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risk5452adDFdse.py
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risk5452adDFdse.py
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import requests
import datetime
import json
from requests_negotiate_sspi import HttpNegotiateAuth
DIVIDEND_LIST = {} #{'939': 0.4259502} # 'stock code'
PORTFOLIO_MAPPING = {'SSO': ['AsiaMM-SSO-Technology-MM-ABNSG','AsiaMM-SSO-Technology-NonMM-ABNSG'], 'SSW': ['AsiaMM-SSO-Warrants-HKFE-MM-ABNSG'], 'SSH': ['AsiaMM-SSO-Technology-StockHedging-ABNSG'], 'SSA': ['AsiaMM-SSO-MMSSOAlphas-SEHK-MM-ABNSG','AsiaMM-SSO-RVSSOAlphas-SEHK-MM-ABNSG'],'SSB': ['AsiaMM-SSO-MMSSOAlphasSA-ABNSG','AsiaMM-SSO-MMIndexAlphasSA-ABNSG']}
SURFACES = ['ALB','MET','MIU','TCH','AIA','PAI','XCC','HKB','HEX','CNC','JDC','CPC','PEC','KST','BYD']
INDEX_SURFACES = ['HSCEI','HSI']
MEASURES = ['TheoreticalValue','Delta','SkewDelta','Gamma','SkewGamma','Theta','Vega','Rho','OptionCount','ParamVega/Ref Vol/1','ParamVega/Event Var/1','ParamVega/Skew/1','ParamVega/Pump/1','ParamVega/pWing/1','ParamVega/cWing/1','ParamVega/pStub/1','ParamVega/pTail/1','ParamVega/pFlip/1','ParamVega/cFlip/1','ParamVega/cTail/1','ParamVega/cStub/1']
CALCULATED_MEASURES = ['CashDelta','CashSkewDelta','CashSkewGamma','PLSkewGamma','FuturesDelta','PL','PLPos','PLDay','Fees','WeightedVega','WeightedRef Vol']
CURRENCY_MEASURES = ['CashDelta','CashSkewDelta','CashSkewGamma','PLSkewGamma','PL','PLPos','PLDay','Fees','WeightedVega','WeightedRef Vol']+['Theta','Vega','Rho','ParamVega/Ref Vol/1','ParamVega/Event Var/1','ParamVega/Skew/1','ParamVega/Pump/1','ParamVega/pWing/1','ParamVega/cWing/1','ParamVega/pStub/1','ParamVega/pTail/1','ParamVega/pFlip/1','ParamVega/cFlip/1','ParamVega/cTail/1','ParamVega/cStub/1']
SUMMARY_MEASURES = {'PL':'PL','PLPos':'PLPos','PLDay':'PLDay','Fees':'Fees','Delta':'Delta','CashDelta':'CashDelta','SkewDelta':'SkewDelta','CashSkewDelta':'CashSkewDelta','FuturesDelta':'FuturesDelta','CashSkewGamma':'CashSkewGamma','PLSkewGamma':'PLSkewGamma','Theta':'Theta','Vega':'Vega','WeightedVega':'WeightedVega','WeightedRef Vol':'WeightedRef Vol','Rho':'Rho','OptionCount':'OptionCount','ParamVega/Ref Vol/1':'Ref Vol','ParamVega/Event Var/1':'EventVar','ParamVega/Skew/1':'Skew','ParamVega/Pump/1':'Pump','ParamVega/pWing/1':'pWing','ParamVega/cWing/1':'cWing','ParamVega/pStub/1':'pStub','ParamVega/pTail/1':'pTail','ParamVega/pFlip/1':'pFlip','ParamVega/cFlip/1':'cFlip','ParamVega/cTail/1':'cTail','ParamVega/cStub/1':'cStub'}
OPTIONS_TIER = {'HSI':'HSI','HHI':'HHI','ALB': 1, 'TCH': 1, 'MET': 1, 'MIU': 1, 'AIA':1,'HKB':2,'PAI':1,'XCC':3,'CNC':3,'PEC':3,'HEX':1,'JDC':1,'CPC':3,'KST':1,'BYD':1}
FUTURES_TIER = {'HSI':'HSI','HHI':'HHI','ALB': 1, 'TCH': 'MM', 'MET': 1, 'MIU': 1,'AIA':1,'HKB':2,'PAI':1,'CCB':3}
OPTIONS_TIER_EXCHANGE_FEE_MM = {1: 1.6, 2: 0.9, 3: 0.5, 'HSI':2.54,'HHI':1.04}
FUTURES_TIER_EXCHANGE_FEE = {1: 3.1, 2: 1.1, 3: 0.6, 'HSI':4.04,'HHI':1.54,'MM':0.1}
OPTIONS_CLEARING_FEE_STOCK = 0.6
OPTIONS_CLEARING_FEE_INDEX = 0.65
FUTURES_CLEARING_FEE_STOCK = 0.6
FUTURES_CLEARING_FEE_INDEX = 0.65
PRODUCT_MAPPING = {'TCA': 'TCH','TCB':'TCH'}
TTX_WEIGHTING = 50/252
CURRENCY_RATE = 7.85
HOLIDAY_LIST = [
'2021-01-01','2021-02-12','2021-02-15','2021-04-02','2021-04-05','2021-04-06','2021-05-19','2021-06-14',
