def test_ops(self):
ds = Dataset({
'test': arange(300000) % 3,
'test2': arange(300000.0),
'test2i': arange(300000),
'test3': arange(300000) % 3,
})
gb = ds.groupby('test')
result = gb.mean()
self.assertTrue(result.test2[0] == result.test2i[0])
self.assertTrue(result.test2[1] == result.test2i[1])
self.assertTrue(result.test3[1] == 1.0)
result = gb.median()
result = gb.trimbr()
result = gb.nanmedian()
def test_reductions(self):
message_types = [
'CREATE',
'RUN',
'CREATE',
'RUN',
'RUN',
'RUN',
'RUN',
'CANCEL',
'RUN',
'RUN',
'RUN',
'CANCEL',
]
order_ids = [1, 1, 2, 1, 2, 2, 1, 2, 2, 2, 2, 1]
seconds = [50, 70, 72, 75, 90, 88, 95, 97, 98, 115, 116, 120]
shares = [0, 200, 0, 500, 100, 400, 100, 0, 300, 150, 150, 0]
d2 = dict(
message_type=message_types,
order_id=order_ids,
second=seconds,
shares=shares,
)
dat = Dataset(d2)
dat = dat[['order_id', 'message_type', 'second', 'shares']]
# Numeric reduction
dsr = dat.groupby('order_id').sum()
self.assertEqual(dsr.shape, (2, 3))
self.assertArrayEqual(dsr.order_id, [1, 2])
self.assertArrayEqual(dsr.second, [410, 676])
self.assertArrayEqual(dsr.shares, [800, 1100])
# Numeric reduction with all columns returned
dsr = dat.groupby('order_id', return_all=True).sum()
self.assertEqual(dsr.shape, (2, 4))
self.assertEqual(dsr.keys()[1], 'message_type')
# Order-based reduction
dsr = dat.groupby('order_id').first()
self.assertEqual(dsr.shape, (2, 4))
self.assertArrayEqual(dsr.order_id, [1, 2])
self.assertArrayEqual(dsr.message_type, ['CREATE', 'CREATE'])
self.assertArrayEqual(dsr.second, [50, 72])
self.assertArrayEqual(dsr.shares, [0, 0])
# Order-based reduction, which returns all columns regardless
dsr = dat.groupby('order_id', return_all=True).first()
self.assertEqual(dsr.shape, (2, 4))
# Order-based reduction with multiple keys
dsr = dat.groupby(['order_id', 'message_type']).first()
self.assertEqual(dsr.shape, (6, 4))
self.assertArrayEqual(dsr.order_id, [1, 1, 1, 2, 2, 2])
self.assertArrayEqual(
dsr.message_type,
['CANCEL', 'CREATE', 'RUN', 'CANCEL', 'CREATE', 'RUN'])
self.assertArrayEqual(dsr.second, [120, 50, 70, 97, 72, 90])
self.assertArrayEqual(dsr.shares, [0, 0, 200, 0, 0, 100])
# On a subset of columns
gb = dat.groupby('order_id')
dsr = gb['shares'].sum()
self.assertEqual(dsr.shape, (2, 2))
self.assertArrayEqual(dsr.shares, [800, 1100])
# Accumulating function
dsr = dat.groupby('order_id').cumsum()
self.assertEqual(dsr.shape, (12, 2))
self.assertArrayEqual(
dsr.shares,
[0, 200, 0, 700, 100, 500, 800, 500, 800, 950, 1100, 800])
# return_all has no effect with accumulating functions
# 8/23/2018 SJK - changed behavior so return all shows the keys
dsr = dat.groupby('order_id', return_all=True).cumsum()
self.assertEqual(dsr.shape, (12, 3))
# Add cum_shares back to a dataset
dat['cum_shares'] = dat.groupby('order_id').shares.cumsum().shares
self.assertEqual(dat.shape, (12, 5))
self.assertArrayEqual(dat.cum_shares, gb.shares.cumsum().shares)
