cryptodatapy 0.2.8__py3-none-any.whl → 0.2.10__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 (29) hide show
  1. cryptodatapy/extract/datarequest.py +0 -1
  2. cryptodatapy/extract/exchanges/__init__.py +2 -0
  3. cryptodatapy/extract/exchanges/dydx.py +137 -0
  4. cryptodatapy/extract/exchanges/exchange.py +439 -0
  5. cryptodatapy/extract/getdata.py +68 -0
  6. cryptodatapy/extract/libraries/ccxt_api.py +706 -150
  7. cryptodatapy/extract/libraries/library.py +1 -3
  8. cryptodatapy/extract/web/web.py +62 -0
  9. cryptodatapy/transform/convertparams.py +5 -6
  10. cryptodatapy/transform/filter.py +7 -8
  11. cryptodatapy/transform/wrangle.py +2 -1
  12. {cryptodatapy-0.2.8.dist-info → cryptodatapy-0.2.10.dist-info}/METADATA +1 -1
  13. {cryptodatapy-0.2.8.dist-info → cryptodatapy-0.2.10.dist-info}/RECORD +15 -26
  14. cryptodatapy/conf/fx_tickers.csv +0 -31
  15. cryptodatapy/extract/data_vendors/CoinMetrics.ipynb +0 -747
  16. cryptodatapy/extract/libraries/Untitled.ipynb +0 -199
  17. cryptodatapy/extract/libraries/ccxt.ipynb +0 -747
  18. cryptodatapy/extract/libraries/yfinance_api.py +0 -511
  19. cryptodatapy/transform/cc_onchain_data.csv +0 -118423
  20. cryptodatapy/transform/clean_onchain_data.ipynb +0 -4750
  21. cryptodatapy/transform/clean_perp_futures_ohlcv.ipynb +0 -2819
  22. cryptodatapy/transform/cmdty_data.ipynb +0 -402
  23. cryptodatapy/transform/credit_data.ipynb +0 -291
  24. cryptodatapy/transform/eqty_data.ipynb +0 -836
  25. cryptodatapy/transform/global_credit_data_daily.parquet +0 -0
  26. cryptodatapy/transform/rates_data.ipynb +0 -465
  27. cryptodatapy/transform/us_rates_daily.csv +0 -227752
  28. {cryptodatapy-0.2.8.dist-info → cryptodatapy-0.2.10.dist-info}/LICENSE +0 -0
  29. {cryptodatapy-0.2.8.dist-info → cryptodatapy-0.2.10.dist-info}/WHEEL +0 -0
cryptodatapy/transform/eqty_data.ipynb DELETED
@@ -1,836 +0,0 @@
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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": 1,
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- "id": "9fea9fae",
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- "metadata": {},
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- "outputs": [
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- {
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- "name": "stderr",
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- "output_type": "stream",
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- "text": [
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- "fatal: bad revision 'HEAD'\n",
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- "Importing plotly failed. Interactive plots will not work.\n"
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- ]
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- }
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- ],
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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": 2,
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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": 3,
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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": 3,
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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": 4,
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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": 5,
