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updating nb

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Palash Tyagi 2024-11-17 05:33:50 +00:00
parent 41e544d5bf
commit e9be07bd1e
1 changed files with 261 additions and 87 deletions
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notebooks/test-notebook.ipynb
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@ -5,12 +5,12 @@
"id": "8d04a212-4025-41d7-809e-864649b08ab5",
"metadata": {},
"source": [
"## Setup kernel"
"## Setup kernel\n"
]
},
{
"cell_type": "code",
"execution_count": 2,
"execution_count": null,
"id": "9edf8272-762c-48c6-a003-2b4f484471b1",
"metadata": {},
"outputs": [],
@ -24,7 +24,76 @@
"id": "0c8ac34a-d0e5-458d-81a3-f7825ad50612",
"metadata": {},
"source": [
"## Download data"
"## Download data\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "57a15e6b",
"metadata": {},
"outputs": [],
"source": [
"let cids_dm = vec![\n",
" \"AUD\", \"CAD\", \"CHF\", \"EUR\", \"GBP\", \"JPY\", \"NOK\", \"NZD\", \"SEK\", \"USD\",\n",
"];\n",
"let cids_em = vec![\n",
" \"CLP\", \"COP\", \"CZK\", \"HUF\", \"IDR\", \"ILS\", \"INR\", \"KRW\", \"MXN\", \"PLN\", \"THB\", \"TRY\", \"TWD\",\n",
" \"ZAR\",\n",
"];\n",
"\n",
"// cids = cids_dm + cids_em\n",
"let cids: Vec<String> = cids_dm\n",
" .iter()\n",
" .chain(cids_em.iter())\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"\n",
"let non_dux = [\"IDR\", \"NZD\"];\n",
"let cids_dux: Vec<String> = cids\n",
" .iter()\n",
" .filter(|s| !non_dux.contains(&s.as_str()))\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"let ecos = vec![\n",
" \"CPIC_SA_P1M1ML12\",\n",
" \"CPIC_SJA_P3M3ML3AR\",\n",
" \"CPIC_SJA_P6M6ML6AR\",\n",
" \"CPIH_SA_P1M1ML12\",\n",
" \"CPIH_SJA_P3M3ML3AR\",\n",
" \"CPIH_SJA_P6M6ML6AR\",\n",
" \"INFTEFF_NSA\",\n",
" \"INTRGDP_NSA_P1M1ML12_3MMA\",\n",
" \"INTRGDPv5Y_NSA_P1M1ML12_3MMA\",\n",
" \"PCREDITGDP_SJA_D1M1ML12\",\n",
" \"RGDP_SA_P1Q1QL4_20QMA\",\n",
" \"RYLDIRS02Y_NSA\",\n",
" \"RYLDIRS05Y_NSA\",\n",
" \"PCREDITBN_SJA_P1M1ML12\",\n",
"];\n",
"let mkts = vec![\n",
" \"DU02YXR_NSA\",\n",
" \"DU05YXR_NSA\",\n",
" \"DU02YXR_VT10\",\n",
" \"DU05YXR_VT10\",\n",
" \"EQXR_NSA\",\n",
" \"EQXR_VT10\",\n",
" \"FXXR_NSA\",\n",
" \"FXXR_VT10\",\n",
" \"FXCRR_NSA\",\n",
" \"FXTARGETED_NSA\",\n",
" \"FXUNTRADABLE_NSA\",\n",
"];\n",
"\n",
"let xcats: Vec<String> = ecos\n",
" .iter()\n",
" .chain(mkts.iter())\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"\n",
"let cids_str: Vec<&str> = cids.iter().map(AsRef::as_ref).collect();\n",
"let xcats_str: Vec<&str> = xcats.iter().map(AsRef::as_ref).collect();\n",
