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PandaPy has the speed of NumPy and the usability of Pandas

 4 years ago
source link: https://github.com/firmai/pandapy
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PandaPy

Install

!pip3 install pandapy

Load

import pandapy as pp

Why PandaPy?

  1. Maintains the full functionality and speed of structured NumPy datatype (eg., array[col1] + array[col2], or np.log(array[col1] )
  2. Provides wrapper functions over NumPy to give you the usability of Pandas (eg., pp.group(array, [col1, col2, col2], ['mean', 'std'], ['Adj_Close','Close'])
  3. If you need Pandas for speciality functions, you can easily df = pp.pandas(array) and back array = pp.structured(df)
  4. For simple calculations (i.e, plus, mult, log) PandaPy is 25x - 80x faster than Pandas.
  5. For table functions (i.e., group, pivot, drop, concat, fillna) PandaPy is 5x - 100x times faster than Pandas.
  6. For most use cases, PandaPy is faster than Dask, Modin Ray and Pandas.
  7. The best competing python package for performance on table functions is datatable , it is 2x - 10x faster than PandaPy.
  8. The problem is that datatable is 5x - 10x slower with simple calculations (plus, mult, returns), it is less intuitive, does not have a large range of functions, have very few complementary libraries, e.g. matplotlib, and doesn't leave you in a Numpy datatype.
  9. For finance applications the speed of simple calculations takes preference over table function speed.
  10. PandaPy is not created to allow you to scale up to clusters for multiple computer processing like Dask, Modin, and Spark, instead it is focused on speed and usability within a single computer's Memory.
  11. Machines are getting large, EC2 X1 has 2TB of RAM and is remarkably affordable. If it can be done on a single machine then it should be done on a single machine. Quoting Dask - "For data that fits into RAM, Pandas can often be faster and easier to use than Dask DataFrame"
  12. If your dataset is very small you can load your data using PandaPy's read() function, for medium sized data, it is best to load it with datatable or pyspark and convert it to structured Numpy, if it is large pyspark, Dask, or Modin, if it is very large use pyspark.
  13. Lastly PandaPy can have as input any multidimensional object and does not have to conform to the basic NumPy datatypes. It can include nested datatypes, subarrays, functions as long as each column conforms to the array lenght, this allows for a great amount of flexibility. You can for example, add(array, "panda function",[[pd for i in range(len(multiple_stocks))]]) to create a list of the panda (pd) module and access it along any index value array["panda function"][0].read_csv(url) .

PandaPy software, similar to the original Pandas project, is developed to improve the usability of python for finance. Structured datatypes are designed to be able to mimic ‘structs’ in the C language, and share a similar memory layout. PandaPy currently houses more than 30 functions. Structured NumPy are meant for interfacing with C code and for low-level manipulation of structured buffers, for example for interpreting binary blobs. For these purposes they support specialized features such as subarrays, nested datatypes, and unions, and allow control over the memory layout of the structure.

Note this is a fledgling project, much room for improvement, all feedback appreciated (issues tab)

Description

A Structured NumPy Array is an array of structures. NumPy arrays can only contain one data type, but structured arrays in a sense create an array of homogeneous structures. This is done without moving out of NumPy such as is required with Xarray. For structured arrays the data type only has to be the same per column like an SQL data base. Each column can be another multidimensional object and does not have to conform to the basic NumPy datatypes.

PandaPy comes with similar functionality like Pandas, such as groupby, pivot, and others. The biggest benefit of this approach is that NumPy dtype(data type) directly maps onto a C structure definition, so the buffer containing the array content can be accessed directly within an appropriately written C program. If you find yourself writing a Python interface to a legacy C or Fortran library that manipulates structured data, you'll probably find structured arrays quite useful.

Additional

  1. Play around with speed tests here and some more here .
  2. Test and explore the package with this Google Colab Notebook .
  3. Get in touch on LinkedIn or Twitter .
  4. Use table(array) to get a pandas looking table printout

Functions

PandaPy Speed Over Pandas In (X) e.g., (dropnarow) (30x)

Array Structure

Read In Arrays (read)
To Pandas (unstructured) 
Pandas to Structured (structured) 
To Unstructured (to_unstruct) 
To Structured (to_struct) 
Print Table (table)

Explorative Functions

Descriptive Statistics (describe) (5x)
Correlation Array (corr) (2x)

Finance Functions

Returns (returns) (50x)  
Portfolio Value (portfolio_value) (50x)
Cummulative Value (cummulative_return) (50x)
Column Lags (lags) (7x)

