def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
# odf from import
Csv.odf_csv = orca.read_csv(data,
dtype={
"PERMNO": np.int32,
"date": 'DATE',
"TRDSTAT": 'SYMBOL',
"DLSTCD": np.float32,
"DLPRC": np.float32,
"VOL": np.float32,
"SHROUT": np.float32
})
# pdf from import
Csv.pdf_csv = pd.read_csv(data,
parse_dates=[1],
dtype={
"PERMNO": np.int32,
"SHRCD": np.int32,
"HEXCD": np.int32,
"DLSTCD": np.float32,
"DLPRC": np.float32,
"VOL": np.float32,
"SHROUT": np.float32
})
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
left_fileName = 'test_join_left_table.csv'
right_fileName = 'test_join_right_table.csv'
data_left = os.path.join(DATA_DIR, left_fileName)
data_left = data_left.replace('\\', '/')
data_right = os.path.join(DATA_DIR, right_fileName)
data_right = data_right.replace('\\', '/')
dfsDatabase = "dfs://testjoinDB"
# connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
_create_odf_csv(data_left, data_right)
# import
Csv.odf_csv_left = orca.read_csv(data_left,
dtype={"TRDSTAT": "SYMBOL"})
Csv.odfs_csv_left = orca.read_table(dfsDatabase, 'tb_left')
Csv.pdf_csv_left = pd.read_csv(data_left, parse_dates=[1])
Csv.odf_csv_right = orca.read_csv(data_right,
dtype={"TRDSTAT": "SYMBOL"})
Csv.odfs_csv_right = orca.read_table(dfsDatabase, 'tb_right')
Csv.pdf_csv_right = pd.read_csv(data_right, parse_dates=[0])
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
Csv.pdf_csv = pd.read_csv(data, parse_dates=[1],
dtype={"PERMNO": np.int32, "SHRCD": np.int32, "HEXCD": np.int32,
"DLSTCD": np.float32, "DLPRC": np.float32, "VOL": np.float32,
"SHROUT": np.float32})
Csv.odfs_csv = _create_odf_csv(data)
n = 100 # note that n should be a multiple of 10
re = n / 10
FromDataframe.pdf = pd.DataFrame({
"id": np.arange(1, n + 1, 1, dtype='int32'),
'date': np.repeat(pd.date_range('2019.08.01', periods=10, freq='D'), re),
'tsymbol': np.repeat(['a', 'b', 'c', 'd', 'e', 'QWW', 'FEA', 'FFW', 'DER', 'POD'], re),
'tbool': np.repeat(np.repeat(np.arange(2, dtype='bool'), 5), re),
'tchar': np.repeat(np.arange(1, 11, 1, dtype='int8'), re),
'tshort': np.repeat(np.arange(1, 11, 1, dtype='int16'), re),
'tint': np.repeat(np.arange(1, 11, 1, dtype='int32'), re),
'tlong': np.repeat(np.arange(1, 11, 1, dtype='int64'), re),
'tfloat': np.repeat(np.arange(1, 11, 1, dtype='float32'), re),
'tdouble': np.repeat(np.arange(1, 11, 1, dtype='float64'), re)})
FromDataframe.odfs = _create_odf_pandas(n, FromDataframe.pdf)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'groupbyDate.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
dfsDatabase = "dfs://groupbyDateDB"
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
Csv.pdf_csv = pd.read_csv(data,
parse_dates=[1],
dtype={
"id": np.int32,
"tbool": np.bool,
"tshort": np.int16,
"tint": np.int32,
"tlong": np.int64,
"tfloat": np.float32,
"tdouble": np.float64
})
Csv.pdf_csv['tbool'] = Csv.pdf_csv["tbool"].astype(np.bool)
Csv.odfs_csv = _create_odf_csv(data, dfsDatabase)
Csv.odfs_csv.set_index("id", inplace=True)
Csv.pdf_csv.set_index("id", inplace=True)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'onlyNumericalColumns.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
Csv.pdf_csv = pd.read_csv(data)
Csv.odf_csv = orca.read_csv(data)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
dfsDatabase = "dfs://USPricesDB"
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
# import
Csv.pdf_csv = pd.read_csv(data)
Csv.odfs_csv = _create_odf_csv(data, dfsDatabase)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
