mirror of
https://github.com/Magnus167/msyrs.git
synced 2025-08-20 04:30:01 +00:00
moving stuff around
This commit is contained in:
Palash Tyagi
parent
f9ccad855f
commit
26a220cc4c
@ -66,8 +66,8 @@
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"metadata": {},
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"outputs": [],
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"source": [
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"# DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\"\n",
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"DATA_FOLDER_PATH = \"C:/Users/PalashTyagi/Code/go-dataquery/jpmaqs-data\"\n",
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"DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\"\n",
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"# DATA_FOLDER_PATH = \"C:/Users/PalashTyagi/Code/go-dataquery/jpmaqs-data\"\n",
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"DQ_CLIENT_ID = os.getenv(\"DQ_CLIENT_ID\")\n",
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"DQ_CLIENT_SECRET = os.getenv(\"DQ_CLIENT_SECRET\")"
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]
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@ -92,7 +92,7 @@
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Time taken to load qdf: 0.007575511932373047\n"
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"Time taken to load qdf: 0.0040130615234375\n"
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]
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},
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{
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@ -163,20 +163,61 @@
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"cell_type": "code",
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"execution_count": 7,
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"metadata": {},
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"outputs": [],
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"outputs": [
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{
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"data": {
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"text/html": [
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"<div><style>\n",
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".dataframe > thead > tr,\n",
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".dataframe > tbody > tr {\n",
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" text-align: right;\n",
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" white-space: pre-wrap;\n",
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"}\n",
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"</style>\n",
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"<small>shape: (5, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td></tr></thead><tbody><tr><td>1990-04-26</td><td>"AUD"</td><td>"CPIC_SA_P1M1ML12"</td><td>6.434599</td><td>2.0</td><td>26.0</td><td>223.0</td></tr><tr><td>1990-04-27</td><td>"AUD"</td><td>"CPIC_SA_P1M1ML12"</td><td>6.434599</td><td>2.0</td><td>27.0</td><td>224.0</td></tr><tr><td>1990-04-30</td><td>"AUD"</td><td>"CPIC_SA_P1M1ML12"</td><td>6.434599</td><td>2.0</td><td>30.0</td><td>227.0</td></tr><tr><td>1990-05-01</td><td>"AUD"</td><td>"CPIC_SA_P1M1ML12"</td><td>6.434599</td><td>2.0</td><td>31.0</td><td>228.0</td></tr><tr><td>1990-05-02</td><td>"AUD"</td><td>"CPIC_SA_P1M1ML12"</td><td>6.434599</td><td>2.0</td><td>32.0</td><td>229.0</td></tr></tbody></table></div>"
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],
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"text/plain": [
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"shape: (5, 7)\n",
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"┌────────────┬─────┬──────────────────┬──────────┬─────────┬─────────┬─────────┐\n",
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"│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n",
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"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
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"│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 │\n",
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"╞════════════╪═════╪══════════════════╪══════════╪═════════╪═════════╪═════════╡\n",
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"│ 1990-04-26 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 26.0 ┆ 223.0 │\n",
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"│ 1990-04-27 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 27.0 ┆ 224.0 │\n",
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"│ 1990-04-30 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 30.0 ┆ 227.0 │\n",
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"│ 1990-05-01 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 31.0 ┆ 228.0 │\n",
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"│ 1990-05-02 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 32.0 ┆ 229.0 │\n",
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"└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 7,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"# downloaded_df: pl.DataFrame = msyrs.download.download_jpmaqs_indicators_as_df(\n",
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"# client_id=DQ_CLIENT_ID,\n",
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"# client_secret=DQ_CLIENT_SECRET,\n",
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"# tickers=tickers,\n",
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"# )\n",