Array Functions

Drop Null Rows (dropnarow) (30x)
Drop Column/s (drop) (100x)
Add Column/s (add) (3x)
Concatenate (concat) (rows 25x columns 70x)
Merge (merge) (2x)
Group by (group) (10x)
Pivot (pivot) (20x)
Fill Nulls (fillna) (20x)
Shift Column (shift) (50x)
Rename (rename) (500x)

Other Speed Tests

Update (array[col] = values) (60x)
Addition (array[col] + array[col]) (80x)
Multiplication (array[col] * array[col]) (80x)
Log (np.log(array[col]) (25x)

note speed tests done on financial dataset only

Documentation by Example

Read In Arrays

# First Example
multiple_stocks = pp.read('https://github.com/firmai/random-assets-two/blob/master/numpy/multiple_stocks.csv?raw=true')
closing = multiple_stocks[['Ticker','Date','Adj_Close']]
piv = pp.pivot(closing,"Date","Ticker","Adj_Close"); piv
closing = pp.to_struct(piv, name_list = [x for x in np.unique(multiple_stocks["Ticker"])])

# Second Example
tsla = pp.read('https://github.com/firmai/random-assets-two/raw/master/numpy/tsla.csv')
crm = pp.read('https://github.com/firmai/random-assets-two/raw/master/numpy/crm.csv')
tsla_sub = tsla[["Date","Adj_Close","Volume"]]
crm_sub = crm[["Date","Adj_Close","Volume"]]
crm_adj = crm[['Date','Adj_Close']]
closing
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312,  41.9791832 ,  81.51140594, 66.33999634),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312,  41.59314346,  80.89860535, 66.15000153),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897,  40.98268127,  80.28580475, 64.58000183),
       ...,
       (21.57999992, 289.79998779, 59.08000183, 11.18000031, 135.27000427, 55.34999847, 158.96000671, 137.53999329, 88.37000275),
       (21.34000015, 291.51998901, 58.65999985, 11.07999992, 132.80999756, 55.27000046, 157.58999634, 136.80999756, 87.95999908),
       (21.51000023, 293.6499939 , 58.47999954, 11.15999985, 134.03999329, 55.34999847, 157.69999695, 136.66999817, 88.08999634)],
      dtype=[('AA', '<f8'), ('AAPL', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8')])

Rename

pp.rename(closing,["AA","AAPL"],["GAP","FAF"])[:5]
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312, 41.9791832 , 81.51140594, 66.33999634),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312, 41.59314346, 80.89860535, 66.15000153),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897, 40.98268127, 80.28580475, 64.58000183),
       (36.25707626,  99.00255585, 42.57216263, 19.91554451, 124.94229126, 36.52467346, 41.50337982, 82.63342285, 65.52999878),
       (37.28897095, 102.80648041, 43.67792892, 20.15538216, 127.65791321, 36.966465  , 42.72432327, 84.13523865, 66.63999939)],
      dtype=[('GAP', '<f8'), ('FAF', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8')])
pp.rename(closing,"AA", "GALLY")[:5]
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312, 41.9791832 , 81.51140594, 66.33999634),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312, 41.59314346, 80.89860535, 66.15000153),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897, 40.98268127, 80.28580475, 64.58000183),
       (36.25707626,  99.00255585, 42.57216263, 19.91554451, 124.94229126, 36.52467346, 41.50337982, 82.63342285, 65.52999878),
       (37.28897095, 102.80648041, 43.67792892, 20.15538216, 127.65791321, 36.966465  , 42.72432327, 84.13523865, 66.63999939)],
      dtype=[('GALLY', '<f8'), ('AAPL', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8')])

Statistics

described = pp.describe(closing)
Describe observations minimum maximum mean variance skewness kurtosis AA 1258.00 15.97 60.23 31.46 99.42 0.67 -0.58 AAPL 1258.00 85.39 293.65 149.45 2119.86 0.66 -0.28 DAL 1258.00 30.73 62.69 47.15 44.33 -0.01 -0.78 GE 1258.00 6.42 28.67 18.85 48.45 -0.25 -1.54 IBM 1258.00 99.83 161.17 133.35 116.28 -0.37 0.56 KO 1258.00 32.81 55.35 41.67 28.86 0.80 -0.05 MSFT 1258.00 36.27 158.96 78.31 1102.21 0.61 -0.82 PEP 1258.00 78.46 139.30 102.86 229.01 0.63 -0.32 UAL 1258.00 37.75 96.70 69.22 195.65 0.02 -1.04

