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https://github.com/Magnus167/msyrs.git
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docs: update README with Jupyter setup instructions and add test notebook for data download
This commit is contained in:
Palash Tyagi
parent
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README.md
43
README.md
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A Rust implementation of the [Macrosynergy Python Package](https://github.com/macrosynergy/macrosynergy).
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## Running Notebook
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```bash
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cargo install evcxr_jupyter
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evcxr_jupyter --install
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pip install jupyterlab
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jupyter lab
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```
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Or try following this guide here: [DataCrayon - Setup Jupyter with Rust](https://datacrayon.com/data-analysis-with-rust-notebooks/setup-anaconda-jupyter-and-rust/)
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## Status
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- Download
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- [x] Get Catalogue
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- [x] Get Generic DQ Time Series
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- [x] Get JPMaQS Indicators as Polars DataFrame
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- [ ] Save to disk functionality
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- [x] Hacky iterative method
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- [ ] Non-hacky way to save to disk
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- [x] Get Catalogue
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- [x] Get Generic DQ Time Series
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- [x] Get JPMaQS Indicators as Polars DataFrame
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- [ ] Save to disk functionality
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- [x] Hacky iterative method
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- [ ] Non-hacky way to save to disk
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- Utils
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- [ ] Reduce DF
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- [ ] Apply Blacklist
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- [ ] Update DF
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- [ ] Reduce DF
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- [ ] Apply Blacklist
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- [ ] Update DF
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- Panel
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- [ ] Historic Volatility
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- [ ] Linear Composites
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- [ ] Make Relative Value
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- [ ] Imputers
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- [ ] Panel Calculator !?!
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- [ ] Historic Volatility
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- [ ] Linear Composites
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- [ ] Make Relative Value
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- [ ] Imputers
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- [ ] Panel Calculator !?!
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220
notebooks/test-notebook.ipynb
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notebooks/test-notebook.ipynb
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{
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"cells": [
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{
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"cell_type": "markdown",
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"id": "8d04a212-4025-41d7-809e-864649b08ab5",
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"metadata": {},
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"source": [
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"## Setup kernel"
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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": 2,
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"id": "9edf8272-762c-48c6-a003-2b4f484471b1",
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"metadata": {},
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"outputs": [],
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"source": [
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":dep msyrs = { path = \"../../msyrs\" }\n",
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":dep polars"
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]
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},
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{
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"cell_type": "markdown",
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"id": "0c8ac34a-d0e5-458d-81a3-f7825ad50612",
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"metadata": {},
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"source": [
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"## Download data"
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]
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},
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{
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"cell_type": "markdown",
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"id": "3ba562d3-2f32-4da3-891e-451288077530",
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"metadata": {},
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"source": [
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"### Import download functions"
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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": 3,
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"id": "137d6b3e-498d-48b1-8e3c-2f9fedfb64e2",
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"metadata": {},
