mirror of
https://github.com/Magnus167/msyrs.git
synced 2025-08-20 09:40:00 +00:00
wip
This commit is contained in:
Palash Tyagi
parent
1ea698a1e2
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"outputs": [],
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"outputs": [],
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"source": [
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"source": [
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"DATA_FOLDER_PATH = \"E:/Work/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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"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_ID = os.getenv(\"DQ_CLIENT_ID\")\n",
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"DQ_CLIENT_SECRET = os.getenv(\"DQ_CLIENT_SECRET\")"
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"DQ_CLIENT_SECRET = os.getenv(\"DQ_CLIENT_SECRET\")"
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]
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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>i64</td><td>i64</td></tr></thead><tbody><tr><td>2010-03-03</td><td>"USD"</td><td>"ADPEMPL_SA_P1M1ML1"</td><td>-0.173806</td><td>3.0</td><td>3</td><td>33</td></tr><tr><td>2010-03-04</td><td>"USD"</td><td>"ADPEMPL_SA_P1M1ML1"</td><td>-0.173806</td><td>3.0</td><td>4</td><td>34</td></tr><tr><td>2010-03-05</td><td>"USD"</td><td>"ADPEMPL_SA_P1M1ML1"</td><td>-0.173806</td><td>3.0</td><td>5</td><td>35</td></tr><tr><td>2010-03-08</td><td>"USD"</td><td>"ADPEMPL_SA_P1M1ML1"</td><td>-0.173806</td><td>3.0</td><td>8</td><td>38</td></tr><tr><td>2010-03-09</td><td>"USD"</td><td>"ADPEMPL_SA_P1M1ML1"</td><td>-0.173806</td><td>3.0</td><td>9</td><td>39</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 ┆ i64 ┆ i64 │\n",
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"╞════════════╪═════╪════════════════════╪═══════════╪═════════╪═════════╪═════════╡\n",
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"│ 2010-03-03 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 3 ┆ 33 │\n",
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"│ 2010-03-04 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 4 ┆ 34 │\n",
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"│ 2010-03-05 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 5 ┆ 35 │\n",
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"│ 2010-03-08 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 8 ┆ 38 │\n",
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"│ 2010-03-09 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 9 ┆ 39 │\n",
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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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"source": [
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"dfpath = f\"{DATA_FOLDER_PATH}/data/ADPEMPL_SA_P1M1ML1/USD_ADPEMPL_SA_P1M1ML1.csv\"\n",
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"dfpath = f\"{DATA_FOLDER_PATH}/data/ADPEMPL_SA_P1M1ML1/USD_ADPEMPL_SA_P1M1ML1.csv\"\n",
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"\n",
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"\n",
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},
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": null,
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"execution_count": 5,
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@ -119,53 +151,118 @@
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"cell_type": "code",
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"execution_count": null,
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"execution_count": 6,
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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"source": [
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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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"# 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_id=DQ_CLIENT_ID,\n",
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" client_secret=DQ_CLIENT_SECRET,\n",
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"# client_secret=DQ_CLIENT_SECRET,\n",
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" tickers=tickers,\n",
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"# tickers=tickers,\n",
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")\n",
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"# )\n",
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"downloaded_df.head(5)"
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"# downloaded_df.head(5)"
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]
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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": null,
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"execution_count": 7,
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"metadata": {},
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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>i64</td><td>i64</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</td><td>223</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</td><td>224</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</td><td>227</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</td><td>228</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</td><td>229</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 ┆ i64 ┆ i64 │\n",
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"╞════════════╪═════╪══════════════════╪══════════╪═════════╪═════════╪═════════╡\n",
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"│ 1990-04-26 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 26 ┆ 223 │\n",
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"│ 1990-04-27 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 27 ┆ 224 │\n",
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"│ 1990-04-30 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 30 ┆ 227 │\n",
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"│ 1990-05-01 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 31 ┆ 228 │\n",
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"│ 1990-05-02 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 32 ┆ 229 │\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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"source": [
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"big_df: pl.DataFrame = msyrs.qdf.load_qdf_from_download_bank(\n",
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"big_df: pl.DataFrame = msyrs.qdf.load_qdf_from_download_bank(\n",
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" folder_path=DATA_FOLDER_PATH, tickers=tickers\n",
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" folder_path=DATA_FOLDER_PATH, xcats=xcats\n",
