cryptodatapy 0.2.5__py3-none-any.whl → 0.2.6__py3-none-any.whl

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (36) hide show
  1. cryptodatapy/conf/tickers.csv +0 -1
  2. cryptodatapy/extract/data_vendors/CoinMetrics.ipynb +747 -0
  3. cryptodatapy/extract/data_vendors/coinmetrics_api.py +279 -209
  4. cryptodatapy/extract/data_vendors/cryptocompare_api.py +3 -5
  5. cryptodatapy/extract/data_vendors/datavendor.py +32 -12
  6. cryptodatapy/extract/data_vendors/glassnode_api.py +3 -2
  7. cryptodatapy/extract/data_vendors/tiingo_api.py +3 -2
  8. cryptodatapy/extract/datarequest.py +55 -9
  9. cryptodatapy/extract/libraries/ccxt_api.py +13 -2
  10. cryptodatapy/transform/cc_onchain_data.csv +118423 -0
  11. cryptodatapy/transform/clean.py +17 -15
  12. cryptodatapy/transform/clean_onchain_data.ipynb +4750 -0
  13. cryptodatapy/transform/clean_perp_futures_ohlcv.ipynb +1597 -1178
  14. cryptodatapy/transform/convertparams.py +28 -18
  15. cryptodatapy/transform/credit_data.ipynb +291 -0
  16. cryptodatapy/transform/eqty_data.ipynb +809 -0
  17. cryptodatapy/transform/filter.py +13 -10
  18. cryptodatapy/transform/global_credit_data_daily.parquet +0 -0
  19. cryptodatapy/transform/od.py +1 -0
  20. cryptodatapy/transform/rates_data.ipynb +465 -0
  21. cryptodatapy/transform/us_rates_daily.csv +227752 -0
  22. cryptodatapy/util/datacredentials.py +28 -7
  23. {cryptodatapy-0.2.5.dist-info → cryptodatapy-0.2.6.dist-info}/METADATA +2 -2
  24. {cryptodatapy-0.2.5.dist-info → cryptodatapy-0.2.6.dist-info}/RECORD +26 -28
  25. cryptodatapy/.DS_Store +0 -0
  26. cryptodatapy/.idea/.gitignore +0 -3
  27. cryptodatapy/.idea/cryptodatapy.iml +0 -12
  28. cryptodatapy/.idea/csv-plugin.xml +0 -16
  29. cryptodatapy/.idea/inspectionProfiles/Project_Default.xml +0 -6
  30. cryptodatapy/.idea/inspectionProfiles/profiles_settings.xml +0 -6
  31. cryptodatapy/.idea/misc.xml +0 -4
  32. cryptodatapy/.idea/modules.xml +0 -8
  33. cryptodatapy/.idea/vcs.xml +0 -6
  34. cryptodatapy/extract/libraries/ccxt.ipynb +0 -873
  35. {cryptodatapy-0.2.5.dist-info → cryptodatapy-0.2.6.dist-info}/LICENSE +0 -0
  36. {cryptodatapy-0.2.5.dist-info → cryptodatapy-0.2.6.dist-info}/WHEEL +0 -0
cryptodatapy/transform/eqty_data.ipynb ADDED
@@ -0,0 +1,809 @@
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+ {
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+ "cells": [
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+ {
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+ "cell_type": "code",
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+ "execution_count": 44,
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+ "id": "9fea9fae",
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+ "metadata": {},
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+ "outputs": [],
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+ "source": [
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+ "import pandas as pd\n",
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+ "import numpy as np\n",
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+ "\n",
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+ "from cryptodatapy.extract.datarequest import DataRequest\n",
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+ "from cryptodatapy.util.datacatalog import DataCatalog \n",
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+ "from cryptodatapy.extract.getdata import GetData\n",
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+ "from cryptodatapy.transform.od import OutlierDetection\n",
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+ "from cryptodatapy.transform.impute import Impute\n",
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+ "from cryptodatapy.transform.filter import Filter\n",
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+ "from cryptodatapy.transform.clean import CleanData, stitch_dataframes\n",
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+ "from cryptodatapy.transform.impute import Impute"
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+ ]
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+ },
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+ {
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+ "cell_type": "markdown",
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+ "id": "fc533553-649e-4479-8a4b-b3db5cb77d76",
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+ "metadata": {},
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+ "source": [
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+ "# Data"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 45,
