def buildTradeHistory(self, forceRebuild):
"""Function to build trade History
"""
print 'Building Trade History, please wait...'
self.th = TradeHistory([], forceRebuild)
self.bondlist = list(bonds.index)
self.bondlist.sort()
self.clientlist = self.th.counterpartyshortnamelist
self.clientlist.sort()
self.saleslist = self.th.ALLSALES
self.issuerlist = list(bonds['TICKER'].drop_duplicates().astype(str))
self.issuerlist.sort()
self.countrylist = list(
bonds['CNTRY_OF_RISK'].drop_duplicates().astype(str))
self.countrylist.sort()
def onTodayTradesSteps(self):
"""Function to load today's trades
"""
self.log.Clear()
self.xmlLogger.refresh()
self.thToday = TradeHistory(self.xmlLogger.df)
self.th.appendToday(self.thToday)
def buildTradeHistory(self,forceRebuild):
"""Function to build trade History
"""
print 'Building Trade History, please wait...'
self.th = TradeHistory([],forceRebuild)
self.bondlist = list(bonds.index)
self.bondlist.sort()
self.clientlist = self.th.counterpartyshortnamelist
self.clientlist.sort()
self.saleslist = self.th.ALLSALES
self.issuerlist = list(bonds['TICKER'].drop_duplicates().astype(str))
self.issuerlist.sort()
self.countrylist = list(bonds['CNTRY_OF_RISK'].drop_duplicates().astype(str))
self.countrylist.sort()
class MainForm(wx.Frame):
"""
Main frame
Attributes:
Methods:
__init__()
---Threading---
updateTradeHistoryReady()
onTestHistoryBuildItem()
---Generic Dialog Boxes---
comboQuery()
multipleComboQuery()
textQuery()
onClearLogButton()
buildTradeHistory()
createKeyLists()
buildRiskPanel()
checkModelPortfolio()
---File Actions---
onAbout()
onExit()
---Pricer Actions---
onLaunchPricer()
---Trade History Actions---
onBondQuery()
onQuickBondQuery()
onRiskTreeQuery()
onBondQuerySub()
onClientQuery()
onSalesPersonQuery()
onIssuerQuery()
onCountryQuery()
onAdvancedQuery()
onMonthlyQuery()
onClientTradingReport()
onTestHistoryBuildItem()
---Performance Actions---
onBenchmarkBondsVsEMBI()
onAfricanBondsVsAfricaIndex()
onAfricaWeekly()
---Model Portfolio---
onBuildModelPortfolio()
onPerformanceChartModelPortfolio()
onPrintModelPortfolio()
onSendModelPortfolioEmail()
---Chart Actions---
onPlotBondSpreadGroup()
onCreateBondSpreadPDFItem()
onPlotYTDMinMaxItem()
onPlotYTDPerformance()
---Front Actions---
onTodayTradesSteps()
onTodayTrades()
onOpenRepos()
rebuildDailyPnL()
rebuildLivePnL()
onDailyPnL()
onDailyPnLTH()
---Administration Actions---
onUpdateBondUniverse()
onNewClientReport()
onRegs144aReport()
onHighSCCheckItem()
onForceRebuildTradeHistory()
onBuildModelPortfolioButton()
"""
def __init__(self):
"""
We have two different environments - one for traders, one for sales
"""
self.isTrader = GetUserName() in traderLogins
wx.Frame.__init__(self,
None,
wx.ID_ANY,
"Flow Trading Tools",
size=(1200, 900))
favicon = wx.Icon(APPPATH + 'pinacolada.ico', wx.BITMAP_TYPE_ICO, 32,
32)
wx.Frame.SetIcon(self, favicon)
self.Centre()
self.modelPortfolioLoaded = False
self.embiZscores = None
self.africaZscores = None
self.todayDT = datetime.datetime.now()
self.connectedToFront = False
# Setting up the menu.
fileMenu = wx.Menu()
#pricerMenu = wx.Menu()
tradeHistoryMenu = wx.Menu()
modelPortfolioMenu = wx.Menu()
adminMenu = wx.Menu()
self.Bind(wx.EVT_CLOSE, self.onExit)
############PREATE MENUS############
# wx.ID_ABOUT and wx.ID_EXIT are standard IDs provided by wxWidgets.
launchPricerItem = fileMenu.Append(wx.ID_ANY, 'Launch &Pricer')
aboutItem = fileMenu.Append(wx.ID_ABOUT, "&About",
" Information about this program")
fileMenu.AppendSeparator()
exitItem = fileMenu.Append(wx.ID_EXIT, "E&xit",
" Terminate the program")
tradeHistoryMenuBondQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Bond query")
tradeHistoryMenuQuickBondQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Quick bond query Ctrl+B")
tradeHistoryMenuClientQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Client query")
tradeHistoryMenuSalesPersonQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Salesperson query")
tradeHistoryMenuIssuerQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Issuer query")
tradeHistoryMenuCountryQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Country query")
tradeHistoryMenu.AppendSeparator()
tradeHistoryMenuAdvancedQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Advanced query")
tradeHistoryMenuMonthlyQueryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Monthly query")
tradeHistoryMenu.AppendSeparator()
clientTradingReportItem = tradeHistoryMenu.Append(
wx.ID_ANY, "Client trading &report")
volumeByBondItem = tradeHistoryMenu.Append(wx.ID_ANY, "Volume by bond")
buildModelPortfolioItem = modelPortfolioMenu.Append(
wx.ID_ANY, "&Build")
printModelPortfolioItem = modelPortfolioMenu.Append(
wx.ID_ANY, "&Text output")
performanceChartModelPortfolioItem = modelPortfolioMenu.Append(
wx.ID_ANY, "&Performance chart")
sendModelPortfolioEmail = modelPortfolioMenu.Append(
wx.ID_ANY, "&Send email")
adminMenuUpdateBondUniverseItem = adminMenu.Append(
wx.ID_ANY, "&Update BondUniverse file")
highSCCheckItem = adminMenu.Append(wx.ID_ANY, "&High SC check")
newClientReportItem = adminMenu.Append(wx.ID_ANY, "&New client report")
regs144aReportItem = adminMenu.Append(wx.ID_ANY, "®S/144A report")
forceRebuildTradeHistoryItem = tradeHistoryMenu.Append(
wx.ID_ANY, "&Force rebuild trade history")
africaWeeklyItem = adminMenu.Append(wx.ID_ANY, "Plot Africa weekly")
ceeWeeklyItem = adminMenu.Append(wx.ID_ANY, "Plot CEE weekly")
cisWeeklyItem = adminMenu.Append(wx.ID_ANY, "Plot CIS weekly")
eurozoneWeeklyItem = adminMenu.Append(wx.ID_ANY,
"Plot Eurozone weekly")
maDataReportItem = adminMenu.Append(wx.ID_ANY, "Daily MA report")
