def gen_receipt_spot(quoterequest, quote):
bacen_code = databus.get(f'Currencies/{quoterequest.Currency}/CodeBACEN')
market_type = str(
databus.get(f'LegalEntities/{quoterequest.CustomerID}/FXMarketType'))
default_transaction_type = databus.get(
f'LegalEntities/{quoterequest.CustomerID}/DefaultFXTransaction')
side_dict = {
messages.EnumSide.SELL:
'A', # se cliente está vendendo, banco está comprando
messages.EnumSide.BUY:
'P', # se cliente está comprando, banco está vendendo
}
buy_sell_pt = {
messages.EnumSide.SELL: 'VENDA',
messages.EnumSide.BUY: 'COMPRA'
}
side = side_dict.get(quoterequest.Side, 'ERROR')
side_pt = buy_sell_pt.get(quoterequest.Side, 'ERROR')
transaction_type = default_transaction_type
settlement_type_brl = ""
if market_type == "1": # TODO Improve this case
if default_transaction_type == "IMPORT_EXPORT":
transaction_type = "IMPORTACAO_EXPORTACAO"
settlement_type_brl = ""
elif default_transaction_type == "FINANCIAL":
transaction_type = "FINANCEIRO"
settlement_type_brl = ""
elif market_type == "2":
if default_transaction_type == 'INTERBANK_CLEARING':
transaction_type = f'INTERBANCARIO_{side_pt}_PRONTO_COM_CLEARING'
settlement_type_brl = 'CAMARA'
elif default_transaction_type == 'INTERBANK_NO_CLEARING':
transaction_type = f'INTERBANCARIO_{side_pt}_PRONTO_SEM_CLEARING'
settlement_type_brl = 'RESERVA'
result = {
"Transaction_ID": quoterequest.QuoteReqID,
"Trading_Day": quoterequest.TradeDate,
"Client_CNPJ": quoterequest.CustomerID,
"Client_Name": quoterequest.CustomerStr,
"MarketType": market_type,
"Side": side,
"CurrencyCode_ISO": quoterequest.Currency,
"CurrencyCode_BACEN": bacen_code,
"Amount_CCY": quoterequest.OrderQty,
"Amount_BRL": quote.Details['amount_brl'],
"Amount_USD": quote.Details['amount_usd'],
"SPOT_CCY_CostRate": quote.Details['s_cost'],
"FX_ClientRate": quote.Details['quote'],
"USD_Parity": quote.Details['usdbrl_quote'],
"SettlementDate_CCY": quote.Details['settlement_date_ccy'],
"SettlementDate_BRL": quote.Details['settlement_date_brl'],
"Transaction_Type": transaction_type,
"SettlementType_BRL": settlement_type_brl,
}
return result
def get_spread(self, cnpj, ccy, side, du_ccy):
side = side.upper() # side foi colocado em upper no barramento.
spreads = databus.get(f'ClientSpreads/CounterpartySpreads/{cnpj}/FXSPOT/{ccy}/{side}')
if spreads is None or spreads[du_ccy] is None:
group_name = databus.get(f'LegalEntitiesRelationships/Groups_Spreads_FXSPOT_Memberships/{cnpj}')
if group_name is None or group_name == "":
raise RejectException('Spread não cadastrado para CNPJ/Grupo')
spreads = databus.get(f'ClientSpreads/GroupSpreads/{group_name}/FXSPOT/{ccy}/{side}')
raise_if_none(spreads, 'Spread não cadastrado para CNPJ/Grupo')
spread = spreads[du_ccy]
raise_if_none(spread, 'Spread não cadastrado para CNPJ/Grupo')
else:
spread = spreads[du_ccy]
return spread
def get_lists_risk_curve(curve_name):
config = databus.get_dict("Curves/{}".format(curve_name))
print_red(f"DEBUG: get_lists_risk_curve(curve_name): config: {config}")
curve_dates = get_list_date_risk_curve(curve_name)
print_red(
f"DEBUG: get_lists_risk_curve(curve_name): curves: {curve_dates}")
if not curve_dates:
raise Exception('Empty curves dates!')
