mirror of
https://github.com/Magnus167/msyrs.git
synced 2025-08-20 08:19:59 +00:00
Merge pull request #1 from Magnus167/qdf
Adding QDF related functionality and exemplar implementation of HistoricVol
This commit is contained in:
Palash Tyagi
GitHub
commit
c10b6adfcd
3
.gitignore
vendored
3
.gitignore
vendored
@ -8,4 +8,5 @@ __pycache__/
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.idea/
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.idea/
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/target
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/target
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build/
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build/
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data/
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data/
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Cargo.lock
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Cargo.lock
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Cargo.lock
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Load Diff
430
Cargo.toml
430
Cargo.toml
@ -32,436 +32,26 @@ ndarray = { version = "*" }
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pyo3 = { version = "*", features = ["extension-module", "abi3-py37"] }
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pyo3 = { version = "*", features = ["extension-module", "abi3-py37"] }
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pyo3-polars = { git = "https://github.com/Magnus167/pyo3-polars.git" }
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# pyo3-polars = { git = "https://github.com/Magnus167/pyo3-polars.git", features = [
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# "dtype-categorical",
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# ] }
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pyo3-polars = { version = "0.18.0" , features = [
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"dtype-categorical",
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"dtype-struct",
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] }
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polars = { version = "*", features = [
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polars = { version = "0.44.2", features = [
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"lazy",
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"lazy",
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"temporal",
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"temporal",
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"describe",
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"describe",
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"json",
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"json",
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"parquet",
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"parquet",
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"dtype-datetime",
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"dtype-datetime",
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# "dtype-categorical",
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"dtype-categorical",
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"dtype-struct",
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"strings",
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"strings",
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"timezones",
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"timezones",
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"ndarray",
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"ndarray",
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"concat_str",
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"concat_str",
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"dynamic_group_by",
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"dynamic_group_by",
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] }
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] }
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# "serde-lazy",
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# "parquet",
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# "decompress",
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# "zip",
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# "gzip",
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# "dynamic_group_by",
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# "rows",
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# "cross_join",
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# "semi_anti_join",
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# "row_hash",
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# "diagonal_concat",
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# "dataframe_arithmetic",
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# "partition_by",
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# "is_in",
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# "zip_with",
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# "round_series",
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# "repeat_by",
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# "is_first_distinct",
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# "is_last_distinct",
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# "checked_arithmetic",
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# "dot_product",
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# "reinterpret",
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# "take_opt_iter",
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# "mode",
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# "cum_agg",
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# "rolling_window",
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# "interpolate",
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# "rank",
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# "moment",
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# "ewma",
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# "abs",
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# "product",
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# "diff",
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# "pct_change",
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# "unique_counts",
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# "log",
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# "list_to_struct",
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# "list_count",
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# "list_eval",
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# "cumulative_eval",
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# "arg_where",
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# "search_sorted",
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# "offset_by",
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# "trigonometry",
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# "sign",
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# "propagate_nans",
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##########################################################################################
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# hashbrown v0.14.5
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# ├── halfbrown v0.2.5
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# │ ├── simd-json v0.14.3