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"outputs": [],
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"source": [
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"use msyrs::download::jpmaqsdownload::JPMaQSDownload;\n",
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"use msyrs::download::jpmaqsdownload::JPMaQSDownloadGetIndicatorArgs;\n",
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"use polars::prelude::*;"
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]
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},
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{
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"cell_type": "markdown",
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"id": "677da413-44b1-4746-b723-c17b0ff0c8a8",
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"metadata": {},
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"source": [
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"### Check connection"
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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": 4,
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"id": "6bcbfc0c-8249-4253-80b9-257115b50055",
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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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"Connection is successful: 200 OK\n",
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"Connection to DataQuery API successful\n"
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]
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},
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{
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"data": {
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"text/plain": [
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"()"
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]
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},
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"execution_count": 4,
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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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"let mut jpamqs_download = JPMaQSDownload::default();\n",
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"\n",
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"match jpamqs_download.check_connection() {\n",
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" Ok(_) => println!(\"Connection to DataQuery API successful\"),\n",
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" Err(e) => println!(\"Error connecting to DataQuery API: {:?}\", e),\n",
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"}"
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]
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},
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{
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"cell_type": "markdown",
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"id": "612e565f-4fa6-400b-a5ac-a4358dbc05ef",
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"metadata": {},
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"source": [
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"### Get catalogue"
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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": 14,
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"id": "9ac7096a-fae8-43e9-9584-c5f055a9f14e",
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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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"AED_FCBICRY_NSA, AED_FCBICRY_VT10, AED_FCBIR_NSA, AED_FCBIXR_NSA, AED_FCBIXR_VT10, AED_GGDGDPRATIO_NSA, AED_GGEGDPRATIO_NSA, AED_GGOBGDPRATIO_NSA, AED_GGPBGDPRATIO_NSA, AED_GGRGDPRATIO_NSA, AED_LTFCRATING_NSA, AED_LTLCRATING_NSA, ALM_COCRR_NSA, ALM_COCRR_SA, ALM_COCRR_SAVT10, ALM_COCRR_VT10, ALM_COCRY_NSA, ALM_COCRY_SA, ALM_COCRY_SAVT10, ALM_COCRY_VT10, ALM_COXR_NSA, ALM_COXR_VT10, ALM_COXRxEASD_NSA, ALM_COXRxLEV10_NSA, ALM_XINVCN_SA, ALM_XINVLME_SA, ALM_XINVSCORECN_SA, ALM_XINVSCORECN_SA_3MMA, ALM_XINVSCORECN_SA_3MMA_D1M1ML12, ALM_XINVSCORECN_SA_D1M1ML1, ALM_XINVSCORECN_SA_D3M3ML3, ALM_XINVSCORECN_SA_D6M6ML6, ALM_XINVSCORELME_SA, ALM_XINVSCORELME_SA_3MMA, ALM_XINVSCORELME_SA_3MMA_D1M1ML12, ALM_XINVSCORELME_SA_D1M1ML1, ALM_XINVSCORELME_SA_D3M3ML3, ALM_XINVSCORELME_SA_D6M6ML6, ALM_XINVSCOREUS_SA, ALM_XINVSCOREUS_SA_3MMA, ALM_XINVSCOREUS_SA_3MMA_D1M1ML12, ALM_XINVSCOREUS_SA_D1M1ML1, ALM_XINVSCOREUS_SA_D3M3ML3, ALM_XINVSCOREUS_SA_D6M6ML6, ALM_XINVUS_SA, ARS_GGOBGDPRATIO_NSA, ARS_GGPBGDPRATIO_NSA, ARS_IIPLIABGDP_NSA, ARS_IIPLIABGDP_NSA_D1M1ML12, ARS_IIPLIABGDP_NSA_D1Mv2YMA, ARS_IIPLIABGDP_NSA_D1Mv5YMA, ARS_LTFCRATING_NSA, ARS_LTLCRATING_NSA, ARS_NIIPGDP_NSA, ARS_NIIPGDP_NSA_D1M1ML12, ARS_NIIPGDP_NSA_D1Mv2YMA, ARS_NIIPGDP_NSA_D1Mv5YMA, AUD_ALLIFCDSGDP_NSA, AUD_BXBGDPRATIO_NSA_12MMA, AUD_BXBGDPRATIO_NSA_12MMA_D1M1ML3, AUD_BXBGDPRATIO_NSA_12MMAv120MMA, AUD_BXBGDPRATIO_NSA_12MMAv60MMA, AUD_CABGDPRATIO_NSA_12MMA, AUD_CABGDPRATIO_SA, AUD_CABGDPRATIO_SA_1QMA_D1Q1QL1, AUD_CABGDPRATIO_SA_1QMAv20QMA, AUD_CABGDPRATIO_SA_2QMA_D1Q1QL2, AUD_CCSCORE_SA, AUD_CCSCORE_SA_3MMA, AUD_CCSCORE_SA_3MMA_D1M1ML12, AUD_CCSCORE_SA_D1M1ML1, AUD_CCSCORE_SA_D3M3ML3, AUD_CCSCORE_SA_D6M6ML6, AUD_CDS02YCRYHvGDRB_NSA, AUD_CDS02YCRY_NSA, AUD_CDS02YCRY_VT10, AUD_CDS02YSPRD_NSA, AUD_CDS02YXRHvGDRB_NSA, AUD_CDS02YXR_NSA, AUD_CDS02YXR_VT10, AUD_CDS02YXRxEASD_NSA, AUD_CDS02YXRxLEV10_NSA, AUD_CDS05YCRYHvGDRB_NSA, AUD_CDS05YCRY_NSA, AUD_CDS05YCRY_VT10, AUD_CDS05YSPRD_NSA, AUD_CDS05YXRHvGDRB_NSA, AUD_CDS05YXR_NSA, AUD_CDS05YXR_VT10, AUD_CDS05YXRxEASD_NSA, AUD_CDS05YXRxLEV10_NSA, AUD_CDS10YCRYHvGDRB_NSA, AUD_CDS10YCRY_NSA, AUD_CDS10YCRY_VT10, AUD_CDS10YSPRD_NSA, AUD_CDS10YXRHvGDRB_NSA, AUD_CDS10YXR_NSA, AUD_CDS10YXR_VT10, AUD_CDS10YXRxEASD_NSA, AUD_CDS10YXRxLEV10_NSA, \n"
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]
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}
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],
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"source": [
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"let tickers: Vec<String> = jpamqs_download.get_catalogue().unwrap();\n",
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"let some_tickers = tickers.iter().take(100).map(|s| s.to_string()).collect::<Vec<String>>();\n",
