Adding custom function to handle additional column/ data while resampleBarFeed in PyAlgoTrade - python-3.x

I am resampling custom columns with pyalogtrade.
Say I have an extra column called EX other than the default columns (open, close, high, low, etc). This is initialized and passed around in the bar.BasicBar() function as {'extraCol1' : 1.09 }.
By default, when the data is resampled, the EX is 0 in the resampled data. How/ where do we change, or override this default behaviour of pyalogtrade.
Example:
Say if we have three 1-minute OHLCV EX bars as follows (toy example)
Cols: [O H L C V EX]
1-min bar#1: [1 1 1 1 1 1]
1-min bar#2: [2 2 2 2 2 2]
1-min bar#3: [3 3 3 3 3 3]
While resampling it for 3-minute, we get a bar like this:
Cols: [O H L C V EX]
3-min bar#1: [1 3 1 3 3 *0*]
Suppose we want custom handling of the EX column, say:
resampled EX = 3rd minute - 1st minute = 3 - 2 = 1 (instead of the 0)
How does one achieve that?

Related

Is there a way to sort a list so that rows with the same value in one column are evenly distributed?

Hoping to sort (below left) by sector but distribute evenly (below right):
Name
Sector.
Name.
Sector
A
1
A
1
B
1
E
2
C
1
H
3
D
4
D
4
E
2
B
1
F
2
F
2
G
2
J
3
H
3
I
4
I
4
C
1
J
3
G
2
Real data is 70+ rows with 4 sectors.
I've worked around it manually but would love to figure out how to do it with a formula in excel.
Here's a more complete (and hopefully more accurate) idea - the carouselOrder is the column I'd like to generate via a formula.
guestID
guestSector
carouselOrder
1
1
1
2
1
5
3
1
9
4
1
13
5
2
2
6
2
6
7
2
10
8
2
14
9
3
3
10
3
7
11
3
11
12
2
18
13
1
17
14
1
20
15
1
23
16
2
21
17
2
24
18
2
27
19
1
26
20
1
29
21
1
30
22
1
31
23
3
15
24
3
19
25
3
22
26
3
25
27
3
28
28
1
32
29
4
4
30
4
8
31
4
12
32
4
16
When using Office 365 you can use the following in D2: =MOD(SEQUENCE(COUNTA(A2:A11),,0),4)+1
This create the repetitive counter of the sectors 1 to 4 to the total count of rows in your data.
In C2 use the following:
=BYROW(D2#,LAMBDA(x,
INDEX(
FILTER($A$2:$A$11,$B$2:$B$11=x),
SUM(--(D$2:x=x)))))
This filters the Names that equal the sector of mentioned row and indexes it to show only the result where the row in the filter result equals the count of the same sector (D2#) up to current row.
Let's try the following approach that doesn't require to create a helper column. I would like to explain first the logic to build the recurrence, then the excel formula that builds such recurrence.
If we sort the input data Name and Sector. by Sector. in ascending order, the new positions of the Name values (letters) can be calculated as follow (Table 1):
Name
Sector.Sorted
Position
A
1
1+4*0=1
B
1
1+4*1=5
C
1
1+4*2=9
E
2
2+4*0=2
F
2
2+4*1=6
G
2
2*4*2=10
H
3
3+4*0=3
J
3
3+4*1=7
D
4
4+4*0=4
I
4
4+4*1=8
The new positions of Name (letters) follows this pattern (Formula 1):
position = Sector.Sorted + groupSize * factor
where groupSize is 4 in our case and factor counts how many times the same Sector.Sorted value is repeated, starting from 0. Think about Sector.Sorted as groups, where each set of repeated values represents a group: 1,2,3 and 4.
If we are able to build the Position values we can sort Name, based on the new positions via SORTBY(array, by_array1) function. Check SORTBY documentation for more information how this function works.
Here is the formula to get the Name sorted in cell E2:
=LET(groupSize, 4, sorted, SORT(A2:B11,2), sName,
INDEX(sorted,,1),sSector, INDEX(sorted,,2),
seq0, SEQUENCE(ROWS(sSector),,0), mapResult,
MAP(sSector, seq0, LAMBDA(a,b, IF(b=0, "SAME",
IF(a=INDEX(sSector,b), "SAME", "NEW")))), factor,
SCAN(-1,mapResult, LAMBDA(aa,c,IF(c="SAME", aa+1,0))),
pos,MAP(sSector, factor, LAMBDA(m,n, m + groupSize*n)),
SORTBY(sName,pos)