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+ "id": "2ad72bc7-5fdd-4ae5-8d9e-e90118efcc26",
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+ "metadata": {},
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+ "outputs": [],
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+ "source": [
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+ "dc = DataCatalog()"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 46,
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+ "id": "0342bab7-a792-4be3-8d4d-44c4343d0e6a",
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+ "metadata": {},
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+ "outputs": [
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+ {
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+ "data": {
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+ "text/plain": [
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+ "ticker\n",
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+ "AR_Eqty_Idx ^MERV\n",
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+ "AU_Eqty_Idx ^AXJO\n",
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+ "BE_Eqty_Idx ^BFX\n",
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+ "BR_Eqty_Idx ^BVSP\n",
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+ "CA_Eqty_Idx ^GSPTSE\n",
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+ "CL_Eqty_Idx ^IPSA\n",
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+ "CN_Eqty_Idx 000001.SS\n",
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+ "DE_Eqty_Idx ^GDAXI\n",
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+ "EZ_Eqty_Idx ^STOXX50E\n",
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+ "FR_Eqty_Idx ^FCHI\n",
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+ "GB_Eqty_Idx ^FTSE\n",
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+ "HK_Eqty_Idx ^HIS\n",
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+ "ID_Eqty_Idx ^JKSE\n",
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+ "IL_Eqty_Idx ^TA125.TA\n",
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+ "JP_Eqty_Idx ^N225\n",
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+ "MX_Eqty_Idx ^MXX\n",
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+ "MY_Eqty_Idx ^KLSE\n",
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+ "NZ_Eqty_Idx ^NZ50\n",
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+ "RU_Eqty_Idx IMOEX.ME\n",
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+ "SG_Eqty_Idx ^STI\n",
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+ "KR_Eqty_Idx ^KS11\n",
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+ "TW_Eqty_Idx ^TWII\n",
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+ "US_Eqty_Idx ^GSPC\n",
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+ "ZA_Eqty_Idx ^JN0U.JO\n",
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+ "US_Eqty_Vol_Idx ^VIX\n",
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+ "Name: yahoo_id, dtype: object"
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+ ]
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+ },
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+ "execution_count": 46,
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+ "metadata": {},
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+ "output_type": "execute_result"
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+ }
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+ ],
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+ "source": [
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+ "dc.get_tickers_metadata(cat='eqty').loc[:, 'yahoo_id'].dropna()"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": null,
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+ "id": "12de559e-ddff-45c8-a185-0652e3743733",
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+ "metadata": {},
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+ "outputs": [],
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+ "source": []
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 47,
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+ "id": "d875cd96-a29c-4e22-9806-a1b1c2513564",
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+ "metadata": {},
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+ "outputs": [],
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+ "source": [
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+ "msci_etf_tickers = dc.get_tickers_metadata(cat='eqty').loc[:, 'tiingo_id'].dropna().values.tolist()"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 48,
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+ "id": "1bf0af0d-7ed7-4e07-9da1-5625b1f32bce",