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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": 5,
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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": 6,
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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": 7,
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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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- "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": 8,
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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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- " </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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- " </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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- " </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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- " </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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- " </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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- " </tr>\n",
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- " <tr>\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>2024-09-16</th>\n",
438
- " <td>66.760002</td>\n",
439
- " <td>68.5</td>\n",
440
- " <td>24.48</td>\n",
441
- " <td>94.160004</td>\n",
442
- " <td>32.599998</td>\n",
443
- " <td>8.06</td>\n",
444
- " <td>70.540001</td>\n",
445
- " <td>51.580002</td>\n",
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- " <td>26.049999</td>\n",
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- " <td>37.299999</td>\n",
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- " <td>...</td>\n",
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- " <td>63.52</td>\n",
450
- " <td>&lt;NA&gt;</td>\n",
451
- " <td>58.130001</td>\n",
452
- " <td>49.240002</td>\n",
453
- " <td>116.610001</td>\n",
454
- " <td>18.200001</td>\n",
455
- " <td>27.17</td>\n",
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- " <td>26.07</td>\n",
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- " <td>40.66</td>\n",
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- " <td>15.09</td>\n",
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- " </tr>\n",
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- " <tr>\n",
461
- " <th>2024-09-17</th>\n",
462
- " <td>66.43</td>\n",
463
- " <td>68.260002</td>\n",
464
- " <td>24.15</td>\n",
465
- " <td>94.330002</td>\n",
466
- " <td>32.549999</td>\n",
467
- " <td>8.06</td>\n",
468
- " <td>69.709999</td>\n",
469
- " <td>51.400002</td>\n",
470
- " <td>26.34</td>\n",
471
- " <td>37.029999</td>\n",
472
- " <td>...</td>\n",
473
- " <td>63.220001</td>\n",
474
- " <td>&lt;NA&gt;</td>\n",
475
- " <td>57.959999</td>\n",
476
- " <td>50.299999</td>\n",
477
- " <td>116.489998</td>\n",
478
- " <td>18.049999</td>\n",
479
- " <td>26.969999</td>\n",
480
- " <td>25.82</td>\n",
481
- " <td>40.439999</td>\n",
482
- " <td>15.19</td>\n",
483
- " </tr>\n",
484
- " <tr>\n",
485
- " <th>2024-09-18</th>\n",
486
- " <td>66.400002</td>\n",
487
- " <td>68.769997</td>\n",
488
- " <td>24.27</td>\n",
489
- " <td>94.199997</td>\n",
490
- " <td>32.580002</td>\n",
491
- " <td>8.06</td>\n",
492
- " <td>69.389999</td>\n",