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")\n",
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")\n",
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"big_df.head(5)"
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"big_df.head(5)"
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]
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]
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},
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"execution_count": null,
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"metadata": {},
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"data": {
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"text/plain": [
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"275.7717933654785"
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},
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"execution_count": 8,
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"metadata": {},
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}
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],
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"source": [
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"source": [
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"big_df.estimated_size(\"mb\")"
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"big_df.estimated_size(\"mb\")"
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]
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]
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},
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"execution_count": null,
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"execution_count": 9,
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"metadata": {},
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{
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"text/plain": [
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"870.6678009033203"
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},
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"execution_count": 9,
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}
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],
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"source": [
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"source": [
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"big_df.to_pandas().memory_usage(deep=True).sum() / 1024**2"
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"big_df.to_pandas().memory_usage(deep=True).sum() / 1024**2"
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]
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]
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"cell_type": "code",
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"execution_count": null,
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"execution_count": 10,
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"metadata": {},
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{
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"211.74823188781738"
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},
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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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],
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"source": [
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"source": [
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"macrosynergy.management.types.QuantamentalDataFrame(big_df.to_pandas()).memory_usage(\n",
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"macrosynergy.management.types.QuantamentalDataFrame(big_df.to_pandas()).memory_usage(\n",
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" deep=True\n",
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" deep=True\n",
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@ -174,7 +271,7 @@
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"execution_count": null,
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"execution_count": null,
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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: (30, 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>2024-11-14</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.329188</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.826346</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.156683</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"CAD"</td><td>"EQXR_NSA"</td><td>0.199402</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"CAD"</td><td>"EQXR_NSA"</td><td>-0.696517</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>"GBP"</td><td>"EQXR_VT10"</td><td>-0.068778</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"GBP"</td><td>"EQXR_VT10"</td><td>0.488626</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><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></tbody></table></div>"
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],
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"text/plain": [
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"shape: (30, 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 ┆ i64 ┆ i64 │\n",
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"╞════════════╪═════╪═══════════╪═══════════╪═════════╪═════════╪═════════╡\n",
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"│ 2024-11-14 ┆ AUD ┆ EQXR_NSA ┆ 0.329188 ┆ 1.0 ┆ 0 ┆ 0 │\n",
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"│ 2024-11-15 ┆ AUD ┆ EQXR_NSA ┆ 0.826346 ┆ 1.0 ┆ 0 ┆ 0 │\n",
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||||||
|
"│ 2024-11-18 ┆ AUD ┆ EQXR_NSA ┆ 0.156683 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ CAD ┆ EQXR_NSA ┆ 0.199402 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ CAD ┆ EQXR_NSA ┆ -0.696517 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n",
|
||||||
|
"│ 2024-11-15 ┆ GBP ┆ EQXR_VT10 ┆ -0.068778 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ GBP ┆ EQXR_VT10 ┆ 0.488626 ┆ 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",
|
||||||
|
"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 12,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"eq_df = msyrs.qdf.reduce_dataframe(\n",
|
"eq_df = msyrs.qdf.reduce_dataframe(\n",
|
||||||
" df=big_df,\n",
|
" df=big_df,\n",
|
||||||
@ -199,7 +334,7 @@
|
|||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": null,
|
"execution_count": 13,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": [
|
"source": [
|
||||||
@ -211,9 +346,46 @@
|
|||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": null,
|
"execution_count": 14,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/html": [
|
||||||
|
