sausage-links 1.0.0

Implementation of the Sausage Links algorithm base Swinging Door in Python.

Sausage Links

Implementation of the Sausage Links algorithm base Swinging Door in Python.

Example of usage

>>> from datetime import datetime
>>> from pandas import read_csv, DataFrame

>>> df = DataFrame(
...     [
...         {
...             "Date": datetime.strptime(date, "%Y-%m-%d"),
...             "Price": value
...         }
...         for date, value in read_csv(
...             "https://datahub.io/core/oil-prices/r/wti-daily.csv"
...         ).values.tolist()
...     ]
... )

>>> print(len(df))
9895

>>> df.plot(x="Date", y="Price")

>>> from sausage_links import sausage_links

>>> compress = DataFrame(
...      list(
...         {
...             "Date": datetime.fromtimestamp(date),
...             "Price": value
...         }
...         for date, value in sausage_links(
...             iter(
...                 (date.timestamp(), value)
...                 for date, value in df.values.tolist()
...             ), deviation=(1, .5), max_len=604_800,
...             auto_dev_factor=200_000, ema_alpha=0.5
...         )
...     )
... )

>>> print(len(compress))
4177

>>> compress.plot(x="Date", y="Price")