Advanced array/dataframe slicing (numpy/pandas) - python

I'm trying to generate 50 random samples of 30 continuous day periods from a list of corn prices (which is index by date).
So far I've got 'select 50 random days' on line one. For the second line, what I really want is an array of dataframes, each one containing 30 days from sample date. Currently it just returns the price on that day.
samples=np.random.choice(corn[:'1981'].index,50)
corn['Open'][samples] #line I need to fix
What's the cleanest way of doing that?

You could use
corn.loc[date:date+pd.Timedelta(days=29)]
to select 30 days worth of rows starting from date date. Note that .loc[start:end] includes both start and end (unlike Python slices, which use half-open intervals). Thus adding 29 days to date results in a DataFrame of length 30.
To get an list of DataFrames, use a list comprehension:
dfs = [corn.loc[date:date+pd.Timedelta(days=29)] for date in samples]
import numpy as np
import pandas as pd
N = 365
corn = pd.DataFrame({'Open': np.random.random(N)},
index=pd.date_range('1980-1-1', periods=N))
samples = np.random.choice(corn[:'1981'].index,50)
dfs = [corn.loc[date:date+pd.Timedelta(days=29)] for date in samples]

Related

Assigning a value to the same dates fulfilling a condition in a more efficient way in a dataframe

I have the following dataframe called df1 that contains data for a number of regions in the column NUTS_ID:
The index, called Date has all the days of 2010. That is, for each code in NUTS_ID I have a day of 2010 (all days of the year for AT1, AT2and so on). I created a list containing the dates corresponding to non-workdays and I want to add a column that with 0 for non-workdays and 1 for workdays.
For this, I simply used a for loop that checks day by day if it's in the workday list I created:
for day in df1.index:
if day not in workdays_list:
df1.loc[day,'Workday'] = 0 # Assigning 0 to to non-workdays
else:
df1.loc[day,'Workday'] = 1 # Assigning 1 to workdays
This works well enough if the dataset is not big. But with some of the datasets I'm processing this takes a very long time. I would like to ask for ideas in order to do the process faster and more efficient. Thank you in advance for your input.
EDIT: One of the things I have thought is that maybe a groupby could be helpful, but I don't know if that is correct.
You can use np.where with isin to check if your Date (i.e. your index) is in the list you created:
import numpy as np
df1['Workday'] = np.where(df1.index.isin(workdays_list),1,0)
I can't reproduce your dataset, but something along those lines should work.

Aggregrate measurements per time period

I have a 6 x n matrix with the data: year, month, day, hour, minute, use.
I have to make a new matrix containing the aggregated measurements for use, in the value ’hour’. So all rows recorded within the same hour are combined.
So every time the number of hour chances the code need to know a new period starts.
I just tried something, but I don't now how to solve this.
Thank you. This is what I tried + a test
def groupby_measurements(data):
count = -1
for i in range(9):
array = np.split(data, np.where(data[i,3] != data[i+1,3])[0][:1])
return array
print(groupby_measurements(np.array([[2006,2,11,1,1,55],
[2006,2,11,1,11,79],
[2006,2,11,1,32,2],
[2006,2,11,1,41,66],
[2006,2,11,1,51,76],
[2006,2,11,10,2,89],
[2006,2,11,10,3,33],
[2006,2,11,14,2,22],
[2006,2,11,14,5,34]])))
In this case I tried, I expect the output to be:
np.array([[2006,2,11,1,1,55],
[2006,2,11,1,11,79],
[2006,2,11,1,32,2],
[2006,2,11,1,41,66],
[2006,2,11,1,51,76]]),
np.array([[2006,2,11,10,2,89],
[2006,2,11,10,3,33]]),
np.array([[2006,2,11,14,2,22],
[2006,2,11,14,5,34]])
The final output should be:
np.array([2006,2,11,1,0,278]),
np.array([2006,2,11,10,0,122]),
np.array([2006,2,11,14,0,56])
(the sum of use in the 3 hour periodes)
I would recommend using pandas Dataframes, and then using groupby combined with sum
import pandas as pd
import numpy as np
data = pd.DataFrame(np.array(
[[2006,2,11,1,1,55],
[2006,2,11,1,11,79],
[2006,2,11,1,32,2],
[2006,2,11,1,41,66],
[2006,2,11,1,51,76],
[2006,2,11,10,2,89],
[2006,2,11,10,3,33],
[2006,2,11,14,2,22],
[2006,2,11,14,5,34]]),
columns=['year','month','day','hour','minute','use'])
aggregated = data.groupby(['year','month','day','hour'])['use'].sum()
# you can also use .agg and pass which aggregation function you want as a string.
aggregated = data.groupby(['year','month','day','hour'])['use'].agg('sum')
year month day hour
2006 2 11 1 278
10 122
14 56
Aggregated is now a pandas Series, if you want it as an array just do
aggregated.values

