def processCashPositionFile(file, outputDir=get_current_path()):
"""
[String] cash or position file => [String] output file
Convert an GuangFa cash or position file to cash or position file ready
for Geneva reconciliation.
"""
# if isCashFile(file):
# return processCashFile(file, outputDir)
# elif isPositionFile(file):
# return processPositionFile(file, outputDir)
# else:
# raise InvalidFileName(file)
logger.info('processCashPositionFile(): {0}'.format(file))
if isCashFile(file):
return writeCashFile('40006-D', createCashRecords(file), outputDir,
getDateFromFilename(file))
elif isPositionFile(file):
return writePositionFile('40006-D', createPositionRecords(file),
outputDir, getDateFromFilename(file))
else:
logger.debug('processCashPositionFile(): not a cash or position file: \
{0}'.format(file))
return ''
def testTradeRecords(self):
records = list(
createTradeRecords(
join(get_current_path(), 'samples', 'trade1',
'DU1237908.Trades_TradeConfirmFlex.Sample.csv')))
self.assertEqual(len(records), 32)
self.verifyTrade1(records[0])
self.verifyTrade2(records[30])
def testCash(self):
records = createCashRecords(
join(get_current_path(), 'samples', 'cash_IB.csv'))
self.assertEqual(len(records), 3)
self.assertAlmostEqual(records[0]['Quantity'], 29056)
self.assertEqual(records[0]['Currency'], 'EUR')
self.assertAlmostEqual(records[2]['Quantity'], 1091204.12)
self.assertEqual(records[2]['Currency'], 'USD')
def testCreateCashRecords(self):
records = createCashRecords(join(get_current_path(), 'samples',
'8888802200cusfund_f20140129.txt'))
self.assertEqual(len(records), 9)
self.assertEqual('HKD', records[1]['Currency'])
self.assertEqual(datetime(2014,1,29), records[1]['Date'])
self.assertAlmostEqual(0, records[1]['Quantity'])
self.assertEqual('USD', records[6]['Currency'])
self.assertEqual(datetime(2014,1,29), records[6]['Date'])
self.assertAlmostEqual(1026915.92, records[6]['Quantity'])
def testRecordGroups(self):
"""
After sorting, 7th and 8th records form a box position, therefore all
records should be separated into 2 groups.
"""
groups = toRecordGroups(createTradeRecords(join(get_current_path(), 'samples', 'trade_henghua.xlsx')))
self.assertEqual(len(groups), 2)
self.assertEqual(len(groups[0]), 7)
self.assertEqual(len(groups[1]), 13)
self.verifyTrade3(groups[0][6])
self.verifyTrade4(groups[1][0])
def testCreateTradeRecords(self):
records = list(createTradeRecords(join(get_current_path(), 'samples',
'XXXtrddata_f20130607.txt')))
self.assertEqual(len(records), 19)
self.verifyTradeRecord1(records[0])
# make sure sorting works
self.assertAlmostEqual(3.83, records[1]['Price'])
self.assertAlmostEqual(3.85, records[2]['Price'])
self.assertAlmostEqual(3.86, records[3]['Price'])
self.assertAlmostEqual(3.80, records[4]['Price'])
def processTradeFile(file, outputDir=get_current_path()):
"""
[String] trade file, [String] outputDir => [List] output file names
read the trade file, convert it to trade records and write it to
a list of output csv files, to be uploaded by Bloomberg.
"""
logger.info('processTradeFile(): {0}'.format(file))
return writeTradeFiles(toOpenCloseGroup(createTradeRecords(file)),
outputDir, '40006-D', 'GF-QUANT',
getDateFromFilename(file))
def _load_config():
"""
Read the config file, convert it to a config object. The config file is
supposed to be located in the same directory as the py files, and the
default name is "config".
Caution: uncaught exceptions will happen if the config files are missing
or named incorrectly.
"""
cfg = configparser.ConfigParser()
cfg.read(join(get_current_path(), 'ib.config'))
return cfg
def testCreatePositionRecords(self):
records = createPositionRecords(join(get_current_path(), 'samples',
'8888802200holddata_f20140129.txt'))
self.assertEqual(len(records), 15)
self.assertEqual(datetime(2014,1,29), records[0]['Date'])
self.assertEqual('SMH4 Comdty', records[0]['BloombergTicker'])
self.assertEqual('USD', records[0]['Currency'])
self.assertEqual(8, records[0]['Quantity'])
self.assertEqual(datetime(2014,1,29), records[5]['Date'])
self.assertEqual('S K4 Comdty', records[5]['BloombergTicker'])
self.assertEqual('USD', records[5]['Currency'])
self.assertEqual(-4, records[5]['Quantity'])
def testRecordGroups(self):
"""
After sorting, 6th and 7th records form a box position, therefore all
records should be separated into 2 groups.
