TimeArrays.jl

Temporary repo to explore combining Arrays of SeriesPair into multicolumn type with similar behavior
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Updated Last
8 Years Ago
Started In
January 2014

TimeArrays.jl

temporary repo to explore combining Arrays of SeriesPair into multicolumn type with similar behavior

API in progress (check back often)

julia> using TimeArrays, MarketData

julia> ohlc
505x6 TimeArray{Float64,2} 1980-01-03 to 1981-12-31

             Open    High    Low     Close   Volume       Adj Cl
1980-01-03 | 105.76  106.08  103.26  105.22  50480000.00  105.22
1980-01-04 | 105.22  107.08  105.09  106.52  39130000.00  106.52
1980-01-07 | 106.52  107.80  105.80  106.81  44500000.00  106.81
1980-01-08 | 106.81  109.29  106.29  108.95  53390000.00  108.95
...
1981-12-24 | 122.31  123.06  121.57  122.54  23940000.00  122.54
1981-12-28 | 122.54  123.36  121.73  122.27  28320000.00  122.27
1981-12-29 | 122.27  122.90  121.12  121.67  35300000.00  121.67
1981-12-30 | 121.67  123.11  121.04  122.30  42960000.00  122.30
1981-12-31 | 122.30  123.42  121.57  122.55  40780000.00  122.55

julia> ohlc[1]
1x6 TimeArray{Float64,2} 1980-01-03 to 1980-01-03

             Open    High    Low     Close   Volume       Adj Cl
1980-01-03 | 105.76  106.08  103.26  105.22  50480000.00  105.22


julia> ohlc[1:2]
2x6 TimeArray{Float64,2} 1980-01-03 to 1980-01-04

             Open    High    Low     Close   Volume       Adj Cl
1980-01-03 | 105.76  106.08  103.26  105.22  50480000.00  105.22
1980-01-04 | 105.22  107.08  105.09  106.52  39130000.00  106.52

julia> ohlc[[firstday, tenthday]]
2x6 TimeArray{Float64,2} 1980-01-03 to 1980-01-16

             Open    High    Low     Close   Volume       Adj Cl
1980-01-03 | 105.76  106.08  103.26  105.22  50480000.00  105.22
1980-01-16 | 111.14  112.90  110.38  111.05  67700000.00  111.05


julia> ohlc["Low"][1:2]
2x1 TimeArray{Float64,2} 1980-01-03 to 1980-01-04

             Low
1980-01-03 | 103.26
1980-01-04 | 105.09

julia> ohlc["Open", "Close"][1:2]
2x2 TimeArray{Float64,2} 1980-01-03 to 1980-01-04

             Open    Close
1980-01-03 | 105.76  105.22
1980-01-04 | 105.22  106.52

julia> op[1:3] .- cl[2:4]
2x1 TimeArray{Float64,1} 1980-01-04 to 1980-01-07

            Op.-Cl
1980-01-04 | -1.30
1980-01-07 | -0.29