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# │ │ ├── polars-io v0.44.2
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# │ │ │ ├── polars v0.44.2
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# │ │ │ │ ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
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# │ │ │ │ └── pyo3-polars v0.18.0
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# │ │ │ │ └── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
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# │ │ │ ├── polars-expr v0.44.2
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# │ │ │ │ ├── polars-lazy v0.44.2
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# │ │ │ │ │ └── polars v0.44.2 (*)
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# │ │ │ │ └── polars-mem-engine v0.44.2
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# │ │ │ │ └── polars-lazy v0.44.2 (*)
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# │ │ │ ├── polars-lazy v0.44.2 (*)
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# │ │ │ ├── polars-mem-engine v0.44.2 (*)
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# │ │ │ └── polars-plan v0.44.2
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# │ │ │ ├── polars-expr v0.44.2 (*)
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# │ │ │ ├── polars-lazy v0.44.2 (*)
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# │ │ │ └── polars-mem-engine v0.44.2 (*)
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# │ │ └── polars-json v0.44.2
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# │ │ ├── polars-io v0.44.2 (*)
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# │ │ ├── polars-lazy v0.44.2 (*)
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# │ │ ├── polars-mem-engine v0.44.2 (*)
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# │ │ └── polars-plan v0.44.2 (*)
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# │ └── value-trait v0.10.1
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# │ └── simd-json v0.14.3 (*)
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# └── polars-core v0.44.2
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# ├── polars v0.44.2 (*)
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# ├── polars-expr v0.44.2 (*)
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# ├── polars-io v0.44.2 (*)
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# ├── polars-lazy v0.44.2 (*)
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# ├── polars-mem-engine v0.44.2 (*)
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# ├── polars-ops v0.44.2
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# │ ├── polars v0.44.2 (*)
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# │ ├── polars-expr v0.44.2 (*)
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# │ ├── polars-lazy v0.44.2 (*)
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# │ ├── polars-mem-engine v0.44.2 (*)
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# │ ├── polars-plan v0.44.2 (*)
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# │ └── polars-time v0.44.2
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# │ ├── polars v0.44.2 (*)
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# │ ├── polars-expr v0.44.2 (*)
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||||||
# │ ├── polars-io v0.44.2 (*)
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|
||||||
# │ ├── polars-lazy v0.44.2 (*)
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||||||
# │ ├── polars-mem-engine v0.44.2 (*)
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|
||||||
# │ └── polars-plan v0.44.2 (*)
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|
||||||
# ├── polars-plan v0.44.2 (*)
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|
||||||
# ├── polars-time v0.44.2 (*)
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# └── pyo3-polars v0.18.0 (*)
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# hashbrown v0.15.1
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# ├── indexmap v2.6.0
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# │ ├── h2 v0.4.6
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# │ │ ├── hyper v1.5.0
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# │ │ │ ├── hyper-tls v0.6.0
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# │ │ │ │ └── reqwest v0.12.9
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# │ │ │ │ └── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
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# │ │ │ ├── hyper-util v0.1.10
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# │ │ │ │ ├── hyper-tls v0.6.0 (*)
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# │ │ │ │ └── reqwest v0.12.9 (*)
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||||||
# │ │ │ └── reqwest v0.12.9 (*)
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|
||||||
# │ │ └── reqwest v0.12.9 (*)
|
|
||||||
# │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ ├── polars-json v0.44.2 (*)
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|
||||||
# │ ├── polars-ops v0.44.2 (*)
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||||||
# │ ├── polars-schema v0.44.2
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|
||||||
# │ │ ├── polars-arrow v0.44.2
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||||||
# │ │ │ ├── polars v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-compute v0.44.2
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|
||||||
# │ │ │ │ ├── polars-core v0.44.2 (*)
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||||||
# │ │ │ │ ├── polars-expr v0.44.2 (*)
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||||||
# │ │ │ │ ├── polars-ops v0.44.2 (*)
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|
||||||
# │ │ │ │ └── polars-parquet v0.44.2
|
|
||||||
# │ │ │ │ ├── polars v0.44.2 (*)
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|
||||||
# │ │ │ │ ├── polars-io v0.44.2 (*)
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||||||
# │ │ │ │ └── polars-plan v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-core v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-expr v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-io v0.44.2 (*)
|
|
||||||
# │ │ │ ├── polars-json v0.44.2 (*)
|
|
||||||
# │ │ │ ├── polars-lazy v0.44.2 (*)
|
|
||||||
# │ │ │ ├── polars-mem-engine v0.44.2 (*)
|
|
||||||
# │ │ │ ├── polars-ops v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-parquet v0.44.2 (*)
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|
||||||
# │ │ │ ├── polars-plan v0.44.2 (*)
|
|
||||||
# │ │ │ ├── polars-row v0.44.2
|
|
||||||
# │ │ │ │ ├── polars-core v0.44.2 (*)
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|
||||||
# │ │ │ │ └── polars-expr v0.44.2 (*)
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|
||||||
# │ │ │ └── polars-time v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-core v0.44.2 (*)
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|
||||||
# │ │ ├── polars-io v0.44.2 (*)
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|
||||||
# │ │ └── polars-ops v0.44.2 (*)
|
|
||||||
# │ └── polars-utils v0.44.2
|
|
||||||
# │ ├── polars v0.44.2 (*)
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|
||||||
# │ ├── polars-arrow v0.44.2 (*)
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|
||||||
# │ ├── polars-compute v0.44.2 (*)
|
|
||||||
# │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ ├── polars-expr v0.44.2 (*)
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|
||||||
# │ ├── polars-io v0.44.2 (*)
|
|