Drop Column/s

removed = pp.drop(closing,["AA","AAPL","IBM"]) ; removed[:5]
array([(44.57522202, 20.72605705, 35.80251312, 41.9791832 , 81.51140594, 66.33999634),
       (43.83200836, 20.34561157, 35.80251312, 41.59314346, 80.89860535, 66.15000153),
       (42.79874039, 19.90727234, 36.07437897, 40.98268127, 80.28580475, 64.58000183),
       (42.57216263, 19.91554451, 36.52467346, 41.50337982, 82.63342285, 65.52999878),
       (43.67792892, 20.15538216, 36.966465  , 42.72432327, 84.13523865, 66.63999939)],
      dtype={'names':['DAL','GE','KO','MSFT','PEP','UAL'], 'formats':['<f8','<f8','<f8','<f8','<f8','<f8'], 'offsets':[16,24,40,48,56,64], 'itemsize':72})

Add Column/s

added = pp.add(closing,["GALLY","FAF"],[closing["IBM"],closing["AA"]]); added[:5]  ## set two new columns with that two previous columnns
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312, 41.9791832 , 81.51140594, 66.33999634, 130.59109497, 37.24206924),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312, 41.59314346, 80.89860535, 66.15000153, 128.53627014, 35.08446503),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897, 40.98268127, 80.28580475, 64.58000183, 125.76422119, 35.34244537),
       (36.25707626,  99.00255585, 42.57216263, 19.91554451, 124.94229126, 36.52467346, 41.50337982, 82.63342285, 65.52999878, 124.94229126, 36.25707626),
       (37.28897095, 102.80648041, 43.67792892, 20.15538216, 127.65791321, 36.966465  , 42.72432327, 84.13523865, 66.63999939, 127.65791321, 37.28897095)],
      dtype=[('AA', '<f8'), ('AAPL', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8'), ('GALLY', '<f8'), ('FAF', '<f8')])

Concatenate Arrays by Row

concat_row = pp.concat(removed[["DAL","GE"]], added[["PEP","UAL"]], type="row"); concat_row[:5]
array([(44.57522202, 20.72605705), (43.83200836, 20.34561157),
       (42.79874039, 19.90727234), (42.57216263, 19.91554451),
       (43.67792892, 20.15538216)], dtype=[('DAL', '<f8'), ('GE', '<f8')])

Concatenate Arrays by Column

concat_col = pp.concat(removed[["DAL","GE"]], added[["PEP","UAL"]], type="columns"); concat_col[:5]
array([(44.57522202, 20.72605705, 81.51140594, 66.33999634),
       (43.83200836, 20.34561157, 80.89860535, 66.15000153),
       (42.79874039, 19.90727234, 80.28580475, 64.58000183),
       (42.57216263, 19.91554451, 82.63342285, 65.52999878),
       (43.67792892, 20.15538216, 84.13523865, 66.63999939)],
      dtype=[('DAL', '<f8'), ('GE', '<f8'), ('PEP', '<f8'), ('UAL', '<f8')])

Concatenate by Array

concat_array = pp.concat(removed[["DAL","GE"]], added[["PEP","UAL"]], type="array"); concat_array[:5]
array([[(44.57522201538086, 20.726057052612305),
        (43.832008361816406, 20.345611572265625),
        (42.79874038696289, 19.907272338867188), ...,
        (59.08000183105469, 11.180000305175781),
        (58.65999984741211, 11.079999923706055),
        (58.47999954223633, 11.15999984741211)],
       [(81.51140594482422, 66.33999633789062),
        (80.89860534667969, 66.1500015258789),
        (80.28580474853516, 64.58000183105469), ...,
        (137.5399932861328, 88.37000274658203),
        (136.80999755859375, 87.95999908447266),
        (136.6699981689453, 88.08999633789062)]], dtype=object)

Concatenate by Melt

concat_melt = pp.concat(removed[["DAL","GE"]], added[["PEP","UAL"]], type="melt"); concat_melt[:5]
array([(44.57522202, 20.72605705), (43.83200836, 20.34561157),
       (42.79874039, 19.90727234), (42.57216263, 19.91554451),
       (43.67792892, 20.15538216)], dtype=[('DAL', '<f8'), ('GE', '<f8')])