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+ "metadata": {},
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+ "outputs": [
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+ {
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+ "data": {
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+ "text/plain": [
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+ "['SPY',\n",
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+ " 'ARGT',\n",
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+ " 'UAE',\n",
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+ " 'EWA',\n",
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+ " 'EWO',\n",
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+ " 'EWK',\n",
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+ " 'EWZ',\n",
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+ " 'EWC',\n",
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+ " 'EWL',\n",
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+ " 'ECH',\n",
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+ " 'MCHI',\n",
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+ " 'ICOL',\n",
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+ " 'EWG',\n",
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+ " 'URTH',\n",
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+ " 'EGPT',\n",
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+ " 'EEM',\n",
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+ " 'EWP',\n",
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+ " 'EZU',\n",
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+ " 'EWQ',\n",
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+ " 'EFNL',\n",
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+ " 'EWU',\n",
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+ " 'EWH',\n",
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+ " 'EIDO',\n",
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+ " 'INDA',\n",
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+ " 'EIRL',\n",
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+ " 'EIS',\n",
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+ " 'EWI',\n",
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+ " 'EWJ',\n",
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+ " 'EWW',\n",
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+ " 'EWM',\n",
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+ " 'NGE',\n",
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+ " 'EWN',\n",
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+ " 'ENOR',\n",
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+ " 'ENZL',\n",
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+ " 'PAK',\n",
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+ " 'EPU',\n",
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+ " 'EPHE',\n",
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+ " 'EPOL',\n",
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+ " 'PGAL',\n",
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+ " 'QAT',\n",
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+ " 'ERUS',\n",
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+ " 'KSA',\n",
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+ " 'EWS',\n",
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+ " 'EWD',\n",
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+ " 'EWY',\n",
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+ " 'EWT',\n",
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+ " 'THD',\n",
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+ " 'TUR',\n",
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+ " 'EUSA',\n",
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+ " 'ACWI',\n",
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+ " 'EZA',\n",
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+ " 'VXX',\n",
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+ " 'IYR',\n",
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+ " 'REET']"
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+ ]
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+ },
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+ "execution_count": 48,
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+ "metadata": {},
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+ "output_type": "execute_result"
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+ }
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+ ],
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+ "source": [
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+ "msci_etf_tickers"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 49,
