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crtradeworks/gist:cbbd91c61d772ae07a13

Created June 19, 2015 09:44
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gistfile1.txt
{
"cells": [
{
"cell_type": "markdown",
"metadata": {
"raw_mimetype": "text/html",
"slideshow": {
"slide_type": "slide"
}
},
"source": [
"# This program is to implement a function _FX_Volatility()_ to get volatility for Trading Symbol Selection.\n",
"\n",
"###Data source here is the MT4 exported csv file with trading time, Open, High, Low, Close and volume. For production, the data source could be from database.\n",
"\n",
"###All the language is in Python.\n",
"\n",
"\n",
"# "
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"##### The following is the 1st Input box, only for IPython Notebook, to show plot/chart inside the console"
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": [
"%matplotlib inline"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#####The 2nd Input box is for importing data from CSV files.\n",
"Here only uses EURUSD and USDJPY as example, could be extended to all kinds of Forex symbols."
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
"text/plain": [
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" ['2004.12.10', '17:00', '1.32200', '1.32450', '1.32130', '1.32210', '470'],\n",
" ['2004.12.10', '18:00', '1.32210', '1.32450', '1.32170', '1.32320', '437'],\n",
" ['2004.12.10', '19:00', '1.32300', '1.32340', '1.32170', '1.32240', '403'],\n",
" ['2004.12.10', '20:00', '1.32230', '1.32450', '1.32210', '1.32370', '396'],\n",
" ['2004.12.10', '21:00', '1.32380', '1.32410', '1.32220', '1.32250', '323'],\n",
" ['2004.12.10', '22:00', '1.32250', '1.32320', '1.32220', '1.32270', '262'],\n",
" ['2004.12.10', '23:00', '1.32270', '1.32300', '1.32110', '1.32120', '153'],\n",
" ['2004.12.13', '00:00', '1.31960', '1.32310', '1.31950', '1.32210', '327'],\n",
" ['2004.12.13', '01:00', '1.32210', '1.32450', '1.32160', '1.32430', '351'],\n",
" ['2004.12.13', '02:00', '1.32430', '1.32710', '1.32360', '1.32600', '370'],\n",
" ['2004.12.13', '03:00', '1.32610', '1.32680', '1.32510', '1.32660', '301'],\n",
" ['2004.12.13', '04:00', '1.32660', '1.32900', '1.32650', '1.32810', '376'],\n",
" ['2004.12.13', '05:00', '1.32810', '1.32850', '1.32730', '1.32790', '319'],\n",
" ['2004.12.13', '06:00', '1.32780', '1.32850', '1.32630', '1.32690', '332'],\n",
" ['2004.12.13', '07:00', '1.32680', '1.32760', '1.32540', '1.32560', '330'],\n",
" ['2004.12.13', '08:00', '1.32560', '1.32830', '1.32440', '1.32780', '424'],\n",
" ['2004.12.13', '09:00', '1.32790', '1.33010', '1.32620', '1.32970', '453'],\n",
" ['2004.12.13', '10:00', '1.32970', '1.33010', '1.32780', '1.32950', '470'],\n",
" ['2004.12.13', '11:00', '1.32960', '1.33030', '1.32630', '1.32640', '457'],\n",
