From 26a220cc4c29ca37ceccf0f9e7a7e0cb96f93562 Mon Sep 17 00:00:00 2001 From: Palash Tyagi <23239946+Magnus167@users.noreply.github.com> Date: Fri, 22 Nov 2024 23:39:56 +0000 Subject: [PATCH] moving stuff around --- notebooks/python-notebook.ipynb | 553 +++++++++++++++++++++++++++----- src/{py => _py}/download.rs | 0 src/{py => _py}/mod.rs | 8 +- src/{py => _py}/panel.rs | 0 src/{py => _py}/qdf.rs | 0 src/lib.rs | 4 +- src/panel/historic_vol.rs | 61 ++++ 7 files changed, 541 insertions(+), 85 deletions(-) rename src/{py => _py}/download.rs (100%) rename src/{py => _py}/mod.rs (65%) rename src/{py => _py}/panel.rs (100%) rename src/{py => _py}/qdf.rs (100%) diff --git a/notebooks/python-notebook.ipynb b/notebooks/python-notebook.ipynb index 8335b3c..a5f11d2 100644 --- a/notebooks/python-notebook.ipynb +++ b/notebooks/python-notebook.ipynb @@ -66,8 +66,8 @@ "metadata": {}, "outputs": [], "source": [ - "# DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\"\n", - "DATA_FOLDER_PATH = \"C:/Users/PalashTyagi/Code/go-dataquery/jpmaqs-data\"\n", + "DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\"\n", + "# DATA_FOLDER_PATH = \"C:/Users/PalashTyagi/Code/go-dataquery/jpmaqs-data\"\n", "DQ_CLIENT_ID = os.getenv(\"DQ_CLIENT_ID\")\n", "DQ_CLIENT_SECRET = os.getenv(\"DQ_CLIENT_SECRET\")" ] @@ -92,7 +92,7 @@ "name": "stdout", "output_type": "stream", "text": [ - "Time taken to load qdf: 0.007575511932373047\n" + "Time taken to load qdf: 0.0040130615234375\n" ] }, { @@ -163,20 +163,61 @@ "cell_type": "code", "execution_count": 7, "metadata": {}, - "outputs": [], + "outputs": [ + { + "data": { + "text/html": [ + "
\n", + "shape: (5, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64f64f64
1990-04-26"AUD""CPIC_SA_P1M1ML12"6.4345992.026.0223.0
1990-04-27"AUD""CPIC_SA_P1M1ML12"6.4345992.027.0224.0
1990-04-30"AUD""CPIC_SA_P1M1ML12"6.4345992.030.0227.0
1990-05-01"AUD""CPIC_SA_P1M1ML12"6.4345992.031.0228.0
1990-05-02"AUD""CPIC_SA_P1M1ML12"6.4345992.032.0229.0
" + ], + "text/plain": [ + "shape: (5, 7)\n", + "┌────────────┬─────┬──────────────────┬──────────┬─────────┬─────────┬─────────┐\n", + "│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n", + "│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n", + "│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 │\n", + "╞════════════╪═════╪══════════════════╪══════════╪═════════╪═════════╪═════════╡\n", + "│ 1990-04-26 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 26.0 ┆ 223.0 │\n", + "│ 1990-04-27 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 27.0 ┆ 224.0 │\n", + "│ 1990-04-30 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 30.0 ┆ 227.0 │\n", + "│ 1990-05-01 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 31.0 ┆ 228.0 │\n", + "│ 1990-05-02 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 32.0 ┆ 229.0 │\n", + "└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘" + ] + }, + "execution_count": 7, + "metadata": {}, + "output_type": "execute_result" + } + ], "source": [ - "# downloaded_df: pl.DataFrame = msyrs.download.download_jpmaqs_indicators_as_df(\n", - "# client_id=DQ_CLIENT_ID,\n", - "# client_secret=DQ_CLIENT_SECRET,\n", - "# tickers=tickers,\n", - "# )\n", - "# downloaded_df.head(5)" + "downloaded_df: pl.DataFrame = msyrs.download.download_jpmaqs_indicators_as_df(\n", + " client_id=DQ_CLIENT_ID,\n", + " client_secret=DQ_CLIENT_SECRET,\n", + " tickers=tickers,\n", + ")\n", + "downloaded_df.head(5)" ] }, { "cell_type": "code", "execution_count": 8, "metadata": {}, + "outputs": [], + "source": [ + "downloaded_df = None" + ] + }, + { + "cell_type": "code", + "execution_count": 9, + "metadata": {}, "outputs": [ { "name": "stdout", @@ -186,7 +227,7 @@ "Downloaded JPMAQS catalogue with 18711 tickers.