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b4tman/pandas-stoks.ipynb

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pandas-stoks.ipynb
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"%matplotlib inline \n",
"%config InlineBackend.figure_format = 'svg' #векторный формат\n",
"\n",
"from matplotlib import pyplot as plt\n",
"\n",
"plt.style.use('ggplot') # Красивые графики\n",
"plt.rcParams['figure.figsize'] = (16, 6) # Размер картинок\n",
"\n",
"import numpy as np\n",
"import pandas as pd\n",
"from datetime import timedelta\n",
"from datetime import datetime\n",
"import math\n",
"import os\n",
"import pandas_datareader.data as web"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"# !conda install snappy python-snappy pyarrow fastparquet \n",
"# !pip install pandas_datareader"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"downloading: SBER\n",
"downloading: AFKS\n",
"downloading: GAZP\n",
"downloading: MAIL\n",
"downloading: YNDX\n",
"downloading: FXUS\n",
"downloading: FXIT\n",
"downloading: FXCN\n",
"downloading: FXDE\n",
"downloading: FXWO\n",
"downloading: FXRW\n"
]
}
],
"source": [
"# download\n",
"tikers = 'SBER,AFKS,GAZP,MAIL,YNDX,FXUS,FXIT,FXCN,FXDE,FXWO,FXRW'.split(',')\n",
"\n",
"def download_data(tiker, path):\n",
" filepath = os.path.join(path, f'{tiker}_2020.parquet')\n",
" if os.path.exists(filepath):\n",
" return\n",
" df = web.DataReader(tiker, 'moex', start='2019-01-01', end='2020-12-31')\n",
" df.to_parquet(filepath, engine='fastparquet')\n",
"\n",
"for tiker in tikers:\n",
" print(f'downloading: {tiker}')\n",
" download_data(tiker, \"D:\\\\data2\\\\Documents\\\\notebooks\")\n"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"scrolled": true
},
"outputs": [],
"source": [
"# load cached\n",
"def load_data(tiker, path):\n",
" result = None\n",
" filepath = os.path.join(path, f'{tiker}_2020.parquet')\n",
" if os.path.exists(filepath):\n",
" result = pd.read_parquet(filepath)\n",
" return result\n",
"\n",
"rawdata = {}\n",
"for tiker in tikers:\n",
" rawdata[tiker] = load_data(tiker, \"D:\\\\data2\\\\Documents\\\\notebooks\")\n",
"\n",
"#df = pd.read_parquet(\"D:\\\\data2\\\\Documents\\\\notebooks\\\\AFKS_2020.parquet\")\n",
"#df_fxus = pd.read_parquet(\"D:\\\\data2\\\\Documents\\\\notebooks\\\\FXUS_2020.parquet\")"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [],
"source": [
"#df = web.DataReader('AFKS', 'moex', start='2020-01-01', end='2020-11-11')"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"(array(['PSRP', 'SOTC', 'EQTD', 'TQTF', 'TQTD', 'PSTF', 'PTTF', 'RPMA',\n",
" 'RPMO'], dtype=object),\n",
" array(['SOTC', 'PSRP', 'EQRP', 'PSRD', 'EQWP', 'EQRD', 'LIQR', 'PSRE',\n",
" 'MXBD', 'EQDP', 'TQBR', 'SPEQ', 'PTEQ', 'PSEQ', 'RPMA', 'RPMO',\n",
" 'RPEU', 'RPEO'], dtype=object))"
]
},
"execution_count": 8,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"rawdata['FXIT']['BOARDID'].unique(), rawdata['YNDX']['BOARDID'].unique()"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"outputs": [],
"source": [
"#df.fillna(method='ffill')\n",
"#df.where(df['BOARDID'] == 'TQBR')[['OPEN','CLOSE','WAPRICE']].describe()\n",
"def prepare_data(x_df, boardid='TQBR'): \n",
" xdf = x_df.copy()\n",
" xdf = xdf.where(xdf['BOARDID'] == boardid)\n",
" xdf.dropna(axis=0, how='all', inplace=True)\n",
" xdf.dropna(axis=1, how='all', inplace=True)\n",
" xdf.drop_duplicates(inplace=True)\n",
" xdf = xdf.resample('D').interpolate(method='time')\n",
" if 0 == xdf.size:\n",
" return xdf\n",
" return xdf\n",
"\n",
"dfs = {}\n",
"for tiker in tikers:\n",
" dfs[tiker] = prepare_data(rawdata[tiker], boardid='TQTF' if 'FX' in tiker else 'TQBR')"
]
},
{
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"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [
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"text/plain": [
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],
"source": [
"# WAPRICE/median\n",
"def calc_wdm(df):\n",
" return df['WAPRICE'] / df['WAPRICE'].mean()\n",
"\n",
"for tiker in tikers:\n",
" dfs[tiker][tiker] = calc_wdm(dfs[tiker])\n",
