def transform(data):
"""
Return transform data
"""
ds = DataSource(data)
ds.add_pct_change(col_name='ret', lag=1)
ds.add_formula('(open/prevclose)-1', col_name='pret')
return ds.data
def transform(data):
"""
Apply the necessary transformation to the given data
"""
ds = DataSource(data, timestamp='date')
for i in range(2,8):
ds.add_rolling(on='high', window=i, col_name='rmax'+str(i),
function='max', lag=1)
ds.add_rolling(on='low', window=i, col_name='rmin'+str(i),
function='min', lag=1)
ds.add_formula('(open/prevclose)-1', col_name='pret')
ds.add_formula('(close/open)-1', col_name='idret')
ds.add_formula('(tottrdval/totaltrades)', col_name='qtrd')
for i in [1,2,3]:
ds.add_pct_change(on='close', period=i, col_name='ret'+str(i),
lag=1)
for i in [2,3]:
ds.add_rolling(on='tottrdval', window=i, col_name='vol'+str(i),
function='sum', lag=1)
for col in ['tottrdval', 'perdel', 'qtrd']:
ds.add_lag(on=col, period=1, col_name='prev_'+col)
return ds.data
class TestDataSource(unittest.TestCase):
def setUp(self):
df = pd.read_csv('tests/data/sample.csv', parse_dates=['timestamp'])
self.ds = DataSource(data=df)
def test_data(self):
self.assertEqual(self.ds.data.iloc[20, 1], 'five')
self.assertEqual(self.ds.data.iloc[14, 3], 112)
self.assertEqual(self.ds.data.iloc[24, 7], 10.54)
def test_data_without_sort(self):
df = pd.read_csv('tests/data/sample.csv', parse_dates=['timestamp'])
self.ds = DataSource(data=df, sort=False)
self.assertEqual(self.ds.data.iloc[9, 4], 999)
self.assertEqual(self.ds.data.iloc[24, 6], 41688)
self.assertEqual(self.ds.data.at[4, 'close'], 10.6)
def test_initialize_case(self):
df = pd.read_csv('tests/data/sample.csv', parse_dates=['timestamp'])
df.columns = [x.upper() for x in df.columns]
self.assertEqual(df.columns[0], 'TIMESTAMP')
self.ds = DataSource(data=df)
self.assertEqual(self.ds.data.columns[0], 'timestamp')
def test_initialize_column_rename(self):
df = pd.read_csv('tests/data/sample.csv', parse_dates=['timestamp'])
df.columns = [
'TS', 'TRADINGSYMBOL', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'VOLUME',
'PREVCLOSE'
]
self.ds = DataSource(data=df, timestamp='TS', symbol='TRADINGSYMBOL')
self.assertEqual(self.ds.data.columns[0], 'timestamp')
self.assertEqual(self.ds.data.columns[1], 'symbol')
def test_add_lag(self):
length = len(self.ds.data)
idx = pd.IndexSlice
self.ds.add_lag(on='close')
self.ds.add_lag(on='volume', period=2)
d = self.ds.data.set_index(['timestamp', 'symbol'])
self.assertEqual(d.at[idx['2018-01-04', 'one'], 'lag_close_1'], 11)
self.assertEqual(d.at[idx['2018-01-06', 'six'], 'lag_volume_2'], 86014)
self.assertEqual(len(self.ds.data.columns), 10)
self.assertEqual(len(self.ds.data), length)
def test_add_lag_column_rename(self):
idx = pd.IndexSlice
self.ds.add_lag(on='close')
self.ds.add_lag(on='close', col_name='some_col')
d = self.ds.data.set_index(['timestamp', 'symbol'])
self.assertEqual(d.at[idx['2018-01-04', 'one'], 'lag_close_1'], 11)
self.assertEqual(d.at[idx['2018-01-04', 'one'], 'some_col'], 11)
self.assertEqual(d.at[idx['2018-01-05', 'three'], 'some_col'], 109)
def test_add_pct_change(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on='close')
self.ds.add_pct_change(on='close', period=2)
self.ds.add_pct_change(on='close', period=2, col_name='new_col')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-05', 'three'], 'chg_close_1']),
-0.07)
self.assertEqual(R(d.at[idx['2018-01-06', 'five'], 'chg_close_1']),
0.17)
self.assertEqual(R(d.at[idx['2018-01-05', 'four'], 'chg_close_2']),
0.05)
self.assertEqual(R(d.at[idx['2018-01-05', 'four'], 'new_col']), 0.05)