"let download_tickers = msyrs_utils::misc::create_interesecting_tickers(&cids_str, &xcats_str);"
]
},
{
@ -32,18 +101,21 @@
"id": "3ba562d3-2f32-4da3-891e-451288077530",
"metadata": {},
"source": [
"### Import download functions"
"### Import download functions\n"
]
},
{
"cell_type": "code",
"execution_count": 3,
"execution_count": null,
"id": "137d6b3e-498d-48b1-8e3c-2f9fedfb64e2",
"metadata": {},
"outputs": [],
"source": [
"use msyrs::download::jpmaqsdownload::JPMaQSDownload;\n",
"use msyrs::download::jpmaqsdownload::JPMaQSDownloadGetIndicatorArgs;\n",
"use msyrs::download::{JPMaQSDownload, JPMaQSDownloadGetIndicatorArgs};\n",
"\n",
"use msyrs::utils as msyrs_utils;\n",
"use msyrs::utils::qdf as msyrs_qdf;\n",
"\n",
"use polars::prelude::*;"
]
},
@ -52,34 +124,15 @@
"id": "677da413-44b1-4746-b723-c17b0ff0c8a8",
"metadata": {},
"source": [
"### Check connection"
"### Check connection\n"
]
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": null,
"id": "6bcbfc0c-8249-4253-80b9-257115b50055",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Connection is successful: 200 OK\n",
"Connection to DataQuery API successful\n"
]
},
{
"data": {
"text/plain": [
"()"
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"let mut jpamqs_download = JPMaQSDownload::default();\n",
"\n",
@ -94,23 +147,15 @@
"id": "612e565f-4fa6-400b-a5ac-a4358dbc05ef",
"metadata": {},
"source": [
"### Get catalogue"
"### Get catalogue\n"
]
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": null,
"id": "9ac7096a-fae8-43e9-9584-c5f055a9f14e",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"AED_FCBICRY_NSA, AED_FCBICRY_VT10, AED_FCBIR_NSA, AED_FCBIXR_NSA, AED_FCBIXR_VT10, AED_GGDGDPRATIO_NSA, AED_GGEGDPRATIO_NSA, AED_GGOBGDPRATIO_NSA, AED_GGPBGDPRATIO_NSA, AED_GGRGDPRATIO_NSA, AED_LTFCRATING_NSA, AED_LTLCRATING_NSA, ALM_COCRR_NSA, ALM_COCRR_SA, ALM_COCRR_SAVT10, ALM_COCRR_VT10, ALM_COCRY_NSA, ALM_COCRY_SA, ALM_COCRY_SAVT10, ALM_COCRY_VT10, ALM_COXR_NSA, ALM_COXR_VT10, ALM_COXRxEASD_NSA, ALM_COXRxLEV10_NSA, ALM_XINVCN_SA, ALM_XINVLME_SA, ALM_XINVSCORECN_SA, ALM_XINVSCORECN_SA_3MMA, ALM_XINVSCORECN_SA_3MMA_D1M1ML12, ALM_XINVSCORECN_SA_D1M1ML1, ALM_XINVSCORECN_SA_D3M3ML3, ALM_XINVSCORECN_SA_D6M6ML6, ALM_XINVSCORELME_SA, ALM_XINVSCORELME_SA_3MMA, ALM_XINVSCORELME_SA_3MMA_D1M1ML12, ALM_XINVSCORELME_SA_D1M1ML1, ALM_XINVSCORELME_SA_D3M3ML3, ALM_XINVSCORELME_SA_D6M6ML6, ALM_XINVSCOREUS_SA, ALM_XINVSCOREUS_SA_3MMA, ALM_XINVSCOREUS_SA_3MMA_D1M1ML12, ALM_XINVSCOREUS_SA_D1M1ML1, ALM_XINVSCOREUS_SA_D3M3ML3, ALM_XINVSCOREUS_SA_D6M6ML6, ALM_XINVUS_SA, ARS_GGOBGDPRATIO_NSA, ARS_GGPBGDPRATIO_NSA, ARS_IIPLIABGDP_NSA, ARS_IIPLIABGDP_NSA_D1M1ML12, ARS_IIPLIABGDP_NSA_