magnus167/msyrs
1
0
Fork 0
mirror of https://github.com/Magnus167/msyrs.git synced 2025-08-20 12:30:00 +00:00
Code Issues Packages Projects Releases Wiki Activity
msyrs/notebooks/python-notebook.ipynb
Palash Tyagi 89f20299b5 updating notebook
2024-11-22 14:42:40 +00:00

543 lines
36 KiB
Plaintext
Raw Blame History

{
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (5, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2010-03-03</td><td>&quot;USD&quot;</td><td>&quot;ADPEMPL_SA_P1M1ML1&quot;</td><td>-0.173806</td><td>3.0</td><td>3</td><td>33</td></tr><tr><td>2010-03-04</td><td>&quot;USD&quot;</td><td>&quot;ADPEMPL_SA_P1M1ML1&quot;</td><td>-0.173806</td><td>3.0</td><td>4</td><td>34</td></tr><tr><td>2010-03-05</td><td>&quot;USD&quot;</td><td>&quot;ADPEMPL_SA_P1M1ML1&quot;</td><td>-0.173806</td><td>3.0</td><td>5</td><td>35</td></tr><tr><td>2010-03-08</td><td>&quot;USD&quot;</td><td>&quot;ADPEMPL_SA_P1M1ML1&quot;</td><td>-0.173806</td><td>3.0</td><td>8</td><td>38</td></tr><tr><td>2010-03-09</td><td>&quot;USD&quot;</td><td>&quot;ADPEMPL_SA_P1M1ML1&quot;</td><td>-0.173806</td><td>3.0</td><td>9</td><td>39</td></tr></tbody></table></div>"
],
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (5, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>1990-04-26</td><td>&quot;AUD&quot;</td><td>&quot;CPIC_SA_P1M1ML12&quot;</td><td>6.434599</td><td>2.0</td><td>26</td><td>223</td></tr><tr><td>1990-04-27</td><td>&quot;AUD&quot;</td><td>&quot;CPIC_SA_P1M1ML12&quot;</td><td>6.434599</td><td>2.0</td><td>27</td><td>224</td></tr><tr><td>1990-04-30</td><td>&quot;AUD&quot;</td><td>&quot;CPIC_SA_P1M1ML12&quot;</td><td>6.434599</td><td>2.0</td><td>30</td><td>227</td></tr><tr><td>1990-05-01</td><td>&quot;AUD&quot;</td><td>&quot;CPIC_SA_P1M1ML12&quot;</td><td>6.434599</td><td>2.0</td><td>31</td><td>228</td></tr><tr><td>1990-05-02</td><td>&quot;AUD&quot;</td><td>&quot;CPIC_SA_P1M1ML12&quot;</td><td>6.434599</td><td>2.0</td><td>32</td><td>229</td></tr></tbody></table></div>"
],
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (62_363, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2000-05-04</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-1.251605</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-05</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>1.787455</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-08</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-0.574713</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-09</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-0.931278</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-10</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-1.523501</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>&hellip;</td><td>&hellip;</td><td>&hellip;</td><td>&hellip;</td><td>&hellip;</td><td>&hellip;</td><td>&hellip;</td></tr><tr><td>2024-11-15</td><td>&quot;USD&quot;</td><td>&quot;EQXR_VT10&quot;</td><td>-1.198544</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>&quot;USD&quot;</td><td>&quot;EQXR_VT10&quot;</td><td>0.349312</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-19</td><td>&quot;USD&quot;</td><td>&quot;EQXR_VT10&quot;</td><td>0.2776</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-20</td><td>&quot;USD&quot;</td><td>&quot;EQXR_VT10&quot;</td><td>-0.014759</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-21</td><td>&quot;USD&quot;</td><td>&quot;EQXR_VT10&quot;</td><td>0.483426</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
],
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (10, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2000-05-04</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-1.251605</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-05</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>1.787455</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-08</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-0.574713</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-09</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-0.931278</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-10</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