maHotAndColdItem = adminMenu.Append(wx.ID_ANY, "MA hot and cold")
############CREATE THE MENUBAR############
self.menuBar = wx.MenuBar()
self.menuBar.Append(fileMenu, "&File")
self.menuBar.Append(tradeHistoryMenu, "&Trade History")
self.menuBar.Append(modelPortfolioMenu, "&Model Portfolio")
self.menuBar.Append(adminMenu, "&Administration")
self.SetMenuBar(self.menuBar)
############ASSIGN ACTIONS############
self.Bind(wx.EVT_MENU, self.onLaunchPricer, launchPricerItem)
self.Bind(wx.EVT_MENU, self.onAbout, aboutItem)
self.Bind(wx.EVT_MENU, self.onExit, exitItem)
self.Bind(wx.EVT_MENU, self.onBondQuery, tradeHistoryMenuBondQueryItem)
self.Bind(wx.EVT_MENU, self.onQuickBondQuery,
tradeHistoryMenuQuickBondQueryItem)
self.Bind(wx.EVT_MENU, self.onClientQuery,
tradeHistoryMenuClientQueryItem)
self.Bind(wx.EVT_MENU, self.onSalesPersonQuery,
tradeHistoryMenuSalesPersonQueryItem)
self.Bind(wx.EVT_MENU, self.onIssuerQuery,
tradeHistoryMenuIssuerQueryItem)
self.Bind(wx.EVT_MENU, self.onCountryQuery,
tradeHistoryMenuCountryQueryItem)
self.Bind(wx.EVT_MENU, self.onAdvancedQuery,
tradeHistoryMenuAdvancedQueryItem)
self.Bind(wx.EVT_MENU, self.onMonthlyQuery,
tradeHistoryMenuMonthlyQueryItem)
self.Bind(wx.EVT_MENU, self.onClientTradingReport,
clientTradingReportItem)
self.Bind(wx.EVT_MENU, self.onVolumeByBond, volumeByBondItem)
self.Bind(wx.EVT_MENU, self.onAfricaWeekly, africaWeeklyItem)
self.Bind(wx.EVT_MENU, self.onCeeWeekly, ceeWeeklyItem)
self.Bind(wx.EVT_MENU, self.onCisWeekly, cisWeeklyItem)
self.Bind(wx.EVT_MENU, self.onEurozoneWeekly, eurozoneWeeklyItem)
self.Bind(wx.EVT_MENU, self.onMaDataReportItem, maDataReportItem)
self.Bind(wx.EVT_MENU, self.onMaHotAndColdItem, maHotAndColdItem)
self.Bind(wx.EVT_MENU, self.onBuildModelPortfolioButton,
buildModelPortfolioItem)
self.Bind(wx.EVT_MENU, self.onPrintModelPortfolio,
printModelPortfolioItem)
self.Bind(wx.EVT_MENU, self.onPerformanceChartModelPortfolio,
performanceChartModelPortfolioItem)
self.Bind(wx.EVT_MENU, self.onSendModelPortfolioEmail,
sendModelPortfolioEmail)
self.Bind(wx.EVT_MENU, self.onUpdateBondUniverse,
adminMenuUpdateBondUniverseItem)
self.Bind(wx.EVT_MENU, self.onNewClientReport, newClientReportItem)
self.Bind(wx.EVT_MENU, self.onRegs144aReport, regs144aReportItem)
self.Bind(wx.EVT_MENU, self.onHighSCCheckItem, highSCCheckItem)
self.Bind(wx.EVT_MENU, self.onForceRebuildTradeHistory,
forceRebuildTradeHistoryItem)
############CREATE PANEL AND BUTTONS############
self.panel = wx.Panel(self, wx.ID_ANY)
############CREATE TABS############
self.notebook = wx.Notebook(self.panel)
self.tabLogs = wx.Panel(parent=self.notebook)
self.notebook.AddPage(self.tabLogs, "Logs")
self.log = wx.TextCtrl(self.tabLogs,
wx.ID_ANY,
size=(300, 300),
style=wx.TE_MULTILINE | wx.TE_READONLY
| wx.HSCROLL)
self.redirLogBox = RedirectText(self.log) # redirect text here
sys.stdout = self.redirLogBox
self.log.SetFont(
wx.Font(10, wx.MODERN, wx.NORMAL, wx.NORMAL, False, u'Courier'))
sizerLogH = wx.BoxSizer()
sizerLogH.Add(self.log, proportion=1, flag=wx.EXPAND)
sizerlogV = wx.BoxSizer(wx.VERTICAL)
sizerlogV.Add(sizerLogH, proportion=1, flag=wx.EXPAND)
self.tabLogs.SetSizerAndFit(sizerlogV)
self.sizer = wx.BoxSizer(wx.VERTICAL)
self.sizer.Add(self.notebook, 1, wx.ALL | wx.EXPAND, 5)
self.panel.SetSizer(self.sizer)
self.Layout()
############ACCELERATORS############
xit_id = wx.NewId()
self.Bind(wx.EVT_MENU, self.onQuickBondQuery, id=xit_id)
yit_id = wx.NewId()
self.Bind(wx.EVT_MENU, self.onRiskTreeQuery, id=yit_id)
self.accel_tbl = wx.AcceleratorTable([
(wx.ACCEL_CTRL, ord('B'), xit_id),
(wx.ACCEL_CTRL, ord('F'), yit_id)
])
self.SetAcceleratorTable(self.accel_tbl)
self.xmlLogger = toms_parser.RiskParser()
try:
self.buildTradeHistory(False)
except:
print 'error building Trade History'
try:
self.buildMarketAxess(False)
except:
print 'error building MarketAxess history'
#############Disable functions if dealing with a salesperson#############
if not self.isTrader:
self.menuBar.Remove(self.menuBar.FindMenu("&Administration"))
print 'Building tabs, please wait...'
wx.CallAfter(self.buildRiskPanel)
############GENERIC DIALOG BOXES############
def comboQuery(self, event, title, question, choices):
dlg = ComboDialog(title, question, choices)
res = dlg.ShowModal()
dlg.Destroy()
if res == wx.ID_OK:
data = dlg.comboBox1.GetValue()
return data
else:
return ''
def multipleComboQuery(self, event, myTitle, myQuestionList,
myChoicesList):
dlg = MultipleComboDialog(myTitle, myQuestionList, myChoicesList)
res = dlg.ShowModal()
dlg.Destroy()
if res == wx.ID_OK:
data = []
cblist = dlg.comboBoxList
data = [x.GetValue() for x in cblist]
# for x in cblist:
# data.append(x.GetValue())
return data
else:
return ''
def textQuery(self, event, title, default=''):
dlg = wx.TextEntryDialog(self, '', title, default, style=wx.OK)
res = dlg.ShowModal()
data = dlg.GetValue()
dlg.Destroy()
if res == wx.ID_OK:
return data
else:
return ''
def buildTradeHistory(self, forceRebuild):
"""Function to build trade History
"""
print 'Building Trade History, please wait...'
self.th = TradeHistory([], forceRebuild)
self.bondlist = list(bonds.index)
self.bondlist.sort()
self.clientlist = self.th.counterpartyshortnamelist
self.clientlist.sort()
self.saleslist = self.th.ALLSALES
self.issuerlist = list(bonds['TICKER'].drop_duplicates().astype(str))
self.issuerlist.sort()
self.countrylist = list(
bonds['CNTRY_OF_RISK'].drop_duplicates().astype(str))
self.countrylist.sort()
def buildMarketAxess(self, forceRebuild):
"""Function to build MarketAxess history
"""
print 'Building MarketAxess history, please wait...'
