Separate function for initial data formatting
Added _preprocess_timeseries function for initial data processing
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@ -1,6 +1,6 @@
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import datetime
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import datetime
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from dataclasses import dataclass
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from dataclasses import dataclass
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from typing import List
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from typing import Dict, Iterable, List, Literal, Tuple, Union
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from dateutil.relativedelta import relativedelta
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from dateutil.relativedelta import relativedelta
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@ -46,10 +46,59 @@ def create_date_series(
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return dates
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return dates
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def _preprocess_timeseries(
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data: Union[
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List[Iterable[Union[str, datetime.datetime, float]]],
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List[Dict[str, Union[float, datetime.datetime]]],
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List[Dict[Union[str, datetime.datetime], float]],
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Dict[Union[str, datetime.datetime], float]
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],
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date_format: str
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) -> List[Tuple[datetime.datetime, float]]:
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"""Converts any type of list to the correct type"""
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if isinstance(data, list):
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if isinstance(data[0], dict):
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if len(data[0].keys()) == 2:
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current_data = [tuple(i.values()) for i in data]
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elif len(data[0].keys()) == 1:
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current_data = [tuple(*i.items()) for i in data]
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else:
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raise TypeError("Could not parse the data")
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current_data = _preprocess_timeseries(current_data, date_format)
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elif isinstance(data[0], Iterable):
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if isinstance(data[0][0], str):
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current_data = []
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for i in data:
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row = datetime.datetime.strptime(i[0], date_format), i[1]
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current_data.append(row)
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elif isinstance(data[0][0], datetime.datetime):
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current_data = [(i, j) for i, j in data]
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else:
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raise TypeError("Could not parse the data")
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else:
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raise TypeError("Could not parse the data")
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elif isinstance(data, dict):
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current_data = [(k, v) for k, v in data.items()]
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current_data = _preprocess_timeseries(current_data, date_format)
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else:
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raise TypeError("Could not parse the data")
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current_data.sort()
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return current_data
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class TimeSeries:
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class TimeSeries:
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"""Container for TimeSeries objects"""
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"""Container for TimeSeries objects"""
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def __init__(self, data: List[tuple], date_format: str = "%Y-%m-%d", frequency="D"):
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def __init__(
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self,
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data: List[Iterable],
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date_format: str = "%Y-%m-%d",
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frequency=Literal['D', 'W', 'M', 'Q', 'H', 'Y']
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):
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"""Instantiate a TimeSeries object
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"""Instantiate a TimeSeries object
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Parameters
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Parameters
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@ -69,11 +118,11 @@ class TimeSeries:
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Valid values are {D, W, M, Q, H, Y}
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Valid values are {D, W, M, Q, H, Y}
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"""
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"""
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time_series = [(datetime.datetime.strptime(i[0], date_format), i[1]) for i in data]
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data = _preprocess_timeseries(data, date_format=date_format)
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time_series.sort()
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self.time_series = dict(time_series)
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self.time_series = dict(data)
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self.dates = set(list(self.time_series))
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self.dates = set(list(self.time_series))
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if len(self.dates) != len(time_series):
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if len(self.dates) != len(data):
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print("Warning: The input data contains duplicate dates which have been ignored.")
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print("Warning: The input data contains duplicate dates which have been ignored.")
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self.start_date = list(self.time_series)[0]
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self.start_date = list(self.time_series)[0]
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self.end_date = list(self.time_series)[-1]
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self.end_date = list(self.time_series)[-1]
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@ -123,7 +172,7 @@ class TimeSeries:
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cur_val = self.time_series[cur_date]
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cur_val = self.time_series[cur_date]
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except KeyError:
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except KeyError:
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pass
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pass
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new_ts.update({cur_date: cur_val}) # type: ignore
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new_ts.update({cur_date: cur_val})
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if inplace:
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if inplace:
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self.time_series = new_ts
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self.time_series = new_ts
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@ -141,7 +190,7 @@ class TimeSeries:
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cur_val = self.time_series[cur_date]
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cur_val = self.time_series[cur_date]
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except KeyError:
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except KeyError:
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pass
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pass
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new_ts.update({cur_date: cur_val}) # type: ignore
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new_ts.update({cur_date: cur_val})
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if inplace:
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if inplace:
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self.time_series = new_ts
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self.time_series = new_ts
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@ -151,7 +200,7 @@ class TimeSeries:
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def calculate_returns(
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def calculate_returns(
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self, as_on: datetime.datetime, closest: str = "previous", compounding: bool = True, years: int = 1
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self, as_on: datetime.datetime, closest: str = "previous", compounding: bool = True, years: int = 1
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) -> int:
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) -> float:
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"""Method to calculate returns for a certain time-period as on a particular date
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"""Method to calculate returns for a certain time-period as on a particular date
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>>> calculate_returns(datetime.date(2020, 1, 1), years=1)
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>>> calculate_returns(datetime.date(2020, 1, 1), years=1)
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"""
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"""
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@ -167,7 +216,7 @@ class TimeSeries:
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elif closest == "next":
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elif closest == "next":
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delta = 1
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delta = 1
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else:
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else:
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raise ValueError(f"Invalid value for closes parameter: {closest}")
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raise ValueError(f"Invalid value for closest parameter: {closest}")
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while True:
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while True:
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try:
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try:
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