-1.523501</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-11</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-1.579987</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-12</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>1.80602</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-15</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>0.295664</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-16</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>1.310187</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2000-05-17</td><td>&quot;AUD&quot;</td><td>&quot;EQXR_NSA&quot;</td><td>-0.711284</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
],
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (10, 7)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>cid</th><th>xcat</th><th>value</th><th>grading</th><th>eop_lag</th><th>mop_lag</th></tr><tr><td>date</td><td>str</td><td>str</td><td>f64</td><td>f64</td><td>i64</td><td>i64</td></tr></thead><tbody><tr><td>2024-11-07</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>0.806682</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-08</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.247346</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-12</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-1.083137</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-13</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.328958</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-14</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.110526</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-15</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.700977</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-18</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.140805</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-19</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>0.223372</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-20</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>0.361783</td><td>1.0</td><td>0</td><td>0</td></tr><tr><td>2024-11-21</td><td>&quot;GBP&quot;</td><td>&quot;FXXR_VT10&quot;</td><td>-0.375365</td><td>1.0</td><td>0</td><td>0</td></tr></tbody></table></div>"
],
"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": [
"<div><style>\n",
".dataframe > thead > tr,\n",
".dataframe > tbody > tr {\n",
" text-align: right;\n",
" white-space: pre-wrap;\n",
"}\n",
"</style>\n",
"<small>shape: (10, 31)</small><table border=\"1\" class=\"dataframe\"><thead><tr><th>real_date</th><th>EUR_EQXR_NSA</th><th>EUR_FXXR_NSA</th><th>EUR_FXXR_VT10</th><th>GBP_FXCRR_NSA</th><th>CAD_FXCRR_NSA</th><th>GBP_FXTARGETED_NSA</th><th>CAD_FXTARGETED_NSA</th><th>AUD_FXXR_VT10</th><th>AUD_EQXR_VT10</th><th>EUR_FXTARGETED_NSA</th><th>USD_EQXR_NSA</th><th>EUR_FXUNTRADABLE_NSA</th><th>AUD_EQXR_NSA</th><th>AUD_FXCRR_NSA</th><th>USD_EQXR_VT10</th><th>CAD_FXXR_NSA</th><th>CAD_EQXR_NSA</th><th>GBP_EQXR_NSA</th><th>EUR_FXCRR_NSA</th><th>CAD_FXXR_VT10</th><th>GBP_FXXR_VT10</th><th>GBP_FXUNTRADABLE_NSA</th><th>AUD_FXTARGETED_NSA</th><th>CAD_FXUNTRADABLE_NSA</th><th>GBP_FXXR_NSA</th><th>AUD_FXUNTRADABLE_NSA</th><th>GBP_EQXR_VT10</th><th>EUR_EQXR_VT10</th><th>AUD_FXXR_NSA</th><th>CAD_EQXR_VT10</th></tr><tr><td>date</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td><td>f64</td></tr></thead><tbody><tr><td>1999-11-15</td><td>1.280812</td><td>-0.044278</td><td>-0.047169</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>0.162526</td><td>null</td><td>0.0</td><td>0.099886</td><td>0.0</td><td>null</td><td>null</td><td>0.042075</td><td>-0.16911</td><td>1.59292</td><td>0.566529</td><td>null</td><td>-0.399282</td><td>0.737643</td><td>0.0</td><td>0.0</td><td>0.0</td><td>0.39863</td><td>0.0</td><td>0.261301</td><td>0.607996</td><td>0.147108</td><td>0.782683</td></tr><tr><td>1999-11-16</td><td>0.596516</td><td>0.067358</td><td>0.071755</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.650292</td><td>null</td><td>0.0</td><td>1.995723</td><td>0.0</td><td>null</td><td>null</td><td>0.840653</td><td>0.100898</td><td>-0.783972</td><td>0.746041</td><td>null</td><td>0.