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"# downloaded_df.head(5)"
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"downloaded_df: pl.DataFrame = msyrs.download.download_jpmaqs_indicators_as_df(\n",
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" client_id=DQ_CLIENT_ID,\n",
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" client_secret=DQ_CLIENT_SECRET,\n",
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" tickers=tickers,\n",
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")\n",
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"downloaded_df.head(5)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
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"outputs": [],
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"source": [
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"downloaded_df = None"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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@ -186,7 +227,7 @@
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"Downloaded JPMAQS catalogue with 18711 tickers.\n",
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"Removed 21/600 expressions that are not in the JPMaQS catalogue.\n",
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"Downloading data from JPMaQS.\n",
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"Timestamp UTC: 2024-11-22 17:13:07\n",
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"Timestamp UTC: 2024-11-22 20:35:07\n",
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"Connection successful!\n"
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]
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},
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@ -194,8 +235,8 @@
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"name": "stderr",
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"output_type": "stream",
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"text": [
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"Requesting data: 100%|██████████| 29/29 [00:05<00:00, 4.91it/s]\n",
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"Downloading data: 100%|██████████| 29/29 [00:22<00:00, 1.26it/s]\n"
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"Requesting data: 100%|██████████| 29/29 [00:05<00:00, 4.93it/s]\n",
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"Downloading data: 100%|██████████| 29/29 [00:16<00:00, 1.80it/s]\n"
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]
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},
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{
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@ -219,14 +260,14 @@
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"execution_count": 10,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Time taken to load qdf batch: 1.8986454010009766\n"
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"Time taken to load qdf batch: 1.1382660865783691\n"
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]
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},
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{
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@ -256,7 +297,7 @@
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"└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 9,
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"execution_count": 10,
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"metadata": {},
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"output_type": "execute_result"
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}
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@ -280,16 +321,16 @@
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},
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{
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"cell_type": "code",
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"execution_count": 10,
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"execution_count": 11,
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"metadata": {},
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"data": {
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"execution_count": 10,
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"execution_count": 11,
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"metadata": {},
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"output_type": "execute_result"
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@ -300,22 +341,179 @@
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{
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"cell_type": "code",
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"execution_count": 11,
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"execution_count": 28,
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" <th></th>\n",
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" <th>real_date</th>\n",
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" <th>cid</th>\n",
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" <th>xcat</th>\n",
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" <th>value</th>\n",
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" <th>grading</th>\n",
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" <td>1990-04-26</td>\n",
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" <td>AUD</td>\n",
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" <td>26</td>\n",
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" <td>223</td>\n",
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" <tr>\n",
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" <th>1</th>\n",
