{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Build and install the package\n", "\n", "First patch `pyo3-polars`:\n", "\n", "\n", "- Use [this diff](https://github.com/pola-rs/pyo3-polars/compare/main...Magnus167:pyo3-polars:main) to make changes to the `pyo3-polars` package.\n", "\n", "\n", "Install the package:\n", "\n", "```bash\n", "python -m venv .venv\n", "\n", "# source .venv/bin/activate\n", "./.venv/Scripts/activate\n", "\n", "pip install maturin ipywidgets\n", "\n", "maturin develop --release\n", "```\n" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Import Python packages\n" ] }, { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "import macrosynergy\n", "import pandas as pd\n", "import numpy as np\n", "import polars as pl\n", "import os" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Import Python bindings - `msyrs`\n" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "import msyrs" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "# DATA_FOLDER_PATH = \"E:/Work/jpmaqs-data\"\n", "DATA_FOLDER_PATH = \"C:/Users/PalashTyagi/Code/go-dataquery/jpmaqs-data\"\n", "DQ_CLIENT_ID = os.getenv(\"DQ_CLIENT_ID\")\n", "DQ_CLIENT_SECRET = os.getenv(\"DQ_CLIENT_SECRET\")" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [], "source": [ "import time\n", "startime = time.time()" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (5, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2010-03-03"USD""ADPEMPL_SA_P1M1ML1"-0.1738063.0333
2010-03-04"USD""ADPEMPL_SA_P1M1ML1"-0.1738063.0434
2010-03-05"USD""ADPEMPL_SA_P1M1ML1"-0.1738063.0535
2010-03-08"USD""ADPEMPL_SA_P1M1ML1"-0.1738063.0838
2010-03-09"USD""ADPEMPL_SA_P1M1ML1"-0.1738063.0939
" ], "text/plain": [ "shape: (5, 7)\n", "┌────────────┬─────┬────────────────────┬───────────┬─────────┬─────────┬─────────┐\n", "│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n", "│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n", "╞════════════╪═════╪════════════════════╪═══════════╪═════════╪═════════╪═════════╡\n", "│ 2010-03-03 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 3 ┆ 33 │\n", "│ 2010-03-04 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 4 ┆ 34 │\n", "│ 2010-03-05 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 5 ┆ 35 │\n", "│ 2010-03-08 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 8 ┆ 38 │\n", "│ 2010-03-09 ┆ USD ┆ ADPEMPL_SA_P1M1ML1 ┆ -0.173806 ┆ 3.0 ┆ 9 ┆ 39 │\n", "└────────────┴─────┴────────────────────┴───────────┴─────────┴─────────┴─────────┘" ] }, "execution_count": 5, "metadata": {}, "output_type": "execute_result" } ], "source": [ "dfpath = f\"{DATA_FOLDER_PATH}/data/ADPEMPL_SA_P1M1ML1/USD_ADPEMPL_SA_P1M1ML1.csv\"\n", "\n", "\n", "ldf: pl.DataFrame = msyrs.qdf.load_qdf(dfpath)\n", "ldf.head(5)" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [], "source": [ "cids_dm = \"AUD.CAD.CHF.EUR.GBP.JPY.NOK.NZD.SEK.USD\".split(\".\")\n", "cids_em = \"CLP.COP.CZK.HUF.IDR.ILS.INR.KRW.MXN.PLN.THB.TRY.TWD.ZAR\".split(\".\")\n", "cids = cids_dm + cids_em\n", "cids_dux = list(set(cids) - set([\"IDR\", \"NZD\"]))\n", "ecos = \"CPIC_SA_P1M1ML12.CPIC_SJA_P3M3ML3AR.CPIC_SJA_P6M6ML6AR.CPIH_SA_P1M1ML12.CPIH_SJA_P3M3ML3AR.CPIH_SJA_P6M6ML6AR.INFTEFF_NSA.INTRGDP_NSA_P1M1ML12_3MMA.INTRGDPv5Y_NSA_P1M1ML12_3MMA.PCREDITGDP_SJA_D1M1ML12.RGDP_SA_P1Q1QL4_20QMA.RYLDIRS02Y_NSA.RYLDIRS05Y_NSA.PCREDITBN_SJA_P1M1ML12\".split(\n", " \".