[SciPy-dev] timeseries tdates.py
Mon Feb 12 14:51:51 CST 2007
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
(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
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
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
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
PS. Have you seen the scipy 02 paper by Reggie Duggard ???
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