def save_old_sales_data():
r = utils.get_redis_conn(domain)
sales_result = r.get('data:sales')
sales = JSONDecoder().decode(bytes.decode(sales_result))
sub_branch_result = r.get('data:sub_branch')
sub_branch = JSONDecoder().decode(bytes.decode(sub_branch_result))
headers = utils.login(domain, login_body)
sub_map = {}
branch_map = {}
for branch in sub_branch:
sub_name = branch['subsidiary']
if sub_name not in sub_map:
sub_result = utils.call_request(domain, 'reference-data-service',
'refSubsidiaryCreate',
{'subsidiaryName': sub_name},
headers)['result']
sub_map[sub_name] = sub_result['subsidiaryId']
branch_name = branch['branch']
branch_result = utils.call_request(
domain, 'reference-data-service', 'refBranchCreate', {
'subsidiaryId': sub_map[sub_name],
'branchName': branch_name
}, headers)['result']
branch_map[branch_name] = branch_result['branchId']
for sale in sales:
sale_name = sale['salesName']
branch_id = branch_map[sale['branch']]
utils.call_request(domain, 'reference-data-service', 'refSalesCreate',
{
'branchId': branch_id,
'salesName': sale_name
}, headers)
def import_sheet_0(ip, headers):
# 获取所有交易对手列表
party_names = \
utils.call_request(ip, 'reference-data-service', 'refSimilarLegalNameList', {'similarLegalName': ''}, headers)
print('BCT交易对手名称列表: {party_names}'.format(party_names=party_names))
# 获取所有标的物列表
instrument_ids = utils.call_request(ip, 'market-data-service',
'mktInstrumentIdsList', {}, headers)
print('BCT标的物列表: {instrument_ids}'.format(instrument_ids=instrument_ids))
df = pd.read_excel(trade_excel_file, header=1)
for i, v in df.iterrows():
if i == 0:
continue
underlyer = instrument_wind_code(v['undercode'], instrument_ids)
if v['undercode'].find('.') < 0 and underlyer == v['undercode']:
print('BCT不存在合约代码 {underlyer} '.format(underlyer=str(underlyer)))
continue
trade_id = v['internalID']
book = book_name
trade_date = datetime.strptime(str(v['T0']), _date_fmt)
option_type = _OPTION_CALL if v['opt_base_type'].upper(
) == 'Call' else _OPTION_PUT
strike_type = _UNIT_CNY
strike = v['strike']
direction = _DIRECTION_SELLER if v['side'] == '卖方' else _DIRECTION_BUYER
multiplier = 1
specified_price = 'close'
init_spot = v['S0']
expiration_date = datetime.strptime(str(v['T']), _date_fmt)
notional_amount_type = _UNIT_CNY
notional = v['notional']
participation_rate = v['participation']
annualized = False
term = (datetime.strptime(str(v['T']), _date_fmt) -
datetime.strptime(str(v['T0']), _date_fmt)).days
days_in_year = _DAYS_IN_YEAR
premium_type = _UNIT_CNY
premium = v['totalPx']
effective_date = datetime.strptime(str(v['T0']), _date_fmt)
trader = ''
counter_party = v['counterparty']
sales = ''
trade = trade_templates.vanilla_european(
trade_id, book, trade_date, option_type, strike_type, strike,
direction, underlyer, multiplier, specified_price, init_spot,
expiration_date, notional_amount_type, notional,
participation_rate, annualized, term, days_in_year, premium_type,
premium, effective_date, trader, counter_party, sales)
print('BCT交易信息: {trade} '.format(trade=str(trade)))
try:
create_trade_and_client_cash_flow(trade, login_ip, headers)
except Exception as e:
logging.info('导入交易信息出错: {error} '.format(error=str(e)))
def get_old_sales_data():
headers = utils.login(domain, login_body)
sales = utils.call_request(domain, 'reference-data-service',
'refSalesList', {}, headers)['result']
sub_branch = utils.call_request(domain, 'reference-data-service',
'refSubsidiaryBranchList', {},
headers)['result']
print(sub_branch)
print(sales)
r = utils.get_redis_conn(domain)
sales_result = JSONEncoder().encode(sales)
sub_branch_result = JSONEncoder().encode(sub_branch)
r.set('data:sales', str(sales_result))
r.set('data:sub_branch', str(sub_branch_result))
def check_and_save_market_data(data, instrument_id):
if not data:
quote = market_data_dict.get(instrument_id)
if quote:
utils.call_request(ip, "market-data-service", "mktQuoteSave",
build_params(quote['close'], instrument_id),
headers)
else:
result = data[0]
quote = result['quote']
if not quote.get('close'):
quote = market_data_dict.get(instrument_id)
if quote:
utils.call_request(ip, "market-data-service", "mktQuoteSave",
build_params(quote['close'], instrument_id),
headers)
def create_eod_daily_pnl(pricing_environment):
params = {
'reportName': PNL_REPORT_ + pricing_environment.lower(),
'valuationDate': now_date,
'pnlReports': [{}]
}
return utils.call_request('rptPnlReportCreateBatch', params,
'report-service', host, token)
def create_finanical_otc_client_fund():
params = {
"reportName": "finanical_otc_client_fund_report",
"valuationDate": now_date,
"finanicalOtcClientFundReports": [{}]
}
return utils.call_request('rptFinanicalOtcClientFundReportCreateBatch',
params, 'report-service', host, token)
def create_financial_otc_fund_detail():
params = {
