mirror of
https://github.com/Magnus167/msyrs.git
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updated python ntoebook
This commit is contained in:
Palash Tyagi
parent
b72a9b3441
commit
6ea183419a
@ -12,55 +12,64 @@
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"# source .venv/bin/activate\n",
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"./.venv/Scripts/activate\n",
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"\n",
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"pip install maturin\n",
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"pip install maturin ipywidgets\n",
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"\n",
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"maturin develop --release\n",
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"```"
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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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"metadata": {},
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"source": [
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"### Import Python packages\n"
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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": 1,
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"execution_count": null,
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"metadata": {},
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"outputs": [
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{
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"name": "stderr",
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"output_type": "stream",
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"text": [
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"e:\\Work\\ruzt\\msyrs\\.venv\\Lib\\site-packages\\tqdm\\auto.py:21: TqdmWarning: IProgress not found. Please update jupyter and ipywidgets. See https://ipywidgets.readthedocs.io/en/stable/user_install.html\n",
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" from .autonotebook import tqdm as notebook_tqdm\n"
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]
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}
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],
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"outputs": [],
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"source": [
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"import macrosynergy\n",
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"import pandas as pd\n",
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"import numpy as np\n"
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"import numpy as np\n",
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"import polars as pl\n",
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"import os"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"### Import Python bindings - `msyrs`\n"
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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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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import msyrs\n",
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"import polars as pl"
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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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"metadata": {},
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"outputs": [],
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"source": [
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"DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\""
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"import msyrs"
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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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"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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"\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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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {},
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"outputs": [
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{
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"data": {
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@ -89,7 +98,7 @@
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"└────────────┴─────┴────────────────────┴───────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 4,
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"execution_count": 5,
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"metadata": {},
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"output_type": "execute_result"
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}
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@ -104,7 +113,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"execution_count": 6,
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"metadata": {},
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"outputs": [],
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"source": [
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@ -115,8 +124,7 @@
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"ecos = \"CPIC_SA_P1M1ML12.CPIC_SJA_P3M3ML3AR.CPIC_SJA_P6M6ML6AR.CPIH_SA_P1M1ML12.CPIH_SJA_P3M3ML3AR.CPIH_SJA_P6M6ML6AR.INFTEFF_NSA.INTRGDP_NSA_P1M1ML12_3MMA.INTRGDPv5Y_NSA_P1M1ML12_3MMA.PCREDITGDP_SJA_D1M1ML12.RGDP_SA_P1Q1QL4_20QMA.RYLDIRS02Y_NSA.RYLDIRS05Y_NSA.PCREDITBN_SJA_P1M1ML12\".split(\n",
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" \".\"\n",
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")\n",
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"[\"CPIC\", \"CPIH\", \"INFTEFF\", \"INTRGDP\", \"INTRGDPv5Y\", \"PCREDITGDP\", \"RGDP\", \"RYLDIRS\", \"PCREDITBN\"]\n",
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"[\"\"]\n",
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"\n",
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"\n",
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"mkts = \"DU02YXR_NSA.DU05YXR_NSA.DU02YXR_VT10.DU05YXR_VT10.EQXR_NSA.EQXR_VT10.FXXR_NSA.FXXR_VT10.FXCRR_NSA.FXTARGETED_NSA.FXUNTRADABLE_NSA\".split(\n",
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" \".\"\n",
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@ -128,7 +136,53 @@
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},
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{
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"cell_type": "code",
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"execution_count": 6,
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"execution_count": 7,
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"metadata": {},
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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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]
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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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{
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@ -158,7 +212,7 @@
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"└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 6,
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"execution_count": 8,
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"metadata": {},
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"output_type": "execute_result"
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}
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@ -172,7 +226,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"execution_count": 9,
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"metadata": {},
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"outputs": [],
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"source": [
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@ -182,7 +236,7 @@
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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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"execution_count": 10,
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"metadata": {},
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"outputs": [
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{
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@ -218,7 +272,7 @@
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"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 8,
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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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@ -235,7 +289,7 @@
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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": 11,
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"metadata": {},
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"outputs": [],
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"source": [
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@ -247,7 +301,7 @@
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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": 12,
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"metadata": {},
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"outputs": [
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{
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@ -282,7 +336,7 @@
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"└────────────┴─────┴──────────┴───────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 10,
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"execution_count": 12,
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"metadata": {},
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"output_type": "execute_result"
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}
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@ -295,7 +349,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 11,
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"execution_count": 13,
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"metadata": {},
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"outputs": [
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{
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@ -330,7 +384,7 @@
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"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
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]
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},
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"execution_count": 11,
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"execution_count": 13,
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"metadata": {},
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"output_type": "execute_result"
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}
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