" ['2004.12.13', '12:00', '1.32640', '1.32790', '1.32510', '1.32540', '474'],\n",
" ['2004.12.13', '13:00', '1.32540', '1.32760', '1.32400', '1.32720', '389'],\n",
" ['2004.12.13', '14:00', '1.32710', '1.32920', '1.32630', '1.32790', '479'],\n",
" ['2004.12.13', '15:00', '1.32790', '1.32870', '1.32650', '1.32730', '471'],\n",
" ['2004.12.13', '16:00', '1.32720', '1.32970', '1.32550', '1.32940', '530'],\n",
" ['2004.12.13', '17:00', '1.32970', '1.33160', '1.32860', '1.33110', '457'],\n",
" ['2004.12.13', '18:00', '1.33100', '1.33140', '1.32980', '1.33060', '450'],\n",
" ['2004.12.13', '19:00', '1.33080', '1.33160', '1.33010', '1.33120', '333'],\n",
" ['2004.12.13', '20:00', '1.33110', '1.33310', '1.33070', '1.33260', '374'],\n",
" ['2004.12.13', '21:00', '1.33260', '1.33270', '1.33040', '1.33060', '347'],\n",
" ['2004.12.13', '22:00', '1.33060', '1.33200', '1.33050', '1.33140', '326'],\n",
" ['2004.12.13', '23:00', '1.33130', '1.33240', '1.33060', '1.33150', '336'],\n",
" ['2004.12.14', '00:00', '1.33130', '1.33210', '1.33070', '1.33150', '313'],\n",
" ['2004.12.14', '01:00', '1.33160', '1.33240', '1.33070', '1.33130', '352'],\n",
" ['2004.12.14', '02:00', '1.33110', '1.33190', '1.33080', '1.33150', '314'],\n",
" ['2004.12.14', '03:00', '1.33140', '1.33150', '1.32760', '1.32880', '408'],\n",
" ['2004.12.14', '04:00', '1.32900', '1.32980', '1.32810', '1.32960', '308'],\n",
" ['2004.12.14', '05:00', '1.32940', '1.33030', '1.32830', '1.32910', '353'],\n",
" ['2004.12.14', '06:00', '1.32910', '1.32940', '1.32770', '1.32870', '325'],\n",
" ['2004.12.14', '07:00', '1.32870', '1.33100', '1.32840', '1.33080', '328'],\n",
" ['2004.12.14', '08:00', '1.33080', '1.33170', '1.32890', '1.33110', '387'],\n",
" ['2004.12.14', '09:00', '1.33130', '1.33210', '1.32950', '1.33130', '412'],\n",
" ['2004.12.14', '10:00', '1.33120', '1.33220', '1.33070', '1.33150', '427'],\n",
" ['2004.12.14', '11:00', '1.33140', '1.33200', '1.33010', '1.33110', '423'],\n",
" ['2004.12.14', '12:00', '1.33110', '1.33300', '1.33010', '1.33230', '405'],\n",
" ['2004.12.14', '13:00', '1.33220', '1.33320', '1.33110', '1.33190', '427'],\n",
" ['2004.12.14', '14:00', '1.33190', '1.33380', '1.32860', '1.33090', '532'],\n",
" ['2004.12.14', '15:00', '1.33100', '1.33260', '1.32920', '1.33100', '473'],\n",
" ['2004.12.14', '16:00', '1.33100', '1.33160', '1.32760', '1.32870', '416'],\n",
" ['2004.12.14', '17:00', '1.32860', '1.32990', '1.32610', '1.32650', '444'],\n",
" ['2004.12.14', '18:00', '1.32670', '1.32900', '1.32600', '1.32830', '378'],\n",
" ['2004.12.14', '19:00', '1.32830', '1.32980', '1.32800', '1.32960', '382'],\n",
" ['2004.12.14', '20:00', '1.32940', '1.33160', '1.32750', '1.33040', '509'],\n",
" ['2004.12.14', '21:00', '1.33040', '1.33120', '1.32990', '1.33050', '333'],\n",
" ['2004.12.14', '22:00', '1.33050', '1.33100', '1.32910', '1.32960', '326'],\n",