try:
self.ma = ma_analysis.FullMarketAxessData()
except:
self.ma = None
print 'MarketAxess database ready'
def buildRiskPanel(self):
"""Function to build Risk panel
"""
if self.isTrader:
self.riskTreeManager = RiskTreeManager(self.th, self)
self.tabRisk = RiskTabPanel(self.riskTreeManager, self.notebook,
self)
self.notebook.AddPage(self.tabRisk, "Risk by region")
self.tabBookRiskPnL = BookRiskPnLTabPanel(self.riskTreeManager,
self.notebook, self)
self.notebook.AddPage(self.tabBookRiskPnL, "Risk by book")
self.tabIRRiskPnL = IRRiskTabPanel(self.riskTreeManager,
self.notebook, self)
self.notebook.AddPage(self.tabIRRiskPnL, "Interest rate risk")
self.tabTradeActivityGrid = TradeActivityTabPanel(
self.th, self.notebook, self)
self.notebook.AddPage(self.tabTradeActivityGrid, "Blotter")
self.tabBondActivityMultiGrid = BondActivityTabPanel(
self.th, self.ma, self.notebook, self)
self.notebook.AddPage(self.tabBondActivityMultiGrid, "Bond activity")
self.tabCharts = ChartingPanel(parent=self.notebook)
self.notebook.AddPage(self.tabCharts, "Charts")
wx.CallAfter(self.print_all_finished)
def print_all_finished(self):
print 'Ready to use'
def checkModelPortfolio(self):
if not (self.modelPortfolioLoaded):
self.onBuildModelPortfolio()
############FILE ACTIONS############
def onAbout(self, event):
"""Function to show the 'About' panel
"""
self.log.Clear()
info = wx.AboutDialogInfo()
info.Name = "Flow Trading Tools"
info.Version = "6.5-20171006"
info.Copyright = "(C) 2014-2017 Alexandre Almosni"
info.Description = wordwrap(
"All data is indicative. Use at your own risk.", 350,
wx.ClientDC(self.panel))
#info.WebSite = ("http://www.pythonlibrary.org", "My Home Page")
#info.Developers = ["Alexandre Almosni"]
info.License = wordwrap(
"Released under Apache 2.0 license. More info at http://www.apache.org/licenses/LICENSE-2.0",
500, wx.ClientDC(self.panel))
# Show the wx.AboutBox
wx.AboutBox(info)
def onExit(self, e):
"""Function to close the program.
"""
if wx.MessageBox('This will also kill the Pricer.',
'Kill Flow Trading Tools?',
wx.ICON_QUESTION | wx.YES_NO) == wx.YES:
try:
self.pricer.Destroy()
except:
pass
self.Destroy()
############PRICER ACTIONS############
def onLaunchPricer(self, event):
#if self.isTrader:
# self.tabRisk.onFillEODPrices(event)
self.pricer = Pricer.PricerWindow(self)
self.pricer.Show()
pass
############TRADE HISTORY ACTIONS############
def onBondQuery(self, event):
"""Function to query bond
"""
bondname = self.comboQuery(event, 'Bond query', 'Bond name?',
self.bondlist)
self.onBondQuerySub(bondname)
pass
def onQuickBondQuery(self, event):
"""Function for quick bond query.
"""
bondname = self.textQuery(event, 'Bond name?').upper()
if (bondname in bonds.index):
self.onBondQuerySub(bondname)
else:
print bondname + ' cannot be found.'
def onRiskTreeQuery(self, event):
"""Function to query the risk tree. Function is called when user presses ctrl+f
"""
# item = self.textQuery(event,'Bond or issuer name?').upper()
# if (item in bonds.index) or (item in self.issuerlist):
# self.tabRisk.onRiskTreeQuery(event, item)
# else:
# self.notebook.SetSelection(0)
# print item + ' cannot be found.'
item = self.textQuery(event, 'Bond or issuer name?')
self.tabRisk.onRiskTreeQuery(event, item.upper())
def onBondQuerySub(self, bondname):
"""Function to query the current position for the bond. Function is called by onBondQuery and onQuickBondQuery
"""
#self.log.Clear()
if self.isTrader:
self.notebook.SetSelection(5)
else:
self.notebook.SetSelection(1)
if self.isTrader:
if bondname in self.th.positions.index:
print 'Current position for ' + bondname + ': {:,.0f}'.format(
self.th.positions.loc[bondname, 'Qty'])
else:
print 'No current position in ' + bondname
print ''
self.tabBondActivityMultiGrid.fillGrid(bondname)
self.th.simpleQuery('Bond', bondname)
self.Restore()
self.Raise()
pass
def onClientQuery(self, event):
"""Function to query client.
"""
self.log.Clear()
self.notebook.SetSelection(0)
clientname = self.comboQuery(event, 'Client query', 'Client name?',
self.clientlist)
self.th.simpleQuery('Counterparty', clientname)
def onSalesPersonQuery(self, event):
"""Function to query salesperson
"""
self.log.Clear()
self.notebook.SetSelection(0)
salesperson = self.comboQuery(event, 'Salesperson query',
'Salesperson name?', self.saleslist)
self.th.simpleQuery('Sales', salesperson)
def onIssuerQuery(self, event):
"""Function to query issuer
"""
self.log.Clear()
self.notebook.SetSelection(0)
issuer = self.comboQuery(event, 'Issuer query', 'Issuer ticker?',
self.issuerlist)
self.th.simpleQuery('Issuer', issuer)
def onCountryQuery(self, event):
"""Function to query country
"""
self.log.Clear()
self.notebook.SetSelection(0)
salesperson = self.comboQuery(event, 'Country query', 'Country?',
self.countrylist)
self.th.simpleQuery('Country', salesperson)
def onAdvancedQuery(self, event):
"""Function for Advanced query
"""
self.log.Clear()
self.notebook.SetSelection(0)
adQ = AdvancedQuery(self, 'Advanced query')
res = adQ.ShowModal()
adQ.Destroy()
if res == wx.ID_OK:
queryType = adQ.comboBox1.GetValue()
if queryType == 'Client':
queryType = 'Counterparty'
if queryType == 'Salesperson':
queryType = 'Sales'
queryID = adQ.comboBox2.GetValue()
startDate = wxdate2pydate(adQ.startcalendar.GetValue())
endDate = wxdate2pydate(adQ.endcalendar.GetValue())
self.th.advancedQuery(queryType, queryID, startDate, endDate)
else:
print ''
def onMonthlyQuery(self, event):
"""Function for monthly query.
"""
self.log.Clear()
self.notebook.SetSelection(0)
mthQ = MonthlyQuery(self, 'Monthly query')
res = mthQ.ShowModal()
mthQ.Destroy()
if res == wx.ID_OK:
queryType = mthQ.comboBox1.GetValue()
if queryType == 'Client':
queryType = 'Counterparty'
if queryType == 'Salesperson':
queryType = 'Sales'
queryID = mthQ.comboBox2.GetValue()
self.th.reportMonthlyVolumeSC(queryType, queryID)
else:
print ''
def onClientTradingReport(self, event):
"""Function to query client trading report
"""
self.log.Clear()
self.notebook.SetSelection(0)
questionlist = ['Select book:', 'Select year:', 'Select month:']
books = ['ALL']
books.extend(self.th.LDNFLOWBOOKS)
choiceList = [
books,
map(str, sorted(range(2009, 2018, 1), reverse=True)),
[
'Full Year', 'Jan', 'Feb', 'Mar', 'Apr', 'May', 'Jun', 'Jul',
'Aug', 'Sep', 'Oct', 'Nov', 'Dec'
]
]
data = self.multipleComboQuery(event, 'Client trading report',
questionlist, choiceList)
book = data[0]
year = int(data[1])
month = [i for i, x in enumerate(choiceList[2]) if x == data[2]][0]
self.th.clientTradingReport(year, month, book)
pass
def onVolumeByBond(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
self.th.df.groupby(['Year', 'Country',
'Bond'])['AbsQty'].sum().to_clipboard()
print 'The Volume per year, country, bond report was copied to the clipboard...'