'2021-07-01','2021-09-22','2021-10-01','2021-10-14','2021-12-27','2022-02-01','2022-02-02','2022-02-03',
'2022-04-05','2022-04-15','2022-04-18','2022-05-02','2022-05-09','2022-06-03','2022-07-01','2022-09-12',
'2022-10-04','2022-12-26','2022-12-27','2023-01-02','2023-01-22','2023-01-23','2023-01-24','2023-01-25',
'2023-04-05','2023-04-07','2023-04-08','2023-04-10','2023-05-01','2023-05-26','2023-06-22','2023-07-01',
'2023-09-30','2023-10-02','2023-10-23','2023-12-24','2023-12-25','2023-12-26','2023-12-31'
]
sess = requests.Session()
print("Starting Risk")
yesterday_positions_cache = {} #these two caches assume you restart the script every night
instrument_list_yesterday_cache = {}
while True:
time_now_utc = datetime.datetime.now(datetime.timezone.utc)
valuedate = time_now_utc.strftime('%Y-%m-%dT%H:%M:%S.%fZ')
yesterday = time_now_utc - datetime.timedelta(days=1)
positions_cache = {}
trades_cache = {}
pricedriver_cache = {}
instrument_list_cache = {}
while yesterday.weekday() > 4 or yesterday.date().strftime("%Y-%m-%d") in HOLIDAY_LIST: # Mon-Fri are 0-4
yesterday -= datetime.timedelta(days=1)
for portfolio_group in PORTFOLIO_MAPPING:
risk_dict = {}
total_dict = {}
day_dict = {}
for surface in (INDEX_SURFACES + sorted(SURFACES)):
if surface in pricedriver_cache:
pricedriver = pricedriver_cache[surface]
else:
pricedriver = sess.get("http://wheel-hk.mavensecurities.com/pricedriver/" + surface, headers={'accept': 'application/json'}).json()
pricedriver_cache[surface] = pricedriver
if surface in instrument_list_cache:
instrument_list = instrument_list_cache[surface]
else:
instrument_list = sess.get("http://stash-hk.mavensecurities.com/user/albert/pricing/" + surface + "_live_measures.json", headers={'accept': 'application/json'}).json()
instrument_list_cache[surface] = instrument_list
if surface not in instrument_list_yesterday_cache:
instrument_list_yesterday_request = sess.get("http://stash-hk.mavensecurities.com/user/albert/pricing/eod_" + surface + "/" + yesterday.strftime('%Y-%m-%d') + "_" + surface + ".json", headers={'accept': 'application/json'})
if instrument_list_yesterday_request.status_code == 404:
instrument_list_yesterday = []
print("No yesterday pricing found for " + surface)
else:
instrument_list_yesterday = instrument_list_yesterday_request.json()
instrument_list_yesterday_cache[surface] = instrument_list_yesterday
else:
instrument_list_yesterday = instrument_list_yesterday_cache[surface]
#try:
if surface not in INDEX_SURFACES:
spot_price = pricedriver['SpotPrice']
else:
spot_price = pricedriver['FuturesPrices'][pricedriver['SpecificFuture']]
# except:
# print("Pricedriver tripping up for surface " + surface + " at time " + valuedate)
# continue
for portfolio in PORTFOLIO_MAPPING[portfolio_group]:
if portfolio not in positions_cache:
positions = sess.get("http://matadorfacade-hk.mavensecurities.com/instrumentpositions/" + portfolio, headers={'accept': 'application/json'}).json()
positions_cache[portfolio] = positions
else:
positions = positions_cache[portfolio]
if portfolio not in trades_cache:
trades = sess.get("http://matadorfacade-hk.mavensecurities.com/trades/" + portfolio + "/" + time_now_utc.strftime('%Y-%m-%d'), headers={'accept': 'application/json'}).json()
trades_cache[portfolio] = trades
else:
trades = trades_cache[portfolio]
if portfolio not in yesterday_positions_cache:
yesterday_positions_request = sess.get("http://matadorfacade-hk.mavensecurities.com/instrumentpositions/"+portfolio+"?to=" + yesterday.strftime('%Y-%m-%d'), headers={'accept': 'application/json'})
#yesterday_positions_request = sess.get("http://parameters-intraday-hk.mavensecurities.com/EOD/" + yesterday.strftime('%Y-%m-%d') + "/InstrumentPositions/" + portfolio, headers={'accept': 'application/json'})
if yesterday_positions_request.status_code == 404:
yesterday_positions = []
print("No yesterday_positions found for " + portfolio)
else:
yesterday_positions = yesterday_positions_request.json()
yesterday_positions_cache[portfolio] = yesterday_positions
else:
yesterday_positions = yesterday_positions_cache[portfolio]
#add brokergrid "http://brokergrid-hk.mavensecurities.com/riskpositions/hongkong"
for instrument in instrument_list:
#if 'Position' not in instrument:
# instrument['Position'] = 0
instrument_product_mapped = instrument['Product']
if instrument_product_mapped in PRODUCT_MAPPING:
instrument_product_mapped = PRODUCT_MAPPING[instrument_product_mapped]
if instrument['Id'] in positions:
#instrument['Position'] += positions[instrument['Id']]
risk_dict.setdefault(instrument['Expiry'],{})
risk_dict[instrument['Expiry']].setdefault(surface,{})
for measure in MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
if measure in ['OptionCount']:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument[measure]
else:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument[measure]
for measure in CALCULATED_MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
if measure in ['CashDelta']:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['Delta'] * spot_price
if measure in ['CashSkewDelta']:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['SkewDelta'] * spot_price
if measure in ['CashSkewGamma']:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['SkewGamma'] * spot_price * spot_price / 100
if measure in ['PLSkewGamma']:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['SkewGamma'] * (spot_price/100) * (spot_price/100) / 2
if measure in ['FuturesDelta']:
if instrument['Type'] == 'Future':
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['SkewDelta']
if measure in ['WeightedVega']:
if instrument['Type'] == 'Option':
if instrument['TTX'] > 0:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['Vega'] * (TTX_WEIGHTING / instrument['TTX'])**0.5
if measure in ['WeightedRef Vol']:
if instrument['Type'] == 'Option':
if instrument['TTX'] > 0:
risk_dict[instrument['Expiry']][surface][measure] += positions[instrument['Id']] * instrument['ContractSize'] * instrument['ParamVega/Ref Vol/1'] * (TTX_WEIGHTING / instrument['TTX'])**0.5
#PosPL
if instrument['Id'] in yesterday_positions:
instrument['YesterdayPosition'] = yesterday_positions[instrument['Id']]
else:
instrument['YesterdayPosition'] = 0
instrument['TotalTheoreticalValueToday'] = 0
instrument['TotalTheoreticalValueYesterday'] = 0
if instrument['YesterdayPosition'] != 0:
risk_dict.setdefault(instrument['Expiry'],{})
risk_dict[instrument['Expiry']].setdefault(surface,{})
for measure in MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
for measure in CALCULATED_MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
instrument['TheoreticalValueYesterday'] = 0
instrument['ContractSizeYesterday'] = 0
for instrument_yesterday in instrument_list_yesterday:
if instrument['Id'] == instrument_yesterday['Id']:
instrument['TheoreticalValueYesterday'] = instrument_yesterday['TheoreticalValue']
instrument['ContractSizeYesterday'] = instrument_yesterday['ContractSize']
instrument['TotalTheoreticalValueToday'] = instrument['YesterdayPosition'] * instrument['TheoreticalValue'] * instrument['ContractSize']
if instrument['Type'] == 'Equity':
if instrument['ExchangeId'] in DIVIDEND_LIST:
instrument['TotalTheoreticalValueToday'] += instrument['YesterdayPosition'] * DIVIDEND_LIST[instrument['ExchangeId']] * instrument['ContractSize']
instrument['TotalTheoreticalValueYesterday'] = instrument['YesterdayPosition'] * instrument['TheoreticalValueYesterday'] * instrument['ContractSizeYesterday']
risk_dict[instrument['Expiry']][surface].setdefault('PLPos',0)
risk_dict[instrument['Expiry']][surface]['PLPos'] += instrument['TotalTheoreticalValueToday'] - instrument['TotalTheoreticalValueYesterday']
#DayPL
instrument['TotalTheoreticalValueDay'] = 0
instrument['TotalCostOfTrade'] = 0
instrument['TradedFlag'] = 0
instrument['Fees'] = 0
for trade in trades:
if instrument['Id'] == trade['Instrument']:
risk_dict.setdefault(instrument['Expiry'],{})
risk_dict[instrument['Expiry']].setdefault(surface,{})
instrument['TradedFlag'] = 1
instrument['TotalTheoreticalValueDay'] += trade['Quantity'] * instrument['TheoreticalValue'] * instrument['ContractSize']
instrument['TotalCostOfTrade'] += trade['Quantity'] * trade['Price'] * instrument['ContractSize']
for measure in MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
if measure in ['OptionCount']:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument[measure]
else:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument[measure]
for measure in CALCULATED_MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
if measure in ['CashDelta']:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['Delta'] * spot_price
if measure in ['CashSkewDelta']:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['SkewDelta'] * spot_price
if measure in ['CashSkewGamma']:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['SkewGamma'] * spot_price * spot_price / 100
if measure in ['PLSkewGamma']:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['SkewGamma'] * (spot_price/100) * (spot_price/100) / 2
if measure in ['FuturesDelta']:
if instrument['Type'] == 'Future':
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['SkewDelta']
if measure in ['WeightedVega']:
if instrument['Type'] == 'Option':
if instrument['TTX'] > 0:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['Vega'] * (TTX_WEIGHTING / instrument['TTX'])**0.5
if measure in ['WeightedRef Vol']:
if instrument['Type'] == 'Option':
if instrument['TTX'] > 0:
risk_dict[instrument['Expiry']][surface]["Day"+measure] += trade['Quantity'] * instrument['ContractSize'] * instrument['ParamVega/Ref Vol/1'] * (TTX_WEIGHTING / instrument['TTX'])**0.5
if trade['EntryType'] not in ['Internal','CorporateActionMandatory','InternalTransfer']:
if trade['Broker'] != 'Internal':
if instrument['Type'] == 'Future':
if surface in INDEX_SURFACES:
instrument['Fees'] += -(FUTURES_TIER_EXCHANGE_FEE[FUTURES_TIER[instrument_product_mapped]] + FUTURES_CLEARING_FEE_INDEX) * abs(trade['Quantity'])
else:
instrument['Fees'] += -(FUTURES_TIER_EXCHANGE_FEE[FUTURES_TIER[instrument_product_mapped]] + FUTURES_CLEARING_FEE_STOCK) * abs(trade['Quantity'])
