def test_columnpanel_groupby(self):
"""
Test wrapping the panel groupby with ColumnPanelGroupBy
"""
N = 10000
data = {}
data['AAPL'] = tm.fake_ohlc(N)
data['AMD'] = tm.fake_ohlc(N)
data['INTC'] = tm.fake_ohlc(N)
cp = ColumnPanel(data)
ds = cp.dataset()
ds['log_returns'] = np.log(1+cp.close.pct_change())
ds['close'] = cp.close
# make sure to get the panelgroupby
grouped = ds.to_panel().downsample('MS', label='left', closed='left')
cpgrouped = ColumnPanelGroupBy(grouped)
# check if meaned is equal
cmean = grouped.mean()
test_mean = cpgrouped.process(lambda df: df.mean())
tm.assert_panel_equal(cmean, test_mean)
bins = [-1, 0, 1]
# 12-19-12 errors.
# problem is that downsample returns a PanelGroupBy which doesn't have the
# delegate and combine logic.
test_tiled = cpgrouped.process(lambda df: df.tile(bins, 'log_returns').mean())
correct = grouped.process(
lambda df: ColumnPanelMapper(df).tile(bins, 'log_returns').mean())
# this implicitly checks that inputs are panel4d
tm.assert_panel4d_equal(test_tiled, correct)
def test_bundle_io(self):
"""
Test saving bundle io.
"""
N = 10000
data = {}
data['AAPL'] = tm.fake_ohlc(N)
data['AMD'] = tm.fake_ohlc(N).tail(100)
data['INTC'] = tm.fake_ohlc(N).head(100)
cp = ColumnPanel(data)
with TemporaryDirectory() as td:
path = td + 'TEST.columnpanel'
cp.bundle_save(path)
loaded = cp.bundle_load(path)
tm.assert_columnpanel_equal(cp, loaded)
from unittest import TestCase
import pandas as pd
import numpy as np
import trtools.io.bundle as b
import trtools.util.testing as tm
from trtools.util.tempdir import TemporaryDirectory
# panel with many items and < 10 columns
panel = pd.Panel({('item'+str(i), i, i+.0324) : tm.fake_ohlc() for i in range(5000)})
panel.items = pd.MultiIndex.from_tuples(panel.items)
assert isinstance(panel.items, pd.MultiIndex) # make this more complicated
class TestBundle(TestCase):
def __init__(self, *args, **kwargs):
TestCase.__init__(self, *args, **kwargs)
def runTest(self):
pass
def setUp(self):
pass
def test_panel(self):
"""
Overview test that panel bundle saving works
"""
with TemporaryDirectory() as td:
b.save_panel(panel, td)
from unittest import TestCase
import pandas as pd
from pandas.core.groupby import BinGrouper
import trtools.util.testing as tm
import numpy as np
import trtools.core.timeseries as ts
# start on friday, so second day is saturday
df = tm.fake_ohlc(1000000, freq="5min", start="2000-01-07")
# business days and trading hours
df = df.ix[df.index.dayofweek < 5]
df = ts.trading_hours(df)
class TestBinning(TestCase):
def __init__(self, *args, **kwargs):
TestCase.__init__(self, *args, **kwargs)
def runTest(self):
pass
def setUp(self):
pass
def downsample(self):
# these should be equivalent
grouped = df.downsample('D', drop_empty=False)
test = grouped.mean()
correct = df.resample('D', how='mean')
from unittest import TestCase
import pandas as pd
from pandas.core.groupby import BinGrouper
import trtools.util.testing as tm
import numpy as np
import trtools.core.timeseries as ts
# start on friday, so second day is saturday
df = tm.fake_ohlc(1000000, freq="5min", start="2000-01-07")
# business days and trading hours
df = df.ix[df.index.dayofweek < 5]
df = ts.trading_hours(df)
class TestBinning(TestCase):
def __init__(self, *args, **kwargs):
TestCase.__init__(self, *args, **kwargs)
def runTest(self):
pass
def setUp(self):
pass
def test_downsample(self):
# these should be equivalent
grouped = df.downsample('D', drop_empty=False)
test = grouped.mean()
correct = df.resample('D', how='mean')
from unittest import TestCase
import pandas as pd
import numpy as np
import trtools.io.bundle as b
import trtools.util.testing as tm
from trtools.util.tempdir import TemporaryDirectory
# panel with many items and < 10 columns
panel = pd.Panel({('item' + str(i), i, i + .0324): tm.fake_ohlc()
for i in range(5000)})
panel.items = pd.MultiIndex.from_tuples(panel.items)
assert isinstance(panel.items, pd.MultiIndex) # make this more complicated
class TestBundle(TestCase):
def __init__(self, *args, **kwargs):
TestCase.__init__(self, *args, **kwargs)
def runTest(self):
pass
def setUp(self):
pass
def test_panel(self):
"""
Overview test that panel bundle saving works
"""
with TemporaryDirectory() as td:
bins = [-1, 0, 1]
# 12-19-12 errors.
# problem is that downsample returns a PanelGroupBy which doesn't have the
# delegate and combine logic.
test_tiled = cpgrouped.process(lambda df: df.tile(bins, 'log_returns').mean())
correct = grouped.process(
lambda df: ColumnPanelMapper(df).tile(bins, 'log_returns').mean())
# this implicitly checks that inputs are panel4d
tm.assert_panel4d_equal(test_tiled, correct)
N = 10000
data = {}
data['AAPL'] = tm.fake_ohlc(N)
data['AMD'] = tm.fake_ohlc(N)
data['INTC'] = tm.fake_ohlc(N)
cp = ColumnPanel(data)
ds = cp.dataset()
ds['log_returns'] = np.log(1+cp.close.pct_change())
ds['close'] = cp.close
# make sure to get the panelgroupby
grouped = ds.to_panel().downsample('MS', label='left', closed='left')
cpgrouped = ColumnPanelGroupBy(grouped)
# check if meaned is equal
cmean = grouped.mean()
test_mean = cpgrouped.process(lambda df: df.mean())
tm.assert_panel_equal(cmean, test_mean)
