def testAll(self):
"""
Add 7 repo positions, 3 of type OPEN, 4 of type fixed term.
Then close 1, cancel 1, both of type OPEN.
"""
clearRepoData()
self.assertEqual(
7,
saveRepoMasterFileToDB(
join(getCurrentDir(), 'samples',
'RepoMaster_20210305_20210305154653.xml')))
self.assertEqual(
9,
saveRepoTradeFileToDB(
join(getCurrentDir(), 'samples',
'RepoTrade_20210305_20210305155621.xml')))
data = getRepo()
self.assertEqual(6, len(data)) # 6 not canceled
self.verifyHKDRepoPosition(data)
self.verifyUSDRepoPosition(data)
self.verifyClosedRepoPosition(data)
# there is one repo canceled
data = getRepo(status='canceled')
self.assertEqual(1, len(data))
self.verifyCanceledRepoPosition(data)
# Add 2 rerate actions to a repo position 316444
self.assertEqual(
2,
saveRepoRerateFileToDB(
join(getCurrentDir(), 'samples',
'Repo_ReRate_20210305_20210305174826.xml')))
# add the same file again, 2 more rerate actions added
self.assertEqual(
2,
saveRepoRerateFileToDB(
join(getCurrentDir(), 'samples',
'Repo_ReRate_20210305_20210305174826.xml')))
self.assertEqual(
4,
len(
list(
filter(lambda el: el['Action'] == 'rerate',
getRepoTransactionHistory('316444')))))
def search_ticket_db(ticket):
"""
Search for a ticket# from the database.
"""
result = list(filter( lambda p: p['TransactionId'] == ticket
, getRepo(status='all')))
if result == []:
print('ticket {0} not found'.format(ticket))
elif len(result) > 1:
print('multiple entries for ticket {0} found'.format(ticket))
else:
print(result[0])
def testAddRepoTransaction(self):
"""
repo master is in testAddRepoMaster()
Add 2 trades, cancel 1
"""
inputFile = join(getCurrentDir(), 'samples',
'RepoTrade_20210218_20210218121202.xml')
self.assertEqual(3, saveRepoTradeFileToDB(inputFile))
data = getRepo() # open or closed repo
self.assertEqual(1, len(data))
repoName, userTranId = data[0]['RepoName'], data[0]['TransactionId']
self.assertEqual([userTranId], getUserTranIdsFromRepoName(repoName))
data = getRepo(status='canceled')
self.assertEqual(1, len(data))
self.assertEqual('310952', data[0]['TransactionId'])
# add the file again, only the cancel record is saved.
self.assertEqual(1, saveRepoTradeFileToDB(inputFile))
history = getRepoTransactionHistory('310955')
self.assertEqual(1, len(history))
self.assertEqual('open', history[0]['Action'])
self.assertEqual(0.65, history[0]['InterestRate'])
# open, cancel, cancel
history = getRepoTransactionHistory('310952')
self.assertEqual(3, len(history))
self.assertEqual('open', history[0]['Action'])
self.assertEqual(0.75, history[0]['InterestRate'])
self.assertEqual('2021-01-25', history[0]['Date'])
self.assertEqual('cancel', history[1]['Action'])
self.assertEqual('cancel', history[2]['Action'])
def getRepoData():
"""
[Dictionary] ([String] repo name ->
[Iterable] ( [String] collateral Id
, [Float] quantity
, [Float] share of total loan amount
, [String] settle date
)
)
"""
logger.debug('getRepoData()')
getCollateralInfo = compose(
lambda t: \
map( lambda collateral_t: ( collateral_t[0]
, collateral_t[1]
, collateral_t[2]/t[1]
, collateral_t[3]
)
, t[0]
)
, lambda L: (L, sum(map(lambda t: t[2], L)))
, list
, partial( map
, lambda p: ( p['CollateralID']
, p['Quantity']
, p['CollateralValue']
, p['SettleDate']
)
)
)
return \
compose(
partial(valmap, getCollateralInfo)
, partial(groupbyToolz, lambda p: p['RepoName'])
)(getRepo())
def testGetRepo(self):
#-- preprocess: add 2 repo master and 6 transaction
master1 = self._get_test_repo_master()
addRepoMaster(master1)
master2 = {
"Code": "MMRPE420BS-2",
"BifurcationCurrency": "USD",
"AccrualDaysPerMonth": "Actual",
"AccrualDaysPerYear": "180"
}
addRepoMaster(master2)
transaction1 = {
"TransactionType": "ReverseRepo_InsertUpdate",
"UserTranId1": "300734",
"Portfolio": "12734",
"LocationAccount": "BOCHK",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"OpenEnded": "CALC",
"ActualSettleDate": "CALC",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BNP-REPO"
}
addRepoTransaction(transaction1)
transaction2 = {
"TransactionType": "ReverseRepo_InsertUpdate",
"UserTranId1": "300735",
"Portfolio": "12734",
"LocationAccount": "BOCHK",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"OpenEnded": "CALC",
"ActualSettleDate": "2020-03-08T00:00:00",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BOC-REPO"
}
addRepoTransaction(transaction2)
transaction3 = {
"TransactionType": "Repo_InsertUpdate",
"UserTranId1": "300736",
"Portfolio": "12736",
"LocationAccount": "BOCHK",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"ActualSettleDate": "CALC",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS-2",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BNP-REPO"