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" <td>1990-04-27</td>\n",
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" <td>AUD</td>\n",
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" <td>CPIC_SA_P1M1ML12</td>\n",
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" <td>6.434599</td>\n",
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" <td>CPIC_SA_P1M1ML12</td>\n",
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" <td>6.434599</td>\n",
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" <td>2.0</td>\n",
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" <td>30</td>\n",
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" <td>227</td>\n",
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" <tr>\n",
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" <th>3</th>\n",
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" <td>1990-05-01</td>\n",
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" <td>AUD</td>\n",
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" <td>CPIC_SA_P1M1ML12</td>\n",
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" <td>6.434599</td>\n",
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" <td>2.0</td>\n",
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" <td>31</td>\n",
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" <td>228</td>\n",
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" <tr>\n",
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" <td>1990-05-02</td>\n",
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" <td>AUD</td>\n",
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" <td>CPIC_SA_P1M1ML12</td>\n",
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" <td>6.434599</td>\n",
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" <td>2.0</td>\n",
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" <td>229</td>\n",
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" <td>2024-11-08</td>\n",
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"text/plain": [
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"871.0723962783813"
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" real_date cid xcat value grading eop_lag mop_lag\n",
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"0 1990-04-26 AUD CPIC_SA_P1M1ML12 6.434599 2.0 26 223\n",
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"1 1990-04-27 AUD CPIC_SA_P1M1ML12 6.434599 2.0 27 224\n",
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"2 1990-04-30 AUD CPIC_SA_P1M1ML12 6.434599 2.0 30 227\n",
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"3 1990-05-01 AUD CPIC_SA_P1M1ML12 6.434599 2.0 31 228\n",
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"4 1990-05-02 AUD CPIC_SA_P1M1ML12 6.434599 2.0 32 229\n",
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"... ... ... ... ... ... ... ...\n",
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"5285577 2024-11-08 ZAR RYLDIRS05Y_NSA 3.097534 1.0 0 0\n",
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"5285578 2024-11-12 ZAR RYLDIRS05Y_NSA 3.189884 1.0 0 0\n",
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"5285579 2024-11-13 ZAR RYLDIRS05Y_NSA 3.108095 1.0 0 0\n",
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"5285580 2024-11-14 ZAR RYLDIRS05Y_NSA 3.060968 1.0 0 0\n",
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"5285581 2024-11-15 ZAR RYLDIRS05Y_NSA 3.102066 1.0 0 0\n",
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"\n",
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"[5285582 rows x 7 columns]"
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"execution_count": 11,
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"execution_count": 28,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"big_df.to_pandas()"
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},
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@ -326,7 +524,7 @@
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@ -334,6 +532,203 @@
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" <th>value</th>\n",
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|
||||
" <th>0</th>\n",
|
||||
" <td>1990-04-26</td>\n",
|
||||
" <td>AUD</td>\n",
|
||||
" <td>CPIC_SA_P1M1ML12</td>\n",
|
||||
" <td>6.434599</td>\n",
|
||||
" <td>2.0</td>\n",
|
||||
" <td>26</td>\n",
|
||||
" <td>223</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>1</th>\n",
|
||||
" <td>1990-04-27</td>\n",
|
||||
" <td>AUD</td>\n",
|
||||
" <td>CPIC_SA_P1M1ML12</td>\n",
|
||||
" <td>6.434599</td>\n",
|
||||
" <td>2.0</td>\n",
|
||||
" <td>27</td>\n",
|
||||
" <td>224</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2</th>\n",
|
||||
" <td>1990-04-30</td>\n",
|
||||
" <td>AUD</td>\n",
|
||||
" <td>CPIC_SA_P1M1ML12</td>\n",
|
||||
" <td>6.434599</td>\n",
|
||||
" <td>2.0</td>\n",
|
||||
" <td>30</td>\n",
|
||||
" <td>227</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>3</th>\n",
|
||||
" <td>1990-05-01</td>\n",
|
||||
" <td>AUD</td>\n",
|
||||
" <td>CPIC_SA_P1M1ML12</td>\n",
|
||||
" <td>6.434599</td>\n",
|
||||
" <td>2.0</td>\n",
|
||||
" <td>31</td>\n",
|
||||
" <td>228</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>4</th>\n",
|
||||
" <td>1990-05-02</td>\n",
|
||||
" <td>AUD</td>\n",
|
||||
" <td>CPIC_SA_P1M1ML12</td>\n",
|
||||
" <td>6.434599</td>\n",
|
||||
" <td>2.0</td>\n",
|
||||
" <td>32</td>\n",
|
||||
" <td>229</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>...</th>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>5285577</th>\n",
|
||||
" <td>2024-11-08</td>\n",
|
||||
" <td>ZAR</td>\n",
|
||||
" <td>RYLDIRS05Y_NSA</td>\n",
|
