Need some help in figuring out the name of what this is called in Python.
A finance library I use (called Quantopian) has a pretty cool api. When defining a new financial algorithm, you would create a new file and simply define functions based off of various keywords. This python file then somehow gets passed to an executor which is then calling these functions.
Is there a name for this concept? Basically you seem to have some python code that gets passed a python file, and is able to call functions in this file (if they exist).
Here is an example of what the code would look like:
from zipline.api import order_target, record, symbol
def initialize(context):
context.i = 0
context.asset = symbol('AAPL')
def handle_data(context, data):
# Skip first 300 days to get full windows
context.i += 1
if context.i < 300:
return
# Compute averages
# data.history() has to be called with the same params
# from above and returns a pandas dataframe.
short_mavg = data.history(context.asset, 'price', bar_count=100, frequency="1d").mean()
long_mavg = data.history(context.asset, 'price', bar_count=300, frequency="1d").mean()
# Trading logic
if short_mavg > long_mavg:
# order_target orders as many shares as needed to
# achieve the desired number of shares.
order_target(context.asset, 100)
elif short_mavg < long_mavg:
order_target(context.asset, 0)
# Save values for later inspection
record(AAPL=data.current(context.asset, 'price'),
short_mavg=short_mavg,
long_mavg=long_mavg)
Related
I'm trying to use a function to iteratively return several machine learning models (pickles) with a function based on the accuracy cutoff I specify.
My issue is that I'm trying to load the pickles with eval, as their names correspond to the number given by sdf['number']. The eval function is not loading my pickles, and beyond that, I want them to be loaded and returned by my function. I have tested this by attempting to directly run data through each model after loading it before it moves on to the next one, but it is returning "learn0 not defined" for example.
Any thoughts on how to better do this iteratively?
Variables Explained:
jar = A list of the different variable names (learner names) that I
expected it to load. For example, learn0, learn1, etc.
cutoff = Accuracy Cutoff
sdf_temp = Temporary Study DataFrame
def piklJar(sdf,cutoff):
sdf_temp = sdf[sdf['value'] <= cutoff]
jar = []
i=0
for pklNum in sdf_temp['number']:
eval('"learn{} = load_learner({}/Models/Pkl {}.pkl)".format(i,datapath,pklNum)')
jar.append('learn{}'.format(i))
i+=1
return jar
eval isn't needed. Your example wasn't working code, but this is approximately the same thing:
def piklJar(sdf,cutoff):
sdf_temp = sdf[sdf['value'] <= cutoff]
return [load_learner(f'{datapath}/Models/Pkl {pklNum}') for pklNum in sdf_temp['number']]
After calling jar = pklJar(...), jar[0] would be equivalent to learn0, jar[1] would be learn1, etc. The various load_learner calls are stored in a list generated from a list comprehension.
I am trying to obtain the actual A1 values using the Sheetfu library's get_data_range().
When I use the code below, it works perfectly, and I get what I would expect.
invoice_sheet = spreadsheet.get_sheet_by_name('Invoice')
invoice_data_range = invoice_sheet.get_data_range()
invoice_values = invoice_data_range.get_values()
print(invoice_data_range)
print(invoice_values)
From the print() statements I get:
<Range object Invoice!A1:Q42>
[['2019-001', '01/01/2019', 'Services']...] #cut for brevity
What is the best way to get that "A1:Q42" value? I really only want the end of the range (Q42), because I need to build the get_range_from_a1() argument "A4:Q14". My sheet has known headers (rows 1-3), and the get_values() includes 3 rows that I don't want in the get_values() list.
I guess I could do some string manipulation to pull out the text between the ":" and ">" in
<Range object Invoice!A1:Q42>
...but that seems a bit sloppy.
As a quick aside, it would be fantastic to be able to call get_data_range() like so:
invoice_sheet = spreadsheet.get_sheet_by_name('Invoice')
invoice_data_range = invoice_sheet.get_data_range(start="A4", end="")
invoice_values = invoice_data_range.get_values()
...but that's more like a feature request. (Which I'm happy to do BTW).
