Добавить daily_volume в фрейм данных pandas - PullRequest
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Добавить daily_volume в фрейм данных pandas

0 голосов
/ 18 июня 2020

У меня есть следующий фрейм данных за день, в котором каждая строка - минута: 

stock,date,open,high,low,close,volume
AACG,202005010928,0.73,0.73,0.73,0.73,200
AACG,202005010929,0.73,0.73,0.73,0.73,100
AACG,202005010930,0.8,0.8,0.8,0.8,1250
AACG,202005010934,0.72,0.72,0.72,0.72,100
AACG,202005010937,0.71,0.71,0.68,0.68,3599
AACG,202005010938,0.65,0.65,0.65,0.65,2200
AACG,202005010947,0.73,0.73,0.73,0.73,125
AACG,202005010955,0.71,0.71,0.71,0.71,300
AACG,202005011002,0.7,0.7,0.7,0.7,10818
AACG,202005011112,0.73,0.73,0.73,0.73,100
AACG,202005011125,0.7,0.7,0.7,0.7,1103
AACG,202005011153,0.7,0.7,0.66,0.66,3334
AACG,202005011223,0.7,0.7,0.7,0.7,100
AACG,202005011234,0.73,0.73,0.73,0.73,250
AACG,202005011258,0.71,0.71,0.71,0.71,100
AACG,202005011321,0.73,0.73,0.72,0.72,1200
AACG,202005011329,0.7,0.7,0.7,0.7,4200
AACG,202005011427,0.73,0.73,0.73,0.73,100
AACG,202005011432,0.65,0.65,0.65,0.65,369
AACG,202005011529,0.66,0.66,0.66,0.66,254
AACG,202005011544,0.73,0.73,0.7,0.73,1397
AACG,202005011545,0.74,0.74,0.74,0.74,100
AACG,202005011548,0.73,0.73,0.73,0.73,100
AACG,202005011549,0.74,0.74,0.74,0.74,100
AAL,202005010900,11.29,11.3,11.29,11.29,8201
AAL,202005010901,11.28,11.31,11.26,11.28,26935
AAL,202005010902,11.3,11.34,11.3,11.33,31958
AAL,202005010903,11.33,11.36,11.31,11.35,44487
AAL,202005010904,11.35,11.35,11.32,11.33,22240

Я хочу использовать векторный метод (не iterrows, поскольку это требует времени), чтобы добавить столбец, который вычисляет ежедневный объем на данный момент для каждой строки. Как я могу это сделать? Спасибо

Ответы [ 2 ]

0 голосов
/ 19 июня 2020

Создать новый накопительный столбец по выпуску акций по дням. 

df['date'] = pd.to_datetime(df['date'], format='%Y%m%d%H%M')
df['cumsum'] = df.groupby(['stock', df['date'].dt.date])['volume'].cumsum()

df
    stock   date    open    high    low close   volume  cumsum
0   AACG    2020-05-01 09:28:00 0.73    0.73    0.73    0.73    200 200
1   AACG    2020-05-01 09:29:00 0.73    0.73    0.73    0.73    100 300
2   AACG    2020-05-01 09:30:00 0.80    0.80    0.80    0.80    1250    1550
3   AACG    2020-05-01 09:34:00 0.72    0.72    0.72    0.72    100 1650
4   AACG    2020-05-01 09:37:00 0.71    0.71    0.68    0.68    3599    5249
5   AACG    2020-05-01 09:38:00 0.65    0.65    0.65    0.65    2200    7449
6   AACG    2020-05-01 09:47:00 0.73    0.73    0.73    0.73    125 7574
7   AACG    2020-05-01 09:55:00 0.71    0.71    0.71    0.71    300 7874
8   AACG    2020-05-01 10:02:00 0.70    0.70    0.70    0.70    10818   18692
9   AACG    2020-05-01 11:12:00 0.73    0.73    0.73    0.73    100 18792
10  AACG    2020-05-01 11:25:00 0.70    0.70    0.70    0.70    1103    19895
11  AACG    2020-05-01 11:53:00 0.70    0.70    0.66    0.66    3334    23229
12  AACG    2020-05-01 12:23:00 0.70    0.70    0.70    0.70    100 23329
13  AACG    2020-05-01 12:34:00 0.73    0.73    0.73    0.73    250 23579
14  AACG    2020-05-01 12:58:00 0.71    0.71    0.71    0.71    100 23679
15  AACG    2020-05-01 13:21:00 0.73    0.73    0.72    0.72    1200    24879
16  AACG    2020-05-01 13:29:00 0.70    0.70    0.70    0.70    4200    29079
17  AACG    2020-05-01 14:27:00 0.73    0.73    0.73    0.73    100 29179
18  AACG    2020-05-01 14:32:00 0.65    0.65    0.65    0.65    369 29548
19  AACG    2020-05-01 15:29:00 0.66    0.66    0.66    0.66    254 29802
20  AACG    2020-05-01 15:44:00 0.73    0.73    0.70    0.73    1397    31199
21  AACG    2020-05-01 15:45:00 0.74    0.74    0.74    0.74    100 31299
22  AACG    2020-05-01 15:48:00 0.73    0.73    0.73    0.73    100 31399
23  AACG    2020-05-01 15:49:00 0.74    0.74    0.74    0.74    100 31499
24  AAL 2020-05-01 09:00:00 11.29   11.30   11.29   11.29   8201    8201
25  AAL 2020-05-01 09:01:00 11.28   11.31   11.26   11.28   26935   35136
26  AAL 2020-05-01 09:02:00 11.30   11.34   11.30   11.33   31958   67094
27  AAL 2020-05-01 09:03:00 11.33   11.36   11.31   11.35   44487   111581
28  AAL 2020-05-01 09:04:00 11.35   11.35   11.32   11.33   22240   133821
0 голосов
/ 19 июня 2020 
df['cumsum'] = df['volume'].cumsum()
...