# On a subset of columns
dsr = dat.groupby('order_id')[['shares', 'second']].cumsum()
self.assertEqual(dsr.shape, (12, 2))
self.assertArrayEqual(
dsr.shares,
[0, 200, 0, 700, 100, 500, 800, 500, 800, 950, 1100, 800])
self.assertArrayEqual(
dsr.second,
[50, 120, 72, 195, 162, 250, 290, 347, 445, 560, 676, 410])
# On a subset of columns with a filter
f = FastArray([
True,
False,
True,
False,
True,
False,
True,
False,
True,
False,
True,
False,
])
dsr = dat.groupby('order_id')[['shares', 'second']].cumsum(filter=f)
self.assertEqual(dsr.shape, (12, 2))
self.assertArrayEqual(
dsr.shares, [0, 0, 0, 0, 100, 100, 100, 100, 400, 400, 550, 100])
self.assertArrayEqual(
dsr.second,
[50, 50, 72, 50, 162, 162, 145, 162, 260, 260, 376, 145])
# On shares and second with filter at groupby construction
dsr = dat.groupby('order_id', filter=f)[['shares', 'second']].cumsum()
inv = INVALID_DICT[dsr.shares[0].dtype.num]
self.assertEqual(dsr.shape, (12, 2))
self.assertArrayEqual(
dsr.shares,
[0, inv, 0, inv, 100, inv, 100, inv, 400, inv, 550, inv])
self.assertArrayEqual(
dsr.second,
[50, inv, 72, inv, 162, inv, 145, inv, 260, inv, 376, inv])
# Using agg function
dsr = gb[['second', 'shares']].agg(['sum', 'mean'])
self.assertEqual(dsr.shape, (2, 2))
self.assertArrayEqual(dsr.Sum.second, [410, 676])
self.assertArrayEqual(dsr.Sum.shares, [800, 1100])
self.assertArrayAlmostEqual(dsr.Mean.second, [82.00, 96.57], places=2)
self.assertArrayAlmostEqual(dsr.Mean.shares, [160.00, 157.14],
places=2)
# Check for issue when bracket indexing on groupby
f = open(os.devnull, 'w')
print(gb, file=f)
f.close()
dsr = gb[['second', 'shares']].agg(['sum', 'mean'])
# Using different functions on different columns
dsr = gb.agg({'second': 'sum', 'shares': ['max', 'mean']})
self.assertEqual(dsr.shape, (2, 3))
self.assertArrayEqual(dsr.Sum.second, [410, 676])
self.assertArrayEqual(dsr.Max.shares, [500, 400])
self.assertArrayAlmostEqual(dsr.Mean.shares, [160.00, 157.14],
places=2)
# Using numpy functions
dsr = gb.agg({'second': np.sum, 'shares': [np.max, np.mean]})
self.assertEqual(dsr.shape, (2, 3))
self.assertArrayEqual(dsr.Sum.second, [410, 676])
self.assertArrayEqual(dsr.Max.shares, [500, 400])
self.assertArrayAlmostEqual(dsr.Mean.shares, [160.00, 157.14],
places=2)
# Alternate way to add to multiset
gb = dat.groupby('order_id')
ms = gb[['shares']].agg(['max', 'mean'])
ms.Sum = gb[['second']].sum()
self.assertEqual(ms.shape, (2, 3))
self.assertArrayEqual(ms.Sum.second, [410, 676])
self.assertArrayEqual(ms.Max.shares, [500, 400])
self.assertArrayAlmostEqual(ms.Mean.shares, [160.00, 157.14], places=2)
def test_projections(self):
num_rows_trade = 1_000_000
num_symbols = 450
Trade_Dates = [
'20180602', '20180603', '20180604', '20180605', '20180606'
]
Exchanges = np.array(['EXCH1', 'EXCH2', 'EXCH3'])
np.random.seed(1234)
ds = Dataset({
'SymbolID':
np.random.randint(0, num_symbols, size=num_rows_trade),
'Exchange':
Exchanges[np.random.randint(0,
Exchanges.shape[0],
size=num_rows_trade)],
'Trade_Date': [
