How to use the finmarketpy.economics.eventstudy.EventStudy function in finmarketpy

To help you get started, we’ve selected a few finmarketpy examples, based on popular ways it is used in public projects.

Secure your code as it's written. Use Snyk Code to scan source code in minutes - no build needed - and fix issues immediately.

github cuemacro / finmarketpy / finmarketpy / economics / eventstudy.py View on Github external
from datetime import timedelta

import numpy

from finmarketpy.util.marketconstants import MarketConstants
from findatapy.market import IOEngine
from findatapy.util import ConfigManager
from findatapy.market import SpeedCache

try:
    from numbapro import autojit
except: pass

marketconstants = MarketConstants()

class EventsFactory(EventStudy):
    """Provides methods to fetch data on economic data events and to perform basic event studies for market data around
    these events. Note, requires a file of input of the following (transposed as columns!) - we give an example for
    NFP released on 7 Feb 2003 (note, that release-date-time-full, need not be fully aligned by row).

    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.Date	                31/01/2003 00:00
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.close	                xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.actual-release	        143
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.survey-median	        xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.survey-average	        xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.survey-high	        xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.survey-low	            xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.survey-high.1	        xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.number-observations	xyz
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.first-revision	        185
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.first-revision-date	20030307
    USD-US Employees on Nonfarm Payrolls Total MoM Net Change SA.release-dt	            20030207
github cuemacro / finmarketpy / finmarketpy / economics / eventstudy.py View on Github external
def __init__(self, df = None):
        super(EventStudy, self).__init__()

        self.config = ConfigManager()
        self.logger = LoggerManager().getLogger(__name__)
        self.filter = Filter()
        self.io_engine = IOEngine()
        self.speed_cache = SpeedCache()

        if df is not None:
            self._econ_data_frame = df
        else:
            self.load_economic_events()

        return