)
Here is the output:
Explanation
The name sorted represents the input data sorted by Sector. in ascending order, i.e.: SORT(A2:B11,2). The names sName and sSector represent each column of sorted.
To identify each group we need the following sequence (seq0) starting from 0, i.e. SEQUENCE(ROWS(sSector),,0).
Now we need to identify when a new group starts. We use MAP function for that and the result is represented by the name mapResult:
MAP(sSector, seq0, LAMBDA(a,b, IF(b=0, "SAME",
IF(a=INDEX(sSector,b), "SAME", "NEW"))))
The logic is the following: If we are at the beginning of the sequence (first value of seq0), then returns SAME otherwise we check current value of sSector (a) against the previous one represented by INDEX(sSector,b) if they are the same, then we are in the same group, otherwise a new group started.
The intermediate result of mapResult is:
Name
Sector Sorted
mapResult
A
1
SAME
B
1
SAME
C
1
SAME
E
2
NEW
F
2
SAME
G
2
SAME
H
3
NEW
J
3
SAME
D
4
NEW
I
4
SAME
The first two columns are shown just for illustrative purpose, but mapResult only returns the last column.
Now we just need to create the counter based on every time we find NEW. In order to do that we use SCAN function and the result is stored under the name factor. This value represents the factor we use to multiply by 4 within each group (see Table 1):
SCAN(-1,mapResult, LAMBDA(aa,c,IF(c="SAME", aa+1,0)))
The accumulator starts in -1, because the counter starts with 0. Every time we find SAME, it increments by 1 the previous value. When it finds NEW (not equal to SAME), the accumulator is reset to 0.
Here is the intermediate result of factor:
Name
Sector Sorted
mapResult
factor
A
1
SAME
0
B
1
SAME
1
C
1
SAME
2
E
2
NEW
0
F
2
SAME
1
G
2
SAME
2
H
3
NEW
0
J
3
SAME
1
D
4
NEW
0
I
4
SAME
1
The first three columns are shown for illustrative purpose.
Now we have all the elements to build our pattern for the new positions represented with the name pos:
MAP(sSector, factor, LAMBDA(m,n, m + groupSize*n))
where m represents each element of Sector.Sorted and factor the previous calculated values. As you can see the formula in Excel represents the generic formula (Formula 1 see above). The intermediate result will be:
Name
Sector Sorted
mapResult
factor
pos
A
1
SAME
0
1
B
1
SAME
1
5
C
1
SAME
2
9
E
2
NEW
0
2
F
2
SAME
1
6
G
2
SAME
2
10
H
3
NEW
0
3
J
3
SAME
1
7
D
4
NEW
0
4
I
4
SAME
1
8
The previous columns are shown just for illustrative purpose. Now we have the new positions, so we are ready to sort based on the new positions for Name via:
SORTBY(sName,pos)
Update
The first MAP can be removed creating an array as input for SCAN that has the information of sSector and the index position to be used for finding the previous element. SCAN only allows a single array as input argument, so we can combine both information in a new array. This is the formula can be used instead:
=LET(groupSize, 4, sorted, SORT(A2:B11,2), sName,
INDEX(sorted,,1),sSector, INDEX(sorted,,2),
factor, SCAN(-1,sSector&"-"&SEQUENCE(ROWS(sSector),,0),
LAMBDA(aa,b, LET(s, TEXTSPLIT(b,"-"),item, INDEX(s,,1),
idx, INDEX(s,,2), IF(aa=-1, 0, IF(1*item=INDEX(sSector, idx), aa+1,0))))),
pos,MAP(sSector, factor, LAMBDA(m,n, m + groupSize*n)),
SORTBY(sName,pos)
)
We use inside of SCAN a LET function to calculate all required elements for doing the comparison as part of the calculation of the corresponding LAMBDA function. We extract the item and the idx position used to find previous element of sSector via:
1*item=INDEX(sSector, idx)
we are able to compare each element of sSector with previous one, starting from the second element of sSector. We multiply item by 1, because TEXTSPLIT converts the result to text, otherwise the comparison will fail.