self.assertEqual(R(d.at[idx['2018-01-03', 'six'], 'new_col']), -0.1)
self.assertEqual(pd.isna(d.at[idx['2018-01-02', 'one'], 'new_col']),
True)
self.assertEqual(len(self.ds.data.columns), 11)
def test_add_pct_change_lag(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on='close', period=2, lag=1)
self.ds.add_pct_change(on='close', period=1, lag=2)
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-04', 'four'], 'chg_close_2']),
0.09)
self.assertEqual(R(d.at[idx['2018-01-04', 'four'], 'chg_close_1']),
0.01)
self.assertEqual(R(d.at[idx['2018-01-06', 'three'], 'chg_close_1']),
-0.01)
def test_add_pct_change_lag_col_name(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on='high', period=2, lag=1)
self.ds.add_pct_change(on='close',
period=1,
lag=2,
col_name='lagged_2')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-05', 'six'], 'chg_high_2']),
-0.04)
self.assertEqual(R(d.at[idx['2018-01-04', 'four'], 'lagged_2']), 0.01)
def test_formula_add_col_name(self):
idx = pd.IndexSlice
self.ds.add_formula('open+close', 'new_col')
self.ds.add_formula('volume/close', 'new_col_2')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-04', 'four'], 'new_col']), 336)
self.assertEqual(R(d.at[idx['2018-01-06', 'one'], 'new_col_2']),
77755.77)
def test_formula_case_insensitive(self):
idx = pd.IndexSlice
self.ds.add_formula('OPEN+CLOSE', 'new_col')
self.ds.add_formula('volume/close', 'NEW_COL_2')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-04', 'four'], 'new_col']), 336)
self.assertEqual(R(d.at[idx['2018-01-06', 'one'], 'new_col_2']),
77755.77)
def test_formula_calculated_column(self):
idx = pd.IndexSlice
self.ds.add_formula('(open+close)*100', 'new_col_1')
self.ds.add_formula('volume/100', 'new_col_2')
self.ds.add_formula('new_col_1+new_col_2', 'new_col_3')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx['2018-01-06', 'one'], 'new_col_3']),
10190.6)
self.assertEqual(R(d.at[idx['2018-01-05', 'two'], 'new_col_3']),
200389.97)
def test_rolling_simple(self):
from pandas import isna
q = 'symbol == "one"'
df = pd.read_csv('tests/data/sample.csv',
parse_dates=['timestamp']).query(q)
df['r2'] = df['close'].rolling(2).mean()
self.ds.add_rolling(2, col_name='r2')
df2 = self.ds.data.query(q)
print('RESULT', df['r2'], df2['r2'])
for a, b in zip(df['r2'], df2['r2']):
if not (isna(a)):
assert a == b
def test_rolling_values(self):
idx = pd.IndexSlice
self.ds.add_rolling(4, on='volume', function='max')
d = self.ds.data.set_index(['timestamp', 'symbol'])
R = lambda x: round(x, 2)
self.assertEqual(d.at[idx['2018-01-05', 'five'], 'rol_max_volume_4'],
971704)
self.assertEqual(d.at[idx['2018-01-05', 'six'], 'rol_max_volume_4'],
195539)
self.assertEqual(d.at[idx['2018-01-04', 'three'], 'rol_max_volume_4'],
433733)
# Adding lag and testing
self.ds.add_rolling(4, on='volume', function='max', lag=1)
d = self.ds.data.set_index(['timestamp', 'symbol'])
self.assertEqual(d.at[idx['2018-01-06', 'five'], 'rol_max_volume_4'],
971704)
self.assertEqual(d.at[idx['2018-01-06', 'six'], 'rol_max_volume_4'],
195539)
self.assertEqual(d.at[idx['2018-01-05', 'three'], 'rol_max_volume_4'],
433733)
# Testing for 2 lags and column name
self.ds.add_rolling(4,
on='volume',
function='max',
lag=2,
col_name='check')
d = self.ds.data.set_index(['timestamp', 'symbol'])
self.assertEqual(d.at[idx['2018-01-06', 'three'], 'check'], 433733)
def test_batch(self):
length = len(self.ds.data)
batch = [{
'P': {
'on': 'close',
'period': 1,
'lag': 1
}
}, {
'L': {
'on': 'volume',
'period': 1
}
}, {
