Esempio n. 1
0
        /// <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(sliceData.ToPandasDataFrame());
            }
        }
Esempio n. 2
0
        /// <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 baseData in slice.Values)
                {
                    PandasData value;
                    if (!sliceDataDict.TryGetValue(baseData.Symbol, out value))
                    {
                        sliceDataDict.Add(baseData.Symbol, value = new PandasData(baseData));
                        maxLevels = Math.Max(maxLevels, value.Levels);
                    }
                    value.Add(baseData);
                }
            }

            using (Py.GIL())
            {
                if (sliceDataDict.Count == 0)
                {
                    return(_pandas.DataFrame());
                }
                var dataFrames = sliceDataDict.Select(x => x.Value.ToPandasDataFrame(_pandas, maxLevels));
                return(_pandas.concat(dataFrames.ToArray()));
            }
        }
Esempio n. 3
0
        /// <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(_pandas.concat(dataFrames.ToArray()));
            }
        }