Drop `pandas` to `numpy` converter
parent
6b17370711
commit
73b8719984
|
@ -22,8 +22,7 @@ from typing import Any
|
|||
import decimal
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
from pydantic import BaseModel, validate_arguments
|
||||
from pydantic import BaseModel
|
||||
# from numba import from_dtype
|
||||
|
||||
|
||||
|
@ -254,61 +253,6 @@ class Symbol(BaseModel):
|
|||
return keys
|
||||
|
||||
|
||||
def from_df(
|
||||
|
||||
df: pd.DataFrame,
|
||||
source=None,
|
||||
default_tf=None
|
||||
|
||||
) -> np.recarray:
|
||||
"""Convert OHLC formatted ``pandas.DataFrame`` to ``numpy.recarray``.
|
||||
|
||||
"""
|
||||
df.reset_index(inplace=True)
|
||||
|
||||
# hackery to convert field names
|
||||
date = 'Date'
|
||||
if 'date' in df.columns:
|
||||
date = 'date'
|
||||
|
||||
# convert to POSIX time
|
||||
df[date] = [d.timestamp() for d in df[date]]
|
||||
|
||||
# try to rename from some camel case
|
||||
columns = {
|
||||
'Date': 'time',
|
||||
'date': 'time',
|
||||
'Open': 'open',
|
||||
'High': 'high',
|
||||
'Low': 'low',
|
||||
'Close': 'close',
|
||||
'Volume': 'volume',
|
||||
|
||||
# most feeds are providing this over sesssion anchored
|
||||
'vwap': 'bar_wap',
|
||||
|
||||
# XXX: ib_insync calls this the "wap of the bar"
|
||||
# but no clue what is actually is...
|
||||
# https://github.com/pikers/piker/issues/119#issuecomment-729120988
|
||||
'average': 'bar_wap',
|
||||
}
|
||||
|
||||
df = df.rename(columns=columns)
|
||||
|
||||
for name in df.columns:
|
||||
# if name not in base_ohlc_dtype.names[1:]:
|
||||
if name not in base_ohlc_dtype.names:
|
||||
del df[name]
|
||||
|
||||
# TODO: it turns out column access on recarrays is actually slower:
|
||||
# https://jakevdp.github.io/PythonDataScienceHandbook/02.09-structured-data-numpy.html#RecordArrays:-Structured-Arrays-with-a-Twist
|
||||
# it might make sense to make these structured arrays?
|
||||
array = df.to_records(index=False)
|
||||
_nan_to_closest_num(array)
|
||||
|
||||
return array
|
||||
|
||||
|
||||
def _nan_to_closest_num(array: np.ndarray):
|
||||
"""Return interpolated values instead of NaN.
|
||||
|
||||
|
|
Loading…
Reference in New Issue