diff options
Diffstat (limited to 'python/index_data.py')
| -rw-r--r-- | python/index_data.py | 15 |
1 files changed, 12 insertions, 3 deletions
diff --git a/python/index_data.py b/python/index_data.py index a8478789..e6b7bf99 100644 --- a/python/index_data.py +++ b/python/index_data.py @@ -6,9 +6,18 @@ import pandas as pd serenitasdb = dbengine('serenitasdb') def insert_quotes(): - # backpopulate some version i+1 quotes one day before they start trading so that - # we get continuous time series when we compute returns - eturns + """ + backpopulate some version i+1 quotes one day before they start trading so that + we get continuous time series when we compute returns. + + We can also do it in sql as follows: + + INSERT INTO index_quotes(date, index, series, version, tenor, closeprice) + SELECT date, index, series, version+1, tenor, (factor1*closeprice-100*0.355)/factor2 + FROM index_quotes + WHERE index='HY' and series=23 and date='2017-02-02' + + """ dates = pd.DatetimeIndex(['2014-05-21', '2015-02-19', '2015-03-05','2015-06-23']) df = pd.read_sql_query("SELECT DISTINCT ON (date) * FROM index_quotes " \ "WHERE index='HY' AND tenor='5yr' " \ |