/// <summary>
/// Converts an enumerable of <see cref="IBaseData"/> in a pandas.DataFrame
/// </summary>
/// <param name="data">Enumerable of <see cref="Slice"/></param>
/// <returns><see cref="PyObject"/> containing a pandas.DataFrame</returns>
public PyObject GetDataFrame <T>(IEnumerable <T> data)
where T : IBaseData
{
PandasData sliceData = null;
foreach (var datum in data)
{
if (sliceData == null)
{
sliceData = new PandasData(datum);
}
sliceData.Add(datum);
}
using (Py.GIL())
{
// If sliceData is still null, data is an empty enumerable
// returns an empty pandas.DataFrame
if (sliceData == null)
{
return(_pandas.DataFrame());
}
return(PandasData.ApplySymbolMapper(sliceData.ToPandasDataFrame()));
}
}
/// <summary>
/// Converts an enumerable of <see cref="Slice"/> in a pandas.DataFrame
/// </summary>
/// <param name="data">Enumerable of <see cref="Slice"/></param>
/// <returns><see cref="PyObject"/> containing a pandas.DataFrame</returns>
public PyObject GetDataFrame(IEnumerable <Slice> data)
{
var maxLevels = 0;
var sliceDataDict = new Dictionary <Symbol, PandasData>();
foreach (var slice in data)
{
foreach (var key in slice.Keys)
{
var baseData = slice[key];
PandasData value;
if (!sliceDataDict.TryGetValue(key, out value))
{
sliceDataDict.Add(key, value = new PandasData(baseData));
maxLevels = Math.Max(maxLevels, value.Levels);
}
if (value.IsCustomData)
{
value.Add(baseData);
}
else
{
var ticks = slice.Ticks.ContainsKey(key) ? slice.Ticks[key] : null;
var tradeBars = slice.Bars.ContainsKey(key) ? slice.Bars[key] : null;
var quoteBars = slice.QuoteBars.ContainsKey(key) ? slice.QuoteBars[key] : null;
value.Add(ticks, tradeBars, quoteBars);
}
}
}
using (Py.GIL())
{
if (sliceDataDict.Count == 0)
{
return(_pandas.DataFrame());
}
var dataFrames = sliceDataDict.Select(x => x.Value.ToPandasDataFrame(maxLevels));
return(PandasData.ApplySymbolMapper(_pandas.concat(dataFrames.ToArray(), Py.kw("sort", true))));
}
}