||||||
# │ ├── polars-json v0.44.2 (*)
|
|
||||||
# │ ├── polars-lazy v0.44.2 (*)
|
|
||||||
# │ ├── polars-mem-engine v0.44.2 (*)
|
|
||||||
# │ ├── polars-ops v0.44.2 (*)
|
|
||||||
# │ ├── polars-parquet v0.44.2 (*)
|
|
||||||
# │ ├── polars-plan v0.44.2 (*)
|
|
||||||
# │ ├── polars-row v0.44.2 (*)
|
|
||||||
# │ ├── polars-schema v0.44.2 (*)
|
|
||||||
# │ └── polars-time v0.44.2 (*)
|
|
||||||
# ├── polars-arrow v0.44.2 (*)
|
|
||||||
# ├── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-expr v0.44.2 (*)
|
|
||||||
# ├── polars-io v0.44.2 (*)
|
|
||||||
# ├── polars-json v0.44.2 (*)
|
|
||||||
# ├── polars-ops v0.44.2 (*)
|
|
||||||
# ├── polars-parquet v0.44.2 (*)
|
|
||||||
# ├── polars-plan v0.44.2 (*)
|
|
||||||
# └── polars-utils v0.44.2 (*)
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|
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|
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# heck v0.4.1
|
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# └── pyo3-macros-backend v0.21.2
|
|
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# └── pyo3-macros v0.21.2 (proc-macro)
|
|
||||||
# └── pyo3 v0.21.2
|
|
||||||
# ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# └── pyo3-polars v0.18.0 (*)
|
|
||||||
|
|
||||||
# heck v0.5.0
|
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||||||
# └── strum_macros v0.26.4 (proc-macro)
|
|
||||||
# ├── comfy-table v7.1.3
|
|
||||||
# │ └── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-arrow v0.44.2 (*)
|
|
||||||
# ├── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-ops v0.44.2 (*)
|
|
||||||
# ├── polars-plan v0.44.2 (*)
|
|
||||||
# └── polars-time v0.44.2 (*)
|
|
||||||
|
|
||||||
# rand v0.8.5
|
|
||||||
# ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# ├── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-expr v0.44.2 (*)
|
|
||||||
# └── rand_distr v0.4.3
|
|
||||||
# └── polars-core v0.44.2 (*)
|
|
||||||
|
|
||||||
# rand v0.8.5
|
|
||||||
# └── phf_generator v0.11.2
|
|
||||||
# └── phf_codegen v0.11.2
|
|
||||||
# └── chrono-tz-build v0.2.1
|
|
||||||
# [build-dependencies]
|
|
||||||
# └── chrono-tz v0.8.6
|
|
||||||
# ├── polars-arrow v0.44.2 (*)
|
|
||||||
# ├── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-io v0.44.2 (*)
|
|
||||||
# ├── polars-json v0.44.2 (*)
|
|
||||||
# ├── polars-ops v0.44.2 (*)
|
|
||||||
# ├── polars-plan v0.44.2 (*)
|
|
||||||
# └── polars-time v0.44.2 (*)
|
|
||||||
|
|
||||||
# rand_core v0.6.4
|
|
||||||
# └── rand v0.8.5 (*)
|
|
||||||
|
|
||||||
# rand_core v0.6.4
|
|
||||||
# ├── rand v0.8.5 (*)
|
|
||||||
# └── rand_chacha v0.3.1
|
|
||||||
# └── rand v0.8.5 (*)
|
|
||||||
|
|
||||||
# regex v1.11.1
|
|
||||||
# ├── polars-core v0.44.2 (*)
|
|
||||||
# ├── polars-error v0.44.2
|
|
||||||
# │ ├── polars v0.44.2 (*)
|
|
||||||
# │ ├── polars-arrow v0.44.2 (*)
|
|
||||||
# │ ├── polars-compute v0.44.2 (*)
|
|
||||||
# │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ ├── polars-io v0.44.2 (*)
|
|
||||||
# │ ├── polars-json v0.44.2 (*)
|
|
||||||
# │ ├── polars-mem-engine v0.44.2 (*)
|
|
||||||
# │ ├── polars-ops v0.44.2 (*)
|
|
||||||
# │ ├── polars-parquet v0.44.2 (*)
|
|
||||||
# │ ├── polars-row v0.44.2 (*)
|
|
||||||
# │ ├── polars-schema v0.44.2 (*)
|
|
||||||
# │ ├── polars-time v0.44.2 (*)
|
|
||||||
# │ └── polars-utils v0.44.2 (*)
|
|
||||||
# ├── polars-io v0.44.2 (*)
|
|
||||||
# ├── polars-ops v0.44.2 (*)
|
|
||||||
# ├── polars-plan v0.44.2 (*)
|
|
||||||
# └── polars-time v0.44.2 (*)
|
|
||||||
|
|
||||||
# regex v1.11.1
|
|
||||||
# └── parse-zoneinfo v0.3.1
|
|
||||||
# └── chrono-tz-build v0.2.1 (*)
|
|
||||||
|
|
||||||
# regex-automata v0.4.9
|
|
||||||
# └── regex v1.11.1 (*)
|
|
||||||
|
|
||||||
# regex-automata v0.4.9
|
|
||||||
# └── regex v1.11.1 (*)
|
|
||||||
|
|
||||||
# regex-syntax v0.8.5
|
|
||||||
# ├── polars-ops v0.44.2 (*)
|
|
||||||
# ├── regex v1.11.1 (*)
|
|
||||||
# └── regex-automata v0.4.9 (*)
|
|
||||||
|
|
||||||
# regex-syntax v0.8.5
|
|
||||||
# ├── regex v1.11.1 (*)
|
|
||||||
# └── regex-automata v0.4.9 (*)
|
|
||||||
|
|
||||||
# syn v1.0.109
|
|
||||||
# └── multiversion-macros v0.7.4 (proc-macro)
|
|
||||||
# └── multiversion v0.7.4
|
|
||||||
# └── polars-arrow v0.44.2 (*)
|
|
||||||
|
|
||||||
# syn v2.0.87
|
|
||||||
# ├── bytemuck_derive v1.8.0 (proc-macro)
|
|
||||||
# │ └── bytemuck v1.19.0
|
|
||||||
# │ ├── polars-arrow v0.44.2 (*)
|
|
||||||
# │ ├── polars-compute v0.44.2 (*)
|
|
||||||
# │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ ├── polars-ops v0.44.2 (*)
|
|
||||||
# │ ├── polars-parquet v0.44.2 (*)
|
|
||||||
# │ ├── polars-plan v0.44.2 (*)
|
|
||||||
# │ ├── polars-row v0.44.2 (*)
|
|
||||||
# │ ├── polars-time v0.44.2 (*)
|
|
||||||
# │ └── polars-utils v0.44.2 (*)
|
|
||||||
# ├── displaydoc v0.2.5 (proc-macro)
|
|
||||||
# │ ├── icu_collections v1.5.0
|
|
||||||
# │ │ ├── icu_normalizer v1.5.0
|
|
||||||
# │ │ │ └── idna_adapter v1.2.0
|
|
||||||
# │ │ │ └── idna v1.0.3
|
|
||||||
# │ │ │ └── url v2.5.3
|
|
||||||
# │ │ │ └── reqwest v0.12.9 (*)
|
|
||||||
# │ │ └── icu_properties v1.5.1
|
|
||||||
# │ │ ├── icu_normalizer v1.5.0 (*)
|
|
||||||
# │ │ └── idna_adapter v1.2.0 (*)
|
|
||||||
# │ ├── icu_locid v1.5.0
|
|
||||||
# │ │ ├── icu_locid_transform v1.5.0
|
|
||||||
# │ │ │ └── icu_properties v1.5.1 (*)
|
|
||||||
# │ │ └── icu_provider v1.5.0
|
|
||||||
# │ │ ├── icu_locid_transform v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_normalizer v1.5.0 (*)
|
|
||||||
# │ │ └── icu_properties v1.5.1 (*)
|
|
||||||
# │ ├── icu_locid_transform v1.5.0 (*)
|
|
||||||
# │ ├── icu_normalizer v1.5.0 (*)
|
|
||||||
# │ ├── icu_properties v1.5.1 (*)
|
|
||||||
# │ ├── icu_provider v1.5.0 (*)
|
|
||||||
# │ └── tinystr v0.7.6
|
|
||||||
# │ ├── icu_locid v1.5.0 (*)
|
|
||||||
# │ ├── icu_locid_transform v1.5.0 (*)
|
|
||||||
# │ ├── icu_properties v1.5.1 (*)
|
|
||||||
# │ └── icu_provider v1.5.0 (*)
|
|
||||||
# ├── futures-macro v0.3.31 (proc-macro)
|
|
||||||
# │ └── futures-util v0.3.31
|
|
||||||
# │ ├── futures v0.3.31
|
|
||||||
# │ │ └── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# │ ├── futures-executor v0.3.31
|
|
||||||
# │ │ └── futures v0.3.31 (*)
|
|
||||||
# │ ├── http-body-util v0.1.2
|
|
||||||
# │ │ ├── hyper-tls v0.6.0 (*)
|
|
||||||
# │ │ └── reqwest v0.12.9 (*)
|
|
||||||
# │ ├── hyper v1.5.0 (*)
|
|
||||||
# │ ├── hyper-util v0.1.10 (*)
|
|
||||||
# │ └── reqwest v0.12.9 (*)
|
|
||||||
# ├── icu_provider_macros v1.5.0 (proc-macro)
|
|
||||||
# │ └── icu_provider v1.5.0 (*)
|
|
||||||
# ├── pyo3-macros v0.21.2 (proc-macro) (*)
|
|
||||||
# ├── pyo3-macros-backend v0.21.2 (*)
|
|
||||||
# ├── recursive-proc-macro-impl v0.1.1 (proc-macro)
|
|
||||||
# │ └── recursive v0.1.1
|
|
||||||
# │ └── polars-plan v0.44.2 (*)
|
|
||||||
# ├── ref-cast-impl v1.0.23 (proc-macro)
|
|
||||||
# │ └── ref-cast v1.0.23
|
|
||||||
# │ └── simd-json v0.14.3 (*)
|
|
||||||
# ├── serde_derive v1.0.215 (proc-macro)
|
|
||||||
# │ └── serde v1.0.215
|
|
||||||
# │ ├── compact_str v0.8.0
|
|
||||||
# │ │ └── polars-utils v0.44.2 (*)
|
|
||||||
# │ ├── halfbrown v0.2.5 (*)
|
|
||||||
# │ ├── hashbrown v0.14.5 (*)
|
|
||||||
# │ ├── hashbrown v0.15.1 (*)
|
|
||||||
# │ ├── indexmap v2.6.0 (*)
|
|
||||||
# │ ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# │ ├── polars-arrow-format v0.1.0
|
|
||||||
# │ │ ├── polars-arrow v0.44.2 (*)
|
|
||||||
# │ │ └── polars-error v0.44.2 (*)
|
|
||||||
# │ ├── reqwest v0.12.9 (*)
|
|
||||||
# │ ├── serde_json v1.0.133
|
|
||||||
# │ │ ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# │ │ ├── reqwest v0.12.9 (*)
|