Trade_Dates[int(i * len(Trade_Dates) / num_rows_trade)]
for i in range(num_rows_trade)
],
'Time': [
int(i % (num_rows_trade / len(Trade_Dates)))
for i in range(num_rows_trade)
],
'Price':
100 * (1.0 + 0.0005 * np.random.randn(num_rows_trade)),
'Size':
10 *
np.array(1 + 30 * np.random.rand(num_rows_trade), dtype=np.int64),
})
num_rows_quote = 1_000_000
ds2 = Dataset({
'SymbolID':
np.random.randint(0, num_symbols, size=num_rows_quote),
'Exchange':
Exchanges[np.random.randint(0,
Exchanges.shape[0],
size=num_rows_quote)],
'Trade_Date': [
Trade_Dates[int(i * len(Trade_Dates) / num_rows_quote)]
for i in range(num_rows_quote)
],
'Time': [
int(i % (num_rows_quote / len(Trade_Dates)))
for i in range(num_rows_quote)
],
'Bid':
100 * (1.0 - 0.001 + 0.0005 * np.random.randn(num_rows_quote)),
'Ask':
100 * (1.0 + 0.001 + 0.0005 * np.random.randn(num_rows_quote)),
})
threshold = Dataset(
{'Is_Below_Thresdhold': np.random.rand(num_rows_quote) < 0.75})
trade_time = Dataset({'time_2500': (ds.Time / 2500).astype(int)})
trades = Dataset({}).concat_columns([ds, trade_time], do_copy=False)
# Create GroupBy and corresponding Categorical
trade_gb = trades.groupby(
['SymbolID', 'Exchange', 'Trade_Date', 'time_2500'])
trade_cat = Categorical(
[ds.SymbolID, ds.Exchange, ds.Trade_Date, trade_time.time_2500])
# Call sum() and count()
self.assertEqual(trade_gb.sum().shape, (455654, 7))
self.assertEqual(trade_cat.sum(ds).shape, (455654, 7))
self.assertEqual(trade_gb.count().shape, (455654, 5))
# 8/24/2018 SJK - multikey categorical groupby now returns multiple columns for groupby keys
self.assertEqual(trade_cat.count().shape, (455654, 5))
b1 = trade_gb.count().Count.mean()
b1c = trade_cat.count().Count.mean()
b2 = trade_gb.count().shape[0]
self.assertAlmostEqual(ds.shape[0], b1 * b2, places=5)
self.assertAlmostEqual(ds.shape[0], b1c * b2, places=5)
# Create ds augmented with filtered ID
trade_ds = Dataset({'ID': trade_gb.grouping.ikey})
trade_ds_below_threshold = ds * threshold.Is_Below_Thresdhold
trade_ds_below_thresholdb = Dataset.concat_columns(
[trade_ds_below_threshold, trade_ds], do_copy=False)
# Create trade_ds size projection using GroupBy
trade_gb_id = trade_ds_below_thresholdb.groupby('ID')
trade_sizes_ds = trade_gb_id['Size'].sum()
trade_size_ds = trade_sizes_ds.Size[trade_ds_below_thresholdb.ID - 1]
self.assertEqual(trade_size_ds.shape[0], ds.shape[0])
# Create trade_ds size projection using Categorical
trade_sizes_cat_ds = trade_cat.sum(trade_ds_below_thresholdb.Size)
trade_size_cat_ds = trade_sizes_cat_ds.Size[trade_cat - 1]
self.assertArrayAlmostEqual(trade_size_ds, trade_size_cat_ds, places=6)
# Create trade_ds size projection using Pandas groupby
ptrade_ds_below_thresholdb = dataset_as_pandas_df(
trade_ds_below_thresholdb)
ptrade_gb_id = ptrade_ds_below_thresholdb.groupby('ID')
trade_sizes_pd_ds = ptrade_gb_id.sum()
trade_size_pd_ds = trade_sizes_pd_ds.Size.values[ptrade_gb_id.ngroup()]
