.utils.db import dbconn
from typing import ClassVar
from .misc import get_dir, dt_from_fname
from .custodians import NT, UMB, BNY
from functools import partial
_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",
"CS": "CSFBBO",
"GS": "GOLDNY",
"BNP": "BNPBNY",
"MS": "MSCSNY",
"JPM": "JPCBNY",
"GS_FCM": "GOLDNY",
}
def get_counterparty(fund, iam_broker):
match fund:
case "SERCGMAST":
return _serenitas_iam_cp[iam_broker]
case "BOWDST":
return _bowdst_iam_cp[iam_broker]
def get_custodian_account(fund, iam_broker):
match fund, iam_broker:
case ("SERCGMAST", "WF_FCM"):
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")
@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"})
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["Deal Type"] = "IamDeal"
obj["CallNoticeIndicator"] = "24H" if action == "NEW" else None
obj["TransactionIndicator"] = "DEPOSIT" if obj["StartMoney"] > 0 else "LOAN"
obj["StartMoney"] = abs(obj["StartMoney"])
obj["DealFunction"] = "OTC"
obj["MarginType"] = "Variation"
obj["Basis"] = "ACT/360"
obj["SettlementDate"] = self.trade_date
(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
@dataclass
class CashReport:
fund: ClassVar[str]
custodian: ClassVar[str]
date: datetime.date
dtkey: ClassVar
_conn: ClassVar[dbconn] = dbconn("dawndb")
_staging_queue: ClassVar[set] = set()
_insert_sql = "INSERT INTO cash_balances VALUES (%s, %s, %s, %s, %s, %s) ON CONFLICT DO NOTHING"
_registry = {}
def __init_subclass__(cls, fund, custodian, dtkey):
cls.fund = fund
cls.custodian = custodian
cls.dtkey = dtkey
cls._registry[
(
fund,
custodian,
)
] = cls
def __class_getitem__(cls, key):
return cls._registry[key]
def get_cash_report(self, report_prefix):
self.download_reports(self.date)
report_dir = get_dir(self.date)
report_dir.mkdir(exist_ok=True, parents=True)
p = max(
[
f
for f in get_dir(self.date).iterdir()
if f.name.startswith(report_prefix)
],
key=partial(dt_from_fname, dt_format=self.dtkey),
default=None,
)
if not p:
raise ValueError(
f"No reports found for fund: {self.fund} date: {self.date}"
)
return p
@classmethod
def commit(cls):
with cls._conn.cursor() as c:
c.executemany(cls._insert_sql, cls._staging_queue)
cls._conn.commit()
def stage_from_row(self, row):
(account, currency), amount = row
self._staging_queue.add(
(
prev_business_day(self.date),
self.fund,
f"{self.custodian} Custody Account {self.fund}",
account,
currency,
amount,
)
)
class SeleneNTCashReport(
CashReport, NT, fund="ISOSEL", custodian="NT", dtkey="%Y%m%d%H%M"
):
def to_db(self):
p = self.get_cash_report("cash_")
df = pd.read_csv(p, on_bad_lines="warn")
df = df[df["T-NARR-LONG"] == "CLOSING BALANCE"]
df = df[["Consolidation", "Currency code", "A-TRAN-AMT"]]
df.columns = df.columns.str.replace(" |-|_", "", regex=True).str.lower()
df = df.set_index(["consolidation", "currencycode"])
for row in df.itertuples():
self.stage_from_row(row)
self.commit()
self._staging_queue.clear()
class SerenitasUMBCashReport(
CashReport, UMB, fund="SERCGMAST", custodian="UMB", dtkey="%Y%m%d%H%M"
):
def to_db(self):
p = self.get_cash_report("umb_")
df = pd.read_excel(p, skiprows=3)
for row in (
df.groupby(["Portfolio #", "Currency"]).sum()["Current Balance"].items()
):
self.stage_from_row(row)
self.commit()
self._staging_queue.clear()
class BowdstBNYCashReport(
CashReport, BNY, fund="BOWDST", custodian="BNY", dtkey="%Y%m%d%H%M%S"
):
def to_db(self):
p = self.get_cash_report("Live-cash")
df = pd.read_csv(p)
df["Beginning Balance Local"] = df["Beginning Balance Local"].apply(
lambda s: "-" + s[1:-1] if s.startswith("(") else s
)
df["Beginning Balance Local"] = pd.to_numeric(
df["Beginning Balance Local"].str.replace(",", "")
)
for row in (
df.groupby(["Account Number", "Local Currency Code"])
.sum()["Beginning Balance Local"]
.items()
):
self.stage_from_row(row)
self.commit()
self._staging_queue.clear()
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