|
||||||
# │ │ └── simd-json v0.14.3 (*)
|
|
||||||
# │ ├── serde_urlencoded v0.7.1
|
|
||||||
# │ │ ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# │ │ └── reqwest v0.12.9 (*)
|
|
||||||
# │ └── simd-json v0.14.3 (*)
|
|
||||||
# ├── strum_macros v0.26.4 (proc-macro) (*)
|
|
||||||
# ├── synstructure v0.13.1
|
|
||||||
# │ ├── yoke-derive v0.7.4 (proc-macro)
|
|
||||||
# │ │ └── yoke v0.7.4
|
|
||||||
# │ │ ├── icu_collections v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_provider v1.5.0 (*)
|
|
||||||
# │ │ └── zerovec v0.10.4
|
|
||||||
# │ │ ├── icu_collections v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_locid v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_locid_transform v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_normalizer v1.5.0 (*)
|
|
||||||
# │ │ ├── icu_properties v1.5.1 (*)
|
|
||||||
# │ │ ├── icu_provider v1.5.0 (*)
|
|
||||||
# │ │ └── tinystr v0.7.6 (*)
|
|
||||||
# │ └── zerofrom-derive v0.1.4 (proc-macro)
|
|
||||||
# │ └── zerofrom v0.1.4
|
|
||||||
# │ ├── icu_collections v1.5.0 (*)
|
|
||||||
# │ ├── icu_provider v1.5.0 (*)
|
|
||||||
# │ ├── yoke v0.7.4 (*)
|
|
||||||
# │ └── zerovec v0.10.4 (*)
|
|
||||||
# ├── thiserror-impl v1.0.69 (proc-macro)
|
|
||||||
# │ └── thiserror v1.0.69
|
|
||||||
# │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ ├── polars-error v0.44.2 (*)
|
|
||||||
# │ └── pyo3-polars v0.18.0 (*)
|
|
||||||
# ├── yoke-derive v0.7.4 (proc-macro) (*)
|
|
||||||
# ├── zerocopy-derive v0.7.35 (proc-macro)
|
|
||||||
# │ └── zerocopy v0.7.35
|
|
||||||
# │ ├── ahash v0.8.11
|
|
||||||
# │ │ ├── hashbrown v0.14.5 (*)
|
|
||||||
# │ │ ├── polars-arrow v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-core v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-expr v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-io v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-json v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-lazy v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-ops v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-parquet v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-plan v0.44.2 (*)
|
|
||||||
# │ │ ├── polars-utils v0.44.2 (*)
|
|
||||||
# │ │ └── simd-json v0.14.3 (*)
|
|
||||||
# │ └── ppv-lite86 v0.2.20
|
|
||||||
# │ └── rand_chacha v0.3.1 (*)
|
|
||||||
# ├── zerofrom-derive v0.1.4 (proc-macro) (*)
|
|
||||||
# └── zerovec-derive v0.10.3 (proc-macro)
|
|
||||||
# └── zerovec v0.10.4 (*)
|
|
||||||
|
|
||||||
# windows-sys v0.52.0
|
|
||||||
# ├── home v0.5.9
|
|
||||||
# │ └── polars-io v0.44.2 (*)
|
|
||||||
# ├── mio v1.0.2
|
|
||||||
# │ └── tokio v1.41.1
|
|
||||||
# │ ├── h2 v0.4.6 (*)
|
|
||||||
# │ ├── hyper v1.5.0 (*)
|
|
||||||
# │ ├── hyper-tls v0.6.0 (*)
|
|
||||||
# │ ├── hyper-util v0.1.10 (*)
|
|
||||||
# │ ├── msyrs v0.0.1 (E:\Work\ruzt\msyrs)
|
|
||||||
# │ ├── reqwest v0.12.9 (*)
|
|
||||||
# │ ├── tokio-native-tls v0.3.1
|
|
||||||
# │ │ ├── hyper-tls v0.6.0 (*)
|
|
||||||
# │ │ └── reqwest v0.12.9 (*)
|
|
||||||
# │ └── tokio-util v0.7.12
|
|
||||||
# │ └── h2 v0.4.6 (*)
|
|
||||||
# ├── socket2 v0.5.7
|
|
||||||
# │ ├── hyper-util v0.1.10 (*)
|
|
||||||
# │ └── tokio v1.41.1 (*)
|
|
||||||
# └── tokio v1.41.1 (*)
|
|
||||||
|
|
||||||
# windows-sys v0.59.0
|
|
||||||
# ├── schannel v0.1.26
|
|
||||||
# │ └── native-tls v0.2.12
|
|
||||||
# │ ├── hyper-tls v0.6.0 (*)
|
|
||||||
# │ ├── reqwest v0.12.9 (*)
|
|
||||||
# │ └── tokio-native-tls v0.3.1 (*)
|
|
||||||
# └── stacker v0.1.17
|
|
||||||
# ├── polars-utils v0.44.2 (*)
|
|
||||||
# └── recursive v0.1.1 (*)
|
|
||||||
|
|||||||
12
README.md
12
README.md
@ -4,12 +4,20 @@ A Rust implementation of the [Macrosynergy Python Package](https://github.com/ma
|
|||||||
|
|
||||||
## Build and install the Python package
|
## Build and install the Python package
|
||||||
|
|
||||||
|
Create a virtual environment:
|
||||||
```bash
|
```bash
|
||||||
python -m venv .venv
|
python -m venv .venv
|
||||||
|
```
|
||||||
|
|
||||||
|
```bash
|
||||||
# source .venv/bin/activate
|
# source .venv/bin/activate
|
||||||
./.venv/Scripts/activate
|
./.venv/Scripts/activate
|
||||||
pip install maturin
|
pip install uv
|
||||||
maturin develop --release
|
uv pip install maturin jupyter notebook
|
||||||
|
uv pip install .
|
||||||
|
|
||||||
|
# alternatively, directly use maturin:
|
||||||
|
# maturin develop --release
|
||||||
```
|
```
|
||||||
|
|
||||||
## Status
|
## Status
|
||||||
|
|||||||
File diff suppressed because one or more lines are too long
@ -6,6 +6,13 @@ build-backend = "maturin"
|
|||||||
name = "msyrs"
|
name = "msyrs"
|
||||||
version = "0.0.1"
|
version = "0.0.1"
|
||||||
requires-python = ">=3.7"
|
requires-python = ">=3.7"
|
||||||
|
|
||||||
|
dependencies = [
|
||||||
|
"macrosynergy>=1.2.0",
|
||||||
|
"polars>=1.0.0",
|
||||||
|
"pyarrow>=16.0.0",
|
||||||
|
]
|
||||||
|
|
||||||
classifiers = [
|
classifiers = [
|
||||||
"Programming Language :: Rust",
|
"Programming Language :: Rust",
|
||||||
"Programming Language :: Python :: Implementation :: CPython",
|
"Programming Language :: Python :: Implementation :: CPython",
|
||||||
|
|||||||
@ -1,4 +1,3 @@
|
|||||||
|
|
||||||
/// Python wrapper for [`crate::utils::qdf`].
|
/// Python wrapper for [`crate::utils::qdf`].
|
||||||
pub mod qdf;
|
pub mod qdf;
|
||||||
|
|
||||||
|
|||||||
@ -1,11 +1,13 @@
|
|||||||
use pyo3::prelude::*;
|
use pyo3::prelude::*;
|
||||||
use pyo3_polars::PyDataFrame;
|
use pyo3_polars::{PyDataFrame, PySeries};
|
||||||
|
|
||||||
/// Python wrapper for [`crate::panel`] module.
|
/// Python wrapper for [`crate::panel`] module.
|
||||||
#[allow(deprecated)]
|
#[allow(deprecated)]
|
||||||
#[pymodule]
|
#[pymodule]
|
||||||
pub fn panel(_py: Python, m: &PyModule) -> PyResult<()> {
|
pub fn panel(_py: Python, m: &PyModule) -> PyResult<()> {
|
||||||
m.add_function(wrap_pyfunction!(historic_vol, m)?)?;
|
m.add_function(wrap_pyfunction!(historic_vol, m)?)?;
|
||||||
|
m.add_function(wrap_pyfunction!(get_bdates_from_col_hv, m)?)?;
|
||||||
|
m.add_function(wrap_pyfunction!(get_period_indices_hv, m)?)?;
|
||||||
Ok(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
||||||
@ -44,3 +46,18 @@ pub fn historic_vol(
|
|||||||
.unwrap(),
|
.unwrap(),
|
||||||
))
|
))
|
||||||
}
|
}
|
||||||
|
|
||||||
|
#[pyfunction]
|
||||||
|
pub fn get_bdates_from_col_hv(dfw: PyDataFrame, est_freq: &str) -> PyResult<PySeries> {
|
||||||
|
Ok(PySeries(
|
||||||
|
crate::panel::historic_vol::get_bdates_from_col_hv(&dfw.into(), est_freq)
|
||||||
|
.unwrap()
|
||||||
|
.into(),
|
||||||
|
))
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
#[pyfunction]
|
||||||
|
pub fn get_period_indices_hv(dfw: PyDataFrame, est_freq: &str) -> PyResult<Vec<usize>> {
|
||||||
|
Ok(crate::panel::historic_vol::get_period_indices_hv(&dfw.into(), est_freq).unwrap())
|
||||||
|
}
|
||||||
|
|||||||
@ -1,5 +1,6 @@
|
|||||||
use polars::error::PolarsError;
|
use polars::error::PolarsError;
|
||||||
use polars::export::chrono::NaiveDate;
|
// use polars::export::chrono::NaiveDate;
|
||||||
|
use chrono::NaiveDate;
|
||||||
use polars::prelude::*;
|
use polars::prelude::*;
|
||||||
use polars::series::Series;
|
use polars::series::Series;
|
||||||
use serde::Deserialize;
|
use serde::Deserialize;
|
||||||
|
|||||||
@ -1,4 +1,4 @@
|
|||||||
from polars import DataFrame
|
from polars import DataFrame, Series
|
||||||
|
|
||||||
__all__ = [
|
__all__ = [
|
||||||
"download",
|
"download",
|
||||||
@ -38,3 +38,10 @@ class panel:
|
|||||||
|
|
||||||
@staticmethod
|
@staticmethod
|
||||||
def historic_vol(*args, **kwargs) -> DataFrame: ...
