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from sqlalchemy import Table, create_engine, MetaData
from sqlalchemy.exc import IntegrityError, DataError, SAWarning
from serenitas.utils.env import BASE_DIR
import csv
import datetime
import logging
import warnings
logger = logging.getLogger(__name__)
engine = create_engine("postgresql://serenitas_user@debian/serenitasdb")
metadata = MetaData(bind=engine)
with warnings.catch_warnings():
warnings.simplefilter("ignore", category=SAWarning)
quotes = Table("tranche_quotes", metadata, autoload=True)
ins = quotes.insert()
def convert(x):
if x:
try:
return float(x)
except ValueError:
logger.info("couldn't convert {0} to float".format(x))
else:
return None
def convert_int(x):
if x:
try:
return int(float(x))
except ValueError:
logger.info("couldn't convert {0} to int".format(x))
else:
return None
tenordict = {"3": "3yr", "5": "5yr", "7": "7yr", "10": "10yr"}
runningdict1 = {0: 500, 3: 100, 7: 100, 15: 25}
runningdict2 = {0: 500, 3: 500, 7: 500, 10: 100, 15: 100, 30: 100}
def insert_quotes(year=2016, quote_dir=None):
if not quote_dir:
quote_dir = BASE_DIR / "Tranche_data" / "Quotes"
quotefiles = [f for f in quote_dir.iterdir() if f.stem == ".csv"]
for quotefile in quotefiles:
with quotefile.open() as fh:
reader = csv.DictReader(fh)
data = []
for csvdict in reader:
for p in ["%d %b %Y %H:%M", "%m/%d/%Y %H:%M"]:
try:
timestamp = datetime.datetime.strptime(csvdict["Date"], p)
break
except ValueError:
logger.error("%s: Date in the wrong format", csvdict["Date"])
continue
else:
logger.error("%s: Date in the wrong format", csvdict["Date"])
attach = int(csvdict["Attach"])
detach = int(csvdict["Detach"])
series = int(csvdict["Series"])
version = int(csvdict["Version"])
if csvdict["Ref"] == "": # no delta quote maybe
logger.info("ref missing")
# common values to all indices
try:
d = {
"quotedate": timestamp,
"tranchedelta": convert(csvdict["Delta"]),
"quotesource": csvdict["Source"],
"series": series,
"version": version,
"attach": attach,
"detach": detach,
"tenor": tenordict[csvdict["Tenor"]],
}
except KeyError:
continue
if csvdict["Ticker"] == "CDX-NAHY":
trancheupfrontbid = convert(csvdict["Price Bid"])
trancheupfrontask = convert(csvdict["Price Ask"])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask) / 2
except TypeError:
trancheupfrontmid = None
running = 0 if series in [9, 10] and attach == 10 else 500
d.update(
{
"indexrefprice": convert(csvdict["Ref"]),
"indexrefspread": 375 if series == 9 else 500,
"trancheupfrontbid": trancheupfrontbid,
"trancheupfrontmid": trancheupfrontmid,
"trancheupfrontask": trancheupfrontask,
"trancherunningbid": running,
"trancherunningmid": running,
"trancherunningask": running,
"index": "HY",
}
)
elif csvdict["Ticker"] == "CDX-NAIG":
if series >= 30:
logger.info("series doesn't exist")
continue
trancheupfrontbid = convert(csvdict["Upfront Bid"])
trancheupfrontask = convert(csvdict["Upfront Ask"])
try:
trancheupfrontmid = (trancheupfrontbid + trancheupfrontask) / 2
except TypeError:
trancheupfrontmid = None
if series >= 25:
running = 100
else:
running = (
runningdict2[attach]
if series < 19
else runningdict1[attach]
)
try:
d.update(
{
"indexrefspread": convert_int(csvdict["Ref"]),
"trancheupfrontbid": trancheupfrontbid,
"trancheupfrontmid": trancheupfrontmid,
"trancheupfrontask": trancheupfrontask,
"trancherunningbid": running,
"trancherunningmid": running,
"trancherunningask": running,
"index": "IG",
}
)
except KeyError:
continue
elif csvdict["Ticker"] == "ITRAXX-Europe":
if series <= 15:
if attach <= 6:
trancherunningbid = (
trancherunningmid
) = trancherunningask = (500 if attach <= 3 else 300)
trancheupfrontbid = convert(csvdict["Upfront Bid"])
trancheupfrontask = convert(csvdict["Upfront Ask"])
try:
trancheupfrontmid = (
trancheupfrontbid + trancheupfrontask
) / 2
except TypeError:
trancheupfrontmid = None
else:
trancherunningbid = convert(csvdict["Bid"])
trancherunningask = convert(csvdict["Ask"])
try:
trancherunningmid = (
trancherunningbid + trancherunningask
) / 2
except TypeError:
trancherunning = None
trancheupfrontbid = (
trancheupfrontmid
) = trancheupfrontask = 0
if series in [19, 21, 22, 24, 26]:
if attach <= 3:
trancherunningbid = (
trancherunningask
) = trancherunningmid = (500 if series == 19 else 100)
trancheupfrontbid = convert(csvdict["Upfront Bid"])
trancheupfrontask = convert(csvdict["Upfront Ask"])
try:
trancheupfrontmid = (
trancheupfrontbid + trancheupfrontask
) / 2
except TypeError:
trancheupfrontmid = None
else:
trancherunningbid = convert(csvdict["Bid"])
trancherunningask = convert(csvdict["Ask"])
try:
trancherunningmid = (
trancherunningbid + trancherunningask
) / 2
except TypeError:
trancherunning = None
trancheupfrontbid = (
trancheupfrontmid
) = trancheupfrontask = 0
d.update(
{
"indexrefspread": convert_int(csvdict["Ref"]),
"trancheupfrontbid": trancheupfrontbid,
"trancheupfrontmid": trancheupfrontmid,
"trancheupfrontask": trancheupfrontask,
"trancherunningbid": trancherunningbid,
"trancherunningmid": trancherunningmid,
"trancherunningask": trancherunningask,
"index": "EU",
}
)
elif csvdict["Ticker"] == "ITRAXX-Xover":
if attach < 35:
## the quote is sometimes in Price Bid, sometimes in Bid/Ask
## so we try both
trancheupfrontbid = convert(csvdict["Upfront Bid"])
trancheupfrontask = convert(csvdict["Upfront Ask"])
try:
trancheupfrontmid = (
trancheupfrontbid + trancheupfrontask
) / 2
except TypeError:
trancheupfrontmid = None
trancherunningbid = trancherunningask = trancherunningmid = 500
else:
trancherunningbid = convert(csvdict["Bid"])
trancherunningask = convert(csvdict["Ask"])
try:
trancherunningmid = (
trancherunningbid + trancherunningask
) / 2
except TypeError:
trancherunningmid = None
trancheupfrontbid = trancheupfrontmid = trancheupfrontask = 0
d.update(
{
"indexrefspread": convert_int(csvdict["Ref"]),
"trancheupfrontbid": trancheupfrontbid,
"trancheupfrontmid": trancheupfrontmid,
"trancheupfrontask": trancheupfrontask,
"trancherunningbid": trancherunningbid,
"trancherunningmid": trancherunningmid,
"trancherunningask": trancherunningask,
"index": "XO",
}
)
data.append(d)
with engine.connect() as conn:
for i, l in enumerate(data):
with conn.begin() as t:
try:
conn.execute(ins, l)
except (IntegrityError, DataError) as e:
logging.debug(e.orig)
t.rollback()
quotefile.unlink()
if __name__ == "__main__":
insert_quotes()
|