D1Mv2YMA, ARS_IIPLIABGDP_NSA_D1Mv5YMA, ARS_LTFCRATING_NSA, ARS_LTLCRATING_NSA, ARS_NIIPGDP_NSA, ARS_NIIPGDP_NSA_D1M1ML12, ARS_NIIPGDP_NSA_D1Mv2YMA, ARS_NIIPGDP_NSA_D1Mv5YMA, AUD_ALLIFCDSGDP_NSA, AUD_BXBGDPRATIO_NSA_12MMA, AUD_BXBGDPRATIO_NSA_12MMA_D1M1ML3, AUD_BXBGDPRATIO_NSA_12MMAv120MMA, AUD_BXBGDPRATIO_NSA_12MMAv60MMA, AUD_CABGDPRATIO_NSA_12MMA, AUD_CABGDPRATIO_SA, AUD_CABGDPRATIO_SA_1QMA_D1Q1QL1, AUD_CABGDPRATIO_SA_1QMAv20QMA, AUD_CABGDPRATIO_SA_2QMA_D1Q1QL2, AUD_CCSCORE_SA, AUD_CCSCORE_SA_3MMA, AUD_CCSCORE_SA_3MMA_D1M1ML12, AUD_CCSCORE_SA_D1M1ML1, AUD_CCSCORE_SA_D3M3ML3, AUD_CCSCORE_SA_D6M6ML6, AUD_CDS02YCRYHvGDRB_NSA, AUD_CDS02YCRY_NSA, AUD_CDS02YCRY_VT10, AUD_CDS02YSPRD_NSA, AUD_CDS02YXRHvGDRB_NSA, AUD_CDS02YXR_NSA, AUD_CDS02YXR_VT10, AUD_CDS02YXRxEASD_NSA, AUD_CDS02YXRxLEV10_NSA, AUD_CDS05YCRYHvGDRB_NSA, AUD_CDS05YCRY_NSA, AUD_CDS05YCRY_VT10, AUD_CDS05YSPRD_NSA, AUD_CDS05YXRHvGDRB_NSA, AUD_CDS05YXR_NSA, AUD_CDS05YXR_VT10, AUD_CDS05YXRxEASD_NSA, AUD_CDS05YXRxLEV10_NSA, AUD_CDS10YCRYHvGDRB_NSA, AUD_CDS10YCRY_NSA, AUD_CDS10YCRY_VT10, AUD_CDS10YSPRD_NSA, AUD_CDS10YXRHvGDRB_NSA, AUD_CDS10YXR_NSA, AUD_CDS10YXR_VT10, AUD_CDS10YXRxEASD_NSA, AUD_CDS10YXRxLEV10_NSA, \n"
]
}
],
"outputs": [],
"source": [
"let tickers: Vec<String> = jpamqs_download.get_catalogue().unwrap();\n",
"let some_tickers = tickers.iter().take(100).map(|s| s.to_string()).collect::<Vec<String>>();\n",
@ -125,32 +170,87 @@
"id": "f3a0bb91-3b3a-4c7e-959e-37311827b884",
"metadata": {},
"source": [
"### Setup download args"
"### Setup download args\n"
]
},
{
"cell_type": "markdown",
"id": "e6a9506c",
"metadata": {},
"source": [
"#### Define tickers for download\n"
]
},
{
"cell_type": "code",
"execution_count": 6,
"id": "45b1f5fa-d99b-4f24-9b0b-1e04f484efc2",
"execution_count": null,
"id": "bd10ce0d",
"metadata": {},
"outputs": [],
"source": [
"// cids = cids_dm + cids_em\n",
"let cids: Vec<String> = cids_dm\n",
" .iter()\n",
" .chain(cids_em.iter())\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"\n",
"// setup arguments\n",
"let non_dux = [\"IDR\", \"NZD\"];\n",
"#[allow(unused_variables)]\n",
"let cids_dux: Vec<String> = cids\n",
" .iter()\n",
" .filter(|s| !non_dux.contains(&s.as_str()))\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"let ecos = vec![\n",
" \"CPIC_SA_P1M1ML12\",\n",
" \"CPIC_SJA_P3M3ML3AR\",\n",
" \"CPIC_SJA_P6M6ML6AR\",\n",
" \"CPIH_SA_P1M1ML12\",\n",
" \"CPIH_SJA_P3M3ML3AR\",\n",
" \"CPIH_SJA_P6M6ML6AR\",\n",
" \"INFTEFF_NSA\",\n",
" \"INTRGDP_NSA_P1M1ML12_3MMA\",\n",
" \"INTRGDPv5Y_NSA_P1M1ML12_3MMA\",\n",
" \"PCREDITGDP_SJA_D1M1ML12\",\n",
" \"RGDP_SA_P1Q1QL4_20QMA\",\n",