Author here. Alan answers it well.
I added some methods at Range level to the library, that are simply shortcuts to the coordinates properties.
from sheetfu import SpreadsheetApp
spreadsheet = SpreadsheetApp("....access_file.json").open_by_id('long_string_id')
sheet = spreadsheet.get_sheet_by_name('test')
data_range = sheet.get_data_range()
starting_row = data_range.get_row()
starting_column = data_range.get_column()
max_row = data_range.get_max_row()
max_column = data_range.get_max_column()
This will effectively tell you the max row and max column that contains data in your sheet.
If you use the get_data_range method, the first row and first column typically is 1.
I received a response from the owner of Sheetfu, and the following code provides the information that I'm looking for.
Example code:
from sheetfu import SpreadsheetApp
spreadsheet = SpreadsheetApp("....access_file.json").open_by_id('long_string_id')
sheet = spreadsheet.get_sheet_by_name('test')
data_range = sheet.get_data_range()
range_max_row = data_range.coordinates.row + data_range.coordinates.number_of_rows - 1
range_max_column = data_range.coordinates.column + data_range.coordinates.number_of_columns - 1
As of this writing, the .coordinates properties are not currently documented, but they are usable, and should be officially documented within the next couple of weeks.
I give a lot of information on the methods that I used to write my code. If you just want to read my question, skip to the quotes at the end.
I'm working on a project that has a goal of detecting sub populations in a group of patients. I thought this sounded like the perfect opportunity to use association rule mining as I'm currently taking a class on the subject.
I there are 42 variables in total. Of those, 20 are continuous and had to be discretized. For each variable, I used the Freedman-Diaconis rule to determine how many categories to divide a group into.
def Freedman_Diaconis(column_values):
#sort the list first
column_values[1].sort()
first_quartile = int(len(column_values[1]) * .25)
third_quartile = int(len(column_values[1]) * .75)
fq_value = column_values[1][first_quartile]
tq_value = column_values[1][third_quartile]
iqr = tq_value - fq_value
n_to_pow = len(column_values[1])**(-1/3)
h = 2 * iqr * n_to_pow
retval = (column_values[1][-1] - column_values[1][1])/h
test = int(retval+1)
return test
From there I used min-max normalization
def min_max_transform(column_of_data, num_bins):
min_max_normalizer = preprocessing.MinMaxScaler(feature_range=(1, num_bins))
data_min_max = min_max_normalizer.fit_transform(column_of_data[1])
data_min_max_ints = take_int(data_min_max)
return data_min_max_ints
to transform my data and then I simply took the interger portion to get the final categorization.
def take_int(list_of_float):
ints = []
for flt in list_of_float:
asint = int(flt)
ints.append(asint)
return ints
I then also wrote a function that I used to combine this value with the variable name.
def string_transform(prefix, column, index):
transformed_list = []
transformed = ""
if index < 4:
for entry in column[1]:
transformed = prefix+str(entry)
transformed_list.append(transformed)
else:
prefix_num = prefix.split('x')
for entry in column[1]:
transformed = str(prefix_num[1])+'x'+str(entry)
transformed_list.append(transformed)
return transformed_list
This was done to differentiate variables that have the same value, but appear in different columns. For example, having a value of 1 for variable x14 means something different from getting a value of 1 in variable x20. The string transform function would create 14x1 and 20x1 for the previously mentioned examples.