493
- " <td>51.16</td>\n",
494
- " <td>26.42</td>\n",
495
- " <td>36.990002</td>\n",
496
- " <td>...</td>\n",
497
- " <td>63.259998</td>\n",
498
- " <td>&lt;NA&gt;</td>\n",
499
- " <td>57.66</td>\n",
500
- " <td>49.880001</td>\n",
501
- " <td>116.160004</td>\n",
502
- " <td>18.049999</td>\n",
503
- " <td>26.889999</td>\n",
504
- " <td>25.66</td>\n",
505
- " <td>40.900002</td>\n",
506
- " <td>15.07</td>\n",
507
- " </tr>\n",
508
- " <tr>\n",
509
- " <th>2024-09-19</th>\n",
510
- " <td>67.709999</td>\n",
511
- " <td>70.150002</td>\n",
512
- " <td>24.690001</td>\n",
513
- " <td>95.419998</td>\n",
514
- " <td>33.09</td>\n",
515
- " <td>8.06</td>\n",
516
- " <td>71.230003</td>\n",
517
- " <td>51.509998</td>\n",
518
- " <td>26.74</td>\n",
519
- " <td>37.490002</td>\n",
520
- " <td>...</td>\n",
521
- " <td>63.91</td>\n",
522
- " <td>&lt;NA&gt;</td>\n",
523
- " <td>58.110001</td>\n",
524
- " <td>47.720001</td>\n",
525
- " <td>118.230003</td>\n",
526
- " <td>18.219999</td>\n",
527
- " <td>26.98</td>\n",
528
- " <td>25.799999</td>\n",
529
- " <td>41.400002</td>\n",
530
- " <td>15.41</td>\n",
531
- " </tr>\n",
532
- " <tr>\n",
533
- " <th>2024-09-20</th>\n",
534
- " <td>68.089996</td>\n",
535
- " <td>69.389999</td>\n",
536
- " <td>24.549999</td>\n",
537
- " <td>94.970001</td>\n",
538
- " <td>32.689999</td>\n",
539
- " <td>8.06</td>\n",
540
- " <td>71.269997</td>\n",
541
- " <td>50.66</td>\n",
542
- " <td>26.940001</td>\n",
543
- " <td>37.040001</td>\n",
544
- " <td>...</td>\n",
545
- " <td>63.32</td>\n",
546
- " <td>&lt;NA&gt;</td>\n",
547
- " <td>58.740002</td>\n",
548
- " <td>47.43</td>\n",
549
- " <td>117.760002</td>\n",
550
- " <td>18.15</td>\n",
551
- " <td>26.83</td>\n",
552
- " <td>25.799999</td>\n",
553
- " <td>41.349998</td>\n",
554
- " <td>15.4</td>\n",
555
- " </tr>\n",
556
- " </tbody>\n",
557
- "</table>\n",
558
- "<p>7968 rows × 54 columns</p>\n",
559
- "</div>"
560
- ],
561
- "text/plain": [
562
- "ticker ACWI ARGT ECH EEM EFNL EGPT \\\n",
563
- "date \n",
564
- "1993-01-29 <NA> <NA> <NA> <NA> <NA> <NA> \n",
565
- "1993-02-01 <NA> <NA> <NA> <NA> <NA> <NA> \n",
566
- "1993-02-02 <NA> <NA> <NA> <NA> <NA> <NA> \n",
567
- "1993-02-03 <NA> <NA> <NA> <NA> <NA> <NA> \n",
568
- "1993-02-04 <NA> <NA> <NA> <NA> <NA> <NA> \n",
569
- "... ... ... ... ... ... ... \n",
570
- "2024-09-16 66.760002 68.5 24.48 94.160004 32.599998 8.06 \n",
571
- "2024-09-17 66.43 68.260002 24.15 94.330002 32.549999 8.06 \n",
572
- "2024-09-18 66.400002 68.769997 24.27 94.199997 32.580002 8.06 \n",
573
- "2024-09-19 67.709999 70.150002 24.690001 95.419998 33.09 8.06 \n",
574
- "2024-09-20 68.089996 69.389999 24.549999 94.970001 32.689999 8.06 \n",
575
- "\n",
576
- "ticker EIDO EIRL EIS ENOR ... PAK PGAL \\\n",
577
- "date ... \n",
578
- "1993-01-29 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
579
- "1993-02-01 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
580
- "1993-02-02 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
581
- "1993-02-03 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
582
- "1993-02-04 <NA> <NA> <NA> <NA> ... <NA> <NA> \n",
583
- "... ... ... ... ... ... ... ... \n",
584
- "2024-09-16 70.540001 51.580002 26.049999 37.299999 ... 63.52 <NA> \n",
585
- "2024-09-17 69.709999 51.400002 26.34 37.029999 ... 63.220001 <NA> \n",
586
- "2024-09-18 69.389999 51.16 26.42 36.990002 ... 63.259998 <NA> \n",
587
- "2024-09-19 71.230003 51.509998 26.74 37.490002 ... 63.91 <NA> \n",