Merge Array (inner, outer)

merged = pp.merge(tsla_sub, crm_adj, left_on="Date", right_on="Date",how="inner",left_postscript="_TSLA",right_postscript="_CRM"); merged[:5]
array([('2019-01-02', 310.11999512, 135.55000305, 11658600),
       ('2019-01-03', 300.35998535, 130.3999939 ,  6965200),
       ('2019-01-04', 317.69000244, 137.96000671,  7394100),
       ('2019-01-07', 334.95999146, 142.22000122,  7551200),
       ('2019-01-08', 335.3500061 , 145.72000122,  7008500)],
      dtype=[('Date', '<M8[D]'), ('Adj_Close_TSLA', '<f8'), ('Adj_Close_CRM', '<f8'), ('Volume', '<i8')])

Replace Individual Values

## More work to done on replace (structured)
## replace(merged,original=317.69000244, replacement=np.nan)[:5]

Print Table

pp.table(merged[:5])
Date Adj_Close_TSLA Adj_Close_CRM Volume 0 2019-01-02 310.120 135.550 11658600 1 2019-01-03 300.360 130.400 6965200 2 2019-01-04 317.690 137.960 7394100 3 2019-01-07 334.960 142.220 7551200 4 2019-01-08 335.350 145.720 7008500 
### This is the new function that you should include above
### You can add the same peculuarities to remove

Add and Concatenate

tsla = pp.add(tsla,["Ticker"], "TSLA", "U10")
crm = pp.add(crm,["Ticker"], "CRM", "U10")
combine = pp.concat(tsla[0:5], crm[0:5], type="row"); combine
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, '2019-01-02', 'TSLA'),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, '2019-01-03', 'TSLA'),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, '2019-01-04', 'TSLA'),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, '2019-01-07', 'TSLA'),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , '2019-01-08', 'TSLA'),
       (136.83000183, 133.05000305, 133.3999939 , 135.55000305,  4783900, 135.55000305, '2019-01-02', 'CRM'),
       (134.77999878, 130.1000061 , 133.47999573, 130.3999939 ,  6365700, 130.3999939 , '2019-01-03', 'CRM'),
       (139.32000732, 132.22000122, 133.5       , 137.96000671,  6650600, 137.96000671, '2019-01-04', 'CRM'),
       (143.38999939, 138.78999329, 141.02000427, 142.22000122,  9064800, 142.22000122, '2019-01-07', 'CRM'),
       (146.46000671, 142.88999939, 144.72999573, 145.72000122,  9057300, 145.72000122, '2019-01-08', 'CRM')],
      dtype=[('High', '<f8'), ('Low', '<f8'), ('Open', '<f8'), ('Close', '<f8'), ('Volume', '<i8'), ('Adj_Close', '<f8'), ('Date', '<M8[D]'), ('Ticker', '<U10')])
dropped = pp.drop(combine,["High","Low","Open"]); dropped[:10]
array([(310.11999512, 11658600, 310.11999512, '2019-01-02', 'TSLA'),
       (300.35998535,  6965200, 300.35998535, '2019-01-03', 'TSLA'),
       (317.69000244,  7394100, 317.69000244, '2019-01-04', 'TSLA'),
       (334.95999146,  7551200, 334.95999146, '2019-01-07', 'TSLA'),
       (335.3500061 ,  7008500, 335.3500061 , '2019-01-08', 'TSLA'),
       (135.55000305,  4783900, 135.55000305, '2019-01-02', 'CRM'),
       (130.3999939 ,  6365700, 130.3999939 , '2019-01-03', 'CRM'),
       (137.96000671,  6650600, 137.96000671, '2019-01-04', 'CRM'),
       (142.22000122,  9064800, 142.22000122, '2019-01-07', 'CRM'),
       (145.72000122,  9057300, 145.72000122, '2019-01-08', 'CRM')],
      dtype={'names':['Close','Volume','Adj_Close','Date','Ticker'], 'formats':['<f8','<i8','<f8','<M8[D]','<U10'], 'offsets':[24,32,40,48,56], 'itemsize':96})

Pivot Array

piv = pp.pivot(dropped,"Date","Ticker","Adj_Close",display=True)
Adj_Close CRM TSLA 2019-01-02 135.55 310.12 2019-01-03 130.40 300.36 2019-01-04 137.96 317.69 2019-01-07 142.22 334.96 2019-01-08 145.72 335.35

Add New Data types

tsla_extended = pp.add(tsla,"Month",tsla["Date"],'datetime64[M]')
tsla_extended = pp.add(tsla_extended,"Year",tsla_extended["Date"],'datetime64[Y]')