|
def historic_vol(*args, **kwargs) -> DataFrame: ...
|
||||||
|
|
||||||
|
@staticmethod
|
||||||
|
def get_bdates_from_col_hv(*args, **kwargs) -> Series: ...
|
||||||
|
|
||||||
|
@staticmethod
|
||||||
|
def get_period_indices_hv(*args, **kwargs) -> Series: ...
|
||||||
|
|
||||||
@ -1,7 +1,11 @@
|
|||||||
|
use crate::utils::misc::*;
|
||||||
use crate::utils::qdf::pivots::*;
|
use crate::utils::qdf::pivots::*;
|
||||||
use chrono::{Datelike, NaiveDate};
|
use crate::utils::qdf::reduce_df::*;
|
||||||
|
use chrono::NaiveDate;
|
||||||
use ndarray::{s, Array, Array1, Zip};
|
use ndarray::{s, Array, Array1, Zip};
|
||||||
use polars::prelude::*;
|
use polars::prelude::*;
|
||||||
|
use polars::series::Series; // Series struct
|
||||||
|
|
||||||
// use polars::time::Duration;
|
// use polars::time::Duration;
|
||||||
|
|
||||||
/// Returns the annualization factor for 252 trading days.
|
/// Returns the annualization factor for 252 trading days.
|
||||||
@ -74,9 +78,19 @@ fn freq_daily_calc(
|
|||||||
);
|
);
|
||||||
}
|
}
|
||||||
|
|
||||||
let mut new_df = dfw.clone();
|
let idx = UInt32Chunked::from_vec(
|
||||||
|
"idx".into(),
|
||||||
|
(lback_periods - 1..dfw.height())
|
||||||
|
.map(|x| x as u32)
|
||||||
|
.collect(),
|
||||||
|
);
|
||||||
|
let real_date_col = dfw.column("real_date")?.take(&idx)?;
|
||||||
|
let mut new_df = DataFrame::new(vec![real_date_col])?;
|
||||||
|
|
||||||
for col_name in dfw.get_column_names() {
|
for col_name in dfw.get_column_names() {
|
||||||
|
if col_name == "real_date" {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
let series = dfw.column(col_name)?;
|
let series = dfw.column(col_name)?;
|
||||||
let values: Array1<f64> = series
|
let values: Array1<f64> = series
|
||||||
.f64()?
|
.f64()?
|
||||||
@ -87,8 +101,8 @@ fn freq_daily_calc(
|
|||||||
let result_series = match lback_method {
|
let result_series = match lback_method {
|
||||||
"ma" => {
|
"ma" => {
|
||||||
let mut result = Vec::new();
|
let mut result = Vec::new();
|
||||||
for i in 0..(values.len() - lback_periods + 1) {
|
for i in (lback_periods - 1)..(values.len()) {
|
||||||
let window = values.slice(s![i..i + lback_periods]);
|
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
||||||
let std = flat_std(&window.to_owned(), remove_zeros);
|
let std = flat_std(&window.to_owned(), remove_zeros);
|
||||||
result.push(std);
|
result.push(std);
|
||||||
}
|
}
|
||||||
@ -98,8 +112,9 @@ fn freq_daily_calc(
|
|||||||
let half_life = half_life.unwrap();
|
let half_life = half_life.unwrap();
|
||||||
let weights = expo_weights(lback_periods, half_life);
|
let weights = expo_weights(lback_periods, half_life);
|
||||||
let mut result = Vec::new();
|
let mut result = Vec::new();
|
||||||
for i in 0..(values.len() - lback_periods + 1) {
|
// for i in 0..(values.len() - lback_periods + 1) {
|
||||||
let window = values.slice(s![i..i + lback_periods]);
|
for i in (lback_periods - 1)..(values.len()) {
|
||||||
|
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
||||||
let std = expo_std(&window.to_owned(), &weights, remove_zeros);
|
let std = expo_std(&window.to_owned(), &weights, remove_zeros);
|
||||||
result.push(std);
|
result.push(std);
|
||||||
}
|
}
|
||||||
@ -122,7 +137,7 @@ fn freq_period_calc(
|
|||||||
half_life: Option<f64>,
|
half_life: Option<f64>,
|
||||||
remove_zeros: bool,
|
remove_zeros: bool,
|
||||||
nan_tolerance: f64,
|
nan_tolerance: f64,
|
||||||
period: &str,
|
est_freq: &str,
|
||||||
) -> Result<DataFrame, Box<dyn std::error::Error>> {
|
) -> Result<DataFrame, Box<dyn std::error::Error>> {
|
||||||
if lback_method == "xma" {
|
if lback_method == "xma" {
|
||||||
assert!(
|
assert!(
|
||||||
@ -132,9 +147,17 @@ fn freq_period_calc(
|
|||||||
}
|
}
|
||||||
|
|
||||||
println!("Calculating historic volatility with the following parameters:");
|
println!("Calculating historic volatility with the following parameters:");
|
||||||
println!("lback_periods: {:?}, lback_method: {:?}, half_life: {:?}, remove_zeros: {:?}, nan_tolerance: {:?}, period: {:?}", lback_periods, lback_method, half_life, remove_zeros, nan_tolerance, period);
|
println!("lback_periods: {:?}, lback_method: {:?}, half_life: {:?}, remove_zeros: {:?}, nan_tolerance: {:?}, period: {:?}", lback_periods, lback_method, half_life, remove_zeros, nan_tolerance, est_freq);
|
||||||
|
|
||||||
let mut new_df = dfw.clone();
|
let period_indices: Vec<usize> = get_period_indices(dfw, est_freq)?;
|
||||||
|
|
||||||
|
// new_df = dfw['real_date'].iloc[period_indices].copy()
|
||||||
|
let idx = UInt32Chunked::from_vec(
|
||||||
|
"idx".into(),
|
||||||
|
period_indices.iter().map(|&x| x as u32).collect(),
|
||||||
|
);
|
||||||
|
let real_date_col = dfw.column("real_date")?.take(&idx)?;
|
||||||
|
let mut new_df = DataFrame::new(vec![real_date_col])?;
|
||||||
|
|
||||||
for col_name in dfw.get_column_names() {
|
for col_name in dfw.get_column_names() {
|
||||||
if col_name == "real_date" {
|
if col_name == "real_date" {
|
||||||
@ -150,11 +173,11 @@ fn freq_period_calc(
|
|||||||
let result_series = match lback_method {