\"\n", ")\n", "\n", "\n", "mkts = \"DU02YXR_NSA.DU05YXR_NSA.DU02YXR_VT10.DU05YXR_VT10.EQXR_NSA.EQXR_VT10.FXXR_NSA.FXXR_VT10.FXCRR_NSA.FXTARGETED_NSA.FXUNTRADABLE_NSA\".split(\n", " \".\"\n", ")\n", "xcats = ecos + mkts\n", "\n", "tickers = [f\"{c}_{x}\" for c in cids for x in xcats]" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [], "source": [ "# downloaded_df: pl.DataFrame = msyrs.download.download_jpmaqs_indicators_as_df(\n", "# client_id=DQ_CLIENT_ID,\n", "# client_secret=DQ_CLIENT_SECRET,\n", "# tickers=tickers,\n", "# )\n", "# downloaded_df.head(5)" ] }, { "cell_type": "code", "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (5, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
1990-04-26"AUD""CPIC_SA_P1M1ML12"6.4345992.026223
1990-04-27"AUD""CPIC_SA_P1M1ML12"6.4345992.027224
1990-04-30"AUD""CPIC_SA_P1M1ML12"6.4345992.030227
1990-05-01"AUD""CPIC_SA_P1M1ML12"6.4345992.031228
1990-05-02"AUD""CPIC_SA_P1M1ML12"6.4345992.032229
" ], "text/plain": [ "shape: (5, 7)\n", "┌────────────┬─────┬──────────────────┬──────────┬─────────┬─────────┬─────────┐\n", "│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n", "│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n", "╞════════════╪═════╪══════════════════╪══════════╪═════════╪═════════╪═════════╡\n", "│ 1990-04-26 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 26 ┆ 223 │\n", "│ 1990-04-27 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 27 ┆ 224 │\n", "│ 1990-04-30 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 30 ┆ 227 │\n", "│ 1990-05-01 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 31 ┆ 228 │\n", "│ 1990-05-02 ┆ AUD ┆ CPIC_SA_P1M1ML12 ┆ 6.434599 ┆ 2.0 ┆ 32 ┆ 229 │\n", "└────────────┴─────┴──────────────────┴──────────┴─────────┴─────────┴─────────┘" ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "big_df: pl.DataFrame = msyrs.qdf.load_qdf_from_download_bank(\n", " folder_path=DATA_FOLDER_PATH, xcats=xcats\n", " # folder_path=DATA_FOLDER_PATH, cids=cids\n", ")\n", "big_df.head(5)" ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "277.8842191696167" ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "big_df.estimated_size(\"mb\")" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "877.1654348373413" ] }, "execution_count": 10, "metadata": {}, "output_type": "execute_result" } ], "source": [ "big_df.to_pandas().memory_usage(deep=True).sum() / 1024**2" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "213.30906867980957" ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "macrosynergy.management.types.QuantamentalDataFrame(big_df.to_pandas()).memory_usage(\n", " deep=True\n", ").sum() / 1024**2" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [], "source": [ "sel_cids = [\"USD\", \"EUR\", \"GBP\", \"AUD\", \"CAD\"]\n", "start = \"1999-11-14\"" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (62_363, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2000-05-04"AUD""EQXR_NSA"-1.2516051.000
2000-05-05"AUD""EQXR_NSA"1.7874551.000
2000-05-08"AUD""EQXR_NSA"-0.5747131.000
2000-05-09"AUD""EQXR_NSA"-0.9312781.000
2000-05-10"AUD""EQXR_NSA"-1.5235011.000
…………………
2024-11-15"USD""EQXR_VT10"-1.1985441.000
2024-11-18"USD""EQXR_VT10"0.3493121.000
2024-11-19"USD""EQXR_VT10"0.27761.000