||||
" <td>3.097534</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>5285578</th>\n",
|
||||
" <td>2024-11-12</td>\n",
|
||||
" <td>ZAR</td>\n",
|
||||
" <td>RYLDIRS05Y_NSA</td>\n",
|
||||
" <td>3.189884</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>5285579</th>\n",
|
||||
" <td>2024-11-13</td>\n",
|
||||
" <td>ZAR</td>\n",
|
||||
" <td>RYLDIRS05Y_NSA</td>\n",
|
||||
" <td>3.108095</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>5285580</th>\n",
|
||||
" <td>2024-11-14</td>\n",
|
||||
" <td>ZAR</td>\n",
|
||||
" <td>RYLDIRS05Y_NSA</td>\n",
|
||||
" <td>3.060968</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>5285581</th>\n",
|
||||
" <td>2024-11-15</td>\n",
|
||||
" <td>ZAR</td>\n",
|
||||
" <td>RYLDIRS05Y_NSA</td>\n",
|
||||
" <td>3.102066</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" <td>0</td>\n",
|
||||
" </tr>\n",
|
||||
" </tbody>\n",
|
||||
"</table>\n",
|
||||
"<p>5285582 rows × 7 columns</p>\n",
|
||||
"</div>"
|
||||
],
|
||||
"text/plain": [
|
||||
" real_date cid xcat value grading eop_lag mop_lag\n",
|
||||
"0 1990-04-26 AUD CPIC_SA_P1M1ML12 6.434599 2.0 26 223\n",
|
||||
"1 1990-04-27 AUD CPIC_SA_P1M1ML12 6.434599 2.0 27 224\n",
|
||||
"2 1990-04-30 AUD CPIC_SA_P1M1ML12 6.434599 2.0 30 227\n",
|
||||
"3 1990-05-01 AUD CPIC_SA_P1M1ML12 6.434599 2.0 31 228\n",
|
||||
"4 1990-05-02 AUD CPIC_SA_P1M1ML12 6.434599 2.0 32 229\n",
|
||||
"... ... ... ... ... ... ... ...\n",
|
||||
"5285577 2024-11-08 ZAR RYLDIRS05Y_NSA 3.097534 1.0 0 0\n",
|
||||
"5285578 2024-11-12 ZAR RYLDIRS05Y_NSA 3.189884 1.0 0 0\n",
|
||||
"5285579 2024-11-13 ZAR RYLDIRS05Y_NSA 3.108095 1.0 0 0\n",
|
||||
"5285580 2024-11-14 ZAR RYLDIRS05Y_NSA 3.060968 1.0 0 0\n",
|
||||
"5285581 2024-11-15 ZAR RYLDIRS05Y_NSA 3.102066 1.0 0 0\n",
|
||||
"\n",
|
||||
"[5285582 rows x 7 columns]"
|
||||
]
|
||||
},
|
||||
"execution_count": 31,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"macrosynergy.management.types.QuantamentalDataFrame(big_df.to_pandas())"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 13,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"211.71554374694824"
|
||||
]
|
||||
},
|
||||
"execution_count": 13,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"macrosynergy.management.types.QuantamentalDataFrame(big_df.to_pandas()).memory_usage(\n",
|
||||
" deep=True\n",
|
||||
@ -342,24 +737,24 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 13,
|
||||
"execution_count": 14,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"sel_cids = [\"USD\", \"EUR\", \"GBP\", \"AUD\", \"CAD\"]\n",
|
||||
"start = \"1999-11-14\""
|
||||
"start = \"1990-01-01\""
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 14,
|
||||
"execution_count": 15,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken to reduce qdf: 0.34674978256225586\n"
|
||||
"Time taken to reduce qdf: 0.2668800354003906\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
@ -372,10 +767,10 @@
|
||||
" white-space: pre-wrap;\n",
|
||||
"}\n",
|
||||
"</style>\n",
|
||||
"<small>shape: (62_363, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2000-05-04</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-1.251605</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-05</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>1.787455</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-08</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-0.574713</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-09</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-0.931278</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-10</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-1.523501</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td></tr><tr><td>2024-11-15</td><td>"USD"</td><td>"EQXR_VT10"</td><td>-1.198544</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"USD"</td><td>"EQXR_VT10"</td><td>0.349312</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-19</td><td>"USD"</td><td>"EQXR_VT10"</td><td>0.2776</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-20</td><td>"USD"</td><td>"EQXR_VT10"</td><td>-0.014759</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-21</td><td>"USD"</td><td>"EQXR_VT10"</td><td>0.483426</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
|
||||
"<small>shape: (73_069, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2000-05-04</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-1.251605</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-05</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>1.787455</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-08</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-0.574713</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-09</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-0.931278</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-10</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>-1.523501</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td><td>…</td></tr><tr><td>2024-11-08</td><td>"USD"</td><td>"EQXR_VT10"</td><td>0.313875</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-12</td><td>"USD"</td><td>"EQXR_VT10"</td><td>-0.272457</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-13</td><td>"USD"</td><td>"EQXR_VT10"</td><td>0.043729</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"USD"</td><td>"EQXR_VT10"</td><td>-0.549983</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"USD"</td><td>"EQXR_VT10"</td><td>-1.198544</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
|
||||
],
|
||||
"text/plain": [
|
||||
"shape: (62_363, 7)\n",
|
||||
"shape: (73_069, 7)\n",
|
||||