Update Existing Column

## faster method elsewhere
year_frame = pp.update(tsla,"Date", [dt.year for dt in tsla["Date"].astype(object)],types="|U10"); year_frame[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, 'TSLA', '2019'),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, 'TSLA', '2019'),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, 'TSLA', '2019'),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, 'TSLA', '2019'),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , 'TSLA', '2019')],
      dtype=[('High', '<f8'), ('Low', '<f8'), ('Open', '<f8'), ('Close', '<f8'), ('Volume', '<i8'), ('Adj_Close', '<f8'), ('Ticker', '<U10'), ('Date', '<U10')])

Group Arrays By

grouped = pp.group(tsla_extended, ['Ticker','Month','Year'],['mean', 'std', 'min', 'max'], ['Adj_Close','Close'], display=True)
Ticker Month Year Adj_Close_mean Adj_Close_std Adj_Close_min Adj_Close_max Close_mean Close_std Close_min Close_max 0 TSLA 2019-01-01 2019-01-01 318.494 21.098 287.590 347.310 318.494 21.098 287.590 347.310 1 TSLA 2019-02-01 2019-01-01 307.728 8.053 291.230 321.350 307.728 8.053 291.230 321.350 2 TSLA 2019-03-01 2019-01-01 277.757 8.925 260.420 294.790 277.757 8.925 260.420 294.790 3 TSLA 2019-04-01 2019-01-01 266.656 14.985 235.140 291.810 266.656 14.985 235.140 291.810 4 TSLA 2019-05-01 2019-01-01 219.715 24.040 185.160 255.340 219.715 24.040 185.160 255.340 5 TSLA 2019-06-01 2019-01-01 213.717 12.125 178.970 226.430 213.717 12.125 178.970 226.430 6 TSLA 2019-07-01 2019-01-01 242.382 12.077 224.550 264.880 242.382 12.077 224.550 264.880 7 TSLA 2019-08-01 2019-01-01 225.103 7.831 211.400 238.300 225.103 7.831 211.400 238.300 8 TSLA 2019-09-01 2019-01-01 237.261 8.436 220.680 247.100 237.261 8.436 220.680 247.100 9 TSLA 2019-10-01 2019-01-01 266.355 31.463 231.430 328.130 266.355 31.463 231.430 328.130 10 TSLA 2019-11-01 2019-01-01 338.300 13.226 313.310 359.520 338.300 13.226 313.310 359.520 11 TSLA 2019-12-01 2019-01-01 377.695 36.183 330.370 430.940 377.695 36.183 330.370 430.940

Convert Array to Pandas

grouped_frame = pp.pandas(grouped); grouped_frame.head()
Ticker Month Year Adj_Close_mean Adj_Close_std Adj_Close_min Adj_Close_max Close_mean Close_std Close_min Close_max 0 TSLA 2019-01-01 2019-01-01 318.494284 21.098362 287.589996 347.309998 318.494284 21.098362 287.589996 347.309998 1 TSLA 2019-02-01 2019-01-01 307.728421 8.052522 291.230011 321.350006 307.728421 8.052522 291.230011 321.350006 2 TSLA 2019-03-01 2019-01-01 277.757140 8.924873 260.420013 294.790009 277.757140 8.924873 260.420013 294.790009 3 TSLA 2019-04-01 2019-01-01 266.655716 14.984572 235.139999 291.809998 266.655716 14.984572 235.139999 291.809998 4 TSLA 2019-05-01 2019-01-01 219.715454 24.039647 185.160004 255.339996 219.715454 24.039647 185.160004 255.339996

From Pandas to Structured

struct = pp.structured(grouped_frame); struct[:5]
rec.array([('TSLA', '2019-01-01T00:00:00.000000000', '2019-01-01T00:00:00.000000000', 318.49428449, 21.09836186, 287.58999634, 347.30999756, 318.49428449, 21.09836186, 287.58999634, 347.30999756),
           ('TSLA', '2019-02-01T00:00:00.000000000', '2019-01-01T00:00:00.000000000', 307.72842086,  8.05252198, 291.23001099, 321.3500061 , 307.72842086,  8.05252198, 291.23001099, 321.3500061 ),
           ('TSLA', '2019-03-01T00:00:00.000000000', '2019-01-01T00:00:00.000000000', 277.75713966,  8.92487345, 260.42001343, 294.79000854, 277.75713966,  8.92487345, 260.42001343, 294.79000854),
           ('TSLA', '2019-04-01T00:00:00.000000000', '2019-01-01T00:00:00.000000000', 266.65571594, 14.98457194, 235.13999939, 291.80999756, 266.65571594, 14.98457194, 235.13999939, 291.80999756),
           ('TSLA', '2019-05-01T00:00:00.000000000', '2019-01-01T00:00:00.000000000', 219.7154541 , 24.03964724, 185.16000366, 255.33999634, 219.7154541 , 24.03964724, 185.16000366, 255.33999634)],
          dtype=[('Ticker', 'O'), ('Month', '<M8[ns]'), ('Year', '<M8[ns]'), ('Adj_Close_mean', '<f8'), ('Adj_Close_std', '<f8'), ('Adj_Close_min', '<f8'), ('Adj_Close_max', '<f8'), ('Close_mean', '<f8'), ('Close_std', '<f8'), ('Close_min', '<f8'), ('Close_max', '<f8')])