2024-11-20"USD""EQXR_VT10"-0.0147591.000
2024-11-21"USD""EQXR_VT10"0.4834261.000
" ], "text/plain": [ "shape: (62_363, 7)\n", "┌────────────┬─────┬───────────┬───────────┬─────────┬─────────┬─────────┐\n", "│ real_date ┆ cid ┆ xcat ┆ value ┆ grading ┆ eop_lag ┆ mop_lag │\n", "│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ str ┆ str ┆ f64 ┆ f64 ┆ i64 ┆ i64 │\n", "╞════════════╪═════╪═══════════╪═══════════╪═════════╪═════════╪═════════╡\n", "│ 2000-05-04 ┆ AUD ┆ EQXR_NSA ┆ -1.251605 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-05 ┆ AUD ┆ EQXR_NSA ┆ 1.787455 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-08 ┆ AUD ┆ EQXR_NSA ┆ -0.574713 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-09 ┆ AUD ┆ EQXR_NSA ┆ -0.931278 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-10 ┆ AUD ┆ EQXR_NSA ┆ -1.523501 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\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", "│ 2024-11-19 ┆ USD ┆ EQXR_VT10 ┆ 0.2776 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-20 ┆ USD ┆ EQXR_VT10 ┆ -0.014759 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-21 ┆ USD ┆ EQXR_VT10 ┆ 0.483426 ┆ 1.0 ┆ 0 ┆ 0 │\n", "└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘" ] }, "execution_count": 13, "metadata": {}, "output_type": "execute_result" } ], "source": [ "eq_df = msyrs.qdf.reduce_dataframe(\n", " df=big_df,\n", " cids=sel_cids,\n", " xcats=[\"EQXR_NSA\", \"EQXR_VT10\"],\n", " start=start,\n", ")\n", "eq_df" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [], "source": [ "fx_xcats = [xc for xc in xcats if xc.startswith(\"FX\")]\n", "fx_df = msyrs.qdf.reduce_dataframe(\n", " df=big_df, cids=sel_cids, start=start, xcats=fx_xcats, intersect=True\n", ")" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (10, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2000-05-04"AUD""EQXR_NSA"-1.2516051.000
2000-05-05"AUD""EQXR_NSA"1.7874551.000
2000-05-08"AUD""EQXR_NSA"-0.5747131.000
2000-05-09"AUD""EQXR_NSA"-0.9312781.000
2000-05-10"AUD""EQXR_NSA"-1.5235011.000
2000-05-11"AUD""EQXR_NSA"-1.5799871.000
2000-05-12"AUD""EQXR_NSA"1.806021.000
2000-05-15"AUD""EQXR_NSA"0.2956641.000
2000-05-16"AUD""EQXR_NSA"1.3101871.000
2000-05-17"AUD""EQXR_NSA"-0.7112841.000
" ], "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", "│ 2000-05-04 ┆ AUD ┆ EQXR_NSA ┆ -1.251605 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-05 ┆ AUD ┆ EQXR_NSA ┆ 1.787455 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-08 ┆ AUD ┆ EQXR_NSA ┆ -0.574713 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-09 ┆ AUD ┆ EQXR_NSA ┆ -0.931278 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-10 ┆ AUD ┆ EQXR_NSA ┆ -1.523501 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-11 ┆ AUD ┆ EQXR_NSA ┆ -1.579987 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-12 ┆ AUD ┆ EQXR_NSA ┆ 1.80602 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-15 ┆ AUD ┆ EQXR_NSA ┆ 0.295664 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-16 ┆ AUD ┆ EQXR_NSA ┆ 1.310187 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2000-05-17 ┆ AUD ┆ EQXR_NSA ┆ -0.711284 ┆ 1.0 ┆ 0 ┆ 0 │\n", "└────────────┴─────┴──────────┴───────────┴─────────┴─────────┴─────────┘" ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "new_df: pl.DataFrame = msyrs.qdf.update_dataframe(df=eq_df, df_add=fx_df)\n", "\n", "new_df.head(10)" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (10, 7)