After this, I wrote everything to a file in basket format
def create_basket(list_of_lists, headers):
#for filename in os.listdir("."):
# if filename.e
if not os.path.exists('baskets'):
os.makedirs('baskets')
down_length = len(list_of_lists[0])
with open('baskets/dataset.basket', 'w') as basketfile:
basket_writer = csv.DictWriter(basketfile, fieldnames=headers)
for i in range(0, down_length):
basket_writer.writerow({"trt": list_of_lists[0][i], "y": list_of_lists[1][i], "x1": list_of_lists[2][i],
"x2": list_of_lists[3][i], "x3": list_of_lists[4][i], "x4": list_of_lists[5][i],
"x5": list_of_lists[6][i], "x6": list_of_lists[7][i], "x7": list_of_lists[8][i],
"x8": list_of_lists[9][i], "x9": list_of_lists[10][i], "x10": list_of_lists[11][i],
"x11": list_of_lists[12][i], "x12":list_of_lists[13][i], "x13": list_of_lists[14][i],
"x14": list_of_lists[15][i], "x15": list_of_lists[16][i], "x16": list_of_lists[17][i],
"x17": list_of_lists[18][i], "x18": list_of_lists[19][i], "x19": list_of_lists[20][i],
"x20": list_of_lists[21][i], "x21": list_of_lists[22][i], "x22": list_of_lists[23][i],
"x23": list_of_lists[24][i], "x24": list_of_lists[25][i], "x25": list_of_lists[26][i],
"x26": list_of_lists[27][i], "x27": list_of_lists[28][i], "x28": list_of_lists[29][i],
"x29": list_of_lists[30][i], "x30": list_of_lists[31][i], "x31": list_of_lists[32][i],
"x32": list_of_lists[33][i], "x33": list_of_lists[34][i], "x34": list_of_lists[35][i],
"x35": list_of_lists[36][i], "x36": list_of_lists[37][i], "x37": list_of_lists[38][i],
"x38": list_of_lists[39][i], "x39": list_of_lists[40][i], "x40": list_of_lists[41][i]})
and I used the apriori package in Orange to see if there were any association rules.
rules = Orange.associate.AssociationRulesSparseInducer(patient_basket, support=0.3, confidence=0.3)
print "%4s %4s %s" % ("Supp", "Conf", "Rule")
for r in rules:
my_rule = str(r)
split_rule = my_rule.split("->")
if 'trt' in split_rule[1]:
print 'treatment rule'
print "%4.1f %4.1f %s" % (r.support, r.confidence, r)
Using this, technique I found quite a few association rules with my testing data.
THIS IS WHERE I HAVE A PROBLEM
When I read the notes for the training data, there is this note
...That is, the only
reason for the differences among observed responses to the same treatment across patients is
random noise. Hence, there is NO meaningful subgroup for this dataset...
My question is,
why do I get multiple association rules that would imply that there are subgroups, when according to the notes I shouldn't see anything?
I'm getting lift numbers that are above 2 as opposed to the 1 that you should expect if everything was random like the notes state.
Supp Conf Rule
0.3 0.7 6x0 -> trt1
Even though my code runs, I'm not getting results anywhere close to what should be expected. This leads me to believe that I messed something up, but I'm not sure what it is.
After some research, I realized that my sample size is too small for the number of variables that I have. I would need a way larger sample size in order to really use the method that I was using. In fact, the method that I tried to use was developed with the assumption that it would be run on databases with hundreds of thousands or millions of rows.
I am doing exploratory data analysis, while doing that i am using the same lines of code many times .So i came to know that why can't i wrote the function for that.But i am new to python i don't know how to define a function exactly.So please help me.....
textdata is my main dataframe and tonumber,smstext are my variables
# subsetting the textdata
mesbytonum = textdata[['tonumber', 'smstext']]
# calculating the no.of messages by tonumber
messbytonum_freq = mesbytonum.groupby('tonumber').agg(len)
# resetting the index
messbytonum_freq.reset_index(inplace=True)
# making them in a descending order
messbytonum_freq_result = messbytonum_freq.sort(['smstext'], ascending=[0])
#calcuating percentages
messbytonum_freq_result['percentage'] = messbytonum_freq_result['smstext']/sum(messbytonum_freq_result['smstext'])
# considering top10
top10tonum = messbytonum_freq_result.head(10)
# top10tonum
i have repeated the similar kind of code around 20 times so i want to write the function for the above code which makes my code smaller. So please help me how can i define.