}
addRepoTransaction(transaction3)
transaction4 = {
"TransactionType": "Repo_InsertUpdate",
"UserTranId1": "300737",
"Portfolio": "中文",
"LocationAccount": "中國銀行",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"ActualSettleDate": "2020-03-08T00:00:00",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS-2",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BOC-REPO"
}
addRepoTransaction(transaction4)
transaction5 = {
"TransactionType": "Repo_InsertUpdate",
"UserTranId1": "300738",
"Portfolio": "12734",
"LocationAccount": "BOCHK",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"ActualSettleDate": "2020-03-10T00:00:00",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS-2",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BOC-REPO"
}
addRepoTransaction(transaction5)
#-- preprocess: create 1 canceled and 1 closed transaction
cancel_transaction = {"UserTranId1": "300738"}
cancelRepoTransaction(cancel_transaction)
transaction6 = {
"TransactionType": "Repo_InsertUpdate",
"UserTranId1": "300739",
"Portfolio": "12734",
"LocationAccount": "BOCHK",
"Investment": "Isin=XS1234567890",
"EventDate": "2020-12-31T00:00:00",
"SettleDate": "2020-12-31T00:00:00",
"ActualSettleDate": "2020-03-10T00:00:00",
"Quantity": "300000",
"CounterInvestment": "USD",
"Price": "95.23",
"NetCounterAmount": "1818234",
"RepoName": "MMRPE420BS-2",
"Coupon": "0.95",
"LoanAmount": "1818234",
"Broker": "BOC-REPO"
}
addRepoTransaction(transaction6)
close_transaction = {
"UserTranId1": "300739",
"ActualSettleDate": "2018-08-31T00:00:00"
}
closeRepoTransaction(close_transaction)
#-- 1. invalid value
#-- 1.1 wrong status
with self.assertRaises(ValueError):
getRepo(status='open',
portfolio='all',
custodian='all',
repoName='all',
broker='all',
hasHairCut='all')
#-- 1.2 wrong hasHairCut
with self.assertRaises(ValueError):
getRepo(hasHairCut='0')
#-- 2. normal query status
#-- 2.1 status: openclose
res = getRepo()
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='open' or status='closed')
""").scalar()
con.close()
self.assertEqual(count, len(res))
#-- 2.2 status: all parameters inputted with default value
res = getRepo(status='openclose',
portfolio='all',
custodian='all',
repoName='all',
broker='all',
hasHairCut='all')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='open' or status='closed')
""").scalar()
con.close()
self.assertEqual(count, len(res))
#-- 2.3 status: cancel
res = getRepo(status='canceled',
portfolio='all',
custodian='all',
repoName='all',
broker='all',
hasHairCut='all')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='canceled')
""").scalar()
con.close()
#-- 2.4 status: all
res = getRepo(status='all')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
""").scalar()
con.close()
self.assertEqual(count, len(res))
#-- 3. normal query portfolio
#-- 3.1 porfolio: english
res = getRepo(portfolio='12734')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='open' or status='closed')
and portfolio='12734'
""").scalar()
con.close()
self.assertEqual(count, len(res))
#-- 3.2 porfolio: 中文
res = getRepo(status='all', portfolio='中文')
self.assertEqual(1, len(res))
#-- 4. normal query portfolio
#-- 4.1 custodian: 中國銀行
res = getRepo(status='all', custodian='中國銀行')
self.assertEqual(1, len(res))
#-- 4.2 custodian: english
res = getRepo(custodian='BOCHK')
self.assertEqual(4, len(res))
#-- 4. normal query repoName
#-- 5.1 repoName: normal value (search status default input 'open')
res = getRepo(repoName='MMRPE420BS-2')
self.assertEqual(3, len(res))
#-- 5.2 repoName: empty result
res = getRepo(repoName='--10--')
self.assertEqual(0, len(res))
#-- 6. normal query repoName
#-- 6.1 repoName: normal value
res = getRepo(broker='BOC-REPO')
self.assertEqual(3, len(res))
#-- 6.2 repoName: normal and status cancel
res = getRepo(status='openclose', broker='BOC-REPO')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='open' or status='closed')
and broker='BOC-REPO'
""").scalar()
con.close()
self.assertEqual(count, len(res))
#-- 6.3 repoName: empty result
res = getRepo(broker='--REPO--')
self.assertEqual(0, len(res))
#-- 7. normal query repoName
#-- 7.1 hasHairCut: true
res = getRepo(hasHairCut='True')
self.assertEqual(0, len(res))
#-- 7.2 hasHairCut: false and status close
res = getRepo(status='openclose', hasHairCut='False')
with DBConn.get_db(self.unittest_dbmode).connect() as con:
count = con.execute("""
SELECT count(transaction_id)
FROM repo_transactions
where
(status='open' or status='closed')
and haircut = 0
""").scalar()
con.close()
self.assertEqual(count, len(res))