A Julia package to resample timeseries (from TimeSeries.jl)
Pkg.add("TimeSeriesResampler")Get sample data from MarketData.jl
julia> using MarketData: AAPL
julia> using Dates
julia> using TimeSeriesResampler
julia> ta = AAPL
8336x12 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 1980-12-12 to 2013-12-31
Open High Low Close Volume Ex-Dividend Split Ratio Adj. Open Adj. High Adj. Low Adj. Close Adj. Volume
1980-12-12 | 28.75 28.88 28.75 28.75 2093900 0.0 1 3.3766 3.3919 3.3766 3.3766 16751200
1980-12-15 | 27.38 27.38 27.25 27.25 785200 0.0 1 3.2157 3.2157 3.2004 3.2004 6281600
1980-12-16 | 25.38 25.38 25.25 25.25 472000 0.0 1 2.9808 2.9808 2.9655 2.9655 3776000
1980-12-17 | 25.88 26.0 25.88 25.88 385900 0.0 1 3.0395 3.0536 3.0395 3.0395 3087200
⋮
2013-12-26 | 568.1 569.5 563.38 563.9 7286000 0.0 1 564.7392 566.1309 560.0471 560.564 7286000
2013-12-27 | 563.82 564.41 559.5 560.09 8067300 0.0 1 560.4845 561.071 556.1901 556.7766 8067300
2013-12-30 | 557.46 560.09 552.32 554.52 9058200 0.0 1 554.1621 556.7766 549.0525 551.2395 9058200
2013-12-31 | 554.17 561.28 554.0 561.02 7967300 0.0 1 550.8916 557.9595 550.7226 557.7011 7967300julia> sum(resample(ta[:Volume], Dates.Month(1)))
397x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 1980-12-01 to 2013-12-01
Volume
1980-12-01 | 6003800
1981-01-01 | 2718700
1981-02-01 | 1435800
1981-03-01 | 3128200
⋮
2013-09-01 | 308247900
2013-10-01 | 279919000
2013-11-01 | 186612700
2013-12-01 | 252049900julia> ohlc(resample(ta[Symbol("Adj. Close")], Dates.Month(1)))
397x4 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 1980-12-01 to 2013-12-01
Open High Low Close
1980-12-01 | 3.3766 4.2281 2.9655 4.0073
1981-01-01 | 4.0519 4.0519 3.3179 3.3179
1981-02-01 | 3.1264 3.3766 2.7894 3.1123
1981-03-01 | 3.1264 3.1417 2.5392 2.8774
⋮
2013-09-01 | 482.8624 500.2466 444.8525 471.1709
2013-10-01 | 482.2497 525.6854 475.3118 516.5832
2013-11-01 | 513.9444 552.7803 509.4582 552.7803
2013-12-01 | 547.969 566.7174 541.239 557.7011julia> mean(resample(ta[Symbol("Adj. Close")], Dates.Month(1)))
397x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 1980-12-01 to 2013-12-01
Adj. Close
1980-12-01 | 3.5752
1981-01-01 | 3.7178
1981-02-01 | 3.1013
1981-03-01 | 2.9166
⋮
2013-09-01 | 474.5652
2013-10-01 | 498.8381
2013-11-01 | 521.058
2013-12-01 | 556.3467TimeSeriesResampler uses TimeFrame from TimeFrames.jl for resampling.
TimeFrames can be set using:
Dates.DatePeriodsuch asDates.Month(1)Dates.TimePeriodsuch asDates.Hour(1)- String shortcuts for timeframe (
"A","AS","M","MS","W",D,"5H", ...) - Lambda functions to define how
Dateand/orDateTimeshould be grouped (iedt -> floor(dt, Dates.Month(1))) - Named timeframe (such as
YearEnd(1),Week(1), ...) -using TimeFramesis required (don't useusing Base: Dates)
An example with end of month (MonthEnd()) volume (sum) resampling
julia> using MarketData: AAPL
julia> using TimeFrames
julia> using TimeSeriesResampler
julia> ta=AAPL
8336x12 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 1980-12-12 to 2013-12-31
Open High Low Close Volume Ex-Dividend Split Ratio Adj. Open Adj. High Adj. Low Adj. Close Adj. Volume
1980-12-12 | 28.75 28.88 28.75 28.75 2093900 0.0 1 3.3766 3.3919 3.3766 3.3766 16751200
1980-12-15 | 27.38 27.38 27.25 27.25 785200 0.0 1 3.2157 3.2157 3.2004 3.2004 6281600
1980-12-16 | 25.38 25.38 25.25 25.25 472000 0.0 1 2.9808 2.9808 2.9655 2.9655 3776000
1980-12-17 | 25.88 26.0 25.88 25.88 385900 0.0 1 3.0395 3.0536 3.0395 3.0395 3087200
⋮
2013-12-26 | 568.1 569.5 563.38 563.9 7286000 0.0 1 564.7392 566.1309 560.0471 560.564 7286000
2013-12-27 | 563.82 564.41 559.5 560.09 8067300 0.0 1 560.4845 561.071 556.1901 556.7766 8067300
2013-12-30 | 557.46 560.09 552.32 554.52 9058200 0.0 1 554.1621 556.7766 549.0525 551.2395 9058200
2013-12-31 | 554.17 561.28 554.0 561.02 7967300 0.0 1 550.8916 557.9595 550.7226 557.7011 7967300
julia> sum(resample(ta[:Volume], MonthEnd()))
397x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 1980-12-31 to 2013-12-31
Volume
1980-12-31 | 6003800
1981-01-31 | 2718700
1981-02-28 | 1435800
1981-03-31 | 3280300
⋮
2013-09-30 | 320886600
2013-10-31 | 277097800
2013-11-30 | 176795200
2013-12-31 | 252049900