A Python library for working with time series data. It comes with common financial functions built-in.
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import datetime
from dataclasses import dataclass
from typing import Iterable, List, Literal, Mapping, Sequence, Tuple, Union
from .exceptions import DateNotFoundError, DateOutOfRangeError
@dataclass
class FincalOptions:
date_format: str = "%Y-%m-%d"
closest: str = "before" # after
def _parse_date(date: str, date_format: str = None):
"""Parses date and handles errors"""
if isinstance(date, (datetime.datetime, datetime.date)):
return datetime.datetime.fromordinal(date.toordinal())
if date_format is None:
date_format = FincalOptions.date_format
try:
date = datetime.datetime.strptime(date, date_format)
except TypeError:
raise ValueError("Date does not seem to be valid date-like string")
except ValueError:
raise ValueError("Date could not be parsed. Have you set the correct date format in FincalOptions.date_format?")
return date
def _preprocess_timeseries(
data: Union[
Sequence[Iterable[Union[str, datetime.datetime, float]]],
Sequence[Mapping[str, Union[float, datetime.datetime]]],
Sequence[Mapping[Union[str, datetime.datetime], float]],
Mapping[Union[str, datetime.datetime], float],
],
date_format: str,
) -> List[Tuple[datetime.datetime, float]]:
"""Converts any type of list to the correct type"""
if isinstance(data, Mapping):
current_data = [(k, v) for k, v in data.items()]
return _preprocess_timeseries(current_data, date_format)
if not isinstance(data, Sequence):
raise TypeError("Could not parse the data")
if isinstance(data[0], Sequence):
return sorted([(_parse_date(i, date_format), j) for i, j in data])
if not isinstance(data[0], Mapping):
raise TypeError("Could not parse the data")
if len(data[0]) == 1:
current_data = [tuple(*i.items()) for i in data]
elif len(data[0]) == 2:
current_data = [tuple(i.values()) for i in data]
else:
raise TypeError("Could not parse the data")
return _preprocess_timeseries(current_data, date_format)
def _preprocess_match_options(as_on_match: str, prior_match: str, closest: str) -> datetime.timedelta:
"""Checks the arguments and returns appropriate timedelta objects"""
deltas = {"exact": 0, "previous": -1, "next": 1}
if closest not in deltas.keys():
raise ValueError(f"Invalid argument for closest: {closest}")
as_on_match = closest if as_on_match == "closest" else as_on_match
prior_match = closest if prior_match == "closest" else prior_match
if as_on_match in deltas.keys():
as_on_delta = datetime.timedelta(days=deltas[as_on_match])
else:
raise ValueError(f"Invalid as_on_match argument: {as_on_match}")
if prior_match in deltas.keys():
prior_delta = datetime.timedelta(days=deltas[prior_match])
else:
raise ValueError(f"Invalid prior_match argument: {prior_match}")
return as_on_delta, prior_delta
def _find_closest_date(data, date, limit_days, delta, if_not_found):
"""Helper function to find data for the closest available date"""
if delta.days < 0 and date < min(data):
raise DateOutOfRangeError(date, 'min')
if delta.days > 0 and date > max(data):
raise DateOutOfRangeError(date, 'max')
row = data.get(date, None)
if row is not None:
return date, row
if delta and limit_days != 0:
return _find_closest_date(data, date + delta, limit_days-1, delta, if_not_found)
if if_not_found == "fail":
raise DateNotFoundError("Data not found for date", date)
if if_not_found == "nan":
return date, float("NaN")
raise ValueError(f"Invalid argument for if_not_found: {if_not_found}")
def _interval_to_years(interval_type: Literal["years", "months", "day"], interval_value: int) -> int:
"""Converts any time period to years for use with compounding functions"""
year_conversion_factor = {"years": 1, "months": 12, "days": 365}
years = interval_value / year_conversion_factor[interval_type]
return years