real_datecidxcatvaluegradingeop_lagmop_lag
datestrstrf64f64i64i64
2024-11-07"GBP""FXXR_VT10"0.8066821.000
2024-11-08"GBP""FXXR_VT10"-0.2473461.000
2024-11-12"GBP""FXXR_VT10"-1.0831371.000
2024-11-13"GBP""FXXR_VT10"-0.3289581.000
2024-11-14"GBP""FXXR_VT10"-0.1105261.000
2024-11-15"GBP""FXXR_VT10"-0.7009771.000
2024-11-18"GBP""FXXR_VT10"-0.1408051.000
2024-11-19"GBP""FXXR_VT10"0.2233721.000
2024-11-20"GBP""FXXR_VT10"0.3617831.000
2024-11-21"GBP""FXXR_VT10"-0.3753651.000
" ], "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", "│ 2024-11-07 ┆ GBP ┆ FXXR_VT10 ┆ 0.806682 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-08 ┆ GBP ┆ FXXR_VT10 ┆ -0.247346 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-12 ┆ GBP ┆ FXXR_VT10 ┆ -1.083137 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-13 ┆ GBP ┆ FXXR_VT10 ┆ -0.328958 ┆ 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", "│ 2024-11-19 ┆ GBP ┆ FXXR_VT10 ┆ 0.223372 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-20 ┆ GBP ┆ FXXR_VT10 ┆ 0.361783 ┆ 1.0 ┆ 0 ┆ 0 │\n", "│ 2024-11-21 ┆ GBP ┆ FXXR_VT10 ┆ -0.375365 ┆ 1.0 ┆ 0 ┆ 0 │\n", "└────────────┴─────┴───────────┴───────────┴─────────┴─────────┴─────────┘" ] }, "execution_count": 16, "metadata": {}, "output_type": "execute_result" } ], "source": [ "new_df.tail(10)" ] }, { "cell_type": "code", "execution_count": 17, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (10, 31)
real_dateEUR_EQXR_NSAEUR_FXXR_NSAEUR_FXXR_VT10GBP_FXCRR_NSACAD_FXCRR_NSAGBP_FXTARGETED_NSACAD_FXTARGETED_NSAAUD_FXXR_VT10AUD_EQXR_VT10EUR_FXTARGETED_NSAUSD_EQXR_NSAEUR_FXUNTRADABLE_NSAAUD_EQXR_NSAAUD_FXCRR_NSAUSD_EQXR_VT10CAD_FXXR_NSACAD_EQXR_NSAGBP_EQXR_NSAEUR_FXCRR_NSACAD_FXXR_VT10GBP_FXXR_VT10GBP_FXUNTRADABLE_NSAAUD_FXTARGETED_NSACAD_FXUNTRADABLE_NSAGBP_FXXR_NSAAUD_FXUNTRADABLE_NSAGBP_EQXR_VT10EUR_EQXR_VT10AUD_FXXR_NSACAD_EQXR_VT10
datef64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64f64
1999-11-151.280812-0.044278-0.047169nullnull0.00.00.162526null0.00.0998860.0nullnull0.042075-0.169111.592920.566529null-0.3992820.7376430.00.00.00.398630.00.2613010.6079960.1471080.782683
1999-11-160.5965160.0673580.071755nullnull0.00.0-0.650292null0.01.9957230.0nullnull0.8406530.100898-0.7839720.746041null0.238229-0.5873430.00.00.0-0.3174070.00.3440980.283164-0.588599-0.385205
1999-11-170.7352940.8608970.917107nullnull0.00.0-0.413651null0.0-0.9084560.0nullnull-0.382666-0.368379-0.054873-0.740517null-0.869773-0.0158750.00.00.0-0.0085790.0-0.341550.349041-0.374409-0.026962
1999-11-181.012479-1.147048-1.221942nullnull0.00.0-0.107377null0.00.7475320.0nullnull0.3148810.2154590.6149120.045676null0.508717-0.0401240.00.00.0-0.0216830.00.0210670.48062-0.0971910.302137
1999-11-190.349650.0772410.082284nullnull0.00.00.067403null0.0-0.0769980.0nullnull-0.0324340.2678140.622067-0.989195null0.632330.4658990.00.00.00.2517770.0-0.4562490.1659770.0610080.305653
1999-11-22-2.0905920.2227420.237285nullnull0.00.0-0.623692null0.0-0.0210160.0nullnull-0.008852-0.029578-0.824295-0.814633null-0.069836-0.0774270.00.00.0-0.0418420.0-0.375735-0.992395-0.564523-0.405018
1999-11-230.54567-0.484609-0.51625nullnull0.00.0-0.1249null0.0-1.0650220.0nullnull-0.448616-0.2349971.0498691.62715null-0.5548470.9074040.00.00.00.4903710.00.7504940.259027-0.1130510.515854