"┌────────────┬─────┬───────────┬───────────┬─────────┬─────────┬─────────┐\n",
|
||||
"│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n",
|
||||
"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
|
||||
@ -387,15 +782,15 @@
|
||||
"│ 2000-05-09 ┆ AUD ┆ EQXR_NSA ┆ -0.931278 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2000-05-10 ┆ AUD ┆ EQXR_NSA ┆ -1.523501 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n",
|
||||
"│ 2024-11-08 ┆ USD ┆ EQXR_VT10 ┆ 0.313875 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-12 ┆ USD ┆ EQXR_VT10 ┆ -0.272457 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-13 ┆ USD ┆ EQXR_VT10 ┆ 0.043729 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-14 ┆ USD ┆ EQXR_VT10 ┆ -0.549983 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-15 ┆ USD ┆ EQXR_VT10 ┆ -1.198544 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-18 ┆ USD ┆ EQXR_VT10 ┆ 0.349312 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-19 ┆ USD ┆ EQXR_VT10 ┆ 0.2776 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-20 ┆ USD ┆ EQXR_VT10 ┆ -0.014759 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-21 ┆ USD ┆ EQXR_VT10 ┆ 0.483426 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||
]
|
||||
},
|
||||
"execution_count": 14,
|
||||
"execution_count": 15,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@ -415,14 +810,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 15,
|
||||
"execution_count": 16,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken to reduce qdf: 0.13223624229431152\n"
|
||||
"Time taken to reduce qdf: 0.057086944580078125\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -434,14 +829,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 16,
|
||||
"execution_count": 17,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken to reduce qdf: 0.3902719020843506\n"
|
||||
"Time taken to reduce qdf: 0.298140287399292\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -457,14 +852,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 17,
|
||||
"execution_count": 18,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken to reduce qdf: 0.171736478805542\n"
|
||||
"Time taken to reduce qdf: 0.08732080459594727\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -476,14 +871,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 18,
|
||||
"execution_count": 19,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 0.024325132369995117\n"
|
||||
"Time taken: 0.01651310920715332\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
@ -518,7 +913,7 @@
|
||||
"└────────────┴─────┴──────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||
]
|
||||
},
|
||||
"execution_count": 18,
|
||||
"execution_count": 19,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@ -532,14 +927,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 19,
|
||||
"execution_count": 20,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 0.8326597213745117\n"
|
||||
"Time taken: 0.4808037281036377\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -551,7 +946,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 20,
|
||||
"execution_count": 21,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@ -564,7 +959,7 @@
|
||||
" white-space: pre-wrap;\n",
|
||||
"}\n",
|
||||
"</style>\n",
|
||||
"<small>shape: (10, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2024-11-07</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>0.806682</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-08</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.247346</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-12</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-1.083137</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-13</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.328958</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.110526</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.700977</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.140805</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-19</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>0.223372</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-20</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>0.361783</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-21</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.375365</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
|
||||
"<small>shape: (10, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2024-11-01</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>1.37805</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-04</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.111931</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-05</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>0.25294</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-06</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.175161</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-07</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>0.806682</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-08</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.247346</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-12</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-1.083137</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-13</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.328958</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.110526</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"GBP"</td><td>"FXXR_VT10"</td><td>-0.700977</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
|
||||
],
|
||||
"text/plain": [