# import
Csv.odf_csv = orca.read_csv(data)
Csv.odf_csv.set_index('date', inplace=True)
Csv.pdf_csv = pd.read_csv(data)
Csv.pdf_csv.set_index('date', inplace=True)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'USPricesSample.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
Csv.odf_csv = orca.read_csv(data,
dtype={
"DLSTCD": np.float32,
"DLPRC": np.float32
})
# pdf from import
Csv.pdf_csv = pd.read_csv(data)
Csv.odf_csv = Csv.odf_csv.drop(columns=['DLRET'])
Csv.pdf_csv.drop(columns=['DLRET'], inplace=True)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
fileName = 'onlyNumericalColumns.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
dfsDatabase = "dfs://onlyNumericalColumnsDB"
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
Csv.pdf_csv = pd.read_csv(data,
dtype={
"tbool": np.bool,
"tchar": np.int8,
"tshort": np.int16,
"tint": np.int32,
"tlong": np.int64,
"tfloat": np.float32,
"tdouble": np.float64
})
Csv.odfs_csv = _create_odf_csv(data, dfsDatabase)
def setUpClass(cls):
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
left_fileName = 'test_merge_left_table.csv'
right_fileName = 'test_merge_right_table.csv'
datal = os.path.join(DATA_DIR, left_fileName)
datal= datal.replace('\\', '/')
datar = os.path.join(DATA_DIR, right_fileName)
datar = datar.replace('\\', '/')
dfsDatabase = "dfs://testMergeDB"
# connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
_create_odf_csv(datal, datar)
# import
Csv.odf_csv_left = orca.read_csv(datal)
Csv.odfs_csv_left = orca.read_table(dfsDatabase, 'tickers')
Csv.pdf_csv_left = pd.read_csv(datal, parse_dates=[0,1])
Csv.odf_csv_right = orca.read_csv(datar)
Csv.odfs_csv_right = orca.read_table(dfsDatabase, 'values')
Csv.pdf_csv_right = pd.read_csv(datar)
import time
import os
import orca
import os.path as path
from setup.settings import *
import csv
# configure data directory
DATA_DIR = path.abspath(path.join(__file__, "../setup/data"))
PRECISION_POINT = 1
fileName = 'USPrices.csv'
data = os.path.join(DATA_DIR, fileName)
data = data.replace('\\', '/')
# Orca connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
# import
startTime = time.time()
odf = orca.read_csv(data)
print("Orca spent " + str(time.time() - startTime) + "s importing '" +
fileName + "'")
# generate report.csv
csvfile = open(WORK_DIR + 'report.csv', 'a')
writer = csv.writer(csvfile)
writer.writerow(
[time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time()))])
writer.writerow(['groupby', 'orca'])
import orca
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
US = 'C:/DolphinDB/Orca/databases/USstocks.csv'
orca.connect('localhost', 8848)
def load_price_data(df):
USstocks = df[df.date.dt.weekday.between(0, 4),
df.PRC.notnull(),
df.VOL.notnull()][[
'PERMNO', 'date', 'PRC', 'VOL', 'RET', 'SHROUT'
]].sort_values(by=['PERMNO', 'date'])
USstocks['PRC'] = USstocks.PRC.abs()
USstocks['MV'] = USstocks.SHROUT * USstocks.PRC
USstocks['cumretIndex'] = (USstocks + 1)['RET'].groupby(
'PERMNO', lazy=True).cumprod()
USstocks['signal'] = (USstocks.shift(21) / USstocks.shift(252) -
1).groupby('PERMNO',
lazy=True)['cumretIndex'].transform()
return USstocks
def gen_trade_tables(df):
USstocks = df[(df.PRC > 5), (df.MV > 100000), (df.VOL > 0),
(df.signal.notnull())]
USstocks = USstocks[['date', 'PERMNO', 'MV',
'signal']].sort_values(by='date')
def setUpClass(cls):
# connect to a DolphinDB server
orca.connect(HOST, PORT, "admin", "123456")
