Pandas - 按日期对日内时间序列进行分组

2022-01-11 00:00:00 python numpy pandas time-series

问题描述

我有一个多天的日内日志返回系列，我想将其缩减为每日 ohlc.我可以做类似的事情

I have an intra day series of log returns over multiple days that I would like to downsample to daily ohlc. I can do something like

hi = series.resample('B', how=lambda x: np.max(np.cumsum())) low = series.resample('B', how=lambda x: np.min(np.cumsum()))

但每次调用计算 cumsum 似乎效率低下.有没有办法先计算 cumsums 然后将 'ohcl' 应用于数据?

But it seems inefficient to compute cumsum on each call. Is there a way to first compute the cumsums and then apply 'ohcl' to the data?

1999-08-09 12:30:00-04:00 -0.000486 1999-08-09 12:31:00-04:00 -0.000606 1999-08-09 12:32:00-04:00 -0.000120 1999-08-09 12:33:00-04:00 -0.000037 1999-08-09 12:34:00-04:00 -0.000337 1999-08-09 12:35:00-04:00 0.000100 1999-08-09 12:36:00-04:00 0.000219 1999-08-09 12:37:00-04:00 0.000285 1999-08-09 12:38:00-04:00 -0.000981 1999-08-09 12:39:00-04:00 -0.000487 1999-08-09 12:40:00-04:00 0.000476 1999-08-09 12:41:00-04:00 0.000362 1999-08-09 12:42:00-04:00 -0.000038 1999-08-09 12:43:00-04:00 -0.000310 1999-08-09 12:44:00-04:00 -0.000337 ... 1999-09-28 06:45:00-04:00 0.000000 1999-09-28 06:46:00-04:00 0.000000 1999-09-28 06:47:00-04:00 0.000000 1999-09-28 06:48:00-04:00 0.000102 1999-09-28 06:49:00-04:00 -0.000068 1999-09-28 06:50:00-04:00 0.000136 1999-09-28 06:51:00-04:00 0.000566 1999-09-28 06:52:00-04:00 0.000469 1999-09-28 06:53:00-04:00 0.000000 1999-09-28 06:54:00-04:00 0.000000 1999-09-28 06:55:00-04:00 0.000000 1999-09-28 06:56:00-04:00 0.000000 1999-09-28 06:57:00-04:00 0.000000 1999-09-28 06:58:00-04:00 0.000000 1999-09-28 06:59:00-04:00 0.000000

解决方案

df.groupby([df.index.year, df.index.month, df.index.day]).transform(np.cumsum).resample('B', how='ohlc')

我认为这可能是我想要的，但我必须测试.

I think this might be what I want but I have to test.

zelazny7回复后:

After zelazny7's repsonse:

df.groupby(pd.TimeGrouper('D')).transform(np.cumsum).resample('D', how='ohlc')

有效，而且比我以前的解决方案更有效.

works and is also more efficient than my previous solution.

更新:

pd.TimeGrouper('D') 已被弃用，因为 pandas v0.21.0.

pd.TimeGrouper('D') is deprecated since pandas v0.21.0.

使用 pd.Grouper() 改为:

Use pd.Grouper() instead:

df.groupby(pd.Grouper(freq='D')).transform(np.cumsum).resample('D', how='ohlc')

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