Shift Column

pp.shift(merged["Adj_Close_TSLA"],1)[:5]
array([         nan, 310.11999512, 300.35998535, 317.69000244,
       334.95999146])

Multiple Lags for Column

tsla_lagged = pp.lags(tsla_extended, "Adj_Close", 5); tsla_lagged[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, '2019-01-02', 'TSLA', '2019-01', '2019',          nan,          nan,          nan,          nan, nan),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, '2019-01-03', 'TSLA', '2019-01', '2019', 310.11999512,          nan,          nan,          nan, nan),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, '2019-01-04', 'TSLA', '2019-01', '2019', 300.35998535, 310.11999512,          nan,          nan, nan),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, '2019-01-07', 'TSLA', '2019-01', '2019', 317.69000244, 300.35998535, 310.11999512,          nan, nan),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , '2019-01-08', 'TSLA', '2019-01', '2019', 334.95999146, 317.69000244, 300.35998535, 310.11999512, nan)],
      dtype=[('High', '<f8'), ('Low', '<f8'), ('Open', '<f8'), ('Close', '<f8'), ('Volume', '<i8'), ('Adj_Close', '<f8'), ('Date', '<M8[D]'), ('Ticker', '<U10'), ('Month', '<M8[M]'), ('Year', '<M8[Y]'), ('Adj_Close_lag_1', '<f8'), ('Adj_Close_lag_2', '<f8'), ('Adj_Close_lag_3', '<f8'), ('Adj_Close_lag_4', '<f8'), ('Adj_Close_lag_5', '<f8')])

Correlation Array

correlated = pp.corr(closing)
Correlation AA AAPL DAL GE IBM KO MSFT PEP UAL AA 1.00 0.21 0.24 -0.17 0.39 -0.09 0.05 -0.04 0.12 AAPL 0.21 1.00 0.86 -0.83 0.22 0.85 0.94 0.85 0.82 DAL 0.24 0.86 1.00 -0.78 0.14 0.79 0.86 0.78 0.86 GE -0.17 -0.83 -0.78 1.00 0.06 -0.76 -0.86 -0.69 -0.76 IBM 0.39 0.22 0.14 0.06 1.00 0.07 0.15 0.24 0.18 KO -0.09 0.85 0.79 -0.76 0.07 1.00 0.94 0.96 0.74 MSFT 0.05 0.94 0.86 -0.86 0.15 0.94 1.00 0.93 0.83 PEP -0.04 0.85 0.78 -0.69 0.24 0.96 0.93 1.00 0.75 UAL 0.12 0.82 0.86 -0.76 0.18 0.74 0.83 0.75 1.00

Log Returns

pp.returns(closing,"IBM",type="log")
array([        nan, -0.01585991, -0.02180223, ...,  0.0026649 ,
       -0.0183533 ,  0.0092187 ])

Normal Returns

loga = pp.returns(closing,"IBM",type="normal"); loga
array([        nan, -0.0157348 , -0.02156628, ...,  0.00266845,
       -0.0181859 ,  0.00926132])

Add Column

close_ret = pp.add(closing,"IBM_log_return",loga); close_ret[:5]
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312, 41.9791832 , 81.51140594, 66.33999634,         nan),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312, 41.59314346, 80.89860535, 66.15000153, -0.0157348 ),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897, 40.98268127, 80.28580475, 64.58000183, -0.02156628),
       (36.25707626,  99.00255585, 42.57216263, 19.91554451, 124.94229126, 36.52467346, 41.50337982, 82.63342285, 65.52999878, -0.00653548),
       (37.28897095, 102.80648041, 43.67792892, 20.15538216, 127.65791321, 36.966465  , 42.72432327, 84.13523865, 66.63999939,  0.02173501)],
      dtype=[('AA', '<f8'), ('AAPL', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8'), ('IBM_log_return', '<f8')])

