def main(df):
df = base1.main(df)
lipt = get_lipt()
df = df[lipt]
sym = df['sym'].values[0]
vol = pd.read_csv(os.path.join(base.dir_vol(), sym + ".csv"))
d = {'Date': 'date'}
for each in vol.columns[1:]:
d[each] = 'ta_' + each
vol = vol.rename(columns=d)
vol = vol.fillna(0)
dfDate = df[["date"]]
vol = pd.merge(how='left',
left=dfDate,
right=vol,
left_on='date',
right_on='date')
vol = vol.fillna(0)
print df.shape[1]
df = pd.merge(how='left',
left=df,
right=vol,
left_on="date",
right_on="date")
print df.shape[1]
return df
def main(df):
def call(row):
if np.isnan(row['IvCall10']):
return -1
if row['IvCall10'] > row["IvCall10_shift1"] * 1.0: # and row['IvPut10'] < row['IvPut10_shift1'] *1.0 and \
return 1
return 0
df.reset_index(drop=True, inplace=True)
sym = df.ix[0].loc['sym']
df_vol = pd.read_csv(os.path.join(base.dir_vol(), sym + ".csv"))
d = {'Date':'date'}
df_vol = df_vol.rename(columns=d)
df_vol = df_vol[["date", "IvCall10", "IvPut10"]]
df = pd.merge(how = 'left', left = df, right =df_vol, left_on = 'date', right_on = 'date')
df.loc[:,"IvCall10_shift1"] = df["IvCall10"].shift(1)
df.loc[:,"IvPut10_shift1"] = df["IvPut10"].shift(1)
df.loc[:,"volume_shift1"] = df["volume"].shift(1)
df.loc[:,"ta_sig_vol"] = df.apply(lambda row : call(row), axis = 1)
del df["IvCall10"]
del df["IvCall10_shift1"]
del df["IvPut10"]
del df["IvPut10_shift1"]
del df["volume_shift1"]
return df
def main(args):
lsym = yeod_b.get_sp500Top100()
dir_vol = base.dir_vol()
for sym in lsym:
file_vol_per_sym = os.path.join(dir_vol, sym + ".csv")
if os.path.isfile(file_vol_per_sym):
continue
vol = download_vol(sym)
with open(file_vol_per_sym, "w") as f:
print >> f, vol
def main(args):
lsym = yeod_b.get_sp500Top100()
dir_vol = base.dir_vol()
for sym in lsym:
file_vol_per_sym = os.path.join(dir_vol, sym + ".csv")
if os.path.isfile(file_vol_per_sym):
continue
vol = download_vol(sym)
with open(file_vol_per_sym, "w") as f:
print >> f, vol