if instrument['Type'] == 'Option':
if surface in INDEX_SURFACES:
instrument['Fees'] += -(OPTIONS_TIER_EXCHANGE_FEE_MM[OPTIONS_TIER[instrument_product_mapped]] + OPTIONS_CLEARING_FEE_INDEX) * abs(trade['Quantity'])
else:
instrument['Fees'] += -OPTIONS_CLEARING_FEE_STOCK * abs(trade['Quantity'])
if trade['Price'] > 0.01 and surface[:1] != "X":
instrument['Fees'] += -OPTIONS_TIER_EXCHANGE_FEE_MM[OPTIONS_TIER[instrument_product_mapped]] * abs(trade['Quantity'])
if trade['Price'] > 0.001 and surface[:1] == "X":
instrument['Fees'] += -OPTIONS_TIER_EXCHANGE_FEE_MM[OPTIONS_TIER[instrument_product_mapped]] * abs(trade['Quantity'])
if instrument['Type'] == 'Equity':
instrument['Fees'] += -( max(0.5/10000 * trade['Price'] * abs(trade['Quantity']),0.35) + 0.785/10000 * trade['Price'] * abs(trade['Quantity']) + min(max(0.2/10000 * trade['Price'] * abs(trade['Quantity']),2),100) + 5 )
if instrument['TradedFlag'] == 1:
risk_dict.setdefault(instrument['Expiry'],{})
risk_dict[instrument['Expiry']].setdefault(surface,{})
for measure in MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
for measure in CALCULATED_MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
risk_dict[instrument['Expiry']][surface]['PLDay'] += instrument['TotalTheoreticalValueDay'] - instrument['TotalCostOfTrade']
risk_dict[instrument['Expiry']][surface]['Fees'] += instrument['Fees']
if instrument['TradedFlag'] == 1 or instrument['YesterdayPosition'] != 0:
risk_dict.setdefault(instrument['Expiry'],{})
risk_dict[instrument['Expiry']].setdefault(surface,{})
for measure in MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
for measure in CALCULATED_MEASURES:
risk_dict[instrument['Expiry']][surface].setdefault(measure,0)
risk_dict[instrument['Expiry']][surface].setdefault("Day"+measure,0)
risk_dict[instrument['Expiry']][surface]['PL'] += instrument['TotalTheoreticalValueToday'] - instrument['TotalTheoreticalValueYesterday'] + instrument['TotalTheoreticalValueDay'] - instrument['TotalCostOfTrade'] + instrument['Fees']
#resp = sess.post("http://stash-hk.mavensecurities.com/production/ssomm/risklite/risk_instruments_"+portfolio+"_"+surface+".json", json.dumps(instrument_list), headers={'content-type': 'application/json'},auth=HttpNegotiateAuth())
sorted_risk_dict = {}
for key in sorted(risk_dict.keys()):
sorted_risk_dict[key] = risk_dict[key]
sorted_risk_dict['Total'] = {}
sorted_risk_dict['Total']['Total'] = {}
for expiry in sorted_risk_dict:
if expiry not in ['Total']:
sorted_risk_dict[expiry]['Total'] = {}
for surface in sorted_risk_dict[expiry]:
if surface not in ['Total']:
for measure in MEASURES:
sorted_risk_dict[expiry]['Total'].setdefault(measure,0)
sorted_risk_dict[expiry]['Total'].setdefault("Day"+measure,0)
sorted_risk_dict[expiry]['Total'][measure] += sorted_risk_dict[expiry][surface][measure]
sorted_risk_dict[expiry]['Total']["Day"+measure] += sorted_risk_dict[expiry][surface]["Day"+measure]
for measure in CALCULATED_MEASURES:
sorted_risk_dict[expiry]['Total'].setdefault(measure,0)
sorted_risk_dict[expiry]['Total'].setdefault("Day"+measure,0)
sorted_risk_dict[expiry]['Total'][measure] += sorted_risk_dict[expiry][surface][measure]
sorted_risk_dict[expiry]['Total']["Day"+measure] += sorted_risk_dict[expiry][surface]["Day"+measure]
for measure in MEASURES:
sorted_risk_dict['Total']['Total'].setdefault(measure,0)
sorted_risk_dict['Total']['Total'].setdefault("Day"+measure,0)
sorted_risk_dict['Total']['Total'][measure] += sorted_risk_dict[expiry]['Total'][measure]
sorted_risk_dict['Total']['Total']["Day"+measure] += sorted_risk_dict[expiry]['Total']["Day"+measure]
for measure in CALCULATED_MEASURES:
sorted_risk_dict['Total']['Total'].setdefault(measure,0)
sorted_risk_dict['Total']['Total'].setdefault("Day"+measure,0)
sorted_risk_dict['Total']['Total'][measure] += sorted_risk_dict[expiry]['Total'][measure]
sorted_risk_dict['Total']['Total']["Day"+measure] += sorted_risk_dict[expiry]['Total']["Day"+measure]
for expiry in sorted_risk_dict:
if expiry not in ['Total']:
for surface in sorted_risk_dict[expiry]:
if surface not in ['Total']:
sorted_risk_dict['Total'].setdefault(surface,{})
for measure in MEASURES:
sorted_risk_dict['Total'][surface].setdefault(measure,0)
sorted_risk_dict['Total'][surface].setdefault("Day"+measure,0)
sorted_risk_dict['Total'][surface][measure] += sorted_risk_dict[expiry][surface][measure]
sorted_risk_dict['Total'][surface]["Day"+measure] += sorted_risk_dict[expiry][surface]["Day"+measure]
for measure in CALCULATED_MEASURES:
sorted_risk_dict['Total'][surface].setdefault(measure,0)
sorted_risk_dict['Total'][surface].setdefault("Day"+measure,0)
sorted_risk_dict['Total'][surface][measure] += sorted_risk_dict[expiry][surface][measure]
sorted_risk_dict['Total'][surface]["Day"+measure] += sorted_risk_dict[expiry][surface]["Day"+measure]
total_dict['Timestamp'] = valuedate
total_dict['Expiry'] = []
total_dict['Underlying'] = []
for measure in SUMMARY_MEASURES:
total_dict[SUMMARY_MEASURES[measure]] = []
for expiry in sorted_risk_dict:
for surface in sorted_risk_dict[expiry]:
total_dict['Underlying'].append(surface)
total_dict['Expiry'].append(expiry)
for measure in SUMMARY_MEASURES:
if measure in sorted_risk_dict[expiry][surface]:
if measure in CURRENCY_MEASURES:
total_dict[SUMMARY_MEASURES[measure]].append(sorted_risk_dict[expiry][surface][measure] / CURRENCY_RATE)
else:
total_dict[SUMMARY_MEASURES[measure]].append(sorted_risk_dict[expiry][surface][measure])
else:
total_dict[SUMMARY_MEASURES[measure]].append(0)
day_dict['Timestamp'] = valuedate
day_dict['Expiry'] = []
day_dict['Underlying'] = []
for measure in SUMMARY_MEASURES:
day_dict[SUMMARY_MEASURES[measure]] = []
for expiry in sorted_risk_dict:
for surface in sorted_risk_dict[expiry]:
day_dict['Underlying'].append(surface)
day_dict['Expiry'].append(expiry)
for measure in SUMMARY_MEASURES:
if "Day" + measure in sorted_risk_dict[expiry][surface]:
if measure in [s for s in CURRENCY_MEASURES]:
day_dict[SUMMARY_MEASURES[measure]].append(sorted_risk_dict[expiry][surface]["Day" + measure] / CURRENCY_RATE)
else:
day_dict[SUMMARY_MEASURES[measure]].append(sorted_risk_dict[expiry][surface]["Day" + measure])
else:
day_dict[SUMMARY_MEASURES[measure]].append(0)
resp = sess.post("http://stash-hk.mavensecurities.com/production/ssomm/risklite/risk_"+portfolio_group+".json", json.dumps(total_dict), headers={'content-type': 'application/json'},auth=HttpNegotiateAuth())
resp = sess.post("http://stash-hk.mavensecurities.com/production/ssomm/risklite/dayrisk_"+portfolio_group+".json", json.dumps(day_dict), headers={'content-type': 'application/json'},auth=HttpNegotiateAuth())