1999-11-240.0-0.846988-0.902291nullnull0.00.0-0.53942null0.00.6728050.0nullnull0.283403-0.0030230.7575760.465081null-0.007137-0.8668310.00.00.0-0.4684450.00.214510.0-0.4882460.372235
1999-11-260.780712-0.353428-0.376504nullnull0.00.0-0.279707null0.0-0.4854030.0nullnull-0.204465-0.1371210.297556-0.044776null-0.323755-0.5539510.00.00.0-0.2993620.0-0.0206520.3706-0.2531720.146204
1999-11-29-0.615174-0.696737-0.742228nullnull0.00.00.224152null0.0-0.2969040.0nullnull-0.125064-0.423601-1.9707570.029864null-1.0001570.5164820.00.00.00.2791130.00.013774-0.2920210.202887-0.968333
" ], "text/plain": [ "shape: (10, 31)\n", "┌───────────┬───────────┬───────────┬───────────┬───┬───────────┬───────────┬───────────┬──────────┐\n", "│ real_date ┆ EUR_EQXR_ ┆ EUR_FXXR_ ┆ EUR_FXXR_ ┆ … ┆ GBP_EQXR_ ┆ EUR_EQXR_ ┆ AUD_FXXR_ ┆ CAD_EQXR │\n", "│ --- ┆ NSA ┆ NSA ┆ VT10 ┆ ┆ VT10 ┆ VT10 ┆ NSA ┆ _VT10 │\n", "│ date ┆ --- ┆ --- ┆ --- ┆ ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ ┆ f64 ┆ f64 ┆ f64 ┆ ┆ f64 ┆ f64 ┆ f64 ┆ f64 │\n", "╞═══════════╪═══════════╪═══════════╪═══════════╪═══╪═══════════╪═══════════╪═══════════╪══════════╡\n", "│ 1999-11-1 ┆ 1.280812 ┆ -0.044278 ┆ -0.047169 ┆ … ┆ 0.261301 ┆ 0.607996 ┆ 0.147108 ┆ 0.782683 │\n", "│ 5 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-1 ┆ 0.596516 ┆ 0.067358 ┆ 0.071755 ┆ … ┆ 0.344098 ┆ 0.283164 ┆ -0.588599 ┆ -0.38520 │\n", "│ 6 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ 5 │\n", "│ 1999-11-1 ┆ 0.735294 ┆ 0.860897 ┆ 0.917107 ┆ … ┆ -0.34155 ┆ 0.349041 ┆ -0.374409 ┆ -0.02696 │\n", "│ 7 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ 2 │\n", "│ 1999-11-1 ┆ 1.012479 ┆ -1.147048 ┆ -1.221942 ┆ … ┆ 0.021067 ┆ 0.48062 ┆ -0.097191 ┆ 0.302137 │\n", "│ 8 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-1 ┆ 0.34965 ┆ 0.077241 ┆ 0.082284 ┆ … ┆ -0.456249 ┆ 0.165977 ┆ 0.061008 ┆ 0.305653 │\n", "│ 9 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-2 ┆ -2.090592 ┆ 0.222742 ┆ 0.237285 ┆ … ┆ -0.375735 ┆ -0.992395 ┆ -0.564523 ┆ -0.40501 │\n", "│ 2 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ 8 │\n", "│ 1999-11-2 ┆ 0.54567 ┆ -0.484609 ┆ -0.51625 ┆ … ┆ 0.750494 ┆ 0.259027 ┆ -0.113051 ┆ 0.515854 │\n", "│ 3 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-2 ┆ 0.0 ┆ -0.846988 ┆ -0.902291 ┆ … ┆ 0.21451 ┆ 0.0 ┆ -0.488246 ┆ 0.372235 │\n", "│ 4 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-2 ┆ 0.780712 ┆ -0.353428 ┆ -0.376504 ┆ … ┆ -0.020652 ┆ 0.3706 ┆ -0.253172 ┆ 0.146204 │\n", "│ 6 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 1999-11-2 ┆ -0.615174 ┆ -0.696737 ┆ -0.742228 ┆ … ┆ 0.013774 ┆ -0.292021 ┆ 0.202887 ┆ -0.96833 │\n", "│ 9 ┆ ┆ ┆ ┆ ┆ ┆ ┆ ┆ 3 │\n", "└───────────┴───────────┴───────────┴───────────┴───┴───────────┴───────────┴───────────┴──────────┘" ] }, "execution_count": 17, "metadata": {}, "output_type": "execute_result" } ], "source": [ "msyrs.qdf.pivot_dataframe_by_ticker(df=new_df).head(10)" ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Time taken: 5.683506011962891 seconds\n" ] } ], "source": [ "end_time = time.time()\n", "print(f\"Time taken: {end_time - startime} seconds\")" ] } ], "metadata": { "kernelspec": { "display_name": ".venv", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.11.0" } }, "nbformat": 4, "nbformat_minor": 4 }