Thanks in advance
The function is defined like this:
def func(arg1, arg2, argN):
# do something
# you may need to return value(s) too
And called like this:
func(1,2,3) # you can use anything instead of 1,2 and 3
It will be
def MyFunc(textdata):
mesbytonum = textdata[['tonumber', 'smstext']]
messbytonum_freq = mesbytonum.groupby('tonumber').agg(len)
messbytonum_freq.reset_index(inplace=True)
messbytonum_freq_result = messbytonum_freq.sort(['smstext'], ascending=[0])
messbytonum_freq_result['percentage'] = messbytonum_freq_result['smstext']/sum(messbytonum_freq_result['smstext'])
top10tonum = messbytonum_freq_result.head(10)
return # what do you want to return?
# use this function
result=MyFunc(<argument here>)
# then you need to use result somehow
Your function can also return multiple values
return spam, egg
which you have to use like this
mySpam, myEgg=MyFunction(<argument>)
The Problem
I'm doing time-series analysis. Measured data comes from the sampling the voltage output of a sensor at 50 kHz and then dumping that data to disk as separate files in hour chunks. Data is saved to an HDF5 file using pytables as a CArray. This format was chosen to maintain interoperability with MATLAB.
The full data set is now multiple TB, far too large to load into memory.
Some of my analysis requires me to iterative over the full data set. For analysis that requires me to grab chunks of data, I can see a path forward through creating a generator method. I'm a bit uncertain of how to proceed with analysis that requires a continuous time series.
Example
For example, let's say I'm looking to find and categorize transients using some moving window process (e.g. wavelet analysis) or apply a FIR filter. How do I handle the boundaries, either at the end or beginning of a file or at chunk boundaries? I would like the data to appear as one continuous data set.
Request
I would love to:
Keep the memory footprint low by loading data as necessary.
Keep a map of the entire data set in memory so that I can address the data set as I would a regular pandas Series object, e.g. data[time1:time2].
I'm using scientific python (Enthought distribution) with all the regular stuff: numpy, scipy, pandas, matplotlib, etc. I only recently started incorporating pandas into my work flow and I'm still unfamiliar with all of its capabilities.
I've looked over related stackexchange threads and didn't see anything that exactly addressed my issue.
EDIT: FINAL SOLUTION.
Based upon the helpful hints I built a iterator that steps over files and returns chunks of arbitrary size---a moving window that hopefully handles file boundaries with grace. I've added the option of padding the front and back of each of the windows with data (overlapping windows). I can then apply a succession of filters to the overlapping windows and then remove the overlaps at the end. This, I hope, gives me continuity.
I haven't yet implemented __getitem__ but it's on my list of things to do.
Here's the final code. A few details are omitted for brevity.
class FolderContainer(readdata.DataContainer):
def __init__(self,startdir):
readdata.DataContainer.__init__(self,startdir)
self.filelist = None
self.fs = None
self.nsamples_hour = None
# Build the file list
self._build_filelist(startdir)
def _build_filelist(self,startdir):
"""
Populate the filelist dictionary with active files and their associated
file date (YYYY,MM,DD) and hour.
Each entry in 'filelist' has the form (abs. path : datetime) where the
datetime object contains the complete date and hour information.