#Threading
def onTestHistoryBuildItem(self, event):
TradeHistoryThread(self)
pass
############PERFORMANCE ACTIONS############
def onBenchmarkBondsVsEMBI(self, event):
"""Function to plot Benchmark Bonds vs EMBI
"""
self.log.Clear()
bondlist = [
'ANGOL', 'ARMEN20', 'AZERBJ', 'BELRUS18', 'BRAZIL24', 'CHILE22',
'CHGRID23', 'COLOM24', 'CROATI24', 'ECUA24', 'EGYPT20', 'ESKOM23',
'EXIMBK23', 'GABON24', 'GEORG21', 'GHANA23', 'INDON24', 'IRAQ',
'IVYCST32', 'JAMAN25', 'KENINT24', 'KZOKZ23', 'LATVIA21',
'LEBAN26', 'LITHUN22', 'MEMATU', 'MEX23', 'MONGOL22', 'MOROC22',
'NGERIA23', 'OGIMK23', 'PANAMA26', 'PERTIJ23', 'PHILIP24',
'PKSTAN24', 'POLAND23', 'REPHUN23', 'REPNAM', 'ROMANI23',
'RUSSIA23', 'SENEGL21', 'SERBIA21', 'SLOVAK22', 'SOAF24',
'SRILAN22', 'TURKEY24', 'UKRAIN23', 'URUGUA24', 'VENZ38',
'ZAMBIN22'
]
if self.embiZscores is None:
x = ChartEngine(bondlist,
ChartTypes.ZScoreVsIndex,
'Historical Z-score vs. EMBI',
True,
10,
index='JPEIGLBL')
self.embiZscores = x.output
else:
x = ChartEngine(bondlist,
ChartTypes.ZScoreVsIndex,
'Historical Z-score vs. EMBI',
True,
10,
source_data=self.embiZscores)
print self.embiZscores
def onAfricanBondsVsAfricaIndex(self, event):
"""Function to plot African bonds vs Africa Index
"""
self.log.Clear()
bondlist = [
'ANGOL', 'ESKOM23', 'GABON24', 'GHANA23', 'IVYCST24', 'KENINT24',
'MEMATU', 'NGERIA23', 'REPNAM', 'SENEGL24', 'SOAF24', 'ZAMBIN24'
]
if self.africaZscores is None:
x = ChartEngine(bondlist,
ChartTypes.ZScoreVsIndex,
'Historical Z-score vs. Africa index',
True,
10,
index='SBAFSOZS')
self.africaZscores = x.output
else:
ChartEngine(bondlist,
ChartTypes.ZScoreVsIndex,
'Historical Z-score vs. Africa index',
True,
10,
index='SBAFSOZS',
source_data=self.africaZscores)
print self.africaZscores
def onAfricaWeekly(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.africa_weekly()
pass
def onCeeWeekly(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.cee_weekly()
pass
def onCisWeekly(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.cis_weekly()
pass
def onEurozoneWeekly(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.eurozone_weekly()
pass
############MODEL PORTFOLIO ACTIONS############
def onBuildModelPortfolio(self):
"""Function to build model portfolio
"""
self.log.Clear()
self.notebook.SetSelection(0)
busyDlg = wx.BusyInfo('Building model portfolio...', parent=self)
self.mp = ModelPortfolio.ModelPortfolio()
self.modelPortfolioLoaded = True
busyDlg = None
def onPerformanceChartModelPortfolio(self, event):
"""Function to plot model portfolio performance chart
"""
self.log.Clear()
self.checkModelPortfolio()
questionlist = ['Chart type?', 'Start year?']
choiceList = [['Full', 'Assets', 'Outperformance'],
['2015', '2014', '2013', '2012']]
data = self.multipleComboQuery(event,
'Model portfolio performance chart',
questionlist, choiceList)
year = int(data[1])
if data[0] == 'Full':
self.mp.plot_full(year, True)
elif data[0] == 'Assets':
self.mp.plot_assets(year, True)
else:
self.mp.plot_outperformance(year, True)
def onPrintModelPortfolio(self, event):
"""Function to print model portfolio
"""
self.log.Clear()
self.checkModelPortfolio()
for line in self.mp.display.txtoutput:
print line
def onSendModelPortfolioEmail(self, event):
"""Function to send model portfolio to email
"""
self.log.Clear()
self.checkModelPortfolio()
email = self.textQuery(event, 'Email address?',
'*****@*****.**')
self.mp.createoutput(True, email)
print 'Email sent to ' + email
print ''
############FETCHING NEW TRADES############
def onTodayTradesSteps(self):
"""Function to load today's trades
"""
self.log.Clear()
self.xmlLogger.refresh()
self.thToday = TradeHistory(self.xmlLogger.df)
self.th.appendToday(self.thToday)
def onTodayTrades(self, event):
TodayTradesThread(self, 1, True)
TodayTradesThread(self, 300, False)
############ADMINISTRATION ACTIONS############
def onUpdateBondUniverse(self, event):
self.log.Clear()
BondTools.refresh_bond_universe()
def onNewClientReport(self, event):
self.log.Clear()
year = int(
self.comboQuery(
event, 'New client report', 'Year?',
map(str, sorted(range(2009, 2018, 1), reverse=True))))
self.th.newclients(year)
def onRegs144aReport(self, event):
self.log.Clear()
self.th.regs144a()
def onHighSCCheckItem(self, event):
"""Function to print a list of high SC trades
"""
self.log.Clear()
questionlist = ['Year?', 'Month?', 'Cutoff SC?']