238229</td><td>-0.587343</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.317407</td><td>0.0</td><td>0.344098</td><td>0.283164</td><td>-0.588599</td><td>-0.385205</td></tr><tr><td>1999-11-17</td><td>0.735294</td><td>0.860897</td><td>0.917107</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.413651</td><td>null</td><td>0.0</td><td>-0.908456</td><td>0.0</td><td>null</td><td>null</td><td>-0.382666</td><td>-0.368379</td><td>-0.054873</td><td>-0.740517</td><td>null</td><td>-0.869773</td><td>-0.015875</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.008579</td><td>0.0</td><td>-0.34155</td><td>0.349041</td><td>-0.374409</td><td>-0.026962</td></tr><tr><td>1999-11-18</td><td>1.012479</td><td>-1.147048</td><td>-1.221942</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.107377</td><td>null</td><td>0.0</td><td>0.747532</td><td>0.0</td><td>null</td><td>null</td><td>0.314881</td><td>0.215459</td><td>0.614912</td><td>0.045676</td><td>null</td><td>0.508717</td><td>-0.040124</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.021683</td><td>0.0</td><td>0.021067</td><td>0.48062</td><td>-0.097191</td><td>0.302137</td></tr><tr><td>1999-11-19</td><td>0.34965</td><td>0.077241</td><td>0.082284</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>0.067403</td><td>null</td><td>0.0</td><td>-0.076998</td><td>0.0</td><td>null</td><td>null</td><td>-0.032434</td><td>0.267814</td><td>0.622067</td><td>-0.989195</td><td>null</td><td>0.63233</td><td>0.465899</td><td>0.0</td><td>0.0</td><td>0.0</td><td>0.251777</td><td>0.0</td><td>-0.456249</td><td>0.165977</td><td>0.061008</td><td>0.305653</td></tr><tr><td>1999-11-22</td><td>-2.090592</td><td>0.222742</td><td>0.237285</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.623692</td><td>null</td><td>0.0</td><td>-0.021016</td><td>0.0</td><td>null</td><td>null</td><td>-0.008852</td><td>-0.029578</td><td>-0.824295</td><td>-0.814633</td><td>null</td><td>-0.069836</td><td>-0.077427</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.041842</td><td>0.0</td><td>-0.375735</td><td>-0.992395</td><td>-0.564523</td><td>-0.405018</td></tr><tr><td>1999-11-23</td><td>0.54567</td><td>-0.484609</td><td>-0.51625</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.1249</td><td>null</td><td>0.0</td><td>-1.065022</td><td>0.0</td><td>null</td><td>null</td><td>-0.448616</td><td>-0.234997</td><td>1.049869</td><td>1.62715</td><td>null</td><td>-0.554847</td><td>0.907404</td><td>0.0</td><td>0.0</td><td>0.0</td><td>0.490371</td><td>0.0</td><td>0.750494</td><td>0.259027</td><td>-0.113051</td><td>0.515854</td></tr><tr><td>1999-11-24</td><td>0.0</td><td>-0.846988</td><td>-0.902291</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.53942</td><td>null</td><td>0.0</td><td>0.672805</td><td>0.0</td><td>null</td><td>null</td><td>0.283403</td><td>-0.003023</td><td>0.757576</td><td>0.465081</td><td>null</td><td>-0.007137</td><td>-0.866831</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.468445</td><td>0.0</td><td>0.21451</td><td>0.0</td><td>-0.488246</td><td>0.372235</td></tr><tr><td>1999-11-26</td><td>0.780712</td><td>-0.353428</td><td>-0.376504</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>-0.279707</td><td>null</td><td>0.0</td><td>-0.485403</td><td>0.0</td><td>null</td><td>null</td><td>-0.204465</td><td>-0.137121</td><td>0.297556</td><td>-0.044776</td><td>null</td><td>-0.323755</td><td>-0.553951</td><td>0.0</td><td>0.0</td><td>0.0</td><td>-0.299362</td><td>0.0</td><td>-0.020652</td><td>0.3706</td><td>-0.253172</td><td>0.146204</td></tr><tr><td>1999-11-29</td><td>-0.615174</td><td>-0.696737</td><td>-0.742228</td><td>null</td><td>null</td><td>0.0</td><td>0.0</td><td>0.224152</td><td>null</td><td>0.0</td><td>-0.296904</td><td>0.0</td><td>null</td><td>null</td><td>-0.125064</td><td>-0.423601</td><td>-1.970757</td><td>0.029864</td><td>null</td><td>-1.000157</td><td>0.516482</td><td>0.0</td><td>0.0</td><td>0.0</td><td>0.279113</td><td>0.0</td><td>0.013774</td><td>-0.292021</td><td>0.202887</td><td>-0.968333</td></tr></tbody></table></div>"
],
"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
}
Reference in New Issue View Git Blame Copy Permalink