|
||||
"shape: (10, 7)\n",
|
||||
@ -573,20 +968,20 @@
|
||||
"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
|
||||
"│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n",
|
||||
"╞════════════╪═════╪═══════════╪═══════════╪═════════╪═════════╪═════════╡\n",
|
||||
"│ 2024-11-01 ┆ GBP ┆ FXXR_VT10 ┆ 1.37805 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-04 ┆ GBP ┆ FXXR_VT10 ┆ -0.111931 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-05 ┆ GBP ┆ FXXR_VT10 ┆ 0.25294 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-06 ┆ GBP ┆ FXXR_VT10 ┆ -0.175161 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-07 ┆ GBP ┆ FXXR_VT10 ┆ 0.806682 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-08 ┆ GBP ┆ FXXR_VT10 ┆ -0.247346 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-12 ┆ GBP ┆ FXXR_VT10 ┆ -1.083137 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-13 ┆ GBP ┆ FXXR_VT10 ┆ -0.328958 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-14 ┆ GBP ┆ FXXR_VT10 ┆ -0.110526 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-15 ┆ GBP ┆ FXXR_VT10 ┆ -0.700977 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-18 ┆ GBP ┆ FXXR_VT10 ┆ -0.140805 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-19 ┆ GBP ┆ FXXR_VT10 ┆ 0.223372 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-20 ┆ GBP ┆ FXXR_VT10 ┆ 0.361783 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"│ 2024-11-21 ┆ GBP ┆ FXXR_VT10 ┆ -0.375365 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||
"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||
]
|
||||
},
|
||||
"execution_count": 20,
|
||||
"execution_count": 21,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@ -597,14 +992,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 21,
|
||||
"execution_count": 22,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 0.0014519691467285156\n",
|
||||
"Time taken: 0.0010075569152832031\n",
|
||||
"Time taken: 0.0\n"
|
||||
]
|
||||
}
|
||||
@ -647,14 +1042,14 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 22,
|
||||
"execution_count": 23,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 0.054981231689453125\n"
|
||||
"Time taken: 0.05028486251831055\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -666,32 +1061,13 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 23,
|
||||
"execution_count": 24,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"new_pd_df = macrosynergy.management.types.QuantamentalDataFrame(new_pd_df)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 24,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 2.785749673843384\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"starttime = time.time()\n",
|
||||
"new_pd_df.to_wide()\n",
|
||||
"print(\"Time taken: \", time.time() - starttime)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 25,
|
||||
@ -701,7 +1077,26 @@
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 58.54259753227234 seconds\n"
|
||||
"Time taken: 2.0133273601531982\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"starttime = time.time()\n",
|
||||
"new_pd_df.to_wide()\n",
|
||||
"print(\"Time taken: \", time.time() - starttime)"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 26,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Time taken: 130.01306796073914 seconds\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
@ -727,7 +1122,7 @@
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.11.0"
|
||||
"version": "3.12.7"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
|
||||
@ -1,16 +1,16 @@
|
||||
|
||||
/// Python API for [`crate::utils::qdf`].
|
||||
/// Python wrapper for [`crate::utils::qdf`].
|
||||
pub mod qdf;
|
||||
|
||||
/// Python API for [`crate::download`].
|
||||
/// Python wrapper for [`crate::download`].
|
||||
pub mod download;
|
||||
|
||||
/// Python API for [`crate::panel`].
|
||||
/// Python wrapper for [`crate::panel`].
|
||||
pub mod panel;
|
||||
|
||||
use pyo3::{prelude::*, wrap_pymodule};
|
||||
// use pyo3_polars::PyDataFrame;
|
||||
|
||||
/// PyO3 bindings for the `msyrs` Python wrapper.
|
||||
#[allow(deprecated)]
|
||||
#[pymodule]
|
||||
pub fn msyrs(_py: Python, m: &PyModule) -> PyResult<()> {
|
||||
@ -16,7 +16,7 @@
|
||||
//!
|
||||
|
||||
/// Documentation and type-stubs for the `msyrs` Python API.
|
||||
pub mod py;
|
||||
pub mod _py;
|
||||
|
||||
/// Implementation for the `download` module.
|
||||
pub mod download;
|
||||
@ -29,4 +29,4 @@ pub mod panel;
|
||||
|
||||
/// PyO3 bindings for the `msyrs` Python API.
|
||||
#[allow(unused_imports)]
|
||||
use py::msyrs;
|
||||
use _py::msyrs;
|
||||
|
||||
@ -48,6 +48,26 @@ fn flat_std(x: &Array1<f64>, remove_zeros: bool) -> f64 {
|
||||
filtered_x.mapv(f64::abs).mean().unwrap_or(0.0)
|
||||
}
|
||||
|
||||
|
||||
|
||||
// #[allow(dead_code)]
|
||||
// fn single
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
/// Calculate historic volatility.
|
||||
/// Arguments:
|
||||
/// - `df`: A Quantamental DataFrame.
|
||||
@ -81,5 +101,46 @@ pub fn historic_vol(
|
||||
) -> Result<DataFrame, Box<dyn std::error::Error>> {
|
||||
println!("Calculating historic volatility with the following parameters:");
|
||||
println!("xcat: {:?},\ncids: {:?},\nlback_periods: {:?},lback_method: {:?},\nhalf_life: {:?},\nstart: {:?},\nend: {:?},\nest_freq: {:?},\nremove_zeros: {:?},\npostfix: {:?},\nnan_tolerance: {:?}", xcat, cids, lback_periods,lback_method, half_life, start, end, est_freq, remove_zeros, postfix, nan_tolerance);
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
Ok(df.to_owned())
|
||||
}
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user