|
let result_series = match lback_method {
|
||||||
"ma" => {
|
"ma" => {
|
||||||
let mut result = Vec::new();
|
let mut result = Vec::new();
|
||||||
let period_indices = get_period_indices(dfw, period)?;
|
|
||||||
for &i in &period_indices {
|
for &i in &period_indices {
|
||||||
if i >= lback_periods - 1 {
|
if i >= lback_periods - 1 {
|
||||||
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
||||||
let std = flat_std(&window.to_owned(), remove_zeros);
|
let std = flat_std(&window.to_owned(), remove_zeros);
|
||||||
|
let std = std * annualization_factor();
|
||||||
result.push(std);
|
result.push(std);
|
||||||
} else {
|
} else {
|
||||||
result.push(f64::NAN);
|
result.push(f64::NAN);
|
||||||
@ -166,11 +189,11 @@ fn freq_period_calc(
|
|||||||
let half_life = half_life.unwrap();
|
let half_life = half_life.unwrap();
|
||||||
let weights = expo_weights(lback_periods, half_life);
|
let weights = expo_weights(lback_periods, half_life);
|
||||||
let mut result = Vec::new();
|
let mut result = Vec::new();
|
||||||
let period_indices = get_period_indices(dfw, period)?;
|
|
||||||
for &i in &period_indices {
|
for &i in &period_indices {
|
||||||
if i >= lback_periods - 1 {
|
if i >= lback_periods - 1 {
|
||||||
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
let window = values.slice(s![i + 1 - lback_periods..=i]);
|
||||||
let std = expo_std(&window.to_owned(), &weights, remove_zeros);
|
let std = expo_std(&window.to_owned(), &weights, remove_zeros);
|
||||||
|
let std = std * annualization_factor();
|
||||||
result.push(std);
|
result.push(std);
|
||||||
} else {
|
} else {
|
||||||
result.push(f64::NAN);
|
result.push(f64::NAN);
|
||||||
@ -180,63 +203,49 @@ fn freq_period_calc(
|
|||||||
}
|
}
|
||||||
_ => return Err("Invalid lookback method.".into()),
|
_ => return Err("Invalid lookback method.".into()),
|
||||||
};
|
};
|
||||||
println!("Successfully calculated result_series for column: {:?}", col_name);
|
println!(
|
||||||
|
"Successfully calculated result_series for column: {:?}",
|
||||||
|
col_name
|
||||||
|
);
|
||||||
new_df.with_column(result_series)?;
|
new_df.with_column(result_series)?;
|
||||||
}
|
}
|
||||||
|
|
||||||
Ok(new_df)
|
Ok(new_df)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
pub fn get_bdates_from_col_hv(
|
||||||
|
dfw: &DataFrame,
|
||||||
|
est_freq: &str,
|
||||||
|
) -> Result<Series, Box<dyn std::error::Error>> {
|
||||||
|
let date_series = dfw.column("real_date")?.as_series().unwrap();
|
||||||
|
Ok(get_bdates_from_col(date_series, est_freq)?)
|
||||||
|
}
|
||||||
|
|
||||||
|
pub fn get_period_indices_hv(
|
||||||
|
dfw: &DataFrame,
|
||||||
|
est_freq: &str,
|
||||||
|
) -> Result<Vec<usize>, Box<dyn std::error::Error>> {
|
||||||
|
get_period_indices(dfw, est_freq)
|
||||||
|
}
|
||||||
|
|
||||||
fn get_period_indices(
|
fn get_period_indices(
|
||||||
dfw: &DataFrame,
|
dfw: &DataFrame,
|
||||||
period: &str,
|
est_freq: &str,
|
||||||
) -> Result<Vec<usize>, Box<dyn std::error::Error>> {
|
) -> Result<Vec<usize>, Box<dyn std::error::Error>> {
|
||||||
let date_series: &Logical<DateType, Int32Type> = dfw.column("real_date")?.date()?;
|
// let date_series: &Logical<DateType, Int32Type> = dfw.column("real_date")?.date()?;
|
||||||
|
let date_series = dfw.column("real_date")?.as_series().unwrap();
|
||||||
let mut indices = Vec::new();
|
let mut indices = Vec::new();
|
||||||
|
|
||||||
match period {
|
let bdates: Series = get_bdates_from_col(date_series, est_freq)?;
|
||||||
"weekly" => {
|
|
||||||
for (i, date) in date_series.into_iter().enumerate() {
|
for bdate in bdates.iter() {
|
||||||
if let Some(date) = date {
|
if let Some(index) = date_series.iter().position(|date| date == bdate) {
|
||||||
if let Some(naive_date) = NaiveDate::from_num_days_from_ce_opt(date) {
|
indices.push(index);
|
||||||
if naive_date.weekday() == chrono::Weekday::Fri {
|
|
||||||
indices.push(i);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
"monthly" => {
|
|
||||||
let mut current_month = None;
|
|
||||||
for (i, date) in date_series.into_iter().enumerate() {
|
|
||||||
if let Some(date) = date {
|
|
||||||
if let Some(naive_date) = NaiveDate::from_num_days_from_ce_opt(date) {
|
|
||||||
if current_month.is_none() || current_month.unwrap() != naive_date.month() {
|
|
||||||
current_month = Some(naive_date.month());
|
|
||||||
if i > 0 {
|
|
||||||
indices.push(i - 1);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
if let Some(_) = current_month {
|
|
||||||
indices.push(date_series.len() - 1);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
_ => return Err("Invalid period specified.".into()),
|
|
||||||
}
|
}
|
||||||
|
|
||||||
Ok(indices)
|
Ok(indices)
|
||||||
}
|
}
|
||||||
// #[allow(dead_code)]
|
|
||||||
// fn single_calc(
|
|
||||||
// // end_date: -- naive datetime
|
|
||||||
// end_date: NaiveDate,
|
|
||||||
// wide_df: &DataFrame,
|
|
||||||
// lback_periods: usize,
|
|
||||||
// lback_method: &str,
|
|
||||||
// nan_tolerance: f64,
|
|
||||||
|
|
||||||
/// Calculate historic volatility.
|
/// Calculate historic volatility.
