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fredmaloggia
202
pricer/db.py
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202
pricer/db.py
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from typing import Any, Dict, Iterable, List, Tuple
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import pyodbc
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from decimal import Decimal
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from .config import get_connection_string
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from . import models
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def _rows_to_dicts(cursor, rows):
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columns = [col[0] for col in cursor.description]
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return [dict(zip(columns, row)) for row in rows]
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def _normalize_keys(row: Dict[str, Any]) -> Dict[str, Any]:
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normalized = {}
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for k, v in row.items():
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if isinstance(v, Decimal):
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normalized[k.lower()] = float(v)
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else:
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normalized[k.lower()] = v
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return normalized
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class SqlDataAccess:
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def load_data(self, stored_proc: str, params: Dict[str, Any], connection_string: str):
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placeholders = ", ".join([f"@{k}=?" for k in params.keys()])
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sql = f"EXEC {stored_proc} {placeholders}" if placeholders else f"EXEC {stored_proc}"
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values = list(params.values())
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with pyodbc.connect(connection_string) as conn:
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cur = conn.cursor()
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cur.execute(sql, values)
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rows = cur.fetchall()
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return _rows_to_dicts(cur, rows)
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class SqlQuery:
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def __init__(self, connection_string: str):
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self._connection_string = connection_string
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self._db = SqlDataAccess()
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def get_hist_price_ul(self, isin: str, num_prezzi_eod: int):
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rows = self._db.load_data(
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"pricer_ULPrices1",
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{"Isin": isin, "numPrezzi": num_prezzi_eod},
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self._connection_string,
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)
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return [
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models.HistPriceULModel(
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id_underlyings=r["idunderlyings"],
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sottostante=r["sottostante"],
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px_close=r["px_close"],
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px_date=r["px_date"],
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)
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for r in map(_normalize_keys, rows)
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]
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def get_details_ul(self, isin: str):
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rows = self._db.load_data(
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"pricer_ULDetails",
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{"Isin": isin},
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self._connection_string,
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)
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return [
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models.DetailsULModel(
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id_underlyings=r["idunderlyings"],
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sottostante=r["sottostante"],
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maturity_date=r.get("maturitydate"),
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last_price=r["lastprice"],
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strike=r["strike"],
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spot_price_normalized=r["spotpricenormalized"],
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dividend=r["dividend"],
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volatility=r["volatility"],
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days_to_maturity=r.get("daystomaturity", 0),
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tasso_interesse=r.get("tassointeresse", 0.0),
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)
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for r in map(_normalize_keys, rows)
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]
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def get_details_event(self, isin: str):
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rows = self._db.load_data(
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"pricer_EventDetails",
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{"Isin": isin},
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self._connection_string,
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)
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return [
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models.DetailsEventModel(
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days_to_obs=r["daystoobs"],
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days_to_ex_date=r.get("daystoexdate", 0),
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days_to_obs_y_fract=r["daystoobsyfract"],
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coupon_value=r["couponvalue"],
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coupon_trigger=r["coupontrigger"],
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autocall_value=r["autocallvalue"],
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autocall_trigger=r["autocalltrigger"],
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memory=r["memory"],
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)
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for r in map(_normalize_keys, rows)
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]
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def get_details_event_exdate(self, isin: str):
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rows = self._db.load_data(
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"pricer_EventDetails_ExDate",
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{"Isin": isin},
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self._connection_string,
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)
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return [
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models.DetailsEventModel(
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days_to_obs=r.get("daystoobs", 0),
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days_to_ex_date=r["daystoexdate"],
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days_to_obs_y_fract=r.get("daystoobsyfract", 0.0),
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coupon_value=r.get("couponvalue", 0.0),
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coupon_trigger=r.get("coupontrigger", 0.0),
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autocall_value=r.get("autocallvalue", 0.0),
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autocall_trigger=r.get("autocalltrigger", 0.0),
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memory=r.get("memory", 0),
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)
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for r in map(_normalize_keys, rows)
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]
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def get_details_ctf(self, isin: str):
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rows = self._db.load_data(
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"pricer_CTFDetails",
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{"Isin": isin},
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self._connection_string,
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)
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return [
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models.DetailsCTFModel(
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tasso_interesse=r["tassointeresse"],
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days_to_maturity=r["daystomaturity"],
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pdi_style=r["pdi_style"],
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pdi_strike=r["pdi_strike"],
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pdi_barrier=r["pdi_barrier"],
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capital_value=r["capitalvalue"],
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nominal_amount=r["nominalamount"],
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bid=r["bid"],
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ask=r["ask"],
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last_date_price=r["lastdateprice"],
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coupon_in_memory=r["couponinmemory"],
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prot_min_val=r["protminval"],
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air_bag=r["airbag"],
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fattore_airbag=r["fattoreairbag"],
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one_star=r["onestar"],
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trigger_onestar=r["triggeronestar"],
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twin_win=r["twinwin"],
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sigma=r["sigma"],
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relief=r["relief"],
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domino=r["domino"],
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category=r["category"],
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cap=r["cap"],
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leva=r["leva"],
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)
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for r in map(_normalize_keys, rows)
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]
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def get_isin_universe(self):
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rows = self._db.load_data(
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"pricer_LoadISINUniverse",
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{},
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self._connection_string,
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)
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values = []
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for row in rows:
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if isinstance(row, dict):
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if len(row) == 1:
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values.append(next(iter(row.values())))
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else:
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values.append(row)
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else:
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values.append(row)
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return values
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def check_isin(self, isin: str):
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rows = self._db.load_data(
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"pricer_CheckISIN1",
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{"Isin": isin},
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self._connection_string,
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)
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values = []
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for row in rows:
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if isinstance(row, dict):
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if len(row) == 1:
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values.append(next(iter(row.values())))
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else:
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values.append(row)
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else:
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values.append(row)
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return values
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def bulk_update_certificates(self, table_name: str, list_fair_values: List[models.FairValues]) -> None:
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if not list_fair_values:
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return
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sql = f"UPDATE {table_name} SET FairValue = ? WHERE ISIN = ?"
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data = [(fv.fair_value, fv.isin) for fv in list_fair_values]
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with pyodbc.connect(self._connection_string) as conn:
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cur = conn.cursor()
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cur.executemany(sql, data)
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conn.commit()
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def default_sql_query():
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return SqlQuery(get_connection_string("FirstSolutionDB"))
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