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import numpy as np | |
import pandas as pd | |
from datetime import datetime | |
from fastparquet import write | |
def compute_vwap(df): | |
q = df['foreignNotional'] | |
p = df['price'] | |
vwap = np.sum(p * q) / np.sum(q) | |
df['vwap'] = vwap | |
return df | |
def ohlc(df): | |
df['open'] = df.price.iloc[0] | |
df['high'] = df.price.max() | |
df['low'] = df.price.min() | |
df['close'] = df.price.iloc[-1] | |
return df[-1:] | |
data = pd.read_csv('data/20181204.csv') | |
data = data[data.symbol == 'XBTUSD'] | |
paths = ['data/20181205.csv','data/20181206.csv','data/20181207.csv', 'data/20181208.csv', 'data/20181209.csv'] | |
for path in paths: | |
df = pd.read_csv(path) | |
df = df[df.symbol == 'XBTUSD'] | |
data = data.append(df) | |
data['timestamp'] = data.timestamp.map(lambda t: datetime.strptime(t[:-3], "%Y-%m-%dD%H:%M:%S.%f")) # timestamp parsing | |
data.set_index('timestamp', inplace=True) | |
data.sort_index(inplace=True) | |
data_cm_dollar = data.assign(cmDollar=data['foreignNotional'].cumsum()) | |
total_dollars = data_cm_dollar.cmDollar.values[-1] | |
dollars_per_bar = 2e6 | |
print('Total dollars:', total_dollars) | |
print('Dollars per bar:', dollars_per_bar) | |
data_dollar_grp = data_cm_dollar.assign(grpId=lambda row: row.cmDollar // dollars_per_bar) | |
print('Number of dollar bars:', len(data_dollar_grp.groupby(['grpId']))) | |
data_dollar_ohlc = data_dollar_grp.groupby('grpId').apply(lambda x: ohlc(compute_vwap(x))) | |
data_dollar_ohlc.index = data_dollar_ohlc.index.droplevel() | |
data_dollar_ohlc = data_dollar_ohlc[~data_dollar_ohlc.index.duplicated(keep='first')] | |
# save to file | |
write('data_dollar_ohlc.pq', data_dollar_ohlc) |
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