Fixed overrides bug in BBG

cuemacro · Dec 14, 2021 · e163f33 · e163f33
1 parent 9627517
commit e163f33
Show file tree

Hide file tree

Showing 3 changed files with 46 additions and 24 deletions.
diff --git a/README.md b/README.md
@@ -135,7 +135,8 @@ individual data providers)
 
 # Coding log
 
-* xx Oct 2021
+* 14 Dec 2021
+  * Fixed bug in overrides for BBG
   * Patched ticker for EUR1Y deposit rate
 * 07 Oct 2021
   * Fixed bug in downloading data for unusual categories 

diff --git a/findatapy/market/datavendorbbg.py b/findatapy/market/datavendorbbg.py
@@ -748,27 +748,25 @@ def fill_options(self, market_data_request):
 
         options.overrides = market_data_request.overrides
 
-        # options_copy = OptionsBBG(options_bbg=options)
-
         options_list = []
 
-        last_overide_combo = {}
+        override_dict = {}
 
         if market_data_request.old_tickers is not None:
 
             ticker_list = []
-            curr_options = OptionsBBG(options_bbg=options)
+            # curr_options = OptionsBBG(options_bbg=options)
+
+            ## Special case for GDP where the advance, final and preliminary releases (but can define more
+            # in DataConstants)
+            # have the same ticker but different overrides
+            bbg_keyword_dict_override = constants.bbg_keyword_dict_override
 
             for tick, old_tick in zip(market_data_request.tickers, market_data_request.old_tickers):
                 if old_tick is not None:
 
                     t = old_tick.lower()
 
-                    ## Special case for GDP where the advance, final and preliminary releases (but can define more
-                    # in DataConstants)
-                    # have the same ticker but different overrides
-                    bbg_keyword_dict_override = constants.bbg_keyword_dict_override
-
                     # eg. RELEASE_STAGE_OVERRIDE
                     for bbg_override in bbg_keyword_dict_override.keys():
 
@@ -779,27 +777,49 @@ def fill_options(self, market_data_request):
                             # eg. ['gdp', 'advance']
                             keyword = keyword_dict[bbg_keyword]
 
+                            # if this matches a case, we have override
                             if all(k.lower() in t for k in keyword):
 
-                                if bbg_override in last_overide_combo:
-                                    if last_overide_combo[bbg_override] != bbg_keyword:
-                                        curr_options.security = ticker_list
-                                        options_list.append(curr_options)
+                                # In case we have multiple overrides for this ticker
+                                if tick in override_dict:
+                                    override_dict[tick][bbg_override] = bbg_keyword
+                                else:
+                                    override_dict[tick] = {bbg_override: bbg_keyword}
 
-                                        ticker_list = []
+                    ## Add other special cases
+                    if tick not in override_dict:
+                        override_dict[tick] = {}
 
-                                        curr_options = OptionsBBG(options_bbg=options)
+            # if ticker_list != []:
+            #    curr_options.security = ticker_list
 
-                                last_overide_combo[bbg_override] = bbg_keyword
-                                curr_options.overrides[bbg_override] = bbg_keyword
+            last_override = {}
 
-                    ## Add other special cases
-                    ticker_list.append(tick)
+            def add_new_options(tick_):
+                curr_options = OptionsBBG(options_bbg=options)
+                curr_options.security = [tick_]
+
+                if override != {}:
+                    curr_options.overrides = override
+
+                options_list.append(curr_options)
+
+            # Combine the securities into a list of options (each with common
+            # overrides)
+            for tick, override in override_dict.items():
+                if override == last_override:
+
+                    if len(options_list) > 0:
+                        options_list[-1].security.append(tick)
+                    else:
+                        add_new_options(tick)
+                else:
+                    add_new_options(tick)
 
-            if ticker_list != []:
-                curr_options.security = ticker_list
+                last_override = override
 
-            options_list.append(curr_options)
+            print('stop')
+            # options_list.append(curr_options)
         else:
             options.security = market_data_request.tickers
 

diff --git a/findatapy/market/ioengine.py b/findatapy/market/ioengine.py
@@ -170,7 +170,8 @@ def read_excel_data_frame(self, f_name, excel_sheet, freq, cutoff=None, datepars
         return self.read_csv_data_frame(f_name, freq, cutoff=cutoff, dateparse=dateparse,
                                         postfix=postfix, intraday_tz=intraday_tz, excel_sheet=excel_sheet)
 
-    def remove_time_series_cache_on_disk(self, fname, engine='hdf5_fixed', db_server='127.0.0.1', db_port='6379',
+    def remove_time_series_cache_on_disk(self, fname, engine='hdf5_fixed', db_server=constants.db_server,
+                                         db_port=constants.db_port,
                                          timeout=10, username=None,
                                          password=None):