def create_instrument_quotes(quotes_effective_date, today, instrument_prices,
analyst_scope_code, api_factory):
# Create prices via instrument, analytic
# Set our quotes effective dates
now = datetime.now(pytz.UTC).replace(hour=0,
minute=0,
second=0,
microsecond=0)
quotes_effective_date = now - timedelta(days=3)
today = now
instrument_quotes = {}
# Create prices for all instruments except cash
for index, instrument in instrument_prices.iterrows():
if 'Cash' in instrument['instrument_name']:
continue
# Get our Lusid Instrument Id
luid = api_factory.build(lusid.api.InstrumentsApi).get_instrument(
identifier_type='Figi',
identifier=instrument['figi']).lusid_instrument_id
instrument_quotes[
luid + str(quotes_effective_date)] = models.UpsertQuoteRequest(
quote_id=models.QuoteId(quote_series_id=models.QuoteSeriesId(
provider='DataScope',
instrument_id=luid,
instrument_id_type='LusidInstrumentId',
quote_type='Price',
field='Mid'),
effective_at=quotes_effective_date),
metric_value=models.MetricValue(
value=instrument["price_original"],
unit=instrument["currency"]),
lineage='InternalSystem')
instrument_quotes[luid + str(today)] = models.UpsertQuoteRequest(
quote_id=models.QuoteId(quote_series_id=models.QuoteSeriesId(
provider='DataScope',
instrument_id=luid,
instrument_id_type='LusidInstrumentId',
quote_type='Price',
field='Mid'),
effective_at=today),
metric_value=models.MetricValue(value=instrument["price_current"],
unit=instrument["currency"]),
lineage='InternalSystem')
response = api_factory.build(lusid.api.QuotesApi).upsert_quotes(
scope=analyst_scope_code, request_body=instrument_quotes)
prettyprint.upsert_quotes_response(response)
def upsert_quotes(
api_factory,
scope,
data_frame,
instrument_identifier_mapping,
instrument_identifier_heirarchy,
required_mapping,
):
"""
This function takes quotes from a data_frame and upserts them into LUSID
param (lusid.utilities.ClientApiFactory) api_factory: The LUSID api factory to use
param (str) scope: The LUSID scope to upsert the quotes into
param (Pandas DataFrame) data_frame: The DataFrame that the quotes are in
param (dict) instrument_identifier_mapping : The dictionary with the instrument identifier mapping between LUSID and the dataframe
param (list[str]) instrument_identifier_heirarchy : The heirarchy to use for the LUSID instrument identifiers when upserting quotes
param (dict) required_mapping: The mapping of the LUSID required quote fields to the dataframe fields
returns (Pandas DataFrame): The succesfully upserted quotes
"""
# Initialise an empty instrument quotes list to hold the quotes
instrument_quotes = {}
quote_type_values = {
"mid_price": {
"quote_type": "Price",
"price_side": "Mid",
"value": "price",
},
"mid_rate": {
"quote_type": "Rate",
"price_side": "Mid",
"value": "rate",
},
}
# Iterate over the quotes
for index, quote in data_frame.iterrows():
quote_type = quote_type_values[quote[
required_mapping["quote_type"]]]["quote_type"]
field = quote_type_values[quote[
required_mapping["quote_type"]]]["price_side"]
for identifier in instrument_identifier_heirarchy:
identifier_value = quote[instrument_identifier_mapping[
"identifier_mapping"][identifier]]
if (identifier == "CurrencyPair") and (len(identifier_value) == 6):
identifier_value = identifier_value[:
3] + "/" + identifier_value[
3:]
if not pd.isna(identifier_value):
break
# Add the quote to the list of upsert quote requests
effective_date = quote[required_mapping["effective_at"]]
instrument_quotes[identifier + "_" + identifier_value + "_" +
effective_date] = models.UpsertQuoteRequest(
quote_id=models.QuoteId(
quote_series_id=models.QuoteSeriesId(
provider="DataScope",
instrument_id=identifier_value,
instrument_id_type=identifier,
quote_type=quote_type,
field=field,
),
effective_at=effective_date,
),
metric_value=models.MetricValue(
value=quote[required_mapping["value"]],
unit=quote[required_mapping["currency"]],
),
lineage="InternalSystem",
)
# Upsert the quotes into LUSID
response = api_factory.build(lusid.api.QuotesApi).upsert_quotes(
scope=scope, request_body=instrument_quotes)
# Pretty print the response
# prettyprint.upsert_quotes_response(response)
return prettyprint.upsert_quotes_response(response)