"""
print('Building file list....',end='')
# Use the full file path instead of a relative path so that we don't
# run into problems if we change the current working directory.
filelist = { os.path.abspath(f):self._datetime_from_fname(f)
for f in os.listdir(startdir)
if fnmatch.fnmatch(f,'NODE*.h5')}
# If we haven't found any files, raise an error
if not filelist:
msg = "Input directory does not contain Illionix h5 files."
raise IOError(msg)
# Filelist is a ordered dictionary. Sort before saving.
self.filelist = OrderedDict(sorted(filelist.items(),
key=lambda t: t[0]))
print('done')
def _datetime_from_fname(self,fname):
"""
Return the year, month, day, and hour from a filename as a datetime
object
"""
# Filename has the prototype: NODE##-YY-MM-DD-HH.h5. Split this up and
# take only the date parts. Convert the year form YY to YYYY.
(year,month,day,hour) = [int(d) for d in re.split('-|\.',fname)[1:-1]]
year+=2000
return datetime.datetime(year,month,day,hour)
def chunk(self,tstart,dt,**kwargs):
"""
Generator expression from returning consecutive chunks of data with
overlaps from the entire set of Illionix data files.
Parameters
----------
Arguments:
tstart: UTC start time [provided as a datetime or date string]
dt: Chunk size [integer number of samples]
Keyword arguments:
tend: UTC end time [provided as a datetime or date string].
frontpad: Padding in front of sample [integer number of samples].
backpad: Padding in back of sample [integer number of samples]
Yields:
chunk: generator expression
"""
# PARSE INPUT ARGUMENTS
# Ensure 'tstart' is a datetime object.
tstart = self._to_datetime(tstart)
# Find the offset, in samples, of the starting position of the window
# in the first data file
tstart_samples = self._to_samples(tstart)
# Convert dt to samples. Because dt is a timedelta object, we can't use
# '_to_samples' for conversion.
if isinstance(dt,int):
dt_samples = dt
elif isinstance(dt,datetime.timedelta):
dt_samples = np.int64((dt.day*24*3600 + dt.seconds +
dt.microseconds*1000) * self.fs)
else:
# FIXME: Pandas 0.13 includes a 'to_timedelta' function. Change
# below when EPD pushes the update.
t = self._parse_date_str(dt)
dt_samples = np.int64((t.minute*60 + t.second) * self.fs)
# Read keyword arguments. 'tend' defaults to the end of the last file
# if a time is not provided.
default_tend = self.filelist.values()[-1] + datetime.timedelta(hours=1)
tend = self._to_datetime(kwargs.get('tend',default_tend))
tend_samples = self._to_samples(tend)
frontpad = kwargs.get('frontpad',0)
backpad = kwargs.get('backpad',0)
# CREATE FILE LIST
# Build the the list of data files we will iterative over based upon
# the start and stop times.
print('Pruning file list...',end='')
tstart_floor = datetime.datetime(tstart.year,tstart.month,tstart.day,
tstart.hour)
filelist_pruned = OrderedDict([(k,v) for k,v in self.filelist.items()
if v >= tstart_floor and v <= tend])
print('done.')
# Check to ensure that we're not missing files by enforcing that there
# is exactly an hour offset between all files.
if not all([dt == datetime.timedelta(hours=1)
for dt in np.diff(np.array(filelist_pruned.values()))]):
raise readdata.DataIntegrityError("Hour gap(s) detected in data")
# MOVING WINDOW GENERATOR ALGORITHM
# Keep two files open, the current file and the next in line (que file)
fname_generator = self._file_iterator(filelist_pruned)
fname_current = fname_generator.next()
fname_next = fname_generator.next()
# Iterate over all the files. 'lastfile' indicates when we're
# processing the last file in the que.
lastfile = False
i = tstart_samples
while True:
with tables.openFile(fname_current) as fcurrent, \
tables.openFile(fname_next) as fnext:
# Point to the data
data_current = fcurrent.getNode('/data/voltage/raw')
data_next = fnext.getNode('/data/voltage/raw')
# Process all data windows associated with the current pair of
# files. Avoid unnecessary file access operations as we moving
# the sliding window.
while True:
# Conditionals that depend on if our slice is:
# (1) completely into the next hour
# (2) partially spills into the next hour
# (3) completely in the current hour.
if i - backpad >= self.nsamples_hour:
# If we're already on our last file in the processing
# que, we can't continue to the next. Exit. Generator
# is finished.
if lastfile:
raise GeneratorExit
# Advance the active and que file names.
fname_current = fname_next
try:
fname_next = fname_generator.next()
except GeneratorExit:
# We've reached the end of our file processing que.
# Indicate this is the last file so that if we try
# to pull data across the next file boundary, we'll
# exit.
lastfile = True
# Our data slice has completely moved into the next
# hour.
i-=self.nsamples_hour
# Return the data
yield data_next[i-backpad:i+dt_samples+frontpad]
# Move window by amount dt
i+=dt_samples
# We've completely moved on the the next pair of files.
# Move to the outer scope to grab the next set of
# files.
break
elif i + dt_samples + frontpad >= self.nsamples_hour:
if lastfile:
raise GeneratorExit
# Slice spills over into the next hour
yield np.r_[data_current[i-backpad:],
data_next[:i+dt_samples+frontpad-self.nsamples_hour]]
i+=dt_samples
else:
if lastfile:
# Exit once our slice crosses the boundary of the
# last file.
if i + dt_samples + frontpad > tend_samples:
raise GeneratorExit
# Slice is completely within the current hour
yield data_current[i-backpad:i+dt_samples+frontpad]
i+=dt_samples
def _to_samples(self,input_time):
"""Convert input time, if not in samples, to samples"""
if isinstance(input_time,int):
# Input time is already in samples
return input_time
elif isinstance(input_time,datetime.datetime):
# Input time is a datetime object
return self.fs * (input_time.minute * 60 + input_time.second)
else:
raise ValueError("Invalid input 'tstart' parameter")
def _to_datetime(self,input_time):
"""Return the passed time as a datetime object"""
if isinstance(input_time,datetime.datetime):
converted_time = input_time
elif isinstance(input_time,str):
converted_time = self._parse_date_str(input_time)
else:
raise TypeError("A datetime object or string date/time were "
"expected")
return converted_time
def _file_iterator(self,filelist):
"""Generator for iterating over file names."""
for fname in filelist:
yield fname
#Sean here's my 2c
Take a look at this issue here which I created a while back. This is essentially what you are trying to do. This is a bit non-trivial.
Without knowing more details, I would offer a couple of suggestions:
HDFStore CAN read in a standard CArray type of format, see here
You can easily create a 'Series' like object that has nice properties of a) knowing where each file is and its extents, and uses __getitem__ to 'select' those files, e.g. s[time1:time2]. From a top-level view this might be a very nice abstraction, and you can then dispatch operations.
e.g.
class OutOfCoreSeries(object):
def __init__(self, dir):
.... load a list of the files in the dir where you have them ...
def __getitem__(self, key):
.... map the selection key (say its a slice, which 'time1:time2' resolves) ...
.... to the files that make it up .... , then return a new Series that only
.... those file pointers ....
def apply(self, func, **kwargs):
""" apply a function to the files """
results = []
for f in self.files:
results.append(func(self.read_file(f)))
return Results(results)
This can very easily get quite complicated. For instance, if you apply an operation that does a reduction that you can fit in memory, Results can simpley be a pandas.Series (or Frame). Hoever,
you may be doing a transformation which necessitates you writing out a new set of transformed data files. If you so, then you have to handle this.
Several more suggestions:
You may want to hold onto your data in possibly multiple ways that may be useful. For instance you say that you are saving multiple values in a 1-hour slice. It may be that you can split these 1-hour files instead into a file for each variable you are saving but save a much longer slice that then becomes memory readable.
You might want to resample the data to lower frequencies, and work on these, loading the data in a particular slice as needed for more detailed work.
You might want to create a dataset that is queryable across time, e.g. say high-low peaks at varying frequencies, e.g. maybe using the Table format see here
Thus you may have multiple variations of the same data. Disk space is usually much cheaper/easier to manage than main memory. It makes a lot of sense to take advantage of that.