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msyrs/notebooks/rust-notebook.ipynb
Palash Tyagi bba5acd724 python working with notebook!
2024-11-17 23:58:47 +00:00

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{
"cells": [
{
"cell_type": "markdown",
"id": "31d0d7e3",
"metadata": {},
"source": [
"# Running this noteboook\n",
"\n",
"Create a new Python Venv using:\n",
"\n",
"```bash\n",
"python -m venv .venv\n",
"# source .venv/bin/activate\n",
"./.venv/Scripts/activate\n",
"```\n",
"\n",
"Install `evcxr_jupyter` and `jupyterlab` using:\n",
"\n",
"```bash\n",
"cargo install evcxr_jupyter\n",
"evcxr_jupyter --install\n",
"pip install jupyterlab\n",
"jupyter lab\n",
"```\n",
"\n",
"Or try following this guide here: [DataCrayon - Setup Jupyter with Rust](https://datacrayon.com/data-analysis-with-rust-notebooks/setup-anaconda-jupyter-and-rust/)"
]
},
{
"cell_type": "markdown",
"id": "8d04a212-4025-41d7-809e-864649b08ab5",
"metadata": {},
"source": [
"## Setup kernel\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "9edf8272-762c-48c6-a003-2b4f484471b1",
"metadata": {},
"outputs": [],
"source": [
":dep msyrs = { path = \"../../msyrs\" }\n",
":dep polars"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "22e1ae9e-14b8-4be4-b852-8f0fb420eaca",
"metadata": {},
"outputs": [],
"source": [
"use msyrs::download::{JPMaQSDownload, JPMaQSDownloadGetIndicatorArgs};\n",
"use msyrs::utils as msyrs_utils;\n",
"use msyrs::utils::qdf as msyrs_qdf;\n",
"use polars::frame::DataFrame;"
]
},
{
"cell_type": "markdown",
"id": "0c8ac34a-d0e5-458d-81a3-f7825ad50612",
"metadata": {},
"source": [
"## 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);"
]
},
{
"cell_type": "markdown",
"id": "3ba562d3-2f32-4da3-891e-451288077530",
"metadata": {},
"source": [
"### Import download functions\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "137d6b3e-498d-48b1-8e3c-2f9fedfb64e2",
"metadata": {},
"outputs": [],
"source": [
"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::*;"
]
},
{
"cell_type": "markdown",
"id": "677da413-44b1-4746-b723-c17b0ff0c8a8",
"metadata": {},
"source": [
"### Check connection\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "6bcbfc0c-8249-4253-80b9-257115b50055",
"metadata": {},
"outputs": [],
"source": [
"let mut jpamqs_download = JPMaQSDownload::default();\n",
"\n",
"match jpamqs_download.check_connection() {\n",
" Ok(_) => println!(\"Connection to DataQuery API successful\"),\n",
" Err(e) => println!(\"Error connecting to DataQuery API: {:?}\", e),\n",
"}"
]
},
{
"cell_type": "markdown",
"id": "612e565f-4fa6-400b-a5ac-a4358dbc05ef",
"metadata": {},
"source": [
"### Get catalogue\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "9ac7096a-fae8-43e9-9584-c5f055a9f14e",
"metadata": {},
"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",
"for ticker in some_tickers.clone() {\n",
" print!(\"{}, \", ticker);\n",
"}\n",
"println!(\"\");"
]
},
{
"cell_type": "markdown",
"id": "f3a0bb91-3b3a-4c7e-959e-37311827b884",
"metadata": {},
"source": [
"### Setup download args\n"
]
},
{
"cell_type": "markdown",
"id": "e6a9506c",
"metadata": {},
"source": [
"#### Define tickers for download\n"
]
},
{
"cell_type": "code",
"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",
"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 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);"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "45b1f5fa-d99b-4f24-9b0b-1e04f484efc2",
"metadata": {},
"outputs": [],
"source": []
},
{
"cell_type": "markdown",
"id": "52d4ec91-a024-4f83-aaec-692f5d2645f9",
"metadata": {},
"source": [
"### Download data as a dataframe"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "12e7055b-c68f-4b6e-9bb3-43c1886dab97",
"metadata": {},
"outputs": [],
"source": [
"let all_metrics: Vec<String> = [\"value\", \"grading\", \"eop_lag\", \"mop_lag\"]\n",
" .iter()\n",
" .map(|x| x.to_string())\n",
" .collect();\n",
"\n",
"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)));"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Rust",
"language": "rust",
"name": "rust"
},
"language_info": {
"codemirror_mode": "rust",
"file_extension": ".rs",
"mimetype": "text/rust",
"name": "rust",
"pygment_lexer": "rust",
"version": "3.12.7"
}
},
"nbformat": 4,
"nbformat_minor": 5
}
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