def import_external_data(data_source, data_type):
LOGGER.info('Loading working data')
query = QUERIES[data_source][data_type]['query']
group_by = QUERIES[data_source][data_type]['group_by']
external_alias = Attributes.objects.get(identifier='ALIAS_' + data_source.upper())
if data_type=='securities':
bloomberg_alias = Attributes.objects.get(identifier='ALIAS_BLOOMBERG')
isin_alias = Attributes.objects.get(identifier='ALIAS_ISIN')
sec_container_type = Attributes.objects.get(identifier='CONT_SECURITY')
fund_container_type = Attributes.objects.get(identifier='CONT_FUND')
bond_container_type = Attributes.objects.get(identifier='CONT_BOND')
stock_container_type = Attributes.objects.get(identifier='CONT_SECURITY')
security_type = Attributes.objects.get(identifier='SECTYP_SECURITY')
fund_type = Attributes.objects.get(identifier='SECTYP_FUND')
bond_type = Attributes.objects.get(identifier='SECTYP_BOND')
stock_type = Attributes.objects.get(identifier='SECTYP_STOCK')
daily = Attributes.objects.get(identifier='FREQ_DAILY', active=True)
bloomberg_provider = get_bloomberg_provider()
universe = get_universe_from_datasource(data_source)
LOGGER.info('Cleaning already imported aliases for ' + data_source)
securities = SecurityContainer.objects.filter(aliases__alias_type__short_name=data_source.upper()).distinct()
for security in securities:
for alias in security.aliases.all():
if alias.alias_type.short_name==data_source.upper():
security.aliases.remove(alias)
security.save()
LOGGER.info('\tCleaning done')
LOGGER.info('Importing ' + str(data_type) + ' from ' + str(data_source))
LOGGER.info('Using query:' + str(query))
results = dbutils.query_to_dicts(query, data_source)
database = getattr(client, data_source)
database[data_type].drop()
all_tickers = []
for result in results:
# Clean the data
new_entry = convert_to_mongo(result)
# LOGGER.info('Removing entries with name ' + new_entry[QUERIES[data_source][data_type]['name']])
# SecurityContainer.objects.filter(name=new_entry[QUERIES[data_source][data_type]['name']]).delete()
for group_id in group_by:
if new_entry[group_id]!=None and new_entry[group_id]!='':
# LOADING INTO MONGO
LOGGER.info('Adding entry [' + group_id + '=' + str(new_entry[group_id]) + "]")
new_entry['_id'] = new_entry[group_id]
if QUERIES[data_source][data_type].has_key('joins'):
for join_info in QUERIES[data_source][data_type]['joins']:
values = [new_entry[identifier] for identifier in join_info['on']]
underlying_query = join_info['query']
for value in values:
underlying_query = underlying_query%value
new_entry[join_info['name']] = []
under_results = dbutils.query_to_dicts(underlying_query, data_source)
for under_result in under_results:
LOGGER.info('\tAdding underlying [' + join_info['name'] + ', ' + group_id + '=' + str(new_entry[group_id]) + "]")
# Clean the data
under_entry = convert_to_mongo(under_result)
new_entry[join_info['name']].append(under_entry)
try:
database[data_type].save(new_entry)
except DuplicateKeyError:
LOGGER.error("The following entry already exists:")
# CONVERTING TO FINALE
if group_id==QUERIES[data_source][data_type]['EXTERNAL'] and data_type=='securities':
name_field = QUERIES[data_source][data_type]['name']
short_name_field = QUERIES[data_source][data_type]['short_name']
bloomberg_ticker = result[QUERIES[data_source][data_type]['BLOOMBERG']]
isin_code = result[QUERIES[data_source][data_type]['ISIN']]
currency = result[QUERIES[data_source][data_type]['currency']]
currency = Attributes.objects.filter(type='currency', short_name=currency)
if currency.exists():
currency = currency[0]
else:
currency = None
security = SecurityContainer.objects.filter(aliases__alias_type__short_name=data_source.upper(), aliases__alias_value=result[group_id])
external_append = False
additional = ''
if not security.exists():
security = SecurityContainer.objects.filter(aliases__alias_type__id=bloomberg_alias.id, aliases__alias_value=bloomberg_ticker)
additional = result[name_field]
external_append = True
if is_fund(data_source, result):
container = fund_container_type
stype = fund_type
elif is_bond(data_source, result):
container = bond_container_type
stype = bond_type
elif is_stock(data_source, result):
container = stock_container_type
stype = stock_type
else:
container = sec_container_type
stype = security_type
if not security.exists():
LOGGER.info("Creating security with " + data_source + " id [" + str(result[group_id]) + "]")
security = SecurityContainer()
security.name = result[name_field]
security.short_name = result[short_name_field] if result[short_name_field]!=None and result[short_name_field]!='' else result[name_field]
security.save()
security.associated_companies.add(bloomberg_provider)
security.save()
else:
LOGGER.info("Security with " + data_source + " id [" + str(result[group_id]) + "] already exists.")