" ['2004.12.14', '23:00', '1.32960', '1.33020', '1.32870', '1.32900', '319'],\n",
" ['2004.12.15', '00:00', '1.32910', '1.33120', '1.32890', '1.33080', '271'],\n",
" ['2004.12.15', '01:00', '1.33070', '1.33150', '1.32850', '1.32900', '380'],\n",
" ['2004.12.15', '02:00', '1.32910', '1.33040', '1.32850', '1.32900', '314'],\n",
" ['2004.12.15', '03:00', '1.32890', '1.32930', '1.32610', '1.32730', '346'],\n",
" ['2004.12.15', '04:00', '1.32720', '1.32980', '1.32720', '1.32940', '341'],\n",
" ['2004.12.15', '05:00', '1.32950', '1.33090', '1.32940', '1.33040', '317'],\n",
" ['2004.12.15', '06:00', '1.33040', '1.33150', '1.33020', '1.33110', '310'],\n",
" ['2004.12.15', '07:00', '1.33110', '1.33170', '1.33010', '1.33080', '343'],\n",
" ['2004.12.15', '08:00', '1.33080', '1.33310', '1.33050', '1.33270', '447'],\n",
" ['2004.12.15', '09:00', '1.33260', '1.33290', '1.33100', '1.33180', '395'],\n",
" ['2004.12.15', '10:00', '1.33180', '1.33260', '1.33020', '1.33170', '379'],\n",
" ['2004.12.15', '11:00', '1.33160', '1.33740', '1.33160', '1.33690', '459'],\n",
" ['2004.12.15', '12:00', '1.33690', '1.33800', '1.33610', '1.33710', '394'],\n",
" ['2004.12.15', '13:00', '1.33700', '1.33950', '1.33610', '1.33890', '382'],\n",
" ['2004.12.15', '14:00', '1.33890', '1.33980', '1.33610', '1.33880', '454'],\n",
" ['2004.12.15', '15:00', '1.33900', '1.34250', '1.33850', '1.34050', '546'],\n",
" ['2004.12.15', '16:00', '1.34050', '1.34210', '1.33950', '1.34180', '413'],\n",
" ['2004.12.15', '17:00', '1.34190', '1.34310', '1.34140', '1.34240', '426'],\n",
" ['2004.12.15', '18:00', '1.34230', '1.34440', '1.34090', '1.34150', '452'],\n",
" ['2004.12.15', '19:00', '1.34140', '1.34240', '1.34070', '1.34180', '367'],\n",
" ['2004.12.15', '20:00', '1.34190', '1.34200', '1.34020', '1.34060', '320'],\n",
" ['2004.12.15', '21:00', '1.34070', '1.34140', '1.33970', '1.34010', '325'],\n",
" ['2004.12.15', '22:00', '1.34020', '1.34070', '1.33830', '1.33960', '382'],\n",
" ['2004.12.15', '23:00', '1.33970', '1.34040', '1.33890', '1.33990', '327'],\n",
" ['2004.12.16', '00:00', '1.33970', '1.34120', '1.33970', '1.34030', '294'],\n",
" ['2004.12.16', '01:00', '1.34010', '1.34110', '1.33970', '1.34050', '308'],\n",
" ['2004.12.16', '02:00', '1.34070', '1.34120', '1.33980', '1.34080', '302'],\n",
" ['2004.12.16', '03:00', '1.34080', '1.34190', '1.34060', '1.34130', '298'],\n",
" ['2004.12.16', '04:00', '1.34120', '1.34160', '1.34040', '1.34120', '274'],\n",
" ['2004.12.16', '05:00', '1.34130', '1.34150', '1.34070', '1.34110', '266'],\n",
" ['2004.12.16', '06:00', '1.34090', '1.34180', '1.34010', '1.34110', '286'],\n",
" ['2004.12.16', '07:00', '1.34100', '1.34270', '1.34070', '1.34220', '316'],\n",
" ['2004.12.16', '08:00', '1.34210', '1.34310', '1.34130', '1.34240', '435'],\n",