if config["DayCount"] == "BIZ":
holidays = list(
map(
np.datetime64,
databus.get("Calendars/{}".format(config.get("Currency"))),
))
curve_days = list(
convert_dates_to_days(get_reference_date(), curve_dates, True,
holidays))
else:
curve_days = list(
convert_dates_to_days(get_reference_date(), curve_dates, False))
curve_bid = get_list_rates_bid_risk_curve(curve_name)
curve_offer = get_list_rates_offer_risk_curve(curve_name)
risk_vertices = get_risk_vertices_for_curve(curve_name)
interp_base = float(config.get("Base"))
result_bid, result_offer = [], []
for vertice in risk_vertices:
idx_right = bisect_left(curve_days, vertice)
if idx_right == 0:
bid = curve_bid[0]
offer = curve_offer[0]
elif idx_right == len(curve_days):
bid = curve_bid[-1]
offer = curve_offer[-1]
else:
idx_left = idx_right - 1
days_l = curve_days[idx_left]
days_r = curve_days[idx_right]
bid_l = curve_bid[idx_left]
bid_r = curve_bid[idx_right]
offer_l = curve_offer[idx_left]
offer_r = curve_offer[idx_right]
bid = calculate_interp_rate_expression(bid_l, days_l, bid_r,
days_r, vertice,
interp_base)
offer = calculate_interp_rate_expression(offer_l, days_l, offer_r,
days_r, vertice,
interp_base)
result_bid.append(bid)
result_offer.append(offer)
return result_bid, result_offer
def get_spread(self, cnpj, ccy, dc):
def get_bucket(buckets):
bucket = None
for index in range(0, len(buckets)):
if int(buckets[index]) >= dc:
bucket = index
break
return bucket
buckets = databus.get(
f'ClientSpreads/CounterpartySpreads/{cnpj}/FXNDF/Buckets')
spreads = databus.get(
f'ClientSpreads/CounterpartySpreads/{cnpj}/FXNDF/Spreads/{ccy}/BUYSELL'
)
bucket = get_bucket(buckets) if buckets is not None else None
counterparty_valid_spread = True
if None in (bucket, spreads) or (spreads and spreads[bucket] is None):
counterparty_valid_spread = False
if not counterparty_valid_spread:
group_name = databus.get(
f'LegalEntitiesRelationships/Groups_Spreads_FXNDF_Memberships/{cnpj}'
)
if group_name is None or group_name == "":
raise RejectException(f'Spread não cadastrado para CNPJ/Grupo')
buckets = databus.get(
f'ClientSpreads/GroupSpreads/{group_name}/FXNDF/Buckets')
spreads = databus.get(
f'ClientSpreads/GroupSpreads/{group_name}/FXNDF/Spreads/{ccy}/BUYSELL'
)
bucket = get_bucket(buckets) if buckets is not None else None
if None in (bucket, spreads) or (spreads
and spreads[bucket] is None):
raise RejectException('Spread não cadastrado para CNPJ/Grupo')
return spreads[bucket]
def update_riskdata():
global previous_error_risk
curve_names_tuple = tuple(databus.get('Curves'))
print(f"DEBUG: update_riskdata: curve_names_tuple: {curve_names_tuple}")
for curve_name in curve_names_tuple:
try:
print(f"DEBUG: update_riskdata: curve_name: {curve_name}")
bid_list, offer_list = get_lists_risk_curve(curve_name)
curve_dict = {
"RatesBid": bid_list,
"RatesOffer": offer_list,
"LastUpdate": get_Lastdt(curve_name)
}
set_riskdata(curve_name, curve_dict)
if previous_error_risk is not None:
print("Recovered", flush=True)
previous_error_risk = None
except Exception as e:
previous_error_risk = treat_error(e, previous_error_risk,
curve_names_tuple)
def gen_receipt_ndf(quoterequest, quote):
side_dict = {
messages.EnumSide.SELL:
'A', # se cliente está vendendo, banco está comprando
messages.EnumSide.BUY:
'P', # se cliente está comprando, banco está vendendo
}
side = side_dict.get(quoterequest.Side, 'ERROR')
codigo_cliente_databus_key = f"Transactions/Messages/QuoteRequest/{quoterequest.QuoteReqID}/GLOB_Client_ID"
codigo_cliente = databus.get(codigo_cliente_databus_key)
result = {
"Transaction_ID": quoterequest.QuoteReqID,
"Client_CNPJ": quoterequest.CustomerID,
"Client_ID":
codigo_cliente, # ??? # RESPOSTA GLOB (BIO FICOU DE VERIFICAR)
"Client_ID2": "", # ??? # RESPOSTA GLOB (BIO FICOU DE VERIFICAR)
"StartDate": quoterequest.TradeDate,
"Maturity": quoterequest.FutSettDate,
"FixingConvention": quote.Details['dn'], # EXPLICADO NO DOC
"Side": side,
"CurrencyCode_ISO": quoterequest.Currency,
"Amount_CCY": quoterequest.OrderQty,
"SPOT_CCY_CostRate": quote.Details['s_cost'],
"TransactionValue_BRL":
quote.Details['value_brl'], # NOTIONAL * S_COST
"FWD_CCY_ClientRate": quote.Details['quote'], # QUOTE
"FWD_CCY_CostRate": quote.Details['f_cost'], # F_COST
"FWD_BRL_Amount": quote.Details['value_brl'], # NOTIONAL * QUOTE
"Yield_CCY_ClientRate": quote.
Details['y_ccy_client'], # CUPOM CAMBIAL +- SPREAD IMPLI. PAG. 47
"Yield_CCY_CostRate": quote.Details['y_ccy'], # CUPOM CAMBIAL
"Yield_CCY_Convention": "TAXA_LINEAR_AA_360",
"Yield_BRL_ClientRate": quote.Details['y_brl'], # TAXA PRE
"Yield_BRL_CostRate": quote.Details['y_brl'], # TAVA PRE
"Yield_BRL_Convention": "TAXA_OVER_252",
}
return result
def get_or_raise(key, message):
value = databus.get(key)
if value is None:
raise RejectException(message)
return value
def get_holidays(currency):
holidays = databus.get('Calendars/{ccy}'.format(ccy=currency))
if holidays is not None:
return list(map(np.datetime64, holidays))
return []
def get_risk_vertices_for_curve(curve_name):
bus_str = "RiskData/CURVE/{curve_name}/RiskVertices".format(
curve_name=curve_name)
return databus.get(bus_str)
def get_list_rates_offer_risk_curve(curve_name):
bus_str = "MarketData/Curves/{curve_name}/rates_offer".format(
curve_name=curve_name)
return databus.get(bus_str)
def get_list_date_risk_curve(curve_name):
bus_str = "MarketData/Curves/{curve_name}/dates".format(
curve_name=curve_name)
return databus.get(bus_str)
def get_Lastdt(curve_name):
return databus.get(f'MarketData/Curves/{curve_name}/LastUpdate')
def get_customer_name(cnpj):
return databus.get("LegalEntities/{cnpj}/CounterpartyName".format(cnpj=cnpj))