security = security[0]
if not security.associated_companies.filter(role__identifier='SCR_DP').exists():
security.associated_companies.add(bloomberg_provider)
security.save()
security.update_alias(external_alias, result[group_id], additional, external_append)
security.currency = currency
security.frequency = daily
security.type = container
security.security_type = stype
security.save()
if bloomberg_ticker!=None and bloomberg_ticker!='':
all_tickers.append(bloomberg_ticker)
elif isin_code!=None and isin_code!='':
all_tickers.append(isin_code)
if bloomberg_ticker!=None and bloomberg_ticker!='':
security.update_alias(bloomberg_alias, bloomberg_ticker)
if isin_code!=None and isin_code!='':
security.update_alias(isin_alias, isin_code)
universe.members.add(security)
if data_type=='securities':
universe.save()
all_containers = {}
for member in universe.members.all():
member = get_effective_instance(member)
if not all_containers.has_key(member.type.identifier):
all_containers[member.type.identifier] = []
try:
all_containers[member.type.identifier].append(member.aliases.get(alias_type__name='BLOOMBERG').alias_value)
except:
try:
all_containers[member.type.identifier].append(member.aliases.get(alias_type__name='ISIN').alias_value)
except:
LOGGER.info("There is no Bloomberg nor ISIN code available for this security [" + member.name + "]")
for key in all_containers.keys():
fields = BloombergTrackContainerMapping.objects.filter(Q(container__identifier='CONT_SECURITY') | Q(container__identifier=key), Q(active=True)).values_list('short_name__code', flat=True)
all_containers[key] = [to_bloomberg_code(ticker,True) for ticker in all_containers[key]]
history_key = uuid.uuid4().get_hex()
bb_thread = threading.Thread(None, bloomberg_history_query, history_key, (history_key, all_containers[key], fields, True))
bb_thread.start()
bb_thread.join()
def populate_security_from_bloomberg_protobuf(data):
bloomberg_alias = Attributes.objects.get(identifier='ALIAS_BLOOMBERG')
daily = Attributes.objects.get(identifier='FREQ_DAILY', active=True)
bloomberg_provider = get_bloomberg_provider()
securities = {}
with_errors = []
for row in data.rows:
if row.errorCode==0:
if row.field=='SECURITY_TYP':
try:
LOGGER.debug('Entity identified by [' + row.ticker + ',' + row.valueString + '] will be created')
sec_type_name = Attributes.objects.get(type='bloomberg_security_type', name=row.valueString).short_name
cont_type_name = Attributes.objects.get(type='bloomberg_container_type', name=row.valueString).short_name
container_type = Attributes.objects.get(identifier=cont_type_name)
security_type = Attributes.objects.get(type='security_type', identifier=sec_type_name)
if not securities.has_key(row.ticker):
LOGGER.info('Creating new security for ticker ' + str(row.ticker))
securities[row.ticker] = SecurityContainer.create()
securities[row.ticker].type = container_type
securities[row.ticker].security_type = security_type
except:
traceback.print_exc()
LOGGER.warn('Entity identified by [' + row.ticker + ',' + row.valueString + ',' + sec_type_name + '] will be treated as a simple security')
securities[row.ticker] = SecurityContainer.create()
else:
with_errors.append(row.ticker)
for row in data.rows:
if row.errorCode==0:
field_info = BloombergDataContainerMapping.objects.filter(Q(short_name__code=row.field), Q(container__short_name=container_type.short_name) | Q(container__short_name='Security') , Q(active=True))
if field_info.exists():
field_info = BloombergDataContainerMapping.objects.get(short_name__code=row.field, active=True)
set_security_information(securities[row.ticker], field_info.name , row.valueString, 'bloomberg')
securities[row.ticker].save()
if field_info.model_link!=None and field_info.model_link!='':
info = Attributes()
info.name = row.field
info.short_name = field_info.model_link
securities[row.ticker].set_attribute('bloomberg', info, row.valueString)
else:
LOGGER.debug("Cannot find matching field for " + row.field)
for security in securities.values():
security.finalize()
#[security.finalize() for security in securities.values()]
[security.associated_companies.add(bloomberg_provider) for security in securities.values() if len(security.associated_companies.all())==0]
[setattr(security,'frequency',daily) for security in securities.values()]
[security.save() for security in securities.values()]
final_tickers = []
for ticker in securities:
securities[ticker].status = Attributes.objects.get(identifier='STATUS_ACTIVE')
ticker_value = securities[ticker].aliases.filter(alias_type__name='BLOOMBERG')
if ticker_value.exists() and securities[ticker].market_sector!=None:
LOGGER.info("Using Bloomberg information for ticker and exchange")
ticker_value = ticker_value[0]
if not ticker_value.alias_value.endswith(securities[ticker].market_sector):
new_full_ticker = ticker_value.alias_value + ' ' + securities[ticker].market_sector
ticker_value.alias_value = new_full_ticker
final_tickers.append(new_full_ticker)
ticker_value.save()
else:
LOGGER.info("Using user information for ticker and exchange")
ticker_value = Alias()
ticker_value.alias_type = bloomberg_alias
ticker_value.alias_value = ticker
ticker_value.save()
final_tickers.append(ticker)
securities[ticker].aliases.add(ticker_value)
[security.save() for security in securities.values()]
for security in securities.values():
if security.type!=None:
if security.type.identifier=='CONT_BOND':
data = get_security_provider_information(security, 'bloomberg')
if data.has_key('coupon_rate') and data.has_key('maturity_date'):
security.name = data['short_name'] + ' ' + data['coupon_rate'] + '% ' + data['maturity_date']
security.save()
else:
LOGGER.error(u"The following security has incomplete data [" + unicode(security.name) + u"," + unicode(security.id) + u"]")
else:
LOGGER.error(u"The following security is wrongly categorized [" + unicode(security.name) + u"," + unicode(security.id) + u"]")
return securities, final_tickers, with_errors
