Add JPMaQSIndicator struct and related functionality; update dependencies

Cargo.lock

@@ -75,6 +75,12 @@ dependencies = [
  "libc",
 ]
 
+[[package]]
+name = "anyhow"
+version = "1.0.92"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "74f37166d7d48a0284b99dd824694c26119c700b53bf0d1540cdb147dbdaaf13"
+
 [[package]]
 name = "argminmax"
 version = "0.6.2"
@@ -1235,6 +1241,7 @@ dependencies = [
 name = "macrosynergy_dataquery"
 version = "0.0.1"
 dependencies = [
+ "anyhow",
  "polars",
  "reqwest 0.11.27",
  "serde",

Cargo.toml

@@ -8,4 +8,5 @@ reqwest = { version = "0.11", features = ["blocking", "json"] }
 serde_json = "1.0"
 serde_urlencoded = "0.7"
 serde = { version = "1.0", features = ["derive"] }
-polars = { version = "0.44.2", features = ["temporal"] }
+polars = { version = "0.44.2", features = ["temporal", "lazy"] }
+anyhow = "1.0"

src/main.rs

@@ -5,7 +5,7 @@ use macrosynergy_dataquery::oauth_client::OAuthClient;
 use macrosynergy_dataquery::requester::Requester;
 use macrosynergy_dataquery::timeseries::DQResponse;
 // use macrosynergy_dataquery::timeseries::DQTimeSeries;
-// use macrosynergy_dataquery::timeseries::JPMaQSIndicator;
+use macrosynergy_dataquery::timeseries::JPMaQSIndicator;
 // use macrosynergy_dataquery::timeseries::TimeSeriesList;
 
 use std::env;
@@ -23,9 +23,9 @@ fn main() {
     let expressions_a = vec![
         "DB(JPMAQS,USD_EQXR_NSA,value)",
         "DB(JPMAQS,USD_EQXR_NSA,grading)",
-    // ];
+        // ];
 
-    // let expressions_b = vec![
+        // let expressions_b = vec![
         "DB(JPMAQS,GBP_EQXR_NSA,value)",
         "DB(JPMAQS,GBP_EQXR_NSA,grading)",
     ];
@@ -45,7 +45,8 @@ fn main() {
         // ts.to_dataframe().unwrap();
         println!("{:?}", ts.to_dataframe().unwrap());
     }
-
-
-
+    for ts_group in dqresponse.get_timeseries_by_ticker() {
+        let jpmi = JPMaQSIndicator::new(ts_group).unwrap();
+        println!("{:?}", jpmi.as_qdf().unwrap());
+    }
 }

src/timeseries.rs

@@ -1,7 +1,12 @@
-use serde::Deserialize;
-use polars::prelude::*;
 use polars::error::PolarsError;
-use polars::export::chrono::{Datelike, NaiveDate};
+use polars::export::chrono::{NaiveDate, NaiveDateTime};
+use polars::prelude::*;
+use polars::series::Series;
+
+use serde::Deserialize;
+use std::collections::HashMap;
+use std::collections::HashSet;
+use std::error::Error;
 
 #[derive(Deserialize, Debug)]
 pub struct DQResponse {
@@ -26,35 +31,177 @@ pub struct DQTimeSeries {
     time_series: Vec<(String, Option<f64>)>,
 }
 
-impl DQTimeSeries {    
+#[derive(Debug)]
+pub struct JPMaQSIndicator {
+    pub df: DataFrame,
+    pub ticker: String,
+    pub metrics: Vec<String>,
+}
+
+impl DQTimeSeries {
+    /// Get the ticker from the expression
+    pub fn get_ticker(&self) -> Result<String, Box<dyn Error>> {
+        if !self.expression.starts_with("DB(JPMAQS,") {
+            return Err("Expression does not start with 'DB(JPMAQS,'".into());
+        }
+        let ticker = self.expression.split(',').nth(1).unwrap();
+        if ticker.is_empty() {
+            return Err("Ticker is empty".into());
+        }
+        Ok(ticker.to_string())
+    }
+
+    /// Get the metric from the expression
+    pub fn get_metric(&self) -> Result<String, Box<dyn Error>> {
+        if !self.expression.starts_with("DB(JPMAQS,") {
+            return Err("Expression does not start with 'DB(JPMAQS,'".into());
+        }
+        let metric = self
+            .expression
+            .trim_end_matches(')')
+            .split(',')
+            .last()
+            .unwrap();
+        if metric.is_empty() {
+            return Err("Metric is empty".into());
+        }
+        Ok(metric.to_string())
+    }
+
+    /// Convert the time series to a Polars DataFrame
     pub fn to_dataframe(&self) -> Result<DataFrame, PolarsError> {
-        let dates: Vec<NaiveDate> = self.time_series.iter()
+        let dates: Vec<NaiveDate> = self
+            .time_series
+            .iter()
             .map(|(date_str, _)| NaiveDate::parse_from_str(date_str, "%Y%m%d").unwrap())
             .collect();
-        let values: Vec<Option<f64>> = self.time_series.iter()
-            .map(|(_, value)| *value)
-            .collect();
 
+        let values: Vec<Option<f64>> = self.time_series.iter().map(|(_, value)| *value).collect();
         let date_series = Series::new("date".into(), &dates);
         let value_series = Float64Chunked::new("value".into(), &values);
 