'reportName': 'financial_otc_fund_detail_report',
'valuationDate': now_date,
'financialOtcFundDetailReports': [{}]
}
return utils.call_request('rptFinancialOtcFundDetailReportCreateBatch',
params, 'report-service', host, token)
def create_financial_otc_trade():
params = {
'reportName': 'financial_otc_trade_report_default_close',
'valuationDate': now_date,
'otcTradeReports': [{}]
}
return utils.call_request('rptOtcTradeReportCreateBatch', params,
'report-service', host, token)
def get_last_market_data(ip, headers):
params = {
'instrumentIds': [],
'valuationDate': None,
'timezone': 'Asia/Shanghai',
'page': None,
'pageSize': None
}
quote_page_list = utils.call_request(ip, 'market-data-service',
'mktQuotesListPaged', params,
headers)['result']['page']
market_dict = {}
if not quote_page_list:
return None
else:
for quote in quote_page_list:
market_dict[quote['instrumentId']] = quote
return market_dict
def import_wind_close_market_data(ip, headers, date_str):
print('close_thread')
w.start()
start = datetime.strptime(date_str, '%Y-%m-%d').date()
end = start
instrument_list_response = utils.call_request(ip, "market-data-service",
"mktInstrumentsListPaged",
{}, headers)
tickers = []
if "error" not in instrument_list_response:
for i in instrument_list_response['result']['page']:
tickers.append(i['instrumentId'])
for ticker in tickers:
# ticker="abcdefg"
data = get(ticker, start, end)
check_and_save_market_data(data, ticker)
for q in data:
save(q)
w.close()
def save(quote):
params = quote
try:
ts = time_time.time()
json = utils.call_request(ip, "market-data-service", "mktQuoteSave",
params, headers)
te = time_time.time()
t = str(te - ts)
logging.info("saving instrument " + quote['instrumentId'] +
" into BCT in " + t)
if 'error' in json:
logging.info("failed to save quote " + quote['instrumentId'] +
" " + quote['valuationDate'] +
json['error']['message'])
else:
logging.info("success: saved quote " + quote['instrumentId'] +
" " + quote['valuationDate'])
except Exception as e:
logging.info("failed to save quote " + quote['instrumentId'] +
". network error?")
def trade_upgrade():
headers = utils.login(domain, login_body)
utils.call_request(domain, 'trade-service', 'trdTradeGenerateHistoryIndex',
{}, headers)
utils.call_request(domain, 'trade-service', 'tradeRepairHistoryCashFlow',
{}, headers)
def import_sheet_0(ip, headers):
workbook = openpyxl.load_workbook(party_excel_file)
sheet0 = workbook['有交易']
count = 0
natures_normal = ['国企', '私企', '普通产业客户']
natures_fin = ['保险公司', '券商', '同业', '私募', '资管', '银行']
categories_normal = ['普通投资者']
categories_pro = ['专业投资者']
for r in sheet0.rows:
count += 1
if count < 4:
continue
row = [item.value for item in r]
party = {
'legalName': row[4],
'legalRepresentative': '-',
'address': '-',
'contact': '-',
'warrantor': '-',
'warrantorAddress': '-',
'tradePhone': '-',
'tradeEmail': '-',
'subsidiaryName': '-',
'branchName': '-',
'salesName': '-',
'masterAgreementId': 'ROW_' + ('%05d' % count)
}
print('-----第 {i} 行-----'.format(i=count))
if row[13] is None or (row[13] not in ['0', '1', 0, 1]):
print('是否产品不正确', row[0], row[4], row[13])
party['clientType'] = 'PRODUCT' if row[4].endswith(
'基金') else 'INSTITUTION'
else:
party['clientType'] = 'PRODUCT' if row[13] in ['1', 1
] else 'INSTITUTION'
has_category = True
if row[14] is None or (row[14] not in categories_normal
and row[14] not in categories_pro):
has_category = False
print('投资者类别不正确', row[0], row[4], row[14])
has_nature = True
if row[16] is None or (row[16] not in natures_normal
and row[16] not in natures_fin):
has_nature = False
print('投资者性质不正确', row[0], row[4], row[16])
if has_category and has_nature:
if party['clientType'] == 'PRODUCT':
party['investorType'] = 'FINANCIAL_PRODUCT'
elif row[14] in categories_pro and row[16] in natures_fin:
party['investorType'] = 'FINANCIAL_INSTITUTIONAL_INVESTOR'
elif row[14] in categories_pro and row[16] not in natures_fin:
party['investorType'] = 'PROFESSIONAL_INVESTOR'
elif row[14] not in categories_pro and row[16] not in natures_fin:
party['investorType'] = 'NON_PROFESSINAL_INVESTOR'
elif party['legalName'].startswith('新湖-') \
or party['legalName'].find('保险') > 0 \
or party['legalName'].find('证券') > 0 \
or party['legalName'].find('银行') > 0 \
or party['legalName'].find('资产管理') > 0 \
or party['legalName'].find('风险管理') > 0 \
or party['legalName'].find('投资管理') > 0:
party['investorType'] = 'FINANCIAL_INSTITUTIONAL_INVESTOR'
else:
print('* 请确定是否为一般机构投资者:', party['legalName'])
party['investorType'] = 'NON_PROFESSINAL_INVESTOR'
if row[17] is None or (re.search(r'C[1-5]?', row[17]) is None):
print('评级不正确', row[0], row[4], row[17])
party['clientLevel'] = 'LEVEL_C'
else:
party['clientLevel'] = 'LEVEL_C'
print(party)
utils.call_request(ip, 'reference-data-service', 'refPartySave', party,
headers)
print(count)