" \"RYLDIRS02Y_NSA\",\n",
" \"RYLDIRS05Y_NSA\",\n",
" \"PCREDITBN_SJA_P1M1ML12\",\n",
"];\n",
"let mkts = vec![\n",
" \"DU02YXR_NSA\",\n",
" \"DU05YXR_NSA\",\n",
" \"DU02YXR_VT10\",\n",
" \"DU05YXR_VT10\",\n",
" \"EQXR_NSA\",\n",
" \"EQXR_VT10\",\n",
" \"FXXR_NSA\",\n",
" \"FXXR_VT10\",\n",
" \"FXCRR_NSA\",\n",
" \"FXTARGETED_NSA\",\n",
" \"FXUNTRADABLE_NSA\",\n",
"];\n",
"\n",
"let all_metrics: Vec<String> = [\"value\", \"grading\", \"eop_lag\", \"mop_lag\"]\n",
" .iter()\n",
" .map(|x| x.to_string())\n",
" .collect();\n",
"let xcats: Vec<String> = ecos\n",
" .iter()\n",
" .chain(mkts.iter())\n",
" .map(|s| s.to_string())\n",
" .collect();\n",
"\n",
"let download_args = JPMaQSDownloadGetIndicatorArgs {\n",
" tickers: some_tickers,\n",
" start_date: \"2024-11-11\".to_string(),\n",
" // metrics: all_metrics // defaults to all metrics\n",
" ..Default::default()\n",
"};\n"
"let cids_str: Vec<&str> = cids.iter().map(AsRef::as_ref).collect();\n",
"let xcats_str: Vec<&str> = xcats.iter().map(AsRef::as_ref).collect();\n",
"let download_tickers = msyrs_utils::misc::create_interesecting_tickers(&cids_str, &xcats_str);"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "45b1f5fa-d99b-4f24-9b0b-1e04f484efc2",
"metadata": {},
"outputs": [],
"source": []
},
{
"cell_type": "markdown",
"id": "52d4ec91-a024-4f83-aaec-692f5d2645f9",
@ -161,42 +261,116 @@
},
{
"cell_type": "code",
"execution_count": 7,
"execution_count": null,
"id": "12e7055b-c68f-4b6e-9bb3-43c1886dab97",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"shape: (100, 7)\n",
"┌────────────┬─────┬────────────────────────┬───────────┬─────────┬─────────┬─────────┐\n",
"│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n",
"│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n",
"│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 │\n",
"╞════════════╪═════╪════════════════════════╪═══════════╪═════════╪═════════╪═════════╡\n",
"│ 2024-11-11 ┆ AED ┆ FCBICRY_NSA ┆ 5.133382 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
"│ 2024-11-12 ┆ AED ┆ FCBICRY_NSA ┆ 5.170067 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
"│ 2024-11-13 ┆ AED ┆ FCBICRY_NSA ┆ 5.187262 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
"│ 2024-11-11 ┆ AED ┆ FCBICRY_VT10 ┆ 13.853753 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
"│ 2024-11-12 ┆ AED ┆ FCBICRY_VT10 ┆ 13.952759 ┆ 1.0 ┆ 0.0 ┆ 0.0 │\n",
"│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n",
"│ 2024-11-13 ┆ ALM ┆ XINVSCORECN_SA_D6M6ML6 ┆ 0.803339 ┆ 1.0 ┆ 13.0 ┆ 195.0 │\n",
"│ 2024-11-11 ┆ ALM ┆ XINVSCORELME_SA ┆ -1.000911 ┆ 1.0 ┆ 11.0 ┆ 26.0 │\n",