choiceList = [
map(str, sorted(range(2009, 2018, 1), reverse=True)),
[
'Full Year', 'Jan', 'Feb', 'Mar', 'Apr', 'May', 'Jun', 'Jul',
'Aug', 'Sep', 'Oct', 'Nov', 'Dec'
], ['25', '50', '100']
]
data = self.multipleComboQuery(event, 'SC check', questionlist,
choiceList)
year = int(data[0])
month = [i for i, x in enumerate(choiceList[1]) if x == data[1]][0]
limit = int(data[2])
self.th.highSCCheck(year, month, limit)
pass
def onForceRebuildTradeHistory(self, event):
TradeHistoryThread(self, True)
def onBuildModelPortfolioButton(self, event):
BuildModelPortfolioThread(self)
def onMaDataReportItem(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
dtToday = datetime.datetime.now()
_offsets = (3, 1, 1, 1, 1, 1, 2)
dtYesterday = dtToday - datetime.timedelta(
days=_offsets[dtToday.weekday()])
self.ma.full_report(dtYesterday)
pass
def onMaHotAndColdItem(self, event):
self.log.Clear()
self.notebook.SetSelection(0)
questionlist = ['Days to analyze:', 'Bond tail:']
choiceList = [['7', '14', '30', '1', '2', '3'], ['20', '50', '100']]
data = self.multipleComboQuery(event, 'MarketAxess hot and cold',
questionlist, choiceList)
self.ma.hot_and_cold(int(data[0]), int(data[1]))
pass
class MainForm(wx.Frame):
"""
Main frame
Attributes:
Methods:
__init__()
---Threading---
updateTradeHistoryReady()
onTestHistoryBuildItem()
---Generic Dialog Boxes---
comboQuery()
multipleComboQuery()
textQuery()
onClearLogButton()
buildTradeHistory()
createKeyLists()
buildRiskPanel()
checkModelPortfolio()
---File Actions---
onAbout()
onExit()
---Pricer Actions---
onLaunchPricer()
---Trade History Actions---
onBondQuery()
onQuickBondQuery()
onRiskTreeQuery()
onBondQuerySub()
onClientQuery()
onSalesPersonQuery()
onIssuerQuery()
onCountryQuery()
onAdvancedQuery()
onMonthlyQuery()
onClientTradingReport()
onTestHistoryBuildItem()
---Performance Actions---
onBenchmarkBondsVsEMBI()
onAfricanBondsVsAfricaIndex()
onAfricaWeekly()
---Model Portfolio---
onBuildModelPortfolio()
onPerformanceChartModelPortfolio()
onPrintModelPortfolio()
onSendModelPortfolioEmail()
---Chart Actions---
onPlotBondSpreadGroup()
onCreateBondSpreadPDFItem()
onPlotYTDMinMaxItem()
onPlotYTDPerformance()
---Front Actions---
onLogInFront()
onTodayTradesSteps()
onTodayTrades()
onOpenRepos()
rebuildDailyPnL()
rebuildLivePnL()
onDailyPnL()
onDailyPnLTH()
---Administration Actions---
onUpdateBondUniverse()
onNewClientReport()
onRegs144aReport()
onHighSCCheckItem()
onForceRebuildTradeHistory()
onBuildModelPortfolioButton()
"""
def __init__(self):
"""
We have two different environments - one for traders, one for sales
"""
self.isTrader = GetUserName() in traderLogins
wx.Frame.__init__(self, None, wx.ID_ANY, "Flow Trading Tools",size=(1200,900))
favicon = wx.Icon(APPPATH+'pinacolada.ico', wx.BITMAP_TYPE_ICO, 32,32)
wx.Frame.SetIcon(self,favicon)
self.Centre()
self.modelPortfolioLoaded = False
self.embiZscores = None
self.africaZscores = None
self.todayDT = datetime.datetime.now()
self.connectedToFront = False
# Setting up the menu.
fileMenu = wx.Menu()
#pricerMenu = wx.Menu()
tradeHistoryMenu = wx.Menu()
modelPortfolioMenu = wx.Menu()
adminMenu = wx.Menu()
self.Bind(wx.EVT_CLOSE, self.onExit)
############PREATE MENUS############
# wx.ID_ABOUT and wx.ID_EXIT are standard IDs provided by wxWidgets.
launchPricerItem = fileMenu.Append(wx.ID_ANY,'Launch &Pricer')
aboutItem = fileMenu.Append(wx.ID_ABOUT, "&About"," Information about this program")
fileMenu.AppendSeparator()
exitItem = fileMenu.Append(wx.ID_EXIT,"E&xit"," Terminate the program")
tradeHistoryMenuBondQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Bond query")
tradeHistoryMenuQuickBondQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Quick bond query Ctrl+B")
tradeHistoryMenuClientQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Client query")
tradeHistoryMenuSalesPersonQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Salesperson query")
tradeHistoryMenuIssuerQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Issuer query")
tradeHistoryMenuCountryQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Country query")
tradeHistoryMenu.AppendSeparator()
tradeHistoryMenuAdvancedQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Advanced query")
tradeHistoryMenuMonthlyQueryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Monthly query")
tradeHistoryMenu.AppendSeparator()
clientTradingReportItem=tradeHistoryMenu.Append(wx.ID_ANY,"Client trading &report")
buildModelPortfolioItem=modelPortfolioMenu.Append(wx.ID_ANY,"&Build")
printModelPortfolioItem=modelPortfolioMenu.Append(wx.ID_ANY,"&Text output")
performanceChartModelPortfolioItem=modelPortfolioMenu.Append(wx.ID_ANY,"&Performance chart")
sendModelPortfolioEmail=modelPortfolioMenu.Append(wx.ID_ANY,"&Send email")
openRepos = adminMenu.Append(wx.ID_ANY,"&Open repos")
adminMenuUpdateBondUniverseItem=adminMenu.Append(wx.ID_ANY,"&Update BondUniverse file")
highSCCheckItem=adminMenu.Append(wx.ID_ANY,"&High SC check")
newClientReportItem=adminMenu.Append(wx.ID_ANY,"&New client report")
regs144aReportItem=adminMenu.Append(wx.ID_ANY,"®S/144A report")
forceRebuildTradeHistoryItem=tradeHistoryMenu.Append(wx.ID_ANY,"&Force rebuild trade history")
africaWeeklyItem = adminMenu.Append(wx.ID_ANY,"Plot Africa weekly")
ceeWeeklyItem = adminMenu.Append(wx.ID_ANY,"Plot CEE weekly")
cisWeeklyItem = adminMenu.Append(wx.ID_ANY,"Plot CIS weekly")
eurozoneWeeklyItem = adminMenu.Append(wx.ID_ANY,"Plot Eurozone weekly")
maDataReportItem = adminMenu.Append(wx.ID_ANY,"Daily MA report")
############CREATE THE MENUBAR############
self.menuBar = wx.MenuBar()
self.menuBar.Append(fileMenu,"&File")
self.menuBar.Append(tradeHistoryMenu,"&Trade History")
self.menuBar.Append(modelPortfolioMenu,"&Model Portfolio")
self.menuBar.Append(adminMenu,"&Administration")
self.SetMenuBar(self.menuBar)
############ASSIGN ACTIONS############
self.Bind(wx.EVT_MENU,self.onLaunchPricer,launchPricerItem)
self.Bind(wx.EVT_MENU,self.onAbout,aboutItem)
self.Bind(wx.EVT_MENU,self.onExit,exitItem)
self.Bind(wx.EVT_MENU,self.onBondQuery,tradeHistoryMenuBondQueryItem)
self.Bind(wx.EVT_MENU,self.onQuickBondQuery,tradeHistoryMenuQuickBondQueryItem)
self.Bind(wx.EVT_MENU,self.onClientQuery,tradeHistoryMenuClientQueryItem)