|
||||||
/// Arguments:
|
/// Arguments:
|
||||||
@ -273,7 +282,18 @@ pub fn historic_vol(
|
|||||||
) -> Result<DataFrame, Box<dyn std::error::Error>> {
|
) -> Result<DataFrame, Box<dyn std::error::Error>> {
|
||||||
println!("Calculating historic volatility with the following parameters:");
|
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);
|
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);
|
||||||
let mut dfw = pivot_dataframe_by_ticker(df.clone(), Some("value".to_string()))?;
|
|
||||||
|
let rdf = reduce_dataframe(
|
||||||
|
df.clone(),
|
||||||
|
cids,
|
||||||
|
Some(vec![xcat]),
|
||||||
|
None,
|
||||||
|
start.clone(),
|
||||||
|
end.clone(),
|
||||||
|
false,
|
||||||
|
)?;
|
||||||
|
|
||||||
|
let mut dfw = pivot_dataframe_by_ticker(rdf, Some("value".to_string()))?;
|
||||||
|
|
||||||
println!("Successfully pivoted the DataFrame.");
|
println!("Successfully pivoted the DataFrame.");
|
||||||
|
|
||||||
@ -332,16 +352,10 @@ pub fn historic_vol(
|
|||||||
|
|
||||||
println!("Successfully filtered the DataFrame.");
|
println!("Successfully filtered the DataFrame.");
|
||||||
|
|
||||||
let period = match est_freq.as_str() {
|
|
||||||
"W" => "weekly",
|
|
||||||
"M" => "monthly",
|
|
||||||
_ => return Err("Invalid frequency specified.".into()),
|
|
||||||
};
|
|
||||||
|
|
||||||
println!("Successfully got period.");
|
println!("Successfully got period.");
|
||||||
|
|
||||||
let dfw = match est_freq.as_str() {
|
let mut dfw = match est_freq.as_str() {
|
||||||
"D" => freq_daily_calc(
|
"X" => freq_daily_calc(
|
||||||
&dfw,
|
&dfw,
|
||||||
lback_periods,
|
lback_periods,
|
||||||
&lback_method,
|
&lback_method,
|
||||||
@ -356,9 +370,21 @@ pub fn historic_vol(
|
|||||||
half_life,
|
half_life,
|
||||||
remove_zeros,
|
remove_zeros,
|
||||||
nan_tolerance,
|
nan_tolerance,
|
||||||
&period,
|
&est_freq,
|
||||||
)?,
|
)?,
|
||||||
};
|
};
|
||||||
|
|
||||||
|
// rename each column to include the postfix
|
||||||
|
for ic in 0..dfw.get_column_names().len() {
|
||||||
|
let col_name = dfw.get_column_names()[ic].to_string();
|
||||||
|
if col_name == "real_date" {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
let new_col_name = format!("{}{}", col_name, postfix);
|
||||||
|
dfw.rename(&col_name, new_col_name.into())?;
|
||||||
|
}
|
||||||
|
|
||||||
|
dfw = pivot_wide_dataframe_to_qdf(dfw, Some("value".to_string()))?;
|
||||||
|
|
||||||
Ok(dfw)
|
Ok(dfw)
|
||||||
}
|
}
|
||||||
|
|||||||
0
src/qdf/classes.rs
Normal file
0
src/qdf/classes.rs
Normal file
@ -1,8 +1,10 @@
|
|||||||
use chrono::NaiveDate;
|
use chrono::NaiveDate;
|
||||||
|
use chrono::{Datelike, Weekday};
|
||||||
use polars::prelude::*;
|
use polars::prelude::*;
|
||||||
use std::collections::HashMap;
|
use std::collections::HashMap;
|
||||||
use std::error::Error;
|
use std::error::Error;
|
||||||
|
|
||||||
|
/// Split a ticker string into `cid` and `xcat`.
|
||||||
pub fn split_ticker(ticker: String) -> Result<(String, String), Box<dyn Error>> {
|
pub fn split_ticker(ticker: String) -> Result<(String, String), Box<dyn Error>> {
|
||||||
// split by the first underscore character. return the first and second parts.
|
// split by the first underscore character. return the first and second parts.
|
||||||
let parts: Vec<&str> = ticker.splitn(2, '_').collect();
|
let parts: Vec<&str> = ticker.splitn(2, '_').collect();
|
||||||
@ -12,6 +14,7 @@ pub fn split_ticker(ticker: String) -> Result<(String, String), Box<dyn Error>>
|
|||||||
Ok((parts[0].to_string(), parts[1].to_string()))
|
Ok((parts[0].to_string(), parts[1].to_string()))
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// Get the minimum and maximum dates from a date column in a DataFrame.
|
||||||
pub fn get_min_max_real_dates(
|
pub fn get_min_max_real_dates(
|
||||||
df: &DataFrame,
|
df: &DataFrame,
|
||||||
date_col: &str,
|
date_col: &str,
|
||||||
@ -40,22 +43,86 @@ pub fn get_min_max_real_dates(
|
|||||||
)))
|
)))
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
/// Get the business dates from a date column in a DataFrame.
|
||||||
|
/// Identify business days, bucket them by period, and pick the first available date from each period.
|
||||||
|
pub fn get_bdates_from_col(date_col: &Series, freq: &str) -> Result<Series, Box<dyn Error>> {
|
||||||
|
// Ensure the column is of Date type
|
||||||
|
if date_col.dtype() != &DataType::Date {
|
||||||
|
return Err("The column is not of Date type".into());
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 1: Identify business days (exclude weekends)
|
||||||
|
let date_as_days = date_col.cast(&DataType::Int32)?;
|
||||||
|
let business_days: Vec<NaiveDate> = date_as_days
|
||||||
|
.i32()?
|
||||||
|
.into_iter()
|
||||||
|
.filter_map(|opt_days| {
|
||||||
|
opt_days.map(|days| {
|
||||||
|
NaiveDate::from_ymd_opt(1970, 1, 1).unwrap() + chrono::Duration::days(days as i64)
|
||||||
|
})
|
||||||
|
})
|
||||||
|
.filter(|date| {
|
||||||
|
// Exclude weekends (Saturday and Sunday)
|
||||||
|
let weekday = date.weekday();
|
||||||
|
weekday != Weekday::Sat && weekday != Weekday::Sun
|
||||||
|
})
|
||||||
|
.collect();
|
||||||
|
|
||||||
|
// Step 2: Bucket dates by period
|
||||||
|
let mut buckets: HashMap<String, Vec<NaiveDate>> = HashMap::new();
|
||||||
|
for date in &business_days {
|
||||||
|
let bucket_key = match freq {
|
||||||
|
"D" => date.format("%Y-%m-%d").to_string(),
|
||||||
|
"W" => format!("{}-W{:02}", date.year(), date.iso_week().week()),
|
||||||
|
"M" => date.format("%Y-%m").to_string(),
|
||||||
|
"Q" => format!("{}-Q{}", date.year(), (date.month() - 1) / 3 + 1),
|
||||||
|
"A" => date.year().to_string(),
|
||||||
|
_ => return Err("Invalid frequency specified".into()),
|
||||||
|
};
|
||||||
|
buckets.entry(bucket_key).or_default().push(*date);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 3: Pick the first available date from each bucket
|
||||||
|
let mut selected_dates: Vec<NaiveDate> = Vec::new();
|
||||||
|
for (_, mut dates) in buckets {
|
||||||
|
dates.sort(); // Ensure dates are sorted within the bucket
|
||||||
|
if let Some(first_date) = dates.first() {
|
||||||
|
selected_dates.push(*first_date);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// Step 4: Convert selected dates back to a Series of Date type
|
||||||
|
let bdates_series = Series::new(
|
||||||
|
"bdates".into(),
|
||||||
|
selected_dates
|
||||||
|
.into_iter()
|
||||||
|
.map(|date| date.format("%Y-%m-%d").to_string()) // Format as strings
|
||||||
|
.collect::<Vec<String>>(),
|
||||||
|
)
|
||||||
|
.cast(&DataType::Date)?; // Cast to Date type
|
||||||
|
|
||||||
|
Ok(bdates_series)
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Get the `cid` from a ticker string.