"<div><style>\n",
|
||||||
|
".dataframe > thead > tr,\n",
|
||||||
|
".dataframe > tbody > tr {\n",
|
||||||
|
" text-align: right;\n",
|
||||||
|
" 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>2024-11-14</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.329188</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.826346</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"AUD"</td><td>"EQXR_NSA"</td><td>0.156683</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"CAD"</td><td>"EQXR_NSA"</td><td>0.199402</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"CAD"</td><td>"EQXR_NSA"</td><td>-0.696517</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"CAD"</td><td>"EQXR_NSA"</td><td>0.146961</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"EUR"</td><td>"EQXR_NSA"</td><td>2.024889</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"EUR"</td><td>"EQXR_NSA"</td><td>-0.661567</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"EUR"</td><td>"EQXR_NSA"</td><td>-0.145682</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"GBP"</td><td>"EQXR_NSA"</td><td>0.596533</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
|
||||||
|
],
|
||||||
|
"text/plain": [
|
||||||
|
"shape: (10, 7)\n",
|
||||||
|
"┌────────────┬─────┬──────────┬───────────┬─────────┬─────────┬─────────┐\n",
|
||||||
|
"│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n",
|
||||||
|
"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
|
||||||
|
"│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n",
|
||||||
|
"╞════════════╪═════╪══════════╪═══════════╪═════════╪═════════╪═════════╡\n",
|
||||||
|
"│ 2024-11-14 ┆ AUD ┆ EQXR_NSA ┆ 0.329188 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ AUD ┆ EQXR_NSA ┆ 0.826346 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ AUD ┆ EQXR_NSA ┆ 0.156683 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ CAD ┆ EQXR_NSA ┆ 0.199402 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ CAD ┆ EQXR_NSA ┆ -0.696517 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ CAD ┆ EQXR_NSA ┆ 0.146961 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ EUR ┆ EQXR_NSA ┆ 2.024889 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ EUR ┆ EQXR_NSA ┆ -0.661567 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ EUR ┆ EQXR_NSA ┆ -0.145682 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ GBP ┆ EQXR_NSA ┆ 0.596533 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"└────────────┴─────┴──────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 14,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"new_df: pl.DataFrame = msyrs.qdf.update_dataframe(df=eq_df, df_add=fx_df)\n",
|
"new_df: pl.DataFrame = msyrs.qdf.update_dataframe(df=eq_df, df_add=fx_df)\n",
|
||||||
"\n",
|
"\n",
|
||||||
@ -222,9 +394,46 @@
|
|||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": null,
|
"execution_count": 15,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/html": [
|
||||||
|
"<div><style>\n",
|
||||||
|
".dataframe > thead > tr,\n",
|
||||||
|
".dataframe > tbody > tr {\n",
|
||||||
|
" text-align: right;\n",
|
||||||
|
" 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>2024-11-18</td><td>"AUD"</td><td>"FXXR_VT10"</td><td>0.518501</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"CAD"</td><td>"FXXR_VT10"</td><td>-1.132314</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"CAD"</td><td>"FXXR_VT10"</td><td>-1.755605</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"CAD"</td><td>"FXXR_VT10"</td><td>0.751675</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>"EUR"</td><td>"FXXR_VT10"</td><td>-0.292422</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>"EUR"</td><td>"FXXR_VT10"</td><td>-0.855108</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>"EUR"</td><td>"FXXR_VT10"</td><td>0.791866</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></tbody></table></div>"
|
||||||
|
],
|
||||||
|
"text/plain": [
|
||||||
|
"shape: (10, 7)\n",
|
||||||
|
"┌────────────┬─────┬───────────┬───────────┬─────────┬─────────┬─────────┐\n",
|
||||||
|
"│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n",
|
||||||
|
"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
|
||||||
|
"│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n",
|
||||||
|
"╞════════════╪═════╪═══════════╪═══════════╪═════════╪═════════╪═════════╡\n",
|
||||||
|
"│ 2024-11-18 ┆ AUD ┆ FXXR_VT10 ┆ 0.518501 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ CAD ┆ FXXR_VT10 ┆ -1.132314 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ CAD ┆ FXXR_VT10 ┆ -1.755605 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ CAD ┆ FXXR_VT10 ┆ 0.751675 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-14 ┆ EUR ┆ FXXR_VT10 ┆ -0.292422 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-15 ┆ EUR ┆ FXXR_VT10 ┆ -0.855108 ┆ 1.0 ┆ 0 ┆ 0 │\n",
|
||||||
|
"│ 2024-11-18 ┆ EUR ┆ FXXR_VT10 ┆ 0.791866 ┆ 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",
|
||||||
|
"└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 15,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"new_df.tail(10)"
|
"new_df.tail(10)"
|
||||||
]
|
]
|
||||||
@ -232,7 +441,7 @@
|
|||||||
],
|
],
|
||||||
"metadata": {
|
"metadata": {
|
||||||
"kernelspec": {
|
"kernelspec": {
|
||||||
"display_name": ".venv",
|
"display_name": "Python 3 (ipykernel)",
|
||||||
"language": "python",
|
"language": "python",
|
||||||
"name": "python3"
|
"name": "python3"
|
||||||
},
|
},
|
||||||
@ -246,9 +455,9 @@
|
|||||||
"name": "python",
|
"name": "python",
|
||||||
"nbconvert_exporter": "python",
|
"nbconvert_exporter": "python",
|
||||||
"pygments_lexer": "ipython3",
|
"pygments_lexer": "ipython3",
|
||||||
"version": "3.12.7"
|
"version": "3.11.0"
|
||||||
}
|
}
|
||||||
},
|
},
|
||||||
"nbformat": 4,
|
"nbformat": 4,
|
||||||
"nbformat_minor": 2
|
"nbformat_minor": 4
|
||||||
}
|
}
|
||||||
|
|||||||
@ -3,6 +3,7 @@ pub mod update_df;
|
|||||||
pub mod load;
|
pub mod load;
|
||||||
pub mod reduce_df;
|
pub mod reduce_df;
|
||||||
pub mod pivots;
|
pub mod pivots;
|
||||||
|
|
||||||
// Re-export submodules for easier access
|
// Re-export submodules for easier access
|
||||||
pub use core::*;
|
pub use core::*;
|
||||||
pub use update_df::*;
|
pub use update_df::*;
|
||||||
|
|||||||
@ -79,3 +79,12 @@ fn split_df_by_tickers(df: &DataFrame) -> Result<HashMap<String, DataFrame>, Box
|
|||||||
|
|
||||||
Ok(df_outs)
|
Ok(df_outs)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
fn single_ticker_qdf_to_timeseries(df: &DataFrame) -> Result<Vec<DataFrame>, Box<dyn Error>> {
|
||||||
|
let mut df_vec = Vec::new();
|
||||||
|
|
||||||
|
// copy the date col
|
||||||
|
// let date_col =
|
||||||
|
|
||||||
|
Ok(vec![df.to_owned()])
|
||||||
|
}
|
||||||
|
|||||||
Loading…
x
Reference in New Issue
Block a user