self.Bind(wx.EVT_MENU,self.onSalesPersonQuery,tradeHistoryMenuSalesPersonQueryItem)
self.Bind(wx.EVT_MENU,self.onIssuerQuery,tradeHistoryMenuIssuerQueryItem)
self.Bind(wx.EVT_MENU,self.onCountryQuery,tradeHistoryMenuCountryQueryItem)
self.Bind(wx.EVT_MENU,self.onAdvancedQuery,tradeHistoryMenuAdvancedQueryItem)
self.Bind(wx.EVT_MENU,self.onMonthlyQuery,tradeHistoryMenuMonthlyQueryItem)
self.Bind(wx.EVT_MENU,self.onClientTradingReport,clientTradingReportItem)
self.Bind(wx.EVT_MENU,self.onAfricaWeekly, africaWeeklyItem)
self.Bind(wx.EVT_MENU,self.onCeeWeekly, ceeWeeklyItem)
self.Bind(wx.EVT_MENU,self.onCisWeekly, cisWeeklyItem)
self.Bind(wx.EVT_MENU,self.onEurozoneWeekly, eurozoneWeeklyItem)
self.Bind(wx.EVT_MENU,self.onMaDataReportItem, maDataReportItem)
self.Bind(wx.EVT_MENU,self.onBuildModelPortfolioButton,buildModelPortfolioItem)
self.Bind(wx.EVT_MENU,self.onPrintModelPortfolio,printModelPortfolioItem)
self.Bind(wx.EVT_MENU,self.onPerformanceChartModelPortfolio,performanceChartModelPortfolioItem)
self.Bind(wx.EVT_MENU,self.onSendModelPortfolioEmail,sendModelPortfolioEmail)
self.Bind(wx.EVT_MENU,self.onOpenRepos,openRepos)
self.Bind(wx.EVT_MENU,self.onUpdateBondUniverse,adminMenuUpdateBondUniverseItem)
self.Bind(wx.EVT_MENU,self.onNewClientReport,newClientReportItem)
self.Bind(wx.EVT_MENU,self.onRegs144aReport,regs144aReportItem)
self.Bind(wx.EVT_MENU,self.onHighSCCheckItem,highSCCheckItem)
self.Bind(wx.EVT_MENU,self.onForceRebuildTradeHistory,forceRebuildTradeHistoryItem)
############CREATE PANEL AND BUTTONS############
self.panel = wx.Panel(self, wx.ID_ANY)
############CREATE TABS############
self.notebook = wx.Notebook(self.panel)
self.tabLogs = wx.Panel(parent=self.notebook)
self.notebook.AddPage(self.tabLogs, "Logs")
self.log = wx.TextCtrl(self.tabLogs, wx.ID_ANY, size=(300,300), style = wx.TE_MULTILINE|wx.TE_READONLY|wx.HSCROLL)
self.redirLogBox=RedirectText(self.log) # redirect text here
sys.stdout=self.redirLogBox
self.log.SetFont(wx.Font(10, wx.MODERN, wx.NORMAL, wx.NORMAL, False, u'Courier'))
sizerLogH = wx.BoxSizer()
sizerLogH.Add(self.log,proportion=1,flag=wx.EXPAND)
sizerlogV = wx.BoxSizer(wx.VERTICAL)
sizerlogV.Add(sizerLogH,proportion=1,flag=wx.EXPAND)
self.tabLogs.SetSizerAndFit(sizerlogV)
self.sizer = wx.BoxSizer(wx.VERTICAL)
self.sizer.Add(self.notebook, 1, wx.ALL|wx.EXPAND, 5)
self.panel.SetSizer(self.sizer)
self.Layout()
############ACCELERATORS############
xit_id = wx.NewId()
self.Bind(wx.EVT_MENU, self.onQuickBondQuery, id=xit_id)
yit_id = wx.NewId()
self.Bind(wx.EVT_MENU, self.onRiskTreeQuery, id=yit_id)
self.accel_tbl = wx.AcceleratorTable([(wx.ACCEL_CTRL, ord('B'), xit_id),(wx.ACCEL_CTRL, ord('F'), yit_id)])
self.SetAcceleratorTable(self.accel_tbl)
try:
self.buildTradeHistory(False)
except:
print 'error building Trade History'
try:
self.buildMarketAxess(False)
except:
print 'error building MarketAxess history'
#############Disable functions if dealing with a salesperson#############
if not self.isTrader:
self.menuBar.Remove(self.menuBar.FindMenu("&Administration"))
print 'Building tabs, please wait...'
wx.CallAfter(self.buildRiskPanel)
############GENERIC DIALOG BOXES############
def comboQuery(self, event, title,question,choices):
"""Function to create combo dialog
Keyword arguments:
title : title of combo box
question : question
choices : choices
"""
dlg = ComboDialog(title,question,choices)
res = dlg.ShowModal()
dlg.Destroy()
if res == wx.ID_OK:
data = dlg.comboBox1.GetValue()
return data
else:
return ''
def multipleComboQuery(self, event,myTitle,myQuestionList,myChoicesList):
"""function to show multiplpe combo dialog
Keyword arguments:
myTitle : title of combo box
myQuestionList : list of questions
myChoicesList : list of choices
"""
dlg = MultipleComboDialog(myTitle,myQuestionList,myChoicesList)
res = dlg.ShowModal()
dlg.Destroy()
if res == wx.ID_OK:
data = []
cblist = dlg.comboBoxList
for x in cblist:
data.append(x.GetValue())
return data
else:
return ''
def textQuery(self,event,title,default=''):
"""
Function to create wx.TextEntryDialog.
"""
dlg = wx.TextEntryDialog(self, '',title,default, style=wx.OK)
res = dlg.ShowModal()
data = dlg.GetValue()
dlg.Destroy()
if res == wx.ID_OK:
return data
else:
return ''
def onClearLogButton(self, event):
self.log.Clear()
def buildTradeHistory(self,forceRebuild):
"""Function to build trade History
"""
print 'Building Trade History, please wait...'
self.th = TradeHistory([],forceRebuild)
self.bondlist = list(bonds.index)
self.bondlist.sort()
self.clientlist = self.th.counterpartyshortnamelist
self.clientlist.sort()
self.saleslist = self.th.ALLSALES
self.issuerlist = list(bonds['TICKER'].drop_duplicates().astype(str))
self.issuerlist.sort()
self.countrylist = list(bonds['CNTRY_OF_RISK'].drop_duplicates().astype(str))
self.countrylist.sort()
#for i in range(1,self.menuBar.GetMenuCount()):
# self.menuBar.EnableTop(i,True)
def buildMarketAxess(self,forceRebuild):
"""Function to build MarketAxess history
"""
print 'Building MarketAxess history, please wait...'
self.ma = ma_analysis.FullMarketAxessData()
print 'MarketAxess database ready'
def buildRiskPanel(self):
"""Function to build Risk panel
"""
if self.isTrader:
self.riskTreeManager = RiskTreeManager(self.th, self)
self.tabRisk = RiskTabPanel(self.riskTreeManager,self.notebook,self)
self.notebook.AddPage(self.tabRisk, "Risk by region")
self.tabBookRiskPnL = BookRiskPnLTabPanel(self.riskTreeManager,self.notebook,self)
self.notebook.AddPage(self.tabBookRiskPnL, "Risk by book")
self.tabTradeActivityGrid = TradeActivityTabPanel(self.th, self.notebook, self)
self.notebook.AddPage(self.tabTradeActivityGrid, "Blotter")
self.tabBondActivityMultiGrid = BondActivityTabPanel(self.th, self.ma, self.notebook, self)
self.notebook.AddPage(self.tabBondActivityMultiGrid, "Bond activity")
self.tabCharts = ChartingPanel(parent=self.notebook)
self.notebook.AddPage(self.tabCharts, "Charts")
wx.CallAfter(self.print_all_finished)
def print_all_finished(self):
print 'Ready to use'
def checkModelPortfolio(self):
"""Function to check if the model portfolio has been loaded. If it hasn't, onBuildModelPortfolio is called to build
the model portfolio.