" ['2004.12.16', '09:00', '1.34230', '1.34270', '1.33980', '1.34010', '464'],\n",
" ['2004.12.16', '10:00', '1.34030', '1.34240', '1.33980', '1.34170', '428'],\n",
" ['2004.12.16', '11:00', '1.34180', '1.34200', '1.33850', '1.33920', '445'],\n",
" ['2004.12.16', '12:00', '1.33930', '1.33990', '1.33690', '1.33890', '495'],\n",
" ['2004.12.16', '13:00', '1.33880', '1.34280', '1.33850', '1.34110', '435'],\n",
" ['2004.12.16', '14:00', '1.34110', '1.34180', '1.33710', '1.33880', '579'],\n",
" ['2004.12.16', '15:00', '1.33880', '1.33940', '1.32880', '1.33140', '689'],\n",
" ['2004.12.16', '16:00', '1.33160', '1.33350', '1.32760', '1.32910', '634'],\n",
" ['2004.12.16', '17:00', '1.32910', '1.33070', '1.32820', '1.32870', '523'],\n",
" ['2004.12.16', '18:00', '1.32870', '1.32910', '1.32450', '1.32500', '602'],\n",
" ['2004.12.16', '19:00', '1.32500', '1.32690', '1.32020', '1.32170', '579'],\n",
" ['2004.12.16', '20:00', '1.32170', '1.32430', '1.32130', '1.32320', '476'],\n",
" ['2004.12.16', '21:00', '1.32320', '1.32530', '1.32300', '1.32460', '437'],\n",
" ['2004.12.16', '22:00', '1.32460', '1.32530', '1.32370', '1.32420', '408'],\n",
" ['2004.12.16', '23:00', '1.32410', '1.32570', '1.32350', '1.32530', '407'],\n",
" ['2004.12.17', '00:00', '1.32550', '1.32600', '1.32360', '1.32500', '465'],\n",
" ['2004.12.17', '01:00', '1.32510', '1.32620', '1.32450', '1.32510', '451'],\n",
" ['2004.12.17', '02:00', '1.32490', '1.32610', '1.32450', '1.32600', '430'],\n",
" ['2004.12.17', '03:00', '1.32550', '1.32590', '1.32410', '1.32450', '401'],\n",
" ['2004.12.17', '04:00', '1.32460', '1.32590', '1.32400', '1.32500', '385'],\n",
" ['2004.12.17', '05:00', '1.32500', '1.32690', '1.32450', '1.32640', '352'],\n",
" ['2004.12.17', '06:00', '1.32650', '1.32700', '1.32560', '1.32650', '281'],\n",
" ['2004.12.17', '07:00', '1.32660', '1.32720', '1.32580', '1.32650', '298'],\n",
" ['2004.12.17', '08:00', '1.32650', '1.32750', '1.32440', '1.32620', '476'],\n",
" ['2004.12.17', '09:00', '1.32610', '1.32800', '1.32590', '1.32740', '438'],\n",
" ...]"
]
},
"execution_count": 2,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"\"\"\"\n",
"Volatility with EWMA model, Python\n",
"\"\"\"\n",
"\n",
"# Import some Python standard libraries\n",
"import csv\n",
"import math\n",
"from datetime import datetime\n",
"\n",
"# Import data from csv files, read data\n",
"EURUSDreader = csv.reader(open('EURUSD.csv'))\n",
"USDJPYreader = csv.reader(open('USDJPY.csv'))\n",
"\n",
"EURUSD = []\n",
"for line in EURUSDreader:\n",
"\tEURUSD.append(line)\n",
"\n",
"USDJPY = []\n",
"for line in USDJPYreader:\n",
"\tUSDJPY.append(line)\n",
"\n",
"# Show some details about EURUSD\n",
"EURUSD\n",
"# The following Output box, you will see: Time, Clock, Open_price, High_price, Low_price, Close_price and Trading_Volume."