self.assertArrayAlmostEqual(trade_size_ds, trade_size_pd_ds, places=6)
def test_flatten(self):
accuracy = 7
message_types = [
'NEW',
'EXECUTE',
'NEW',
'EXECUTE',
'EXECUTE',
'EXECUTE',
'EXECUTE',
'CANCEL',
'EXECUTE',
'EXECUTE',
'EXECUTE',
'CANCEL',
]
order_ids = [1, 1, 2, 1, 2, 2, 1, 2, 2, 2, 2, 1]
milliseconds = [50, 70, 72, 75, 90, 88, 95, 97, 98, 115, 116, 120]
shares = [0, 200, 0, 500, 100, 400, 100, 0, 300, 150, 150, 0]
dat = Dataset(
dict(
message_type=message_types,
order_id=order_ids,
millisecond=milliseconds,
shares=shares,
))
dat = dat[['order_id', 'message_type', 'millisecond', 'shares']]
gb = dat.groupby('order_id')
ms1 = gb[['millisecond', 'shares']].aggregate(['sum', 'mean'])
# Flatten horizontally
f1 = ms1.flatten()
self.assertEqual(
f1.keys(),
[
'order_id',
'Sum_millisecond',
'Sum_shares',
'Mean_millisecond',
'Mean_shares',
],
)
self.assertTrue((f1.Sum_millisecond == [410, 676]).all(axis=None))
# Flatten vertically
f2 = ms1.flatten(horizontal=False)
self.assertEqual(f2.keys(),
['order_id', 'Column', 'millisecond', 'shares'])
self.almost_eq(f2.millisecond, [410.0, 676.0, 82.0, 96.57142857],
accuracy)
ms2 = gb[['millisecond', 'shares']].aggregate(['min', 'max'])
# Flatten multiset containing multisets
ms3 = Multiset({'ms1': ms1, 'ms2': ms2})
f3 = ms3.flatten()
self.assertEqual(
f3.keys(),
[
'order_id',
'ms1_Sum_millisecond',
'ms1_Sum_shares',
'ms1_Mean_millisecond',
'ms1_Mean_shares',
'ms2_Min_millisecond',
'ms2_Min_shares',
'ms2_Max_millisecond',
'ms2_Max_shares',
],
)
self.assertTrue((f3.ms1_Sum_millisecond == [410, 676]).all(axis=None))
f3v = ms3.flatten(horizontal=False)
self.assertTrue((f3v.Column == [
b'ms1_Sum',
b'ms1_Sum',
b'ms1_Mean',
b'ms1_Mean',
b'ms2_Min',
b'ms2_Min',
b'ms2_Max',
b'ms2_Max',
]).all(axis=None))
# Flatten multiset containing multisets and a dataset
ds = gb[['millisecond', 'shares']].std()
ms4 = Multiset({'ms1': ms1, 'ms2': ms2, 'Std': ds})
f4 = ms4.flatten()
f4.label_remove()
self.assertEqual(
f4.keys(),
[
'order_id',
'ms1_Sum_millisecond',
'ms1_Sum_shares',
'ms1_Mean_millisecond',
'ms1_Mean_shares',
'ms2_Min_millisecond',
'ms2_Min_shares',
'ms2_Max_millisecond',
'ms2_Max_shares',
'Std_millisecond',
'Std_shares',
],
)
self.assertTrue((f4.ms1_Sum_millisecond == [410, 676]).all(axis=None))
f4 = ms4.flatten(horizontal=False)
self.assertAlmostEqual(f4[9, 'millisecond'], 15.4903964, places=5)
self.assertAlmostEqual(f4[9, 'shares'], 148.4042099, places=5)
# Flatten multiset containing multisets and a dataset with non-matching column
ds1 = gb[['shares']].std()
ms5 = Multiset({'ms1': ms1, 'ms2': ms2, 'Std': ds1})
f5 = ms5.flatten()
f5.label_remove()
self.assertEqual(
f5.keys(),
[
'order_id',
'ms1_Sum_millisecond',
'ms1_Sum_shares',
'ms1_Mean_millisecond',
'ms1_Mean_shares',
'ms2_Min_millisecond',
'ms2_Min_shares',
'ms2_Max_millisecond',
'ms2_Max_shares',
'Std_shares',
],
)
self.assertTrue((f5.ms1_Sum_millisecond == [410, 676]).all(axis=None))
with self.assertRaises(ValueError):
ms5.flatten(horizontal=False)