'F': {
'formula': '(open+close)/2',
'col_name': 'AvgPrice'
}
}, {
'I': {
'indicator': 'SMA',
'period': 3,
'lag': 1,
'col_name': 'SMA3'
}
}, {
'F': {
'formula': 'avgprice + sma3',
'col_name': 'final'
}
}, {
'R': {
'window': 3,
'function': 'mean'
}
}]
d = self.ds.batch_process(batch).set_index(['timestamp', 'symbol'])
self.assertEqual(len(d.columns), 12)
self.assertEqual(len(self.ds.data.columns), 14)
self.assertEqual(len(self.ds.data), length)
def test_raise_error_if_not_dataframe(self):
pass
class TestDataSource(unittest.TestCase):
def setUp(self):
df = pd.read_csv("tests/data/sample.csv", parse_dates=["timestamp"])
self.ds = DataSource(data=df)
def test_data(self):
self.assertEqual(self.ds.data.iloc[20, 1], "five")
self.assertEqual(self.ds.data.iloc[14, 3], 112)
self.assertEqual(self.ds.data.iloc[24, 7], 10.54)
def test_data_without_sort(self):
df = pd.read_csv("tests/data/sample.csv", parse_dates=["timestamp"])
self.ds = DataSource(data=df, sort=False)
self.assertEqual(self.ds.data.iloc[9, 4], 999)
self.assertEqual(self.ds.data.iloc[24, 6], 41688)
self.assertEqual(self.ds.data.at[4, "close"], 10.6)
def test_initialize_case(self):
df = pd.read_csv("tests/data/sample.csv", parse_dates=["timestamp"])
df.columns = [x.upper() for x in df.columns]
self.assertEqual(df.columns[0], "TIMESTAMP")
self.ds = DataSource(data=df)
self.assertEqual(self.ds.data.columns[0], "timestamp")
def test_initialize_column_rename(self):
df = pd.read_csv("tests/data/sample.csv", parse_dates=["timestamp"])
df.columns = [
"TS",
"TRADINGSYMBOL",
"OPEN",
"HIGH",
"LOW",
"CLOSE",
"VOLUME",
"PREVCLOSE",
]
self.ds = DataSource(data=df, timestamp="TS", symbol="TRADINGSYMBOL")
self.assertEqual(self.ds.data.columns[0], "timestamp")
self.assertEqual(self.ds.data.columns[1], "symbol")
def test_add_lag(self):
length = len(self.ds.data)
idx = pd.IndexSlice
self.ds.add_lag(on="close")
self.ds.add_lag(on="volume", period=2)
d = self.ds.data.set_index(["timestamp", "symbol"])
self.assertEqual(d.at[idx["2018-01-04", "one"], "lag_close_1"], 11)
self.assertEqual(d.at[idx["2018-01-06", "six"], "lag_volume_2"], 86014)
self.assertEqual(len(self.ds.data.columns), 10)
self.assertEqual(len(self.ds.data), length)
def test_add_lag_column_rename(self):
idx = pd.IndexSlice
self.ds.add_lag(on="close")
self.ds.add_lag(on="close", col_name="some_col")
d = self.ds.data.set_index(["timestamp", "symbol"])
self.assertEqual(d.at[idx["2018-01-04", "one"], "lag_close_1"], 11)
self.assertEqual(d.at[idx["2018-01-04", "one"], "some_col"], 11)
self.assertEqual(d.at[idx["2018-01-05", "three"], "some_col"], 109)
def test_add_pct_change(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on="close")
self.ds.add_pct_change(on="close", period=2)
self.ds.add_pct_change(on="close", period=2, col_name="new_col")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-05", "three"], "chg_close_1"]), -0.07)
self.assertEqual(R(d.at[idx["2018-01-06", "five"], "chg_close_1"]), 0.17)
self.assertEqual(R(d.at[idx["2018-01-05", "four"], "chg_close_2"]), 0.05)
self.assertEqual(R(d.at[idx["2018-01-05", "four"], "new_col"]), 0.05)
self.assertEqual(R(d.at[idx["2018-01-03", "six"], "new_col"]), -0.1)
self.assertEqual(pd.isna(d.at[idx["2018-01-02", "one"], "new_col"]), True)
self.assertEqual(len(self.ds.data.columns), 11)
def test_add_pct_change_lag(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on="close", period=2, lag=1)
self.ds.add_pct_change(on="close", period=1, lag=2)
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-04", "four"], "chg_close_2"]), 0.09)