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+ "id": "0b1bc395-40dd-44c0-bac1-dd1e00f8a5c4",
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+ "metadata": {},
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+ "outputs": [],
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+ "source": [
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+ "data_req = DataRequest(source='yahoo', source_tickers=msci_etf_tickers, cat='eqty')"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 50,
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+ "id": "2674260a-56c7-40a4-9708-0eb335fa075d",
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+ "metadata": {},
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+ "outputs": [
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+ {
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+ "name": "stdout",
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+ "output_type": "stream",
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+ "text": [
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+ "[*********************100%***********************] 54 of 54 completed\n"
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+ ]
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+ }
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+ ],
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+ "source": [
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+ "msci_etf_df = GetData(data_req).get_series()"
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+ ]
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+ },
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+ {
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+ "cell_type": "code",
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+ "execution_count": 56,
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+ "id": "ee0523a8-c6ee-42b9-9410-36b26906f2de",
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+ "metadata": {},
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+ "outputs": [
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+ {
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+ "data": {
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+ "text/html": [
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+ "<div>\n",
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+ "<style scoped>\n",
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+ " .dataframe tbody tr th:only-of-type {\n",
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+ " vertical-align: middle;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe tbody tr th {\n",
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+ " vertical-align: top;\n",
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+ " }\n",
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+ "\n",
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+ " .dataframe thead th {\n",
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+ " text-align: right;\n",
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+ " }\n",
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+ "</style>\n",
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+ "<table border=\"1\" class=\"dataframe\">\n",
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+ " <thead>\n",
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+ " <tr style=\"text-align: right;\">\n",
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+ " <th>ticker</th>\n",
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+ " <th>ACWI</th>\n",
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+ " <th>ARGT</th>\n",
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+ " <th>ECH</th>\n",
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+ " <th>EEM</th>\n",
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+ " <th>EFNL</th>\n",
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+ " <th>EGPT</th>\n",
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+ " <th>EIDO</th>\n",
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+ " <th>EIRL</th>\n",
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+ " <th>EIS</th>\n",
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+ " <th>ENOR</th>\n",
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+ " <th>...</th>\n",
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+ " <th>PAK</th>\n",
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+ " <th>PGAL</th>\n",
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+ " <th>QAT</th>\n",
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+ " <th>REET</th>\n",