Getting rows with minimum col2 given same col1 [duplicate]

I have a DataFrame with columns A, B, and C. For each value of A, I would like to select the row with the minimum value in column B.
That is, from this:
df = pd.DataFrame({'A': [1, 1, 1, 2, 2, 2],
'B': [4, 5, 2, 7, 4, 6],
'C': [3, 4, 10, 2, 4, 6]})
A B C
0 1 4 3
1 1 5 4
2 1 2 10
3 2 7 2
4 2 4 4
5 2 6 6
I would like to get:
A B C
0 1 2 10
1 2 4 4
For the moment I am grouping by column A, then creating a value that indicates to me the rows I will keep:
a = data.groupby('A').min()
a['A'] = a.index
to_keep = [str(x[0]) + str(x[1]) for x in a[['A', 'B']].values]
data['id'] = data['A'].astype(str) + data['B'].astype('str')
data[data['id'].isin(to_keep)]
I am sure that there is a much more straightforward way to do this.
I have seen many answers here that use MultiIndex, which I would prefer to avoid.
Thank you for your help.
I feel like you're overthinking this. Just use groupby and idxmin:
df.loc[df.groupby('A').B.idxmin()]
A B C
2 1 2 10
4 2 4 4
df.loc[df.groupby('A').B.idxmin()].reset_index(drop=True)
A B C
0 1 2 10
1 2 4 4
Had a similar situation but with a more complex column heading (e.g. "B val") in which case this is needed:
df.loc[df.groupby('A')['B val'].idxmin()]
The accepted answer (suggesting idxmin) cannot be used with the pipe pattern. A pipe-friendly alternative is to first sort values and then use groupby with DataFrame.head:
data.sort_values('B').groupby('A').apply(DataFrame.head, n=1)
This is possible because by default groupby preserves the order of rows within each group, which is stable and documented behaviour (see pandas.DataFrame.groupby).
This approach has additional benefits:
it can be easily expanded to select n rows with smallest values in specific column
it can break ties by providing another column (as a list) to .sort_values(), e.g.:
data.sort_values(['final_score', 'midterm_score']).groupby('year').apply(DataFrame.head, n=1)
As with other answers, to exactly match the result desired in the question .reset_index(drop=True) is needed, making the final snippet:
df.sort_values('B').groupby('A').apply(DataFrame.head, n=1).reset_index(drop=True)
I found an answer a little bit more wordy, but a lot more efficient:
This is the example dataset:
data = pd.DataFrame({'A': [1,1,1,2,2,2], 'B':[4,5,2,7,4,6], 'C':[3,4,10,2,4,6]})
data
Out:
A B C
0 1 4 3
1 1 5 4
2 1 2 10
3 2 7 2
4 2 4 4
5 2 6 6
First we will get the min values on a Series from a groupby operation:
min_value = data.groupby('A').B.min()
min_value
Out:
A
1 2
2 4
Name: B, dtype: int64
Then, we merge this series result on the original data frame
data = data.merge(min_value, on='A',suffixes=('', '_min'))
data
Out:
A B C B_min
0 1 4 3 2
1 1 5 4 2
2 1 2 10 2
3 2 7 2 4
4 2 4 4 4
5 2 6 6 4
Finally, we get only the lines where B is equal to B_min and drop B_min since we don't need it anymore.
data = data[data.B==data.B_min].drop('B_min', axis=1)
data
Out:
A B C
2 1 2 10
4 2 4 4
I have tested it on very large datasets and this was the only way I could make it work in a reasonable time.
You can sort_values and drop_duplicates:
df.sort_values('B').drop_duplicates('A')
Output:
A B C
2 1 2 10
4 2 4 4
The solution is, as written before ;
df.loc[df.groupby('A')['B'].idxmin()]
If the solution but then if you get an error;
"Passing list-likes to .loc or [] with any missing labels is no longer supported.
The following labels were missing: Float64Index([nan], dtype='float64').
See https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#deprecate-loc-reindex-listlike"
In my case, there were 'NaN' values at column B. So, I used 'dropna()' then it worked.
df.loc[df.groupby('A')['B'].idxmin().dropna()]
You can also boolean indexing the rows where B column is minimal value
out = df[df['B'] == df.groupby('A')['B'].transform('min')]
print(out)
A B C
2 1 2 10
4 2 4 4