"""
groups = list(toOpenCloseGroup(createTradeRecords(join(get_current_path(),
'samples', '8888802200trddata_f20140131.txt'))))
self.assertEqual(len(groups), 2)
self.assertEqual(len(groups[0]), 1) # 1st group has 1 trade
self.assertEqual(len(groups[1]), 5) # 2nd group has 5 trades
self.verifyTradeRecord2(groups[0][0])
self.verifyTradeRecord3(groups[1][4])
def testCashRecords(self):
records = createCashRecords(join(get_current_path(), 'samples', 'cash_henghua.xlsx'))
self.assertEqual(len(records), 4)
def getCurrency(record):
return record['Currency']
sortedRecords = sorted(records, key=getCurrency)
self.assertEqual(sortedRecords[0]['Currency'], 'EUR')
self.assertAlmostEqual(sortedRecords[0]['Quantity'], 14879.55)
self.assertEqual(sortedRecords[1]['Currency'], 'HKD')
self.assertAlmostEqual(sortedRecords[1]['Quantity'], 4600520.48)
self.assertEqual(sortedRecords[2]['Currency'], 'TWD')
self.assertAlmostEqual(sortedRecords[2]['Quantity'], 17329.36)
self.assertEqual(sortedRecords[3]['Currency'], 'USD')
self.assertAlmostEqual(sortedRecords[3]['Quantity'], 264762.136)
def processCashPositionFile(file, outputDir=get_current_path()):
"""
[String] cash or position file => [String] output file
Convert an IB cash or position file to cash or position file ready
for Geneva reconciliation.
The rule is: cash file name always starts with 'cash', position file
name always starts with 'position'.
"""
logger.info('processCashPositionFile(): {0}'.format(file))
if isCashFile(file):
return writeCashFile('40006-B', createCashRecords(file),
outputDir, getDateFromFilename(file))
elif isPositionFile(file):
return writePositionFile('40006-B', createPositionRecords(file),
outputDir, getDateFromFilename(file))
else:
logger.debug('processCashPositionFile(): not a cash or position file: \
{0}'.format(file))
return ''
if __name__ == '__main__':
import logging.config
logging.config.fileConfig('logging.config', disable_existing_loggers=False)
import argparse
parser = argparse.ArgumentParser()
parser.add_argument('file', metavar='input file', type=str)
parser.add_argument('--type', metavar='file type', choices=['t', 'pc'],
default='pc')
args = parser.parse_args()
"""
To run the program, put a trade/cash/position file in the local directory,
then do:
python ib.py <file_name> --type c (t for trade file
, pc for position or trade file
, default is 'pc')
"""
import sys
if args.file == None:
print('input file name is missing')
sys.exit(1)
elif args.type == 't':
processTradeFile(join(get_current_path(), args.file))
else:
processCashPositionFile(join(get_current_path(), args.file), get_current_path())
def testHolding(self):
records = createPositionRecords(
join(get_current_path(), 'samples', 'position_IB.csv'))
self.assertEqual(len(records), 12)
self.verifyPosition1(records[0])
self.verifyPosition2(records[11])
def testCreateTradeRecords2(self):
records = list(createTradeRecords(join(get_current_path(), 'samples',
'8888802200trddata_f20140131.txt')))
self.assertEqual(len(records), 6)
self.verifyTradeRecord2(records[5])
def testTradeRecords(self):
records = createTradeRecords(join(get_current_path(), 'samples', 'trade_henghua.xlsx'))
self.assertEqual(len(records), 20)
self.verifyTrade1(records[0])
self.verifyTrade2(records[19])
def testFileToRecords(self):
records = tradefileToRecords(join(get_current_path(), 'samples',
'XXXtrddata_f20130603.txt'))
self.assertEqual(len(records), 20)
self.verifyFileRecord1(records[0])
self.verifyFileRecord2(records[19])
def testPositionRecords(self):
records = createPositionRecords(join(get_current_path(), 'samples', 'position_henghua.xlsx'))
self.assertEqual(len(records), 19)
self.verifyPosition1(records[0])
self.verifyPosition2(records[17])