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+ " <th>SPY</th>\n",
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+ " <th>THD</th>\n",
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+ " <th>TUR</th>\n",
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+ " <th>UAE</th>\n",
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+ " <th>URTH</th>\n",
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+ " <th>VXX</th>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>date</th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " <th></th>\n",
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+ " </tr>\n",
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+ " </thead>\n",
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+ " <tbody>\n",
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+ " <tr>\n",
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+ " <th>1993-01-29</th>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>...</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>1993-02-01</th>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>...</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>1993-02-02</th>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>...</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>1993-02-03</th>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>...</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>1993-02-04</th>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>...</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>...</th>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " <td>...</td>\n",
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+ " </tr>\n",
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+ " <tr>\n",
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+ " <th>2024-09-11</th>\n",
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+ " <td>64.93</td>\n",
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+ " <td>66.199997</td>\n",
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+ " <td>23.629999</td>\n",
432
+ " <td>92.019997</td>\n",
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+ " <td>31.809999</td>\n",
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+ " <td>8.06</td>\n",
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+ " <td>69.559998</td>\n",
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+ " <td>50.709999</td>\n",
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+ " <td>25.52</td>\n",
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+ " <td>36.630001</td>\n",
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+ " <td>...</td>\n",
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+ " <td>61.66</td>\n",
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+ " <td>&lt;NA&gt;</td>\n",
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+ " <td>57.130001</td>\n",
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+ " <td>49.330002</td>\n",
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+ " <td>114.629997</td>\n",
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+ " <td>17.67</td>\n",
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+ " <td>26.59</td>\n",
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+ " <td>25.309999</td>\n",
448
+ " <td>39.07</td>\n",
449
+ " <td>15.0</td>\n",
450
+ " </tr>\n",
451
+ " <tr>\n",
452
+ " <th>2024-09-12</th>\n",
453
+ " <td>65.75</td>\n",
454
+ " <td>67.93</td>\n",
455
+ " <td>23.870001</td>\n",
456
+ " <td>92.519997</td>\n",
457
+ " <td>32.130001</td>\n",
458
+ " <td>8.06</td>\n",
459
+ " <td>70.25</td>\n",
460
+ " <td>51.07</td>\n",
461
+ " <td>25.450001</td>\n",
462
+ " <td>36.790001</td>\n",
463
+ " <td>...</td>\n",
464
+ " <td>62.509998</td>\n",
465
+ " <td>&lt;NA&gt;</td>\n",
466
+ " <td>57.759998</td>\n",
467
+ " <td>48.939999</td>\n",
468
+ " <td>115.629997</td>\n",
469
+ " <td>18.1</td>\n",
470
+ " <td>26.780001</td>\n",
471
+ " <td>25.85</td>\n",
472
+ " <td>39.950001</td>\n",
473
+ " <td>14.96</td>\n",
474
+ " </tr>\n",
475
+ " <tr>\n",
476
+ " <th>2024-09-13</th>\n",
477
+ " <td>66.139999</td>\n",
478
+ " <td>68.529999</td>\n",
479
+ " <td>24.120001</td>\n",
480
+ " <td>93.5</td>\n",
481
+ " <td>32.400002</td>\n",
482
+ " <td>8.06</td>\n",
483
+ " <td>69.870003</td>\n",
484
+ " <td>51.389999</td>\n",
485
+ " <td>25.93</td>\n",
486
+ " <td>36.900002</td>\n",
487
+ " <td>...</td>\n",
488
+ " <td>63.299999</td>\n",
489
+ " <td>&lt;NA&gt;</td>\n",
490
+ " <td>57.849998</td>\n",
491
+ " <td>48.790001</td>\n",
492
+ " <td>116.209999</td>\n",
493
+ " <td>18.139999</td>\n",
494
+ " <td>27.01</td>\n",
495
+ " <td>25.950001</td>\n",
496
+ " <td>40.549999</td>\n",
