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QuickStart Samples

Simple Time Series QuickStart Sample (IronPython)

Illustrates how to perform simple operations on time series data using classes in the Extreme.Statistics.TimeSeriesAnalysis namespace in IronPython.

C# code Visual Basic code F# code Back to QuickStart Samples

import numerics

import clr
clr.AddReference("System.Data")
from System.Data import *
from System.Data.OleDb import *

from System import DateTime

from Extreme.Statistics import *
from Extreme.Statistics.TimeSeriesAnalysis import *

#/ Illustrates the use of the TimeSeriesCollection class to represent
#/ and manipulate time series data.

# Time series collections can be created in a variety of ways.
# Here we use an ADO.NET data table:

def LoadTimeSeriesData():
	filename = r"..\Data\MicrosoftStock.xls"
	connectionString = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source="+filename+";Extended Properties='Excel 8.0;HDR=Yes;IMEX=1'"
	cnn = None
	ds = DataSet()
	try:
		cnn = OleDbConnection(connectionString)
		cnn.Open()
		adapter = OleDbDataAdapter("Select * from [MicrosoftStock$]", cnn)
		adapter.Fill(	ds)
	except OleDbException as ex:
		print ex.InnerException
	finally:
		if cnn != None:
			cnn.Close()
	return ds.Tables[0]

seriesTable = LoadTimeSeriesData()
timeSeries = TimeSeriesCollection(seriesTable)

# The RowCount property returns the number of
# observations:
print "# observations:", timeSeries.Observations.Count

# The StartOfPeriodVariable property returns the
# DateTimeVariable that contains the start times
# for each period.
print "First date:", timeSeries.StartOfPeriodVariable.Minimum
# The EndOfPeriodVariable property returns the
# DateTimeVariable that contains the end times
# for each period.
print "Last date:", timeSeries.EndOfPeriodVariable.Maximum
			
# Data in a TimeSeriesCollection is always sorted 
# in ascending time order.

#
# Accessing variables
#

# Variables are accessed by name or numeric index.
# They need to be cast to the appropriate specialized
# type (NumericalVariable, DateTimeVariable, etc.)
close = timeSeries["Close"]
print "Average close price: ${0:F2}".format(close.Mean)

# Variables can also be accessed by numeric index:
print "3rd variable:", timeSeries[2].Name

# The GetSubset method returns the data from the specified range.
y2004 = DateTime(2004, 1, 1)
y2005 = DateTime(2005, 1, 1)
series2004 = timeSeries.CreateSubset(y2004, y2005)
print "Opening price on the first trading day of 2004:", series2004["Open"].GetValue(0)

#
# Transforming the Frequency
#

# The first step is to define the aggregator function
# for each variable. This function specifies how each
# observation in the new time series is calculated
# from the observations in the original series.

# The Aggregator class has a number of 
# pre-defined aggregator functions:
timeSeries["Open"].Aggregator = Aggregator.First
timeSeries["Close"].Aggregator = Aggregator.Last
timeSeries["High"].Aggregator = Aggregator.Maximum
timeSeries["Low"].Aggregator = Aggregator.Minimum
timeSeries["Volume"].Aggregator = Aggregator.Sum

# We can specify a subset of the series by providing
# the start and end dates.

# The TransformFrequency method returns a new series
# containing the aggregated data:
monthlySeries = timeSeries.TransformFrequency(y2004, y2005, DateTimeUnit.Month)

# We can now print the results:
print "Monthly statistics for Microsoft Corp. (MSFT)"
print "Month   Open   Close  High   Low    Volume"
for row in range(monthlySeries.Observations.Count):
    print " {0:MMM}    {1:.2f}  {2:.2f}  {3:.2f}  {4:.2f}  {5:10}" \
        .format(monthlySeries.StartOfPeriodVariable[row], monthlySeries["Open"].GetValue(row), \
        monthlySeries["Close"].GetValue(row), monthlySeries["High"].GetValue(row), monthlySeries["Low"].GetValue(row), monthlySeries["Volume"].GetValue(row))