Feature Request: Resampling

javascriptdata / danfojs

Danfo.js is an open source, JavaScript library providing high performance, intuitive, and easy to use data structures for manipulating and processing structured data.

https://danfo.jsdata.org/

MIT License

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Feature Request: Resampling #126

Open drixie opened 3 years ago

drixie commented 3 years ago

This is useful for time series data especially OHLC.

Use case: You have 1 min stock prices, and you want it aggregated to hourly prices before performing additional analysis.

See: https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.resample.html

risenW commented 3 years ago

@drixie Since this is a feature request, can you give us more details using the feature issue template: https://github.com/opensource9ja/danfojs/issues/new?assignees=&labels=&template=feature_request.md&title=

xareelee commented 3 years ago

For Quant, danfo.js needs more APIs as pandas to manipulate price data, and interop with ta-lib for technical analysis.

pandas.DataFrame.resample is just one of them.

Comparing to Python in data science, JavaScript is better for real-time performance, visualization and building an App/WebPage for shipping, but danfo.js needs more APIs for data handling in many other fields.

We'd like to see that danfo.js supports Quantitative Finance.

steveoni commented 3 years ago

@xareelee thanks for bringing this to our notice. can you help list some of the most important methods in pandas that are used in Quantitative analysis and add then to the features list

xareelee commented 3 years ago

@steveoni For time series analysis, you'll need at least:

rolling / expanding / ewm
shift
resample

It's not easy to list "the most important methods". It depends on what's the job.

You'll need ohlc to find the prices in a time frame.
You'll need good supports with date indexes, and group/resample them.
You'll need some handy functions like
- read_html and read_sql to fetch data from web pages and databases;
- math functions for calculation as numpy.