-
         df!(
             "real_date" => date_series,
             self.expression.clone() => value_series
         )
-        // Ok(df)
     }
 }
 
 impl DQResponse {
+    /// Return a list of all DQTimeSeries in the response
     pub fn get_all_timeseries(&self) -> Vec<DQTimeSeries> {
-        self.instruments.iter().flat_map(|instrument| {
-            instrument.attributes.iter().map(|attribute| DQTimeSeries {
-                expression: attribute.expression.clone(),
-                time_series: attribute.time_series.clone(),
+        self.instruments
+            .iter()
+            .flat_map(|instrument| {
+                instrument.attributes.iter().map(|attribute| DQTimeSeries {
+                    expression: attribute.expression.clone(),
+                    time_series: attribute.time_series.clone(),
+                })
             })
-        }).collect()
+            .collect()
+    }
+
+    /// Return a list of lists of DQTimeSeries, where each list contains all the timeseries for each ticker
+    pub fn get_timeseries_by_ticker(&self) -> Vec<Vec<DQTimeSeries>> {
+        // create a hashmap where the key is the ticker and the value is a list of timeseries
+        let mut timeseries_by_ticker: HashMap<String, Vec<DQTimeSeries>> = HashMap::new();
+        for instrument in &self.instruments {
+            for attribute in &instrument.attributes {
+                let ticker = attribute.expression.split(',').nth(1).unwrap().to_string();
+                let timeseries = DQTimeSeries {
+                    expression: attribute.expression.clone(),
+                    time_series: attribute.time_series.clone(),
+                };
+                timeseries_by_ticker
+                    .entry(ticker)
+                    .or_insert_with(Vec::new)
+                    .push(timeseries);
+            }
+        }
+
+        timeseries_by_ticker.into_iter().map(|(_, v)| v).collect()
+    }
+}
+
+impl JPMaQSIndicator {
+    pub fn new(timeseries_list: Vec<DQTimeSeries>) -> Result<Self, Box<dyn Error>> {
+        let found_tickers = timeseries_list
+            .iter()
+            .map(|ts| ts.get_ticker().unwrap())
+            .collect::<HashSet<String>>();
+        if found_tickers.len() != 1 {
+            return Err("All provided timeseries do not belong to the same ticker".into());
+        }
+        let ticker = found_tickers.into_iter().next().unwrap();
+        let metrics = timeseries_list
+            .iter()
+            .map(|ts| ts.get_metric().unwrap())
+            .collect::<Vec<String>>();
+
+        let mut all_dates = timeseries_list
+            .iter()
+            .flat_map(|ts| ts.time_series.iter().map(|(date, _)| date.to_string()))
+            .collect::<HashSet<String>>()
+            .into_iter()
+            .collect::<Vec<String>>();
+
+        let sorted_dates = all_dates
+            .iter()
+            .map(|s| s.to_string())
+            .collect::<Vec<String>>();
+
+        // create a vector of vectors with the values for each metric
+        let mut values_vec_vec = Vec::with_capacity(metrics.len() + 1);
+        // add real_date column
+        for i_metric in 0..metrics.len() {
+            let metric = &metrics[i_metric];
+            let mut metric_values = Vec::with_capacity(sorted_dates.len());
+            // when a date is missing, we need to insert a null value
+            for date in &sorted_dates {
+                let value = timeseries_list
+                    .iter()
+                    .find(|ts| ts.get_metric().unwrap() == *metric)
+                    .and_then(|ts| {
+                        ts.time_series
+                            .iter()
+                            .find(|(d, _)| d == date)
+                            .map(|(_, v)| *v)
+                    })
+                    .unwrap_or(None);
+                metric_values.push(value);
+            }
+            values_vec_vec.push(metric_values);
+        }
+
+        let mut columns: Vec<Column> = values_vec_vec
+            .into_iter()
+            .enumerate()
+            .map(|(i, values)| {
+                let colx = Column::new(metrics[i].clone().into(), values);
+                colx
+            })
+            .collect();
+        let date_col = Column::new("real_date".into(), sorted_dates);
+
+        columns.insert(0, date_col);
+        let df = DataFrame::new(columns).unwrap();
+
+        Ok(JPMaQSIndicator {
+            df,
+            ticker,
+            metrics,
+        })
+    }
+
+    pub fn as_qdf(&self) -> Result<DataFrame, PolarsError> {
+        let mut qdf = self.df.clone();
+        let (cid, xcat) = match self.ticker.split_once('_') {
+            Some((cid, xcat)) => (cid, xcat),
+            None => return Err(PolarsError::ComputeError("Invalid ticker format".into())),
+        };
+        qdf.with_column(Series::new("cid".into(), vec![cid; qdf.height()]))?;
+        qdf.with_column(Series::new("xcat".into(), vec![xcat; qdf.height()]))?;
+        Ok(qdf)
     }
 }
 
@@ -95,7 +242,7 @@ fn main() {
     }
     "#;
 
-    let response : DQResponse = serde_json::from_str(json_data).unwrap();
+    let response: DQResponse = serde_json::from_str(json_data).unwrap();
     println!("{:?}", response);
 
     let all_timeseries = response.get_all_timeseries();