Naming a behavior in Excel

I have a dataset on height that looks like below.
Height Phase
0 A
2 A
3 A
4 P
4 P
3 D
2 D
1 D
0 D .
I want to create a second column called Phase as above that tells Ascent, Peak, or Descent at corresponding height. I tried to use the IF function as IF(HeiPh="A",B3>=B2,IF(HeiPh="P",4,"D")) . However i'm not getting the required result. I have a big dataset and there are height that is same for few times i.e. like 0 2 2 3 4 5 5 5 5 6 and so on
Try this:
=IF(A2=MAX(A:A),"P",IF(ROW(A2)<MATCH(MAX(A:A),A:A,0),"A","D"))
You can do this =IF(MAX($A$4:$A$13)=A4,"P",IFS(A5>=A4,"A",A5<A4,"D"))

Pandas Flag Rows with Complementary Zeros

Given the following data frame:
import pandas as pd
df=pd.DataFrame({'A':[0,4,4,4],
'B':[0,4,4,0],
'C':[0,4,4,4],
'D':[4,0,0,4],
'E':[4,0,0,0],
'Name':['a','a','b','c']})
df
A B C D E Name
0 0 0 0 4 4 a
1 4 4 4 0 0 a
2 4 4 4 0 0 b
3 4 0 4 4 0 c
I'd like to add a new field called "Match_Flag" which labels unique combinations of rows if they have complementary zero patterns (as with rows 0, 1, and 2) AND have the same name (just for rows 0 and 1). It uses the name of the rows that match.
The desired result is as follows:
A B C D E Name Match_Flag
0 0 0 0 4 4 a a
1 4 4 4 0 0 a a
2 4 4 4 0 0 b NaN
3 4 0 4 4 0 c NaN
Caveat:
The patterns may vary, but should still be complementary.
Thanks in advance!
UPDATE
Sorry for the confusion.
Here is some clarification:
The reason why rows 0 and 1 are "complementary" is that they have opposite patterns of zeros in their columns; 0,0,0,4,4 vs, 4,4,4,0,0.
The number 4 is arbitrary; it could just as easily be 0,0,0,4,2 and 65,770,23,0,0. So if 2 such rows are indeed complementary and they have the same name, I'd like for them to be flagged with that same name under the "Match_Flag" column.
You can identify a compliment if it's dot product is zero and it's element wise sum is nowhere zero.
def complements(df):
v = df.drop('Name', axis=1).values
n = v.shape[0]
row, col = np.triu_indices(n, 1)
# ensure two rows are complete
# their sum contains no zeros
c = ((v[row] + v[col]) != 0).all(1)
complete = set(row[c]).union(col[c])
# ensure two rows do not overlap
# their product is zero everywhere
o = (v[row] * v[col] == 0).all(1)
non_overlap = set(row[o]).union(col[o])
# we are a compliment iff we do
# not overlap and we are complete
complement = list(non_overlap.intersection(complete))
# return slice
return df.Name.iloc[complement]
Then groupby('Name') and apply our function
df['Match_Flag'] = df.groupby('Name', group_keys=False).apply(complements)

Random effects, glmer, nested design

I have the following question:
I am analyzing the number of seed capsules between different genotypes (A,B and C)
I have 4 replicates for each genotype and in each of these replicates, I have 8 plants. Here is an example of the data:
Genotype Replicate_ID Plant_ID Seed_capsules
A 1 1 6
A 1 2 10
A 1 3 15
B 2 1 100
B 2 2 40
B 2 3 63
C 3 1 80
C 3 2 90
C 3 3 100
I used the glmer on the data but I am not sure whether my random is the replicate_ID or the plant_ID or both. Here is an example of what I tried so far:
freplicate_ID <- factor(newdata$replicate_ID)
fplant_ID <- factor(newdata$plant_ID)
m5 <- glmer(seed_capsules ~ pop_ID + (1| freplicate_ID /fplant_ID), family=poisson,data = data)
Further, How do I obtain the diagnostic plots for such a model? How do I compare between the genotypes? Do I need to run lsmeans on the model? Like this for example:
lsmeans(m5,pairwise ~ pop_ID, data=newdata) .
I thank you in advance for your help.
best,
Anna

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