Drop Array Rows Where Null

close_ret_na = pp.dropnarow(close_ret, "IBM_log_return"); close_ret[:5]
array([(37.24206924, 100.45429993, 44.57522202, 20.72605705, 130.59109497, 35.80251312, 41.9791832 , 81.51140594, 66.33999634,         nan),
       (35.08446503,  97.62433624, 43.83200836, 20.34561157, 128.53627014, 35.80251312, 41.59314346, 80.89860535, 66.15000153, -0.0157348 ),
       (35.34244537,  97.63354492, 42.79874039, 19.90727234, 125.76422119, 36.07437897, 40.98268127, 80.28580475, 64.58000183, -0.02156628),
       (36.25707626,  99.00255585, 42.57216263, 19.91554451, 124.94229126, 36.52467346, 41.50337982, 82.63342285, 65.52999878, -0.00653548),
       (37.28897095, 102.80648041, 43.67792892, 20.15538216, 127.65791321, 36.966465  , 42.72432327, 84.13523865, 66.63999939,  0.02173501)],
      dtype=[('AA', '<f8'), ('AAPL', '<f8'), ('DAL', '<f8'), ('GE', '<f8'), ('IBM', '<f8'), ('KO', '<f8'), ('MSFT', '<f8'), ('PEP', '<f8'), ('UAL', '<f8'), ('IBM_log_return', '<f8')])

Portfolio Value from Log Return

pp.portfolio_value(close_ret_na, "IBM_log_return", type="log")
array([0.98438834, 0.96338604, 0.95711037, ..., 1.15115429, 1.13040872,
       1.14092643])

Cummulative Value from Log Return

pp.cummulative_return(close_ret_na, "IBM_log_return", type="log")
array([-0.01561166, -0.03661396, -0.04288963, ...,  0.15115429,
        0.13040872,  0.14092643])

Fillna Mean

pp.fillna(tsla_lagged,type="mean")[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, 272.95330665, 272.38631982, 271.75180703, 271.10991915, 270.48587024),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, 310.11999512, 272.38631982, 271.75180703, 271.10991915, 270.48587024),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, 300.35998535, 310.11999512, 271.75180703, 271.10991915, 270.48587024),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, 317.69000244, 300.35998535, 310.11999512, 271.10991915, 270.48587024),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , 334.95999146, 317.69000244, 300.35998535, 310.11999512, 270.48587024)],
      dtype={'names':['High','Low','Open','Close','Volume','Adj_Close','Adj_Close_lag_1','Adj_Close_lag_2','Adj_Close_lag_3','Adj_Close_lag_4','Adj_Close_lag_5'], 'formats':['<f8','<f8','<f8','<f8','<i8','<f8','<f8','<f8','<f8','<f8','<f8'], 'offsets':[0,8,16,24,32,40,112,120,128,136,144], 'itemsize':152})

Fillna Value

pp.fillna(tsla_lagged,type="value",value=-999999)[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, -9.99999000e+05, -9.99999000e+05, -9.99999000e+05, -9.99999000e+05, -999999.),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535,  3.10119995e+02, -9.99999000e+05, -9.99999000e+05, -9.99999000e+05, -999999.),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244,  3.00359985e+02,  3.10119995e+02, -9.99999000e+05, -9.99999000e+05, -999999.),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146,  3.17690002e+02,  3.00359985e+02,  3.10119995e+02, -9.99999000e+05, -999999.),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 ,  3.34959991e+02,  3.17690002e+02,  3.00359985e+02,  3.10119995e+02, -999999.)],
      dtype={'names':['High','Low','Open','Close','Volume','Adj_Close','Adj_Close_lag_1','Adj_Close_lag_2','Adj_Close_lag_3','Adj_Close_lag_4','Adj_Close_lag_5'], 'formats':['<f8','<f8','<f8','<f8','<i8','<f8','<f8','<f8','<f8','<f8','<f8'], 'offsets':[0,8,16,24,32,40,112,120,128,136,144], 'itemsize':152})