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"for ticker in some_tickers.clone() {\n",
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" print!(\"{}, \", ticker);\n",
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"}\n",
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"println!(\"\");"
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]
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},
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{
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"cell_type": "markdown",
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"id": "f3a0bb91-3b3a-4c7e-959e-37311827b884",
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"metadata": {},
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"source": [
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"### Setup download args"
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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": 15,
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"id": "45b1f5fa-d99b-4f24-9b0b-1e04f484efc2",
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"metadata": {},
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"outputs": [],
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"source": [
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"\n",
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"// setup arguments\n",
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"\n",
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"let all_metrics: Vec<String> = [\"value\", \"grading\", \"eop_lag\", \"mop_lag\"]\n",
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" .iter()\n",
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" .map(|x| x.to_string())\n",
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" .collect();\n",
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"\n",
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"let download_args = JPMaQSDownloadGetIndicatorArgs {\n",
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" tickers: some_tickers,\n",
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" start_date: \"2024-11-11\".to_string(),\n",
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" // metrics: all_metrics // defaults to all metrics\n",
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" ..Default::default()\n",
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"};\n"
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]
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},
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{
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"cell_type": "markdown",
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"id": "52d4ec91-a024-4f83-aaec-692f5d2645f9",
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"metadata": {},
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"source": [
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"### Download data as a dataframe"
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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": 17,
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"id": "12e7055b-c68f-4b6e-9bb3-43c1886dab97",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"shape: (100, 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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"│ 2024-11-11 ┆ AED ┆ FCBICRY_NSA ┆ 5.133382 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
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"│ 2024-11-12 ┆ AED ┆ FCBICRY_NSA ┆ 5.170067 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
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"│ 2024-11-13 ┆ AED ┆ FCBICRY_NSA ┆ 5.187262 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
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"│ 2024-11-11 ┆ AED ┆ FCBICRY_VT10 ┆ 13.853753 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
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"│ 2024-11-12 ┆ AED ┆ FCBICRY_VT10 ┆ 13.952759 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
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"│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n",
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"│ 2024-11-12 ┆ ALM ┆ XINVSCORELME_SA_D3M3ML3 ┆ 0.100629 ┆ 1.0 ┆ 12.0 ┆ 103.0 │\n",
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"│ 2024-11-13 ┆ ALM ┆ XINVSCORELME_SA_D3M3ML3 ┆ 0.100629 ┆ 1.0 ┆ 13.0 ┆ 104.0 │\n",
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"│ 2024-11-11 ┆ ALM ┆ XINVSCORELME_SA_D6M6ML6 ┆ 0.467025 ┆ 1.0 ┆ 11.0 ┆ 193.0 │\n",
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"│ 2024-11-12 ┆ ALM ┆ XINVSCORELME_SA_D6M6ML6 ┆ 0.467025 ┆ 1.0 ┆ 12.0 ┆ 194.0 │\n",
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"│ 2024-11-13 ┆ ALM ┆ XINVSCORELME_SA_D6M6ML6 ┆ 0.467025 ┆ 1.0 ┆ 13.0 ┆ 195.0 │\n",
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"└────────────┴─────┴─────────────────────────┴───────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 17,
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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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"let res_df: DataFrame = jpamqs_download.get_indicators_qdf(download_args).unwrap();\n",
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"\n",
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"res_df.head(Some(100))"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Rust",
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"language": "rust",
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"name": "rust"
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},
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"language_info": {
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"codemirror_mode": "rust",
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"file_extension": ".rs",
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"mimetype": "text/rust",
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"name": "Rust",
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"pygment_lexer": "rust",
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"version": ""
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}
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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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