Always convert to posix time
parent
5f89a2bf08
commit
4c5bc19ec7
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@ -64,21 +64,35 @@ def from_df(
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"""Convert OHLC formatted ``pandas.DataFrame`` to ``numpy.recarray``.
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"""
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df.reset_index(inplace=True)
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df['Date'] = [d.timestamp() for d in df.Date]
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# hackery to convert field names
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date = 'Date'
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if 'date' in df.columns:
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date = 'date'
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# convert to POSIX time
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df[date] = [d.timestamp() for d in df[date]]
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# try to rename from some camel case
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columns = {
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'Date': 'time',
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'date': 'time',
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'Open': 'open',
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'High': 'high',
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'Low': 'low',
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'Close': 'close',
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'Volume': 'volume',
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}
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for name in df.columns:
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if name not in columns:
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del df[name]
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df = df.rename(columns=columns)
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for name in df.columns:
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if name not in OHLC_dtype.names:
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del df[name]
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# TODO: it turns out column access on recarrays is actually slower:
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# https://jakevdp.github.io/PythonDataScienceHandbook/02.09-structured-data-numpy.html#RecordArrays:-Structured-Arrays-with-a-Twist
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# it might make sense to make these structured arrays?
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array = df.to_records()
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_nan_to_closest_num(array)
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@ -88,7 +102,6 @@ def from_df(
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def _nan_to_closest_num(array: np.ndarray):
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"""Return interpolated values instead of NaN.
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"""
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for col in ['open', 'high', 'low', 'close']:
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mask = np.isnan(array[col])
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if not mask.size:
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