python - 获取下一个交易日功能太慢
问题描述
我创建了一个生成下一个/前 n 个交易日的函数,但对于我的目的来说太慢了。任何人都可以提出一种加快功能的方法吗?
def next_trading_day(start_day, num_trading_days, direction):
'''returns the next/previous trading day. Business_days determines how many days
back or into the future, direction determines whether back (-1) or forward (1)'''
for i in range(0, num_trading_days, direction):
next_day = start_day +datetime.timedelta(days=direction)
while next_day.weekday() in [5,6] or next_day not in mcal.get_calendar('NYSE').valid_days(start_date='2000-12-20', end_date='2020-01-10'):
next_day += datetime.timedelta(days=direction)
start_day = next_day
return start_day
这就是我使用该功能的方式:
import pandas as pd
dict1 = [
{'date': '2016-11-27'},
{'date': '2016-11-28'},
{'date': '2016-11-27'},
]
df1= pd.DataFrame(dict1)
df1['date'] = pd.to_datetime(df1['date'])
df['Date-1']=df['date'].dt.date.apply(next_business_day, args=[-1,-1,])
解决方案
此检查next_day not in mcal.get_calendar('NYSE').valid_days(start_date='2000-12-20', end_date='2020-01-10')
非常耗时,因为它需要从超过 7000 天的数组中查找。你需要对每一个操作都这样做,因此我认为这是效率低下的主要原因。
您可以通过转换为集合来加速此检查mcal.get_calendar('NYSE').valid_days(start_date='2000-12-20', end_date='2020-01-10')
,这会将查找从 O(N) 降低到 O(log N)。
但我会选择另一种策略:
- 创建一个将每个交易日与其下一个和/或最后一个交易日匹配的表格
- 将上表与数据中的日期合并
- 估算缺失值
- 将新创建的表与原始数据合并
编辑:允许任意数量的滞后和领先
import pandas as pd
import pandas_market_calendars as mcal
def get_next_trading_day(df1, n):
trading_days = pd.DataFrame({"date": mcal.get_calendar('NYSE').valid_days(start_date='2016-11-10', end_date='2016-12-01')})
trading_days['date'] = trading_days['date'].dt.tz_convert(None)
trading_days = trading_days[~trading_days.date.dt.weekday.isin([5,6])]
trading_days['next_trading_day'] = trading_days.date.shift(-n)
# extract unique date from df1
df2 = pd.DataFrame({"date": pd.unique(df1['date'])})
# merge with the trading days data (non-trading day will have NA fields)
df2 = df2.merge(trading_days, on='date', how='outer')
# impute NA values
df2.sort_values(by='date', inplace=True)
df2['next_trading_day'].fillna(method= 'ffill' if n>0 else 'bfill', inplace=True)
return df1.merge(df2, on='date', how='left')
dict1 = [
{'date': '2016-11-27'},
{'date': '2016-11-28'},
{'date': '2016-11-27'},
]
df1= pd.DataFrame(dict1)
df1['date'] = pd.to_datetime(df1['date'])
print("Next trading day")
print(get_next_trading_day(df1, 1))
print()
print("Previous trading day")
print(get_next_trading_day(df1, -1))
print()
print("Next next trading day")
print(get_next_trading_day(df1, 2))
print()
print("Previous previous trading day")
print(get_next_trading_day(df1, -2))
print()
输出
Next trading day
date next_trading_day
0 2016-11-27 2016-11-28
1 2016-11-28 2016-11-29
2 2016-11-27 2016-11-28
Previous trading day
date next_trading_day
0 2016-11-27 2016-11-25
1 2016-11-28 2016-11-25
2 2016-11-27 2016-11-25
Next next trading day
date next_trading_day
0 2016-11-27 2016-11-29
1 2016-11-28 2016-11-30
2 2016-11-27 2016-11-29
Previous previous trading day
date next_trading_day
0 2016-11-27 2016-11-23
1 2016-11-28 2016-11-23
2 2016-11-27 2016-11-23
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