"│ 2024-11-12 ┆ ALM ┆ XINVSCORELME_SA ┆ -1.000911 ┆ 1.0 ┆ 12.0 ┆ 27.0 │\n",
"│ 2024-11-13 ┆ ALM ┆ XINVSCORELME_SA ┆ -1.000911 ┆ 1.0 ┆ 13.0 ┆ 28.0 │\n",
"│ 2024-11-11 ┆ ALM ┆ XINVSCORELME_SA_3MMA ┆ -1.017197 ┆ 1.0 ┆ 11.0 ┆ 56.0 │\n",
"└────────────┴─────┴────────────────────────┴───────────┴─────────┴─────────┴─────────┘"
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"let res_df: DataFrame = jpamqs_download.get_indicators_qdf(download_args).unwrap();\n",
"let all_metrics: Vec<String> = [\"value\", \"grading\", \"eop_lag\", \"mop_lag\"]\n",
" .iter()\n",
" .map(|x| x.to_string())\n",
" .collect();\n",
"\n",
"res_df.head(Some(100))"
"let download_args = JPMaQSDownloadGetIndicatorArgs {\n",
" tickers: download_tickers,\n",
" metrics: all_metrics // defaults to all metrics if not set\n",
" ..Default::default()\n",
"};\n",
"\n",
"let mut jpmaqs_client = JPMaQSDownload::default();\n",
"let downloaded_df = jpmaqs_client\n",
" .get_indicators_qdf(JPMaQSDownloadGetIndicatorArgs {\n",
" tickers: download_tickers,\n",
" ..Default::default()\n",
" })\n",
" .unwrap();\n",
"\n",
"downloaded_df.head(Some(100))"
]
},
{
"cell_type": "markdown",
"id": "a0193ded",
"metadata": {},
"source": [
"## Utility functions"
]
},
{
"cell_type": "markdown",
"id": "6f6c6455",
"metadata": {},
"source": [
"### Reduce DF"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "10b264fe",
"metadata": {},
"outputs": [],
"source": [
"let eq_df = msyrs_qdf::reduce_dataframe(\n",
" downloaded_df.clone(),\n",
" None,\n",
" Some(vec![\"EQXR_NSA\", \"EQXR_VT10\"]),\n",
" None,\n",
" // None,\n",
" None,\n",
" None,\n",
" false,\n",
")\n",
".unwrap();\n",
"\n",
"println!(\"{:?}\", eq_df.head(Some(10)));"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "f3f3b0c6",
"metadata": {},
"outputs": [],
"source": [
"let fx_df = msyrs_qdf::reduce_dataframe(\n",
" downloaded_df,\n",
" None,\n",
" Some(vec![\n",
" \"FXXR_NSA\",\n",
" \"FXXR_VT10\",\n",
" \"FXCRR_NSA\",\n",
" \"FXTARGETED_NSA\",\n",
" \"FXUNTRADABLE_NSA\",\n",
" ]),\n",
" None,\n",
" None,\n",
" None,\n",
" true, // intersect = true \n",
")\n",
".unwrap();\n",
"\n",
"println!(\"{:?}\", eq_df.head(Some(10)));"
]
},
{
"cell_type": "markdown",
"id": "722063d1",
"metadata": {},
"source": [
"### Update DF"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "00ecdb90",
"metadata": {},
"outputs": [],
"source": [
"let custom_df = msyrs_qdf::update_dataframe(&fx_df, &eq_df).unwrap();\n",
"\n",
"println!(\"{:?}\", custom_df.head(Some(10)));"
]
}
],
@ -210,7 +384,7 @@
"codemirror_mode": "rust",
"file_extension": ".rs",
"mimetype": "text/rust",
"name": "Rust",
"name": "rust",
"pygment_lexer": "rust",
"version": ""
}