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#####The 3rd Input is for data preparation, to get time data series (EURUSD_Time, USDJPY_Time) and Close price data series (EURUSD_Close, USDJPY_Close)"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"collapsed": false
},
"outputs": [
{
"data": {
"text/plain": [
"[datetime.datetime(2004, 10, 20, 18, 0),\n",
" datetime.datetime(2004, 10, 20, 19, 0),\n",
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" datetime.datetime(2004, 10, 27, 15, 0),\n",
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" datetime.datetime(2004, 10, 27, 18, 0),\n",
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" datetime.datetime(2004, 10, 27, 20, 0),\n",
" datetime.datetime(2004, 10, 27, 21, 0),\n",
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" datetime.datetime(2004, 10, 27, 23, 0),\n",
" datetime.datetime(2004, 10, 28, 0, 0),\n",
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" datetime.datetime(2004, 10, 28, 3, 0),\n",
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" datetime.datetime(2004, 12, 16, 22, 0),\n",
" datetime.datetime(2004, 12, 16, 23, 0),\n",
" datetime.datetime(2004, 12, 17, 0, 0),\n",
" datetime.datetime(2004, 12, 17, 1, 0),\n",
" datetime.datetime(2004, 12, 17, 2, 0),\n",
" datetime.datetime(2004, 12, 17, 3, 0),\n",
" datetime.datetime(2004, 12, 17, 4, 0),\n",
" datetime.datetime(2004, 12, 17, 5, 0),\n",
" datetime.datetime(2004, 12, 17, 6, 0),\n",
" datetime.datetime(2004, 12, 17, 7, 0),\n",
" datetime.datetime(2004, 12, 17, 8, 0),\n",
" datetime.datetime(2004, 12, 17, 9, 0),\n",
" ...]"
]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# Time data processing\n",
"EURUSD_Time = []\n",
"for row in EURUSD:\n",
"\tEURUSD_Time.append(datetime.strptime((row[0] + \" \" + row[1]), \"%Y.%m.%d %H:%M\"))\n",
"\n",
"USDJPY_Time = []\n",
"for row in USDJPY:\n",
"\tUSDJPY_Time.append(datetime.strptime((row[0] + \" \" + row[1]), \"%Y.%m.%d %H:%M\"))\n",
"\n",
"# Close_price data processing\\\n",
"EURUSD_Close = []\t\n",
"for row in EURUSD:\n",
"\tEURUSD_Close.append(float(row[5]))\n",
"\n",
"USDJPY_Close = []\t\n",
"for row in USDJPY:\n",
"\tUSDJPY_Close.append(float(row[5]))\n",
" \n",
"EURUSD_Time"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### For production, Input box [1], [2], [3] should be changed. For example, from database."
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#####4th, we calculate the Return series of the Forex\n",
"Use Close_price series to calculate **Return series** of the Forex. The volatility calculation is based on Return data series.\n",
"\n",
"To calculate Return series data:\n",
"- create an empty list \"EURUSD_Return\"\n",
"- loop through EURUSD_Close, each Return is calculated from two agjacent Close_price, formula:\n",
"\n",
"###$$Return_i = log_e(Close_{i+1}) - log_e(Close_i)$$\n",
"\n",
"- append each Return item into the list EURUSD_Return.\n",
"\n",
"Java logarithm calculation reference: \n",
"_static double log(double a)_\n",
"http://docs.oracle.com/javase/7/docs/api/java/lang/Math.html (search \"natural logarithm\")"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"# Rate of return calculation, using EURUSD as an example\n",
"EURUSD_Return = []\n",
"\n",
"for index in (range(len(EURUSD_Close) - 1)):\n",
"\ttemp = math.log(EURUSD_Close[index + 1]) - math.log(EURUSD_Close[index])\n",
"\tEURUSD_Return.append(temp)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"###Finally, implement the _FX_Volatility()_ function \n",
"\n",
"#####Use EWMA model to calculate volatility, to show users the latest volatility condition of the Forex product.\n",