self.assertEqual(R(d.at[idx["2018-01-04", "four"], "chg_close_1"]), 0.01)
self.assertEqual(R(d.at[idx["2018-01-06", "three"], "chg_close_1"]), -0.01)
def test_add_pct_change_lag_col_name(self):
idx = pd.IndexSlice
self.ds.add_pct_change(on="high", period=2, lag=1)
self.ds.add_pct_change(on="close", period=1, lag=2, col_name="lagged_2")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-05", "six"], "chg_high_2"]), -0.04)
self.assertEqual(R(d.at[idx["2018-01-04", "four"], "lagged_2"]), 0.01)
def test_formula_add_col_name(self):
idx = pd.IndexSlice
self.ds.add_formula("open+close", "new_col")
self.ds.add_formula("volume/close", "new_col_2")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-04", "four"], "new_col"]), 336)
self.assertEqual(R(d.at[idx["2018-01-06", "one"], "new_col_2"]), 77755.77)
def test_formula_case_insensitive(self):
idx = pd.IndexSlice
self.ds.add_formula("OPEN+CLOSE", "new_col")
self.ds.add_formula("volume/close", "NEW_COL_2")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-04", "four"], "new_col"]), 336)
self.assertEqual(R(d.at[idx["2018-01-06", "one"], "new_col_2"]), 77755.77)
def test_formula_calculated_column(self):
idx = pd.IndexSlice
self.ds.add_formula("(open+close)*100", "new_col_1")
self.ds.add_formula("volume/100", "new_col_2")
self.ds.add_formula("new_col_1+new_col_2", "new_col_3")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(R(d.at[idx["2018-01-06", "one"], "new_col_3"]), 10190.6)
self.assertEqual(R(d.at[idx["2018-01-05", "two"], "new_col_3"]), 200389.97)
def test_rolling_simple(self):
from pandas import isna
q = 'symbol == "one"'
df = pd.read_csv("tests/data/sample.csv", parse_dates=["timestamp"]).query(q)
df["r2"] = df["close"].rolling(2).mean()
self.ds.add_rolling(2, col_name="r2")
df2 = self.ds.data.query(q)
print("RESULT", df["r2"], df2["r2"])
for a, b in zip(df["r2"], df2["r2"]):
if not (isna(a)):
assert a == b
def test_rolling_values(self):
idx = pd.IndexSlice
self.ds.add_rolling(4, on="volume", function="max")
d = self.ds.data.set_index(["timestamp", "symbol"])
R = lambda x: round(x, 2)
self.assertEqual(d.at[idx["2018-01-05", "five"], "rol_max_volume_4"], 971704)
self.assertEqual(d.at[idx["2018-01-05", "six"], "rol_max_volume_4"], 195539)
self.assertEqual(d.at[idx["2018-01-04", "three"], "rol_max_volume_4"], 433733)
# Adding lag and testing
self.ds.add_rolling(4, on="volume", function="max", lag=1)
d = self.ds.data.set_index(["timestamp", "symbol"])
self.assertEqual(d.at[idx["2018-01-06", "five"], "rol_max_volume_4"], 971704)
self.assertEqual(d.at[idx["2018-01-06", "six"], "rol_max_volume_4"], 195539)
self.assertEqual(d.at[idx["2018-01-05", "three"], "rol_max_volume_4"], 433733)
# Testing for 2 lags and column name
self.ds.add_rolling(4, on="volume", function="max", lag=2, col_name="check")
d = self.ds.data.set_index(["timestamp", "symbol"])
self.assertEqual(d.at[idx["2018-01-06", "three"], "check"], 433733)
def test_batch(self):
length = len(self.ds.data)
batch = [
{"P": {"on": "close", "period": 1, "lag": 1}},
{"L": {"on": "volume", "period": 1}},
{"F": {"formula": "(open+close)/2", "col_name": "AvgPrice"}},
{"I": {"indicator": "SMA", "period": 3, "lag": 1, "col_name": "SMA3"}},
{"F": {"formula": "avgprice + sma3", "col_name": "final"}},
{"R": {"window": 3, "function": "mean"}},
]
d = self.ds.batch_process(batch).set_index(["timestamp", "symbol"])
self.assertEqual(len(d.columns), 12)
self.assertEqual(len(self.ds.data.columns), 14)
self.assertEqual(len(self.ds.data), length)
def test_raise_error_if_not_dataframe(self):
pass