588
- "2024-09-20 71.269997 50.66 26.940001 37.040001 ... 63.32 <NA> \n",
589
- "\n",
590
- "ticker QAT REET SPY THD TUR UAE \\\n",
591
- "date \n",
592
- "1993-01-29 <NA> <NA> <NA> <NA> <NA> <NA> \n",
593
- "1993-02-01 <NA> <NA> <NA> <NA> <NA> <NA> \n",
594
- "1993-02-02 <NA> <NA> <NA> <NA> <NA> <NA> \n",
595
- "1993-02-03 <NA> <NA> <NA> <NA> <NA> <NA> \n",
596
- "1993-02-04 <NA> <NA> <NA> <NA> <NA> <NA> \n",
597
- "... ... ... ... ... ... ... \n",
598
- "2024-09-16 58.130001 49.240002 116.610001 18.200001 27.17 26.07 \n",
599
- "2024-09-17 57.959999 50.299999 116.489998 18.049999 26.969999 25.82 \n",
600
- "2024-09-18 57.66 49.880001 116.160004 18.049999 26.889999 25.66 \n",
601
- "2024-09-19 58.110001 47.720001 118.230003 18.219999 26.98 25.799999 \n",
602
- "2024-09-20 58.740002 47.43 117.760002 18.15 26.83 25.799999 \n",
603
- "\n",
604
- "ticker URTH VXX \n",
605
- "date \n",
606
- "1993-01-29 <NA> <NA> \n",
607
- "1993-02-01 <NA> <NA> \n",
608
- "1993-02-02 <NA> <NA> \n",
609
- "1993-02-03 <NA> <NA> \n",
610
- "1993-02-04 <NA> <NA> \n",
611
- "... ... ... \n",
612
- "2024-09-16 40.66 15.09 \n",
613
- "2024-09-17 40.439999 15.19 \n",
614
- "2024-09-18 40.900002 15.07 \n",
615
- "2024-09-19 41.400002 15.41 \n",
616
- "2024-09-20 41.349998 15.4 \n",
617
- "\n",
618
- "[7968 rows x 54 columns]"
619
- ]
620
- },
621
- "execution_count": 8,
622
- "metadata": {},
623
- "output_type": "execute_result"
624
- }
625
- ],
626
- "source": [
627
- "msci_etf_df.close.unstack()"
628
- ]
629
- },
630
- {
631
- "cell_type": "code",
632
- "execution_count": 10,
633
- "id": "83f30ee7-b686-4ee8-8c5f-9333d2be31c8",
634
- "metadata": {},
635
- "outputs": [],
636
- "source": [
637
- "msci_etf_df.to_parquet('s3://factorlab-data/global_msci_eqty_etf_data_daily.parquet')"
638
- ]
639
- },
640
- {
641
- "cell_type": "code",
642
- "execution_count": null,
643
- "id": "fa7fb5fc-e6f3-4a1e-bda5-365d09e2b3e0",
644
- "metadata": {},
645
- "outputs": [],
646
- "source": []
647
- },
648
- {
649
- "cell_type": "code",
650
- "execution_count": null,
651
- "id": "0ad35f12-5943-4640-96fb-07b7ea738abd",
652
- "metadata": {},
653
- "outputs": [],
654
- "source": []
655
- },
656
- {
657
- "cell_type": "code",
658
- "execution_count": 53,
659
- "id": "9b958699-5d8b-48bb-81e2-9d6baa301be0",
660
- "metadata": {},
661
- "outputs": [],
662
- "source": [
663
- "msci_etf_df.to_csv('../../../../research_notebooks/msci_etf_df.csv')"
664
- ]
665
- },
666
- {
667
- "cell_type": "code",
668
- "execution_count": null,
669
- "id": "8e25221e-1c63-4939-ba5e-136f607b3b66",
670
- "metadata": {},
671
- "outputs": [],
672
- "source": []
673
- },
674
- {
675
- "cell_type": "code",
676
- "execution_count": 42,
677
- "id": "555d1bcc-2d79-46fd-8297-426a3c9fb3f9",
678
- "metadata": {},
679
- "outputs": [],
680
- "source": [
681
- "eqty_df.to_csv('../../../../research_notebooks/eqty_df.csv')"
682
- ]
683
- },
684
- {
685
- "cell_type": "code",
686
- "execution_count": null,
687
- "id": "e2e90a05-6b20-4fad-83c2-710e0735a427",
688
- "metadata": {},
689
- "outputs": [],
690
- "source": []
691
- },
692
- {
693
- "cell_type": "code",
694
- "execution_count": 18,
695
- "id": "752820be-c23a-4343-b48a-690086327b2c",
696
- "metadata": {},
697
- "outputs": [
698
- {
699
- "name": "stdout",
700
- "output_type": "stream",
701
- "text": [
702
- "[*********************100%***********************] 1 of 1 completed\n"