\n", "Removed 21/600 expressions that are not in the JPMaQS catalogue.\n", "Downloading data from JPMaQS.\n", - "Timestamp UTC: 2024-11-22 17:13:07\n", + "Timestamp UTC: 2024-11-22 20:35:07\n", "Connection successful!\n" ] }, @@ -194,8 +235,8 @@ "name": "stderr", "output_type": "stream", "text": [ - "Requesting data: 100%|██████████| 29/29 [00:05<00:00, 4.91it/s]\n", - "Downloading data: 100%|██████████| 29/29 [00:22<00:00, 1.26it/s]\n" + "Requesting data: 100%|██████████| 29/29 [00:05<00:00, 4.93it/s]\n", + "Downloading data: 100%|██████████| 29/29 [00:16<00:00, 1.80it/s]\n" ] }, { @@ -219,14 +260,14 @@ }, { "cell_type": "code", - "execution_count": 9, + "execution_count": 10, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ - "Time taken to load qdf batch: 1.8986454010009766\n" + "Time taken to load qdf batch: 1.1382660865783691\n" ] }, { @@ -256,7 +297,7 @@ "└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘" ] }, - "execution_count": 9, + "execution_count": 10, "metadata": {}, "output_type": "execute_result" } @@ -280,16 +321,16 @@ }, { "cell_type": "code", - "execution_count": 10, + "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "275.89989376068115" + "275.7299613952637" ] }, - "execution_count": 10, + "execution_count": 11, "metadata": {}, "output_type": "execute_result" } @@ -300,22 +341,179 @@ }, { "cell_type": "code", - "execution_count": 11, + "execution_count": 28, "metadata": {}, "outputs": [ { "data": { + "text/html": [ + "
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real_datecidxcatvaluegradingeop_lagmop_lag
01990-04-26AUDCPIC_SA_P1M1ML126.4345992.026223
11990-04-27AUDCPIC_SA_P1M1ML126.4345992.027224
21990-04-30AUDCPIC_SA_P1M1ML126.4345992.030227
31990-05-01AUDCPIC_SA_P1M1ML126.4345992.031228
41990-05-02AUDCPIC_SA_P1M1ML126.4345992.032229
........................
52855772024-11-08ZARRYLDIRS05Y_NSA3.0975341.000
52855782024-11-12ZARRYLDIRS05Y_NSA3.1898841.000
52855792024-11-13ZARRYLDIRS05Y_NSA3.1080951.000
52855802024-11-14ZARRYLDIRS05Y_NSA3.0609681.000
52855812024-11-15ZARRYLDIRS05Y_NSA3.1020661.000
\n", + "

5285582 rows × 7 columns

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" + ], "text/plain": [ - "871.0723962783813" + " 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": 11, + "execution_count": 28, "metadata": {}, "output_type": "execute_result" } ], "source": [ - "big_df.to_pandas().memory_usage(deep=True).sum() / 1024**2" + "big_df.to_pandas()" ] }, { @@ -326,7 +524,7 @@ { "data": { "text/plain": [ - "211.8466453552246" + "789.8839149475098" ] }, "execution_count": 12, @@ -334,6 +532,203 @@ "output_type": "execute_result" } ], + "source": [ + "big_df.to_pandas().memory_usage(deep=True).sum() / 1024**2" + ] + }, + { + "cell_type": "code", + "execution_count": 31, + "metadata": {}, + "outputs": [ + { + "data": { + "text/html": [ + "
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real_datecidxcatvaluegradingeop_lagmop_lag
01990-04-26AUDCPIC_SA_P1M1ML126.4345992.026223
11990-04-27AUDCPIC_SA_P1M1ML126.4345992.027224
21990-04-30AUDCPIC_SA_P1M1ML126.4345992.030227
31990-05-01AUDCPIC_SA_P1M1ML126.4345992.031228
41990-05-02AUDCPIC_SA_P1M1ML126.4345992.032229
........................
