Quantitative financial timeseries analysis
Project description
A Domain Specific Language for Timeseries Analysis.
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- Documentation:
- Dowloads:
- Source:
- 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 2.5 or later. Note that Python 3 series are not supported yet.
numpy for arrays and matrices.
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.
djpcms for the web.views module.
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.
Project details
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