def getPosition(lines):
"""
[Iterable] lines => [Iterable] positions
lines: from the Excel worksheet containing the holdings
Return an iterable object on the list of holding positions. Each position
is a dictionary.
"""
nonEmptyString = lambda s: s != ''
position = lambda headers, values: dict(zip(headers, values))
nonEmptyLine = lambda L: False if len(L) == 0 else nonEmptyString(L[0])
headerLine = lambda L: L[0] == 'Trader Name' if len(L) > 0 else False
nomuraOnly = lambda p: p['Trader Name'] == '40017-B'
toDateString = lambda f: fromExcelOrdinal(f).strftime('%d%m%Y')
def updateValue(p):
p['As of Date'] = toDateString(p['As of Date'])
p['Settlement Date'] = toDateString(p['Settlement Date'])
return p
headers = list(takewhile(nonEmptyString, firstOf(headerLine, lines)))
return map(
updateValue,
filter(nomuraOnly,
map(partial(position, headers), takewhile(nonEmptyLine,
lines))))
def toDatetimeString(value):
if isinstance(value, float):
return datetime.strftime(fromExcelOrdinal(value), '%Y-%m-%d')
else:
try:
return datetime.strftime(datetime.strptime(value, '%m/%d/%Y'),
'%Y-%m-%d')
except ValueError:
return datetime.strftime(datetime.strptime(value, '%d/%m/%Y'),
'%Y-%m-%d')
def loadLiquiditySpecialCaseFromFile(file):
"""
[String] file => [Dictionary] id -> [Dictionary] liquidity data
"""
toDate = lambda x: \
fromExcelOrdinal(x) if isinstance(x, float) else \
datetime.strptime(x, '%m/%d/%Y')
updatePosition = lambda position: mergeDict(
position, {'CALC_MATURITY': toDate(position['CALC_MATURITY'])})
return \
compose(
dict
, partial(map, lambda p: (p['ID'], p))
, partial(map, updatePosition)
, getRawPositionsFromFile
)(file)
[String] file => [Iterable] lines
Read an Excel file, convert its first sheet into lines, each line is
a list of the columns in the row.
"""
fileToLines = lambda file: \
worksheetToLines(open_workbook(file).sheet_by_index(0))
"""
[List] line => [String] date (yyyy-mm-dd)
First item in the line is the date. Most of the time the date is
read a float number, but sometimes it is a string (dd/mm/yyyy)
"""
dateFromLine = lambda line: \
(lambda x: \
fromExcelOrdinal(x).strftime('%Y-%m-%d') \
if isinstance(x, float) else \
(lambda items: \
items[2] + '-' + items[1] + '-' + items[0]
)(x.split('/'))
)(line[0])
isCashFile = lambda fn: \
fn.split('\\')[-1].startswith('Cash Stt')
folderFromFilename = lambda fn: \
(lambda s: '_'.join(s.split()))(fn.split('\\')[-2])
dict
, partial(map, lambda p: (p['SECURITIES'], p))
, partial(map, updateSecurityId)
, partial(map, partial(valmap, toNumberOrStripQuote))
, lambda t: map(partial(toPosition, t[0]), t[1])
, lambda lines: (list(map(stipDoubleQuote, pop(lines))), lines)
, takeInBetween
, partial(map, lambda line: line.split(separator))
, fileToLines
, lambda file: lognContinue('getLqaData(): from file: {0}'.format(file), file)
, getLqaDataFile
)(date, mode)
""" [Float] excel date value => [String] date string (yyyymmdd) """
toDateString = lambda x: datetime.strftime(fromExcelOrdinal(x), '%Y%m%d')
@lru_cache(maxsize=3)
def getFX(date, targetCurrency):
"""
[String] date (yyyymmdd),
[String] targetCurrency
=> [Dictionary] currency -> exchange rate
Exchange rate: to get 1 unit of target currency, how many units of another
currency is needed.
For example, d = loadFXTableFromFile('20200430', 'USD')
Then
mergeDictionary( p
, { 'Fund': toStringIfFloat(p['Trader Name'])
, 'Ticker & Exc': p['Ticker and Exchange Code']
, 'ISIN': p['ISIN Number']
, 'Shrt Name': p['Short Name']
, 'Crcy': p['Currency']
, 'B/S': p['Buy/Sell']
, 'Amount Pennies': p['Amount (Pennies)']
, 'Price': p['Trade price']
, 'Settle Amount': p['Settlement Total in Settlemen']
, 'Bkr Comm': p['Transaction Cost 1 Amount']
, 'Stamp Duty': p['Transaction Cost 2 Amount']
, 'Exch Fee': p['Transaction Cost 3 Amount']
, 'Trans. Levy': p['Transaction Cost 4 Amount']
, 'Misc Fee': p['Transaction Cost 5 Amount']
, 'As of Dt': datetime.strftime( fromExcelOrdinal(p['As of Date'])
, '%Y-%m-%d')
, 'Stl Date': datetime.strftime( fromExcelOrdinal(p['Settlement Date'])
, '%Y-%m-%d')
, 'Accr Int': p['Accrued Interest']
, 'FACC Long Name': p['Firm Account Long Name']
, 'L1 Tag Nm': 'Trading' if p['Level 1 Tag Name'] == 'AFS' and p['Trader Name'] == '11490-B' \
else p['Level 1 Tag Name']
}
)
def lognContinue(msg, x):
logger.debug(msg)
return x