"\n",
"EWMA model:\n",
"###$$\\sigma_n^2 = \\lambda\\sigma_{n-1}^2 + (1 - \\lambda)u_{n-1}^2$$\n",
"\n",
"- $\\sigma_n$: volatility at day n \n",
"- $u_{n - 1}$: daily percentage change in the variable\n",
"- $\\lambda$: the parameter to decide weights, 0 < $\\lambda$ < 1\n",
"\n",
"\n",
"Reference:\n",
"- $\\lambda$ choice: http://www.investopedia.com/articles/07/ewma.asp\n",
"- EWMA model for Python Pandas\n",
"http://pandas.pydata.org/pandas-docs/dev/generated/pandas.stats.moments.ewma.html\n",
"- EWMA model for Java reference:\n",
"\n",
"https://github.com/dropwizard/metrics/blob/master/metrics-core/src/main/java/com/codahale/metrics/EWMA.java\n",
"http://grepcode.com/file/repo1.maven.org/maven2/com.codahale.metrics/metrics-core/3.0.1/com/codahale/metrics/EWMA.java"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {
"collapsed": false
},
"outputs": [],
"source": [
"# Volatility using Exponetial Weighted Moving Average model, with the \"Pandas\" package\n",
"import pandas # Import a 3rd party package \"Pandas\"\n",
"\n",
"\n",
"# Function of EWMA Volatility - FX_Volatility()\n",
"def FX_Volatility(FX_Close_raw, FX_Time, starting_time, ending_time):\n",
"\t\"\"\"\n",
"\tFor production:\n",
" users should choose only starting_time and the name of FX symbol, \n",
"\tthe ending_time should always be the latest time in our market database,\n",
"\tand we do the data processing(to generate FX_Close_raw and FX_Time) for users.\n",
"\n",
"\t4 input data:\n",
"\t1-dimension array/list/vector of FX_Close_price series\n",
"\t1-dimension array/list/vector of FX_Time series\n",
"\ta time data of starting_time\n",
"\ta time data of ending_time\n",
"\t\"\"\"\n",
"\t\n",
"\t# Get the Close_price data within a period from starting_time to ending_time\n",
"\tindex_1 = FX_Time.index(starting_time)\n",
"\tindex_2 = FX_Time.index(ending_time) + 1\n",
"\tFX_Close = FX_Close_raw[index_1 : index_2]\n",
"\n",
"\t# Get the Return_series of the FX symbol\n",
"\tFX_Return = []\n",
"\n",
"\tfor index in (range(len(FX_Close) - 1)):\n",
"\t\ttemp = math.log(FX_Close[index + 1]) - math.log(FX_Close[index])\n",
"\t\tFX_Return.append(temp)\n",
"\n",
"\t# Use the built-in function in the Pandas package to calculate volatility series\n",
"\tFX_ReturnSeries = pandas.Series(FX_Return)\n",
"\tEWMA_Volatility = pandas.stats.moments.ewma(FX_ReturnSeries, (1/0.06-1))\n",
"\n",
"\t# The returned value is the last value of the volatility series\n",
"\treturn EWMA_Volatility[len(EWMA_Volatility)-1]\n"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#####The last box: we show some example here to call the function and see the output."
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"collapsed": false
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"7.3670311771e-05\n",
"-8.78085111373e-05\n"
]
}
],
"source": [
"# Some examples to call the function\n",
"Volatility_example_1 = FX_Volatility(EURUSD_Close, EURUSD_Time, datetime(2014, 01, 01, 23, 0), datetime(2015, 04, 01, 07, 0))\n",
"print Volatility_example_1\n",
"\n",
"Volatility_example_2 = FX_Volatility(USDJPY_Close, USDJPY_Time, datetime(2014, 01, 01, 23, 0), datetime(2015, 04, 23, 23, 0))\n",
"print Volatility_example_2"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {
"collapsed": true
},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 2",
"language": "python",
"name": "python2"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 2
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython2",
"version": "2.7.6"
}
},
"nbformat": 4,
"nbformat_minor": 0
}
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