703
- ]
704
- }
705
- ],
706
- "source": [
707
- "vix_df = GetData(data_req).get_series()"
708
- ]
709
- },
710
- {
711
- "cell_type": "code",
712
- "execution_count": 26,
713
- "id": "1f193d00-704c-4d71-80ae-df1eb16da177",
714
- "metadata": {},
715
- "outputs": [],
716
- "source": [
717
- "vix_df = vix_df.unstack().close.rename(columns={'^VIX': 'US_Eqty_Vol_Idx'}).stack().to_frame('close')"
718
- ]
719
- },
720
- {
721
- "cell_type": "code",
722
- "execution_count": 27,
723
- "id": "e38b1248-088f-4b4c-8f07-4a5245a5f433",
724
- "metadata": {},
725
- "outputs": [],
726
- "source": [
727
- "wld_eqty_df = pd.read_parquet('s3://factorlab-data/global_eqty_data_daily.parquet')"
728
- ]
729
- },
730
- {
731
- "cell_type": "code",
732
- "execution_count": 31,
733
- "id": "ffc83529-9d3c-4b09-b0d7-15c7c606acfc",
734
- "metadata": {},
735
- "outputs": [],
736
- "source": [
737
- "eqty_df = pd.concat([wld_eqty_df, vix_df]).sort_index()"
738
- ]
739
- },
740
- {
741
- "cell_type": "code",
742
- "execution_count": 40,
743
- "id": "1f7e18c1-cf62-4afb-92f1-41c630e84142",
744
- "metadata": {},
745
- "outputs": [],
746
- "source": [
747
- "eqty_df.to_csv('../../../../research_notebooks/eqty_df.csv')"
748
- ]
749
- },
750
- {
751
- "cell_type": "code",
752
- "execution_count": null,
753
- "id": "d58ea41b-5193-4e34-b5a6-b59b686e53ca",
754
- "metadata": {},
755
- "outputs": [],
756
- "source": []
757
- },
758
- {
759
- "cell_type": "code",
760
- "execution_count": null,
761
- "id": "243eca1e-c809-4c0d-a256-15ef85218c26",
762
- "metadata": {},
763
- "outputs": [],
764
- "source": []
765
- },
766
- {
767
- "cell_type": "code",
768
- "execution_count": null,
769
- "id": "ddd77033-9785-481e-ae32-020ce23a188d",
770
- "metadata": {},
771
- "outputs": [],
772
- "source": [
773
- "clean = CleanData(fx_df1)"
774
- ]
775
- },
776
- {
777
- "cell_type": "code",
778
- "execution_count": null,
779
- "id": "0dd143fb-a5ca-40c6-860d-4846ad171586",
780
- "metadata": {},
781
- "outputs": [],
782
- "source": [
783
- "clean.filter_outliers(od_method='mad', thresh_val=10)"
784
- ]
785
- },
786
- {
787
- "cell_type": "code",
788
- "execution_count": null,
789
- "id": "2bde3b51-aac3-488a-95b8-2bd75bf654f5",
790
- "metadata": {},
791
- "outputs": [],
792
- "source": [
793
- "clean.repair_outliers(imp_method='fcst')"
794
- ]
795
- },
796
- {
797
- "cell_type": "code",
798
- "execution_count": null,
799
- "id": "a61a27b5-c03b-4091-8f1e-4659e301ec7b",
800
- "metadata": {},
801
- "outputs": [],
802
- "source": [
803
- "clean.df.unstack().close.plot(subplots=True, figsize=(15,100))"
804
- ]
805
- },
806
- {
807
- "cell_type": "code",
808
- "execution_count": null,
809
- "id": "10ecb5cb-83c2-474f-acc1-b6d2f1e08a50",
810
- "metadata": {},
811
- "outputs": [],
812
- "source": []
813
- }
814
- ],
815
- "metadata": {
816
- "kernelspec": {
817
- "display_name": "cryptodatapy",
818
- "language": "python",
819
- "name": "cryptodatapy"
820
- },
821
- "language_info": {
822
- "codemirror_mode": {
823
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824
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825
- },
826
- "file_extension": ".py",
827
- "mimetype": "text/x-python",
828
- "name": "python",
829
- "nbconvert_exporter": "python",
830
- "pygments_lexer": "ipython3",
831
- "version": "3.9.12"
832
- }
833
- },
834
- "nbformat": 4,
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- "nbformat_minor": 5
836
- }