From 03ccbe0cb1634a87a26d6969383d120dd0159f6b Mon Sep 17 00:00:00 2001 From: Gourav Kumar Date: Mon, 4 Apr 2022 00:48:48 +0530 Subject: [PATCH] Added skip weekend parameters to expand and bfill/ffill --- README.md | 6 +++++- fincal/fincal.py | 24 +++++++++++++++++------- 2 files changed, 22 insertions(+), 8 deletions(-) diff --git a/README.md b/README.md index 887c8af..46d4cce 100644 --- a/README.md +++ b/README.md @@ -31,4 +31,8 @@ Fincal aims to simplify things by allowing you to: - [ ] Sharpe ratio - [ ] Jensen's Alpha - [ ] Beta -- [x] Max drawdown \ No newline at end of file +- [x] Max drawdown + +### Pending implementation +- [ ] Use limit parameter in ffill and bfill +- [ ] Implementation of ffill and bfill may be incorrect inside expand, check and correct \ No newline at end of file diff --git a/fincal/fincal.py b/fincal/fincal.py index fafdc28..5edae3e 100644 --- a/fincal/fincal.py +++ b/fincal/fincal.py @@ -130,7 +130,7 @@ class TimeSeries(TimeSeriesCore): res_string: str = "First date: {}\nLast date: {}\nNumber of rows: {}" return res_string.format(self.start_date, self.end_date, total_dates) - def ffill(self, inplace: bool = False, limit: int = None) -> Union[TimeSeries, None]: + def ffill(self, inplace: bool = False, limit: int = None, skip_weekends: bool = False) -> Union[TimeSeries, None]: """Forward fill missing dates in the time series Parameters @@ -141,18 +141,23 @@ class TimeSeries(TimeSeriesCore): limit : int, optional Maximum number of periods to forward fill + skip_weekends: bool, optional, default false + Skip weekends while forward filling daily data + Returns ------- Returns a TimeSeries object if inplace is False, otherwise None """ eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False - dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth) + dates_to_fill = create_date_series( + self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends + ) new_ts = dict() for cur_date in dates_to_fill: try: - cur_val = self.data[cur_date] + cur_val = self.get(cur_date, closest="previous") except KeyError: pass new_ts.update({cur_date: cur_val}) @@ -163,7 +168,7 @@ class TimeSeries(TimeSeriesCore): return self.__class__(new_ts, frequency=self.frequency.symbol) - def bfill(self, inplace: bool = False, limit: int = None) -> Union[TimeSeries, None]: + def bfill(self, inplace: bool = False, limit: int = None, skip_weekends: bool = False) -> Union[TimeSeries, None]: """Backward fill missing dates in the time series Parameters @@ -174,13 +179,18 @@ class TimeSeries(TimeSeriesCore): limit : int, optional Maximum number of periods to back fill + skip_weekends: bool, optional, default false + Skip weekends while forward filling daily data + Returns ------- Returns a TimeSeries object if inplace is False, otherwise None """ eomonth: bool = True if self.frequency.days >= AllFrequencies.M.days else False - dates_to_fill = create_date_series(self.start_date, self.end_date, self.frequency.symbol, eomonth) + dates_to_fill = create_date_series( + self.start_date, self.end_date, self.frequency.symbol, eomonth, skip_weekends=skip_weekends + ) dates_to_fill.append(self.end_date) bfill_ts = dict() @@ -574,9 +584,9 @@ class TimeSeries(TimeSeriesCore): output_ts: TimeSeries = TimeSeries(new_ts, frequency=to_frequency.symbol) if method == "ffill": - output_ts.ffill(inplace=True) + output_ts.ffill(inplace=True, skip_weekends=skip_weekends) elif method == "bfill": - output_ts.bfill(inplace=True) + output_ts.bfill(inplace=True, skip_weekends=skip_weekends) else: raise NotImplementedError(f"Method {method} not implemented")