"""
if not(self.modelPortfolioLoaded):
self.onBuildModelPortfolio()
############FILE ACTIONS############
def onAbout(self, event):
"""Function to show the 'About' panel
"""
self.log.Clear()
info = wx.AboutDialogInfo()
info.Name = "Flow Trading Tools"
info.Version = "5.1"
info.Copyright = "(C) 2014-2016 Alexandre Almosni"
info.Description = wordwrap("All data is indicative. Use at your own risk.",350, wx.ClientDC(self.panel))
#info.WebSite = ("http://www.pythonlibrary.org", "My Home Page")
#info.Developers = ["Alexandre Almosni"]
info.License = wordwrap("Released under Apache 2.0 license. More info at http://www.apache.org/licenses/LICENSE-2.0", 500, wx.ClientDC(self.panel))
# Show the wx.AboutBox
wx.AboutBox(info)
def onExit(self,e):
"""Function to close the program.
"""
if wx.MessageBox('This will also kill the Pricer.','Kill Flow Trading Tools?', wx.ICON_QUESTION | wx.YES_NO) == wx.YES:
try:
self.pricer.Destroy()
except:
pass
self.Destroy()
############PRICER ACTIONS############
def onLaunchPricer(self,event):
if self.isTrader:
self.tabRisk.onFillEODPrices(event)
self.pricer = Pricer.PricerWindow(self)
self.pricer.Show()
pass
############TRADE HISTORY ACTIONS############
def onBondQuery(self,event):
"""Function to query bond
"""
bondname=self.comboQuery(event,'Bond query','Bond name?',self.bondlist)
self.onBondQuerySub(bondname)
pass
def onQuickBondQuery(self,event):
"""Function for quick bond query.
"""
bondname = self.textQuery(event,'Bond name?').upper()
if (bondname in bonds.index):
self.onBondQuerySub(bondname)
else:
print bondname + ' cannot be found.'
def onRiskTreeQuery(self,event):
"""Function to query the risk tree. Function is called when user presses ctrl+f
"""
item = self.textQuery(event,'Bond or issuer name?').upper()
if (item in bonds.index) or (item in self.issuerlist):
self.tabRisk.onRiskTreeQuery(event, item)
else:
self.notebook.SetSelection(0)
print item + ' cannot be found.'
def onBondQuerySub(self,bondname):
"""Function to query the current position for the bond. Function is called by onBondQuery and onQuickBondQuery
"""
#self.log.Clear()
if self.isTrader:
self.notebook.SetSelection(4)
else:
self.notebook.SetSelection(1)
if self.isTrader:
if bondname in self.th.positions.index:
print 'Current position for ' + bondname + ': {:,.0f}'.format(self.th.positions.loc[bondname,'Qty'])
else:
print 'No current position in ' + bondname
print ''
self.tabBondActivityMultiGrid.fillGrid(bondname)
self.th.simpleQuery('Bond',bondname)
pass
def onBondQuerySubOld(self,bondname):
"""Function to query the current position for the bond. Function is called by onBondQuery and onQuickBondQuery
"""
self.log.Clear()
self.notebook.SetSelection(0)
if self.isTrader:
if bondname in self.th.positions.index:
print 'Current position for ' + bondname + ': {:,.0f}'.format(self.th.positions.loc[bondname,'Qty'])
else:
print 'No current position in ' + bondname
print ''
self.th.simpleQuery('Bond',bondname)
pass
def onClientQuery(self,event):
"""Function to query client.
"""
self.log.Clear()
self.notebook.SetSelection(0)
clientname=self.comboQuery(event,'Client query','Client name?',self.clientlist)
self.th.simpleQuery('Counterparty',clientname)
def onSalesPersonQuery(self,event):
"""Function to query salesperson
"""
self.log.Clear()
self.notebook.SetSelection(0)
salesperson=self.comboQuery(event,'Salesperson query','Salesperson name?',self.saleslist)
self.th.simpleQuery('Sales',salesperson)
def onIssuerQuery(self,event):
"""Function to query issuer
"""
self.log.Clear()
self.notebook.SetSelection(0)
issuer=self.comboQuery(event,'Issuer query','Issuer ticker?',self.issuerlist)
self.th.simpleQuery('Issuer',issuer)
def onCountryQuery(self,event):
"""Function to query country
"""
self.log.Clear()
self.notebook.SetSelection(0)
salesperson=self.comboQuery(event,'Country query','Country?',self.countrylist)
self.th.simpleQuery('Country',salesperson)
def onAdvancedQuery(self,event):
"""Function for Advanced query
"""
self.log.Clear()
self.notebook.SetSelection(0)
adQ=AdvancedQuery(self,'Advanced query')
res = adQ.ShowModal()
adQ.Destroy()
if res == wx.ID_OK:
queryType=adQ.comboBox1.GetValue()
if queryType=='Client':
queryType='Counterparty'
if queryType=='Salesperson':
queryType='Sales'
queryID=adQ.comboBox2.GetValue()
startDate=wxdate2pydate(adQ.startcalendar.GetValue())
endDate=wxdate2pydate(adQ.endcalendar.GetValue())
self.th.advancedQuery(queryType,queryID,startDate,endDate)
else:
print ''
def onMonthlyQuery(self,event):
"""Function for monthly query.
"""
self.log.Clear()
self.notebook.SetSelection(0)
mthQ=MonthlyQuery(self,'Monthly query')
res = mthQ.ShowModal()
mthQ.Destroy()
if res == wx.ID_OK:
queryType=mthQ.comboBox1.GetValue()
if queryType=='Client':
queryType='Counterparty'
if queryType=='Salesperson':
queryType='Sales'
queryID=mthQ.comboBox2.GetValue()
self.th.reportMonthlyVolumeSC(queryType,queryID)
else:
print ''
def onClientTradingReport(self,event):
"""Function to query client trading report
"""
self.log.Clear()
self.notebook.SetSelection(0)
questionlist=['Select book:','Select year:','Select month:']
books=['ALL']
books.extend(self.th.LDNFLOWBOOKS)
choiceList=[books,['2016','2015','2014','2013','2012','2011','2010','2009'],['Full Year','Jan','Feb','Mar','Apr','May','Jun','Jul','Aug','Sep','Oct','Nov','Dec']]
data=self.multipleComboQuery(event,'Client trading report',questionlist,choiceList)
book=data[0]
year=int(data[1])
month=[i for i,x in enumerate(choiceList[2]) if x == data[2]][0]
self.th.clientTradingReport(year,month,book)
pass
#Threading
def onTestHistoryBuildItem(self,event):
TradeHistoryThread(self)
pass
############PERFORMANCE ACTIONS############
def onBenchmarkBondsVsEMBI(self,event):
"""Function to plot Benchmark Bonds vs EMBI
"""
self.log.Clear()
bondlist=['ANGOL','ARMEN20','AZERBJ','BELRUS18','BRAZIL24','CHILE22','CHGRID23','COLOM24','CROATI24','ECUA24','EGYPT20','ESKOM23','EXIMBK23','GABON24','GEORG21','GHANA23','INDON24','IRAQ','IVYCST32','JAMAN25','KENINT24','KZOKZ23','LATVIA21','LEBAN26','LITHUN22','MEMATU','MEX23','MONGOL22','MOROC22','NGERIA23','OGIMK23','PANAMA26','PERTIJ23','PHILIP24','PKSTAN24','POLAND23','REPHUN23','REPNAM','ROMANI23','RUSSIA23','SENEGL21','SERBIA21','SLOVAK22','SOAF24','SRILAN22','TURKEY24','UKRAIN23','URUGUA24','VENZ38','ZAMBIN22']