52855772024-11-08ZARRYLDIRS05Y_NSA3.0975341.000
52855782024-11-12ZARRYLDIRS05Y_NSA3.1898841.000
52855792024-11-13ZARRYLDIRS05Y_NSA3.1080951.000
52855802024-11-14ZARRYLDIRS05Y_NSA3.0609681.000
52855812024-11-15ZARRYLDIRS05Y_NSA3.1020661.000
\n", + "

5285582 rows × 7 columns

\n", + "
" + ], + "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", "\n", - "shape: (62_363, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2000-05-04"AUD""EQXR_NSA"-1.2516051.000
2000-05-05"AUD""EQXR_NSA"1.7874551.000
2000-05-08"AUD""EQXR_NSA"-0.5747131.000
2000-05-09"AUD""EQXR_NSA"-0.9312781.000
2000-05-10"AUD""EQXR_NSA"-1.5235011.000
…………………
2024-11-15"USD""EQXR_VT10"-1.1985441.000
2024-11-18"USD""EQXR_VT10"0.3493121.000
2024-11-19"USD""EQXR_VT10"0.27761.000
2024-11-20"USD""EQXR_VT10"-0.0147591.000
2024-11-21"USD""EQXR_VT10"0.4834261.000
" + "shape: (73_069, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2000-05-04"AUD""EQXR_NSA"-1.2516051.000
2000-05-05"AUD""EQXR_NSA"1.7874551.000
2000-05-08"AUD""EQXR_NSA"-0.5747131.000
2000-05-09"AUD""EQXR_NSA"-0.9312781.000
2000-05-10"AUD""EQXR_NSA"-1.5235011.000
…………………
2024-11-08"USD""EQXR_VT10"0.3138751.000
2024-11-12"USD""EQXR_VT10"-0.2724571.000
2024-11-13"USD""EQXR_VT10"0.0437291.000
2024-11-14"USD""EQXR_VT10"-0.5499831.000
2024-11-15"USD""EQXR_VT10"-1.1985441.000
" ], "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", "\n", - "shape: (10, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2024-11-07"GBP""FXXR_VT10"0.8066821.000
2024-11-08"GBP""FXXR_VT10"-0.2473461.000
2024-11-12"GBP""FXXR_VT10"-1.0831371.000
2024-11-13"GBP""FXXR_VT10"-0.3289581.000
2024-11-14"GBP""FXXR_VT10"-0.1105261.000
2024-11-15"GBP""FXXR_VT10"-0.7009771.000
2024-11-18"GBP""FXXR_VT10"-0.1408051.000
2024-11-19"GBP""FXXR_VT10"0.2233721.000
2024-11-20"GBP""FXXR_VT10"0.3617831.000
2024-11-21"GBP""FXXR_VT10"-0.3753651.000
" + "shape: (10, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2024-11-01"GBP""FXXR_VT10"1.378051.000
2024-11-04"GBP""FXXR_VT10"-0.1119311.000
2024-11-05"GBP""FXXR_VT10"0.252941.000
2024-11-06"GBP""FXXR_VT10"-0.1751611.000
2024-11-07"GBP""FXXR_VT10"0.8066821.000
2024-11-08"GBP""FXXR_VT10"-0.2473461.000
2024-11-12"GBP""FXXR_VT10"-1.0831371.000
2024-11-13"GBP""FXXR_VT10"-0.3289581.000
2024-11-14"GBP""FXXR_VT10"-0.1105261.000
2024-11-15"GBP""FXXR_VT10"-0.7009771.000
" ], "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, diff --git a/src/py/download.rs b/src/_py/download.rs similarity index 100% rename from src/py/download.rs rename to src/_py/download.rs diff --git a/src/py/mod.rs b/src/_py/mod.rs similarity index 65% rename from src/py/mod.rs rename to src/_py/mod.rs index c65391b..7da3188 100644 --- a/src/py/mod.rs +++ b/src/_py/mod.rs @@ -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<()> { diff --git a/src/py/panel.rs b/src/_py/panel.rs similarity index 100% rename from src/py/panel.rs rename to src/_py/panel.rs diff --git a/src/py/qdf.rs b/src/_py/qdf.rs similarity index 100% rename from src/py/qdf.rs rename to src/_py/qdf.rs diff --git a/src/lib.rs b/src/lib.rs index 0e58b7e..f0fc571 100644 --- a/src/lib.rs +++ b/src/lib.rs @@ -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; diff --git a/src/panel/historic_vol.rs b/src/panel/historic_vol.rs index 50a72ad..74cdde5 100644 --- a/src/panel/historic_vol.rs +++ b/src/panel/historic_vol.rs @@ -48,6 +48,26 @@ fn flat_std(x: &Array1, 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> { 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()) }