dynts 0.2

Quantitative financial timeseries analysis

A Domain Specific Language for Timeseries Analysis.

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Documentation:

http://packages.python.org/dynts/

Dowloads:

http://pypi.python.org/pypi/dynts/

Source:

http://github.com/quantmind/dynts

Keywords:

timeserie, quantitative, finance, statistics, web

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Timeseries analysis and a timeseries domain specific language written in Python.

Timeserie Object

To create a timeseries object directly:

>>> from dynts import timeseries
>>> ts = timeseries('test')
>>> ts.type
'zoo'
>>> ts.name
'test'
>>> ts
TimeSeries:zoo:test
>>> str(ts)
'test'

DSL

At the core of the library there is a Domain-Specific-Language (DSL) dedicated to timeserie analysis and manipulation. DynTS makes timeserie manipulation easy and fun. This is a simple multiplication:

>>> import dynts
>>> e = dynts.parse('2*GOOG')
>>> e
2.0 * goog
>>> len(e)
2
>>> list(e)
[2.0, goog]
>>> ts = dynts.evaluate(e).unwind()
>>> ts
TimeSeries:zoo:2.0 * goog
>>> len(ts)
251

Requirements

There are several requirements that must be met:

• python 2.4 or later. Note that Python 3 series are not supported yet.

• numpy arrays and matrices.

• ply the building block of the DSL.

• rpy2 if an R TimeSeries back-end is used (default).

• ccy for date and currency manipulation.

Depending on the back-end used, additional dependencies need to be met. For example, there are back-ends depending on the following R packages:

• zoo and PerformanceAnlytics for the zoo back-end (currently the default one)

• timeSeries for the rmetrics back-end

Installing rpy2 on Linux is straightforward, on windows it requires the python for windows extension library.

Optional Requirements

• xlwt to create spreadsheet from timeseries.

• simplejson if python version is less then 2.6

• matplotlib for plotting.

Running Tests

Form the package directory:

python runtests.py

or, once installed:

from dynts import runtests
runtests()

If you are behind a proxy, some tests will fail unless you write a little script which looks like this:

from dynts.conf import settings
from dynts import runtests
settings.proxies['http'] = 'http://your.proxy.com:80'

if __name__ == '__main__':
    runtests()

Community

Trying to use an IRC channel #dynts on irc.freenode.net (you can use the webchat at http://webchat.freenode.net/).

If you find a bug or would like to request a feature, please submit an issue.