if self.embiZscores is None:
x=ChartEngine(bondlist,ChartTypes.ZScoreVsIndex,'Historical Z-score vs. EMBI',True,10,index='JPEIGLBL')
self.embiZscores=x.output
else:
x=ChartEngine(bondlist,ChartTypes.ZScoreVsIndex,'Historical Z-score vs. EMBI',True,10,source_data=self.embiZscores)
print self.embiZscores
def onAfricanBondsVsAfricaIndex(self,event):
"""Function to plot African bonds vs Africa Index
"""
self.log.Clear()
bondlist=['ANGOL','ESKOM23','GABON24','GHANA23','IVYCST24','KENINT24','MEMATU','NGERIA23','REPNAM','SENEGL24','SOAF24','ZAMBIN24']
if self.africaZscores is None:
x=ChartEngine(bondlist,ChartTypes.ZScoreVsIndex,'Historical Z-score vs. Africa index',True,10,index='SBAFSOZS')
self.africaZscores=x.output
else:
ChartEngine(bondlist,ChartTypes.ZScoreVsIndex,'Historical Z-score vs. Africa index',True,10,index='SBAFSOZS',source_data=self.africaZscores)
print self.africaZscores
def onAfricaWeekly(self,event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.africa_weekly()
pass
def onCeeWeekly(self,event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.cee_weekly()
pass
def onCisWeekly(self,event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.cis_weekly()
pass
def onEurozoneWeekly(self,event):
self.log.Clear()
self.notebook.SetSelection(0)
BondTools.eurozone_weekly()
pass
############MODEL PORTFOLIO ACTIONS############
def onBuildModelPortfolio(self):
"""Function to build model portfolio
"""
self.log.Clear()
self.notebook.SetSelection(0)
busyDlg = wx.BusyInfo('Building model portfolio...', parent=self)
self.mp=ModelPortfolio.ModelPortfolio()
self.modelPortfolioLoaded=True
busyDlg = None
def onPerformanceChartModelPortfolio(self,event):
"""Function to plot model portfolio performance chart
"""
self.log.Clear()
self.checkModelPortfolio()
questionlist=['Chart type?','Start year?']
choiceList=[['Full','Assets','Outperformance'],['2015','2014','2013','2012']]
data=self.multipleComboQuery(event,'Model portfolio performance chart',questionlist,choiceList)
year=int(data[1])
if data[0]=='Full':
self.mp.plot_full(year,True)
elif data[0]=='Assets':
self.mp.plot_assets(year,True)
else:
self.mp.plot_outperformance(year,True)
def onPrintModelPortfolio(self,event):
"""Function to print model portfolio
"""
self.log.Clear()
self.checkModelPortfolio()
for line in self.mp.display.txtoutput:
print line
def onSendModelPortfolioEmail(self,event):
"""Function to send model portfolio to email
"""
self.log.Clear()
self.checkModelPortfolio()
email = self.textQuery(event,'Email address?','*****@*****.**')
self.mp.createoutput(True,email)
print 'Email sent to '+email
print ''
############FRONT ACTIONS############
def onLogInFront(self,event=None):
"""Function to log in to FRONT
"""
self.log.Clear()
#Set default username
self.front_username=traderLogins[GetUserName()]
dlg = LoginDialog(self.front_username)
res = dlg.ShowModal()
editedUser=dlg.user.GetValue()
#If user changed the value in the dialog, we grab the new value
if traderLogins[GetUserName()] != editedUser:
self.front_username = editedUser
self.front_password=dlg.password.GetValue()
dlg.Destroy()
self.front_connection = FO_Toolkit.FrontConnection(self.front_username, self.front_password)
self.connectedToFront = True
pass
def onTodayTradesSteps(self):
"""Function to load today's trades
"""
pythoncom.CoInitialize()
self.log.Clear()
if not self.connectedToFront:
self.onLogInFront()
savepath = 'newtrades.csv'
#argstring = self.front_username+' '+self.front_password+' '+self.todayDT.strftime('%Y-%m-%d') + ' ' + savepath
#opstr='python '+APPPATH+'FO_toolkit.pyc new_trades '+argstring
#subprocess.call(opstr)
self.front_connection.new_trades_to_csv(self.todayDT.strftime('%Y-%m-%d'), savepath)
newTrades = pandas.read_csv(TEMPPATH+savepath)
self.thToday = TradeHistory(newTrades)
self.th.appendToday(self.thToday)
print 'See Trade Activity tab for new trades.'
pass
def onTodayTrades(self,event):
TodayTradesThread(self)
pass
def onOpenRepos(self,event):
"""Function to load live repos from FRONT
"""
self.log.Clear()
self.notebook.SetSelection(0)
if not self.connectedToFront:
self.onLogInFront(event)
busyDlg = wx.BusyInfo('Fetching live repos from Front...', parent=self)
savepath = 'openrepos.csv'
argstring = self.front_username+' '+self.front_password+' ' + savepath
opstr='python "'+APPPATH+'FO_toolkit.pyc" open_repos '+argstring#because of the space in global markets
#print opstr
subprocess.call(opstr)
openRepos=pandas.read_csv(TEMPPATH+savepath,index_col=0)
openRepos['Quantity']=openRepos['Quantity'].apply(lambda y:'{:,.0f}'.format(y))
busyDlg = None
print openRepos
############ADMINISTRATION ACTIONS############
def onUpdateBondUniverse(self,event):
"""Function to update bond universe
"""
self.log.Clear()
BondTools.refresh_bond_universe()
#now need to update all connected stuff
def onNewClientReport(self,event):
"""Function to create new client report
"""
self.log.Clear()
year=int(self.comboQuery(event,'New client report','Year?',['2016','2015','2014','2013','2012','2011','2010','2009']))
self.th.newclients(year)
def onRegs144aReport(self,event):
"""Function to create Regs144a report
"""
self.log.Clear()
self.th.regs144a()
def onHighSCCheckItem(self,event):
"""Function to print a list of high SC trades
"""
self.log.Clear()
questionlist = ['Year?','Month?','Cutoff SC?']
choiceList = [['2016','2015','2014','2013','2012','2011','2010','2009'],['Full Year','Jan','Feb','Mar','Apr','May','Jun','Jul','Aug','Sep','Oct','Nov','Dec'],['25','50','100']]
data = self.multipleComboQuery(event,'SC check',questionlist,choiceList)
year = int(data[0])
month = [i for i,x in enumerate(choiceList[1]) if x == data[1]][0]
limit = int(data[2])
self.th.highSCCheck(year,month,limit)
pass
def onForceRebuildTradeHistory(self, event):
"""Function to force rebuild the trade history
"""
TradeHistoryThread(self, True)
pass
def onBuildModelPortfolioButton(self, event):
BuildModelPortfolioThread(self)
pass
def onMaDataReportItem(self,event):
_offsets = (3, 1, 1, 1, 1, 1, 2)
yesterday = (self.todayDT - datetime.timedelta(days=_offsets[self.todayDT.weekday()])).strftime('%Y%m%d')
filename=yesterday+'.csv'
self.log.Clear()
self.notebook.SetSelection(0)
x=ma_analysis.MAData(filename)
x.full_report()
pass