[SciPy-user] [timeseries] Missing dates

Christiaan Putter ceputter@googlemail....
Fri Apr 3 17:46:08 CDT 2009


Hi guys,

I've been playing with timeseries for the last hour or so and it's
pretty cool.  Still lots of things I have to go through.

In the one plotting example (using yahoo finance) I saw that one can
fill missing dates before plotting so that the missing ones get
masked.  Though when applying some moving windows functions that
caused all periods that were effected by the missing values to also
become masked, which isn't the behaviour I was expecting.  It does
make sense to do it that way though.

Obviously it's simple enough to use the original timeseries to
calculate the moving window functions, or interpolate or something.

The question I'm trying to get at though is if I'm going to store my
timeseries in hdf5 will I fill in the missing dates before I do so, or
only do that whenever I plot the timeseries?  I'm working with stock
prices, so the "missing" dates over the weekends will increase file
size by more then 30%.  Is there any other reason  to fill in missing
dates besides for plotting?

Have a nice weekend,
Christian


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