" \n",
"#dfs['FXUS']['FXUS'] = dfs['FXUS']['WAPRICE'] / dfs['FXUS'].loc['2020-1-15':'2020-12-31']['WAPRICE'].mean()\n",
"\n",
"df_base = dfs['FXIT'][[]]\n",
"\n",
"def merge_dfs(base):\n",
" result = base.copy()\n",
" for tiker in tikers:\n",
" result = result.merge(dfs[tiker][[tiker]], how='outer', on='TRADEDATE')\n",
" result.drop_duplicates(inplace=True)\n",
" result = result.resample('D').interpolate(method='time')\n",
" return result\n",
" \n",
"\n",
"xxdf = merge_dfs(df_base)\n",
"#xxdf.to_parquet(\"D:\\\\data2\\\\Documents\\\\notebooks\\\\all-2020.parquet\", engine='fastparquet')\n",
"\n",
"xxdf.plot(y='FXUS,FXIT,FXCN,FXDE,FXWO,FXRW'.split(','), kind='line', title='ETF: WAPRICE / median')\n",
"xxdf.plot(y='SBER,AFKS,GAZP,MAIL,YNDX'.split(','), kind='line', title='RU: WAPRICE / median');\n",
"\n",
"xxdf['diff_us'] = xxdf['FXUS'] - xxdf['FXIT']\n",
"\n",
"xxdf.plot(y='diff_us'.split(','), kind='line', title='FXUS - FXIT')\n",
"\n",
"xxdf.plot(y='FXIT,YNDX'.split(','), kind='line', title='FXIT & YNDX')\n",
"\n",
"xxdf.loc['2020-1-15':'2020-12-31'].plot(y='FXWO,FXRW,FXUS'.split(','), kind='line', title='FXUS & FXWO & FXRW');"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [],
"source": [
"sigm = np.vectorize(lambda x: 1/(1+np.exp(-x)))"
]
},
{
"cell_type": "code",
"execution_count": 12,
"metadata": {},
"outputs": [],
"source": [
"dfs['FXIT']['SOPEN'] = sigm(dfs['FXIT']['OPEN'] / dfs['FXIT']['OPEN'].median())\n",
"dfs['FXIT']['SCLOSE'] = sigm(dfs['FXIT']['CLOSE'] / dfs['FXIT']['CLOSE'].median())\n",
"dfs['FXIT']['SWAPRICE'] = sigm(dfs['FXIT']['WAPRICE'] / dfs['FXIT']['WAPRICE'].median())"
]
},
{
"cell_type": "code",
"execution_count": 13,
"metadata": {},
"outputs": [
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"source": [
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{
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"... ... ... ... \n",
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"\n",
"[477 rows x 63 columns]"
]
},
"execution_count": 15,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"rawdata['FXIT'].where(rawdata['FXIT']['BOARDID'] == 'TQTF').dropna(how='all')"
]
},
{
"cell_type": "code",
"execution_count": 16,
"metadata": {},
"outputs": [],
"source": [
"N_YNDX = web.DataReader('YNDX', 'stooq', start='2019-01-01', end='2020-12-31')\n",
"N_YNDX.to_parquet(\"D:\\\\data2\\\\Documents\\\\notebooks\\\\N_YNDX-2020.parquet\", engine='fastparquet')"
]
},
{
"cell_type": "code",
"execution_count": 17,
"metadata": {},
"outputs": [],
"source": [
"import pandas_datareader\n",
"tbl = pandas_datareader.nasdaq_trader.get_nasdaq_symbols()"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"Nasdaq Traded True\n",
"Security Name Yandex N.V. - Class A Ordinary Shares\n",
"Listing Exchange Q\n",
"Market Category Q\n",
"ETF False\n",
"Round Lot Size 100\n",
"Test Issue False\n",
"Financial Status N\n",
"CQS Symbol NaN\n",
"NASDAQ Symbol YNDX\n",
"NextShares False\n",
"Name: YNDX, dtype: object"
]
},
"execution_count": 18,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"tbl.loc['YNDX']"
]
},
{
"cell_type": "code",
"execution_count": 19,
"metadata": {},
"outputs": [
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"metadata": {},
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}
],
"source": [
"# переименование колонки\n",
"M_YNDX = xxdf[['YNDX']].copy()\n",
"M_YNDX['MOEX:YNDX'] = M_YNDX['YNDX']\n",
"M_YNDX = M_YNDX[['MOEX:YNDX']]\n",
"\n",
"# готовим данные для слияния\n",
"P_YNDX = N_YNDX.copy()\n",
"P_YNDX = P_YNDX.rename_axis('TRADEDATE') # переименование индекса\n",
"P_YNDX['BOARDID'] = 'TQBR' # для подготовки\n",
"P_YNDX = prepare_data(P_YNDX)\n",
"P_YNDX['WAPRICE'] = P_YNDX['Close']\n",
"P_YNDX['NASDAQ:YNDX'] = calc_wdm(P_YNDX)\n",
"\n",
"# слияние таблиц\n",
"X_YNDX = M_YNDX.merge(P_YNDX['NASDAQ:YNDX'], how='outer', on='TRADEDATE')\n",
"X_YNDX.drop_duplicates(inplace=True)\n",
"X_YNDX = X_YNDX.resample('D').interpolate(method='time')\n",
"\n",
"X_YNDX.plot();"
]
},
{
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