Pandas calculated column from datetime index groups loop

I have a Pandas df with a Datetime Index. I want to loop over the following code with different values of strike, based on the index date value (different strike for different time period). Here is my code that produces what I am after for 1 strike across the whole time series:
import pandas as pd
import numpy as np
index=pd.date_range('2017-10-1 00:00:00', '2018-12-31 23:50:00', freq='30min')
df=pd.DataFrame(np.random.randn(len(index),2).cumsum(axis=0),columns=['A','B'],index=index)
strike = 40
payoffs = df[df>strike]-strike
mean_payoff = payoffs.fillna(0).mean()
dist = mean_payoff.describe(percentiles=[0.05,.5,.95])
print(dist)
I want to use different values of strike based on the time period (index value).
So far I have tried to create a categorical calculated column with the intention of using map or apply row wise on the df. I have also played around with creating a dictionary and mapping the dict across the df.
Even if I get the calculated column with the correct strike value, I can 't think how to subtract the calculated column value (strike) from all other columns to get payoffs from above.
I feel like I need to use for loop and potentially create groups of date chunks that get appended together at the end of the loop, maybe with pd.concat.
Thanks in advance
I think you need convert DatetimeIndex to quarter period by to_period, then to string and last map by dict.
For comapring need gt with sub:
d = {'2017Q4':30, '2018Q1':40, '2018Q2':50, '2018Q3':60, '2018Q4':70}
strike = df.index.to_series().dt.to_period('Q').astype(str).map(d)
payoffs = df[df.gt(strike, 0)].sub(strike, 0)
mean_payoff = payoffs.fillna(0).mean()
dist = mean_payoff.describe(percentiles=[0.05,.5,.95])
Mapping your dataframe index into a dictionary can be a starting point.
a = dict()
a[2017]=30
a[2018]=40
ranint = random.choices([30,35,40,45],k=21936)
#given your index used in example
df = pd.DataFrame({values:ranint},index=index)
values year strick
2017-10-01 00:00:00 30 2017 30
2017-10-01 00:30:00 30 2017 30
2017-10-01 01:00:00 45 2017 30
df.year = df.index.year
index.strike = df.year.map(a)
df.returns = df.values - df.strike
Then you can extract return that are greater than 0:
df[df.returns>0]

Finding a range in the series with the most frequent occurrence of the entries over a defined time (in Pandas)

I have a large dataset in Pandas in which the entries are marked with a time stamp. I'm looking for a solution how to get a range of a defined length (like 1 minute) with the highest occurrence of entries.
One solution could be to resample the data to a higher timeframe (such as a minute) and comparing the sections with the highest number of values. However, It would only find ranges that correspond to the start and end time of the given timeframe.
I'd rather find a solution to find any 1-minute ranges no matter where they actually start.
In following example I would be looking for 1 minute “window” with highest occurrence of the entries starting with the first signal in the range and ending with last signal in the range:
8:50:00
8:50:01
8:50:03
8:55:00
8:59:10
9:00:01
9:00:02
9:00:03
9:00:04
9:05:00
Thus I would like to get range 8:59:10 - 9:00:04
Any hint how to accomplish this?
You need to create 1 minute windows with a sliding start time of 1 second; compute the maximum occurrence for any of the windows. In pandas 0.19.0 or greater, you can resample a time series using base as an argument to start the resampled windows at different times.
I used tempfile to copy your data as a toy data set below.
import tempfile
import pandas as pd
tf = tempfile.TemporaryFile()
tf.write(b'''8:50:00
8:50:01
8:50:03
8:55:00
8:59:10
9:00:01
9:00:02
9:00:03
9:00:04
9:05:00''')
tf.seek(0)
df = pd.read_table(tf, header=None)
df.columns = ['time']
df.time = pd.to_datetime(df.time)
max_vals = []
for t in range(60):
# .max().max() is not a mistake, use it to return just the value
max_vals.append(
(t, df.resample('60s', on='time', base=t).count().max().max())
)
max(max_vals, key=lambda x: x[-1])
# returns:
(5, 5)
For this toy dataset, an offset of 5 seconds for the window (i.e. 8:49:05, 8:50:05, ...) has the first of the maximum count for a windows of 1 minute with 5 counts.

Append multiple columns into two columns python

I have a csv file which contains approximately 100 columns of data. Each column represents temperature values taken every 15 minutes throughout the day for each of the 100 days. The header of each column is the date for that day. I want to convert this into two columns, the first being the date time (I will have to create this somehow), and the second being the temperatures stacked on top of each other for each day.
My attempt:
with open("original_file.csv") as ofile:
stack_vec = []
next(ofile)
for line in ofile:
columns = lineo.split(',') # get all the columns
for i in range (0,len(columns)):
stack_vec.append(columnso[i])
np.savetxt("converted.csv",stack_vec, delimiter=",", fmt='%s')
In my attempt, I am trying to create a new vector with each column appended to the end of it. However, the code is extremely slow and likely not working! Once I have this step figured out, I then need to take the date from each column and add 15 minutes to the date time for each row. Any help would be greatly appreciated.
If i got this correct you have a csv with 96 rows and 100 Columns and want to stack in into one vector day after day to a vector with 960 entries , right ?
An easy approach would be to use numpy:
import numpy as np
x = np.genfromtxt('original_file.csv', delimiter=',')
data = x.ravel(order ='F')
Note numpy is a third party library but the go-to library for math.
the first line will read the csv into a ndarray which is like matrix ( even through it behaves different for mathematical operations)
Then with ravel you vectorize it. the oder is so that it stacks rows ontop of each other instead of columns, i.e day after day. (Leave it as default / blank if you want time point after point)
For your date problem see How can I make a python numpy arange of datetime i guess i couldn't give a better example.
if you have this two array you can ensure the shape by x.reshape(960,1) and then stack them with np.concatenate([x,dates], axis = 1 ) with dates being you date vector.

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