|
||||||
#[allow(dead_code)]
|
#[allow(dead_code)]
|
||||||
pub fn get_cid(ticker: String) -> Result<String, Box<dyn Error>> {
|
pub fn get_cid(ticker: String) -> Result<String, Box<dyn Error>> {
|
||||||
split_ticker(ticker).map(|(cid, _)| cid)
|
split_ticker(ticker).map(|(cid, _)| cid)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// Get the `xcat` from a ticker string.
|
||||||
#[allow(dead_code)]
|
#[allow(dead_code)]
|
||||||
pub fn get_xcat(ticker: String) -> Result<String, Box<dyn Error>> {
|
pub fn get_xcat(ticker: String) -> Result<String, Box<dyn Error>> {
|
||||||
split_ticker(ticker).map(|(_, xcat)| xcat)
|
split_ticker(ticker).map(|(_, xcat)| xcat)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// Get the `cid` and `xcat` from a ticker string.
|
||||||
pub fn create_ticker(cid: &str, xcat: &str) -> String {
|
pub fn create_ticker(cid: &str, xcat: &str) -> String {
|
||||||
format!("{}_{}", cid, xcat)
|
format!("{}_{}", cid, xcat)
|
||||||
}
|
}
|
||||||
|
|
||||||
pub fn create_interesecting_tickers(cids: &[&str], xcats: &[&str]) -> Vec<String> {
|
/// Create all possible tickers from a list of `cids` and `xcats`.
|
||||||
|
pub fn create_intersecting_tickers(cids: &[&str], xcats: &[&str]) -> Vec<String> {
|
||||||
let mut tickers = Vec::new();
|
let mut tickers = Vec::new();
|
||||||
for cid in cids {
|
for cid in cids {
|
||||||
for xcat in xcats {
|
for xcat in xcats {
|
||||||
|
|||||||
@ -1,5 +1,5 @@
|
|||||||
use crate::utils::misc::{
|
use crate::utils::misc::{
|
||||||
_get_unique_strs_from_str_column_object, create_interesecting_tickers,
|
_get_unique_strs_from_str_column_object, create_intersecting_tickers,
|
||||||
get_intersecting_cids_str_func, get_unique_from_str_column,
|
get_intersecting_cids_str_func, get_unique_from_str_column,
|
||||||
};
|
};
|
||||||
use polars::datatypes::DataType;
|
use polars::datatypes::DataType;
|
||||||
@ -108,7 +108,7 @@ fn get_tickers_interesecting_on_xcat(
|
|||||||
.unwrap_or_else(|| get_unique_xcats(df).unwrap());
|
.unwrap_or_else(|| get_unique_xcats(df).unwrap());
|
||||||
let rel_cids_str: Vec<&str> = rel_cids.iter().map(AsRef::as_ref).collect();
|
let rel_cids_str: Vec<&str> = rel_cids.iter().map(AsRef::as_ref).collect();
|
||||||
let rel_xcats_str: Vec<&str> = rel_xcats.iter().map(AsRef::as_ref).collect();
|
let rel_xcats_str: Vec<&str> = rel_xcats.iter().map(AsRef::as_ref).collect();
|
||||||
Ok(create_interesecting_tickers(&rel_cids_str, &rel_xcats_str))
|
Ok(create_intersecting_tickers(&rel_cids_str, &rel_xcats_str))
|
||||||
}
|
}
|
||||||
|
|
||||||
/// Get the unique tickers from a Quantamental DataFrame.
|
/// Get the unique tickers from a Quantamental DataFrame.
|
||||||
|
|||||||
@ -66,6 +66,41 @@ pub fn pivot_dataframe_by_ticker(
|
|||||||
Ok(new_df)
|
Ok(new_df)
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// Pivot ticker dataframe to qdf.
|
||||||
|
#[allow(dead_code)]
|
||||||
|
pub fn pivot_wide_dataframe_to_qdf(
|
||||||
|
df: DataFrame,
|
||||||
|
metric: Option<String>,
|
||||||
|
) -> Result<DataFrame, Box<dyn Error>> {
|
||||||
|
// df list of dataframes
|
||||||
|
let mut df_vec: Vec<DataFrame> = Vec::new();
|
||||||
|
// if no metric is provided, set it to 'value'
|
||||||
|
let metric = metric.unwrap_or("value".into());
|
||||||
|
for tkr in df.get_column_names() {
|
||||||
|
if tkr == "real_date" {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
let mut new_df = DataFrame::new(vec![df.column("real_date")?.clone()])?;
|
||||||
|
// copy the column to the new dataframe
|
||||||
|
new_df.with_column(df.column(tkr)?.clone())?;
|
||||||
|
new_df.rename(tkr, metric.clone().into())?;
|
||||||
|
// add the cid and xcat columns
|
||||||
|
let (cid, xcat) = split_ticker(tkr.to_string())?;
|
||||||
|
new_df.with_column(Series::new("cid".into(), vec![cid]))?;
|
||||||
|
new_df.with_column(Series::new("xcat".into(), vec![xcat]))?;
|
||||||
|
df_vec.push(new_df);
|
||||||
|
}
|
||||||
|
// create a new dataframe, concatting row-wise
|
||||||
|
let mut new_df = DataFrame::new(vec![])?;
|
||||||
|
for df in df_vec.iter() {
|
||||||
|
new_df.vstack_mut(df)?;
|
||||||
|
}
|
||||||
|
|
||||||
|
// return the new dataframe
|
||||||
|
check_quantamental_dataframe(&new_df)?;
|
||||||
|
Ok(new_df)
|
||||||
|
}
|
||||||
|
|
||||||
/// Splits a dataframe by ticker.
|
/// Splits a dataframe by ticker.
|
||||||
#[allow(dead_code)]
|
#[allow(dead_code)]
|
||||||
fn split_df_by_tickers(
|
fn split_df_by_tickers(
|
||||||
|
|||||||
@ -51,7 +51,7 @@ pub fn reduce_dataframe(
|
|||||||
let specified_metrics: Vec<String> =
|
let specified_metrics: Vec<String> =
|
||||||
metrics.unwrap_or_else(|| non_idx_cols.iter().map(|s| s.to_string()).collect());
|
metrics.unwrap_or_else(|| non_idx_cols.iter().map(|s| s.to_string()).collect());
|
||||||
|
|
||||||
let specified_tickers: Vec<String> = create_interesecting_tickers(
|
let specified_tickers: Vec<String> = create_intersecting_tickers(
|
||||||
&specified_cids
|
&specified_cids
|
||||||
.iter()
|
.iter()
|
||||||
.map(AsRef::as_ref)
|
.map(AsRef::as_ref)
|
||||||
@ -76,7 +76,7 @@ pub fn reduce_dataframe(
|
|||||||
.collect::<Vec<String>>(),
|
.collect::<Vec<String>>(),
|
||||||
&u_tickers,
|
&u_tickers,
|
||||||
);
|
);
|
||||||
create_interesecting_tickers(
|
create_intersecting_tickers(
|
||||||
&int_cids.iter().map(AsRef::as_ref).collect::<Vec<&str>>(),
|
&int_cids.iter().map(AsRef::as_ref).collect::<Vec<&str>>(),
|
||||||
&specified_xcats
|
&specified_xcats
|
||||||
.iter()
|
.iter()
|
||||||
|
|||||||
Loading…
x
Reference in New Issue
Block a user