497
+ " <td>15.11</td>\n",
498
+ " </tr>\n",
499
+ " <tr>\n",
500
+ " <th>2024-09-16</th>\n",
501
+ " <td>66.760002</td>\n",
502
+ " <td>68.5</td>\n",
503
+ " <td>24.48</td>\n",
504
+ " <td>94.160004</td>\n",
505
+ " <td>32.599998</td>\n",
506
+ " <td>8.06</td>\n",
507
+ " <td>70.540001</td>\n",
508
+ " <td>51.580002</td>\n",
509
+ " <td>26.049999</td>\n",
510
+ " <td>37.299999</td>\n",
511
+ " <td>...</td>\n",
512
+ " <td>63.52</td>\n",
513
+ " <td>&lt;NA&gt;</td>\n",
514
+ " <td>58.130001</td>\n",
515
+ " <td>49.240002</td>\n",
516
+ " <td>116.610001</td>\n",
517
+ " <td>18.200001</td>\n",
518
+ " <td>27.17</td>\n",
519
+ " <td>26.07</td>\n",
520
+ " <td>40.66</td>\n",
521
+ " <td>15.09</td>\n",
522
+ " </tr>\n",
523
+ " <tr>\n",
524
+ " <th>2024-09-17</th>\n",
525
+ " <td>66.43</td>\n",
526
+ " <td>68.260002</td>\n",
527
+ " <td>24.15</td>\n",
528
+ " <td>94.330002</td>\n",
529
+ " <td>32.549999</td>\n",
530
+ " <td>8.06</td>\n",
531
+ " <td>69.709999</td>\n",
532
+ " <td>51.400002</td>\n",
533
+ " <td>26.34</td>\n",
534
+ " <td>37.029999</td>\n",
535
+ " <td>...</td>\n",
536
+ " <td>63.220001</td>\n",
537
+ " <td>&lt;NA&gt;</td>\n",
538
+ " <td>57.959999</td>\n",
539
+ " <td>50.299999</td>\n",
540
+ " <td>116.489998</td>\n",
541
+ " <td>18.049999</td>\n",
542
+ " <td>26.969999</td>\n",
543
+ " <td>25.82</td>\n",
544
+ " <td>40.439999</td>\n",
545
+ " <td>15.19</td>\n",
546
+ " </tr>\n",
547
+ " </tbody>\n",
548
+ "</table>\n",
549
+ "<p>7965 rows × 54 columns</p>\n",
550
+ "</div>"
551
+ ],
552
+ "text/plain": [
553
+ "ticker ACWI ARGT ECH EEM EFNL EGPT \\\n",
554
+ "date \n",
555
+ "1993-01-29 <NA> <NA> <NA> <NA> <NA> <NA> \n",
556
+ "1993-02-01 <NA> <NA> <NA> <NA> <NA> <NA> \n",
557
+ "1993-02-02 <NA> <NA> <NA> <NA> <NA> <NA> \n",
558
+ "1993-02-03 <NA> <NA> <NA> <NA> <NA> <NA> \n",
559
+ "1993-02-04 <NA> <NA> <NA> <NA> <NA> <NA> \n",
560
+ "... ... ... ... ... ... ... \n",
561
+ "2024-09-11 64.93 66.199997 23.629999 92.019997 31.809999 8.06 \n",
562
+ "2024-09-12 65.75 67.93 23.870001 92.519997 32.130001 8.06 \n",
563
+ "2024-09-13 66.139999 68.529999 24.120001 93.5 32.400002 8.06 \n",
564
+ "2024-09-16 66.760002 68.5 24.48 94.160004 32.599998 8.06 \n",
565
+ "2024-09-17 66.43 68.260002 24.15 94.330002 32.549999 8.06 \n",
566
+ "\n",
567
+ "ticker EIDO EIRL EIS ENOR ... PAK PGAL \\\n",
568
+ "date ... \n",
569
+ "1993-01-29 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
570
+ "1993-02-01 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
571
+ "1993-02-02 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
572
+ "1993-02-03 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
573
+ "1993-02-04 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
574
+ "... ... ... ... ... ... ... ... \n",
575
+ "2024-09-11 69.559998 50.709999 25.52 36.630001 ... 61.66 <NA> \n",
576
+ "2024-09-12 70.25 51.07 25.450001 36.790001 ... 62.509998 <NA> \n",
577
+ "2024-09-13 69.870003 51.389999 25.93 36.900002 ... 63.299999 <NA> \n",
578
+ "2024-09-16 70.540001 51.580002 26.049999 37.299999 ... 63.52 <NA> \n",
579
+ "2024-09-17 69.709999 51.400002 26.34 37.029999 ... 63.220001 <NA> \n",
580
+ "\n",
581
+ "ticker QAT REET SPY THD TUR UAE \\\n",
582
+ "date \n",
583
+ "1993-01-29 <NA> <NA> <NA> <NA> <NA> <NA> \n",
584
+ "1993-02-01 <NA> <NA> <NA> <NA> <NA> <NA> \n",
585
+ "1993-02-02 <NA> <NA> <NA> <NA> <NA> <NA> \n",
586
+ "1993-02-03 <NA> <NA> <NA> <NA> <NA> <NA> \n",
587
+ "1993-02-04 <NA> <NA> <NA> <NA> <NA> <NA> \n",
588
+ "... ... ... ... ... ... ... \n",
589
+ "2024-09-11 57.130001 49.330002 114.629997 17.67 26.59 25.309999 \n",
590
+ "2024-09-12 57.759998 48.939999 115.629997 18.1 26.780001 25.85 \n",
591
+ "2024-09-13 57.849998 48.790001 116.209999 18.139999 27.01 25.950001 \n",
592
+ "2024-09-16 58.130001 49.240002 116.610001 18.200001 27.17 26.07 \n",
593
+ "2024-09-17 57.959999 50.299999 116.489998 18.049999 26.969999 25.82 \n",
594
+ "\n",
595
+ "ticker URTH VXX \n",
596
+ "date \n",
597
+ "1993-01-29 <NA> <NA> \n",
598
+ "1993-02-01 <NA> <NA> \n",
599
+ "1993-02-02 <NA> <NA> \n",
600
+ "1993-02-03 <NA> <NA> \n",
601
+ "1993-02-04 <NA> <NA> \n",
602
+ "... ... ... \n",
603
+ "2024-09-11 39.07 15.0 \n",
604
+ "2024-09-12 39.950001 14.96 \n",
605
+ "2024-09-13 40.549999 15.11 \n",
606
+ "2024-09-16 40.66 15.09 \n",
607
+ "2024-09-17 40.439999 15.19 \n",
608
+ "\n",
609
+ "[7965 rows x 54 columns]"
610
+ ]
611
+ },
612
+ "execution_count": 56,
613
+ "metadata": {},
614
+ "output_type": "execute_result"
615
+ }
616
+ ],
617
+ "source": [
618
+ "msci_etf_df.close.unstack()"
619
+ ]
620
+ },
621
+ {
622
+ "cell_type": "code",
623
+ "execution_count": null,
