Drop `pandas` to `numpy` converter
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@ -22,8 +22,7 @@ from typing import Any
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import decimal
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import numpy as np
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import pandas as pd
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from pydantic import BaseModel, validate_arguments
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from pydantic import BaseModel
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# from numba import from_dtype
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@ -254,61 +253,6 @@ class Symbol(BaseModel):
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return keys
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def from_df(
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df: pd.DataFrame,
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source=None,
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default_tf=None
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) -> np.recarray:
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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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# 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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# most feeds are providing this over sesssion anchored
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'vwap': 'bar_wap',
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# XXX: ib_insync calls this the "wap of the bar"
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# but no clue what is actually is...
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# https://github.com/pikers/piker/issues/119#issuecomment-729120988
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'average': 'bar_wap',
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}
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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 base_ohlc_dtype.names[1:]:
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if name not in base_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(index=False)
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_nan_to_closest_num(array)
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return array
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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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