Fillna Forward Fill

pp.fillna(tsla_lagged,type="ffill")[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512,          nan,          nan,          nan,          nan, nan),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, 310.11999512,          nan,          nan,          nan, nan),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, 300.35998535, 310.11999512,          nan,          nan, nan),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, 317.69000244, 300.35998535, 310.11999512,          nan, nan),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , 334.95999146, 317.69000244, 300.35998535, 310.11999512, nan)],
      dtype={'names':['High','Low','Open','Close','Volume','Adj_Close','Adj_Close_lag_1','Adj_Close_lag_2','Adj_Close_lag_3','Adj_Close_lag_4','Adj_Close_lag_5'], 'formats':['<f8','<f8','<f8','<f8','<i8','<f8','<f8','<f8','<f8','<f8','<f8'], 'offsets':[0,8,16,24,32,40,112,120,128,136,144], 'itemsize':152})

Fillna Backward Fill

pp.fillna(tsla_lagged,type="bfill")[:5]
array([(315.13000488, 298.79998779, 306.1000061 , 310.11999512, 11658600, 310.11999512, 310.11999512, 310.11999512, 310.11999512, 310.11999512, 310.11999512),
       (309.3999939 , 297.38000488, 307.        , 300.35998535,  6965200, 300.35998535, 310.11999512, 310.11999512, 310.11999512, 310.11999512, 310.11999512),
       (318.        , 302.73001099, 306.        , 317.69000244,  7394100, 317.69000244, 300.35998535, 310.11999512, 310.11999512, 310.11999512, 310.11999512),
       (336.73999023, 317.75      , 321.72000122, 334.95999146,  7551200, 334.95999146, 317.69000244, 300.35998535, 310.11999512, 310.11999512, 310.11999512),
       (344.01000977, 327.01998901, 341.95999146, 335.3500061 ,  7008500, 335.3500061 , 334.95999146, 317.69000244, 300.35998535, 310.11999512, 310.11999512)],
      dtype={'names':['High','Low','Open','Close','Volume','Adj_Close','Adj_Close_lag_1','Adj_Close_lag_2','Adj_Close_lag_3','Adj_Close_lag_4','Adj_Close_lag_5'], 'formats':['<f8','<f8','<f8','<f8','<i8','<f8','<f8','<f8','<f8','<f8','<f8'], 'offsets':[0,8,16,24,32,40,112,120,128,136,144], 'itemsize':152})

Print Table

pp.table(tsla_lagged,5)
High Low Open Close Volume Adj_Close Date Ticker Month Year Adj_Close_lag_1 Adj_Close_lag_2 Adj_Close_lag_3 Adj_Close_lag_4 Adj_Close_lag_5 0 315.130 298.800 306.100 310.120 11658600 310.120 2019-01-02 TSLA 2019-01-01 2019-01-01 nan nan nan nan nan 1 309.400 297.380 307.000 300.360 6965200 300.360 2019-01-03 TSLA 2019-01-01 2019-01-01 310.120 nan nan nan nan 2 318.000 302.730 306.000 317.690 7394100 317.690 2019-01-04 TSLA 2019-01-01 2019-01-01 300.360 310.120 nan nan nan 3 336.740 317.750 321.720 334.960 7551200 334.960 2019-01-07 TSLA 2019-01-01 2019-01-01 317.690 300.360 310.120 nan nan 4 344.010 327.020 341.960 335.350 7008500 335.350 2019-01-08 TSLA 2019-01-01 2019-01-01 334.960 317.690 300.360 310.120 nan

Outliers

signal = tsla_lagged["Volume"]
z_signal = (signal - np.mean(signal)) / np.std(signal)
tsla_lagged = pp.add(tsla_lagged,"z_signal_volume",z_signal)
outliers = pp.detect(tsla_lagged["z_signal_volume"]); outliers
[12, 40, 42, 64, 78, 79, 84, 95, 97, 98, 107, 141, 205, 206, 207]
import matplotlib.pyplot as plt

plt.figure(figsize=(15, 7))
plt.plot(np.arange(len(tsla_lagged["Volume"])), tsla_lagged["Volume"])
plt.plot(np.arange(len(tsla_lagged["Volume"])), tsla_lagged["Volume"], 'X', label='outliers',markevery=outliers, c='r')
plt.legend()
plt.show()

iuiqyaf.png!web

Remove Noise

price_signal = tsla_lagged["Close"]
removed_signal = pp.removal(price_signal, 30)
noise = pp.get(price_signal, removed_signal)
plt.figure(figsize=(15, 7))
plt.subplot(2, 1, 1)
plt.plot(removed_signal)
plt.title('timeseries without noise')
plt.subplot(2, 1, 2)
plt.plot(noise)
plt.title('noise timeseries')
plt.show()

EbAJrij.png!web


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