624
+ "id": "83f30ee7-b686-4ee8-8c5f-9333d2be31c8",
625
+ "metadata": {},
626
+ "outputs": [],
627
+ "source": []
628
+ },
629
+ {
630
+ "cell_type": "code",
631
+ "execution_count": 53,
632
+ "id": "9b958699-5d8b-48bb-81e2-9d6baa301be0",
633
+ "metadata": {},
634
+ "outputs": [],
635
+ "source": [
636
+ "msci_etf_df.to_csv('../../../../research_notebooks/msci_etf_df.csv')"
637
+ ]
638
+ },
639
+ {
640
+ "cell_type": "code",
641
+ "execution_count": null,
642
+ "id": "8e25221e-1c63-4939-ba5e-136f607b3b66",
643
+ "metadata": {},
644
+ "outputs": [],
645
+ "source": []
646
+ },
647
+ {
648
+ "cell_type": "code",
649
+ "execution_count": 42,
650
+ "id": "555d1bcc-2d79-46fd-8297-426a3c9fb3f9",
651
+ "metadata": {},
652
+ "outputs": [],
653
+ "source": [
654
+ "eqty_df.to_csv('../../../../research_notebooks/eqty_df.csv')"
655
+ ]
656
+ },
657
+ {
658
+ "cell_type": "code",
659
+ "execution_count": null,
660
+ "id": "e2e90a05-6b20-4fad-83c2-710e0735a427",
661
+ "metadata": {},
662
+ "outputs": [],
663
+ "source": []
664
+ },
665
+ {
666
+ "cell_type": "code",
667
+ "execution_count": 18,
668
+ "id": "752820be-c23a-4343-b48a-690086327b2c",
669
+ "metadata": {},
670
+ "outputs": [
671
+ {
672
+ "name": "stdout",
673
+ "output_type": "stream",
674
+ "text": [
675
+ "[*********************100%***********************] 1 of 1 completed\n"
676
+ ]
677
+ }
678
+ ],
679
+ "source": [
680
+ "vix_df = GetData(data_req).get_series()"
681
+ ]
682
+ },
683
+ {
684
+ "cell_type": "code",
685
+ "execution_count": 26,
686
+ "id": "1f193d00-704c-4d71-80ae-df1eb16da177",
687
+ "metadata": {},
688
+ "outputs": [],
689
+ "source": [
690
+ "vix_df = vix_df.unstack().close.rename(columns={'^VIX': 'US_Eqty_Vol_Idx'}).stack().to_frame('close')"
691
+ ]
692
+ },
693
+ {
694
+ "cell_type": "code",
695
+ "execution_count": 27,
696
+ "id": "e38b1248-088f-4b4c-8f07-4a5245a5f433",
697
+ "metadata": {},
698
+ "outputs": [],
699
+ "source": [
700
+ "wld_eqty_df = pd.read_parquet('s3://factorlab-data/global_eqty_data_daily.parquet')"
701
+ ]
702
+ },
703
+ {
704
+ "cell_type": "code",
705
+ "execution_count": 31,
706
+ "id": "ffc83529-9d3c-4b09-b0d7-15c7c606acfc",
707
+ "metadata": {},
708
+ "outputs": [],
709
+ "source": [
710
+ "eqty_df = pd.concat([wld_eqty_df, vix_df]).sort_index()"
711
+ ]
712
+ },
713
+ {
714
+ "cell_type": "code",
715
+ "execution_count": 40,
716
+ "id": "1f7e18c1-cf62-4afb-92f1-41c630e84142",
717
+ "metadata": {},
718
+ "outputs": [],
719
+ "source": [
720
+ "eqty_df.to_csv('../../../../research_notebooks/eqty_df.csv')"
721
+ ]
722
+ },
723
+ {
724
+ "cell_type": "code",
725
+ "execution_count": null,
726
+ "id": "d58ea41b-5193-4e34-b5a6-b59b686e53ca",
727
+ "metadata": {},
728
+ "outputs": [],
729
+ "source": []
730
+ },
731
+ {
732
+ "cell_type": "code",
733
+ "execution_count": null,
734
+ "id": "243eca1e-c809-4c0d-a256-15ef85218c26",
735
+ "metadata": {},
736
+ "outputs": [],
737
+ "source": []
738
+ },
739
+ {
740
+ "cell_type": "code",
741
+ "execution_count": null,
742
+ "id": "ddd77033-9785-481e-ae32-020ce23a188d",
743
+ "metadata": {},
744
+ "outputs": [],
745
+ "source": [
746
+ "clean = CleanData(fx_df1)"
747
+ ]
748
+ },
749
+ {
750
+ "cell_type": "code",
751
+ "execution_count": null,
752
+ "id": "0dd143fb-a5ca-40c6-860d-4846ad171586",
753
+ "metadata": {},
754
+ "outputs": [],
755
+ "source": [
756
+ "clean.filter_outliers(od_method='mad', thresh_val=10)"
757
+ ]
758
+ },
759
+ {
760
+ "cell_type": "code",
761
+ "execution_count": null,
762
+ "id": "2bde3b51-aac3-488a-95b8-2bd75bf654f5",
763
+ "metadata": {},
764
+ "outputs": [],
765
+ "source": [
766
+ "clean.repair_outliers(imp_method='fcst')"
767
+ ]
768
+ },
769
+ {
770
+ "cell_type": "code",
771
+ "execution_count": null,
772
+ "id": "a61a27b5-c03b-4091-8f1e-4659e301ec7b",
773
+ "metadata": {},
774
+ "outputs": [],
775
+ "source": [
776
+ "clean.df.unstack().close.plot(subplots=True, figsize=(15,100))"
777
+ ]
778
+ },
779
+ {
780
+ "cell_type": "code",
781
+ "execution_count": null,
782
+ "id": "10ecb5cb-83c2-474f-acc1-b6d2f1e08a50",
783
+ "metadata": {},
784
+ "outputs": [],
785
+ "source": []
786
+ }
787
+ ],
788
+ "metadata": {
789
+ "kernelspec": {
790
+ "display_name": "cryptodatapy",
791
+ "language": "python",
792
+ "name": "cryptodatapy"
793
+ },
794
+ "language_info": {
795
+ "codemirror_mode": {
796
+ "name": "ipython",
797
+ "version": 3
798
+ },
799
+ "file_extension": ".py",
800
+ "mimetype": "text/x-python",
801
+ "name": "python",
802
+ "nbconvert_exporter": "python",
803
+ "pygments_lexer": "ipython3",
804
+ "version": "3.9.12"
805
+ }
806
+ },
807
+ "nbformat": 4,
808
+ "nbformat_minor": 5
809
+ }