[SciPy-dev] timeseries tdates.py

Christopher Clarke cclarke@chrisdev....
Mon Feb 12 14:51:51 CST 2007


Hi  Pierre
I am pretty excited about this package as i see it replacing FAME  
TimeIQ and my own hodgepodge stuff
> You can use datetime objects w/ the SVN timeseries package anyway.
Cool.  Could you give me an example??
I am interested in the datetime as i want to store the "raw" data in  
a generic RDBMS (OK PostgreSQL/MS SQlServer  for now)
and i am using SQLAlchemy to access it. The the default is for dates  
is datetime
(i know i can configure psycopg to spit out mxDateTime but i want to  
move away from this)
I've already prototyped some stuff with rrule and relativedate. Hence  
my question!!
I  have used sets, argsort and take to match the "raw dates" from the  
relational table with the dates in the daterange as specified by a rrule
Its actually not as slow as it sounds. Even for 10 year business day  
time series.
Of course it depends on the number of missing observations
I've recently started to do some work with some intraday data so i  
probably need something faster


> Note that
> you don't need dateutil (except for its parsing capacities). The  
> rrules are
> completely bypassed, as we're using a quite different approach.
I am new to your timeseries library so i may be completely off base  
here.
But rrule allows you to configure new/strange  "frequencies" (at  
least the dates that should be in the calendar)
For example many of the emerging stock markets trading only on  
tuesday, wednesday and friday
How do i go about defining new frequencies? do i need to do so in C?

Anyway, keep up the good work
Regards
Chris
PS. Have you seen the scipy 02  paper by Reggie Duggard  ???







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