Testing_Compile_Price_Change_Data_Function.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 65,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "import extract\n",
    "from tqdm import tqdm"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 66,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "d = extract.get_data(filename = \"./data/EMMA_new_data_test.csv\", usecols = 'alt')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 67,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "d = extract.clean_data(d)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 69,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>cusip</th>\n",
       "      <th>tradedate</th>\n",
       "      <th>maturity</th>\n",
       "      <th>price</th>\n",
       "      <th>yield</th>\n",
       "      <th>amount</th>\n",
       "      <th>tradetype</th>\n",
       "      <th>coupon</th>\n",
       "      <th>name</th>\n",
       "      <th>state</th>\n",
       "      <th>issuetype</th>\n",
       "      <th>issuesource</th>\n",
       "      <th>rtg</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>54.628472</td>\n",
       "      <td>3458.371528</td>\n",
       "      <td>98.250</td>\n",
       "      <td>4.095</td>\n",
       "      <td>85000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>53.511806</td>\n",
       "      <td>3459.488194</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>15000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>53.490278</td>\n",
       "      <td>3459.509722</td>\n",
       "      <td>99.350</td>\n",
       "      <td>4.035</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.539583</td>\n",
       "      <td>3467.460417</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>97.940</td>\n",
       "      <td>4.112</td>\n",
       "      <td>100000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.615278</td>\n",
       "      <td>3475.384722</td>\n",
       "      <td>98.000</td>\n",
       "      <td>4.108</td>\n",
       "      <td>10000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>53.666667</td>\n",
       "      <td>5224.333333</td>\n",
       "      <td>100.625</td>\n",
       "      <td>4.668</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.694444</td>\n",
       "      <td>5237.305556</td>\n",
       "      <td>102.827</td>\n",
       "      <td>4.392</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.446528</td>\n",
       "      <td>5237.553472</td>\n",
       "      <td>100.999</td>\n",
       "      <td>4.621</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.531944</td>\n",
       "      <td>5244.468056</td>\n",
       "      <td>97.500</td>\n",
       "      <td>4.995</td>\n",
       "      <td>50000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.334722</td>\n",
       "      <td>5244.665278</td>\n",
       "      <td>100.094</td>\n",
       "      <td>4.750</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>825485UR4</td>\n",
       "      <td>57.705556</td>\n",
       "      <td>8677.294444</td>\n",
       "      <td>114.007</td>\n",
       "      <td>3.154</td>\n",
       "      <td>150000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>5.00</td>\n",
       "      <td>shreveport wtr &amp; swr</td>\n",
       "      <td>louisiana</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: water revenue</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>825485UR4</td>\n",
       "      <td>57.555556</td>\n",
       "      <td>8677.444444</td>\n",
       "      <td>114.007</td>\n",
       "      <td>3.154</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>5.00</td>\n",
       "      <td>shreveport wtr &amp; swr</td>\n",
       "      <td>louisiana</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: water revenue</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        cusip  tradedate     maturity    price  yield  amount  \\\n",
       "0   13080SMW1  54.628472  3458.371528   98.250  4.095   85000   \n",
       "1   13080SMW1  53.511806  3459.488194  100.000  3.999   15000   \n",
       "2   13080SMW1  53.490278  3459.509722   99.350  4.035   10000   \n",
       "3   13080SMW1  45.539583  3467.460417  100.000  3.999   20000   \n",
       "4   13080SMW1  45.531944  3467.468056  100.000  3.999   25000   \n",
       "5   13080SMW1  45.531944  3467.468056   97.940  4.112  100000   \n",
       "6   13080SMW1  37.619444  3475.380556  100.000  3.999   10000   \n",
       "7   13080SMW1  37.615278  3475.384722   98.000  4.108   10000   \n",
       "8   64577BTT1  53.666667  5224.333333  100.625  4.668   10000   \n",
       "9   64577BTT1  40.694444  5237.305556  102.827  4.392   10000   \n",
       "10  64577BTT1  40.446528  5237.553472  100.999  4.621   10000   \n",
       "11  64577BTT1  33.531944  5244.468056   97.500  4.995   50000   \n",
       "12  64577BTT1  33.334722  5244.665278  100.094  4.750   20000   \n",
       "13  825485UR4  57.705556  8677.294444  114.007  3.154  150000   \n",
       "14  825485UR4  57.555556  8677.444444  114.007  3.154   25000   \n",
       "\n",
       "                 tradetype  coupon                   name       state  \\\n",
       "0   Purchase_from_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "1         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "2         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "3         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "4         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "5   Purchase_from_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "6         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "7   Purchase_from_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "8         Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "9         Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "10        Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "11  Purchase_from_Customer    4.75  new jersey st econ de  new jersey   \n",
       "12        Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "13        Sale_to_Customer    5.00   shreveport wtr & swr   louisiana   \n",
       "14        Sale_to_Customer    5.00   shreveport wtr & swr   louisiana   \n",
       "\n",
       "                    issuetype                              issuesource  rtg  \n",
       "0   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "1   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "2   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "3   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "4   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "5   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "6   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "7   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "8   ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "9   ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "10  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "11  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "12  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "13  ISSUE TYPE: revenue bonds              ISSUE SOURCE: water revenue    7  \n",
       "14  ISSUE TYPE: revenue bonds              ISSUE SOURCE: water revenue    7  "
      ]
     },
     "execution_count": 69,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 70,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "unique_cusip = list(d.cusip.unique())\n",
    "dindex_set_1 = [] #d_index for first trade event\n",
    "dindex_set_2 = [] #d_index for second trade event\n",
    "\n",
    "dprice_data = []\n",
    "holdtime_data = []\n",
    "fixed_tradetype = 'purchase'\n",
    "rtg_limit = 10\n",
    "marketvalue_min = 10000\n",
    "tradetype_dict = {'purchase': 'Sale_to_Customer', 'sell': 'Purchase_from_Customer'}"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 71,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "if 'amount' in d.columns:\n",
    "    d_filter = d.loc[d['amount']*d['price']/100.0 >= float(marketvalue_min), :]\n",
    "else:\n",
    "    d_filter = d\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 72,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>cusip</th>\n",
       "      <th>tradedate</th>\n",
       "      <th>maturity</th>\n",
       "      <th>price</th>\n",
       "      <th>yield</th>\n",
       "      <th>amount</th>\n",
       "      <th>tradetype</th>\n",
       "      <th>coupon</th>\n",
       "      <th>name</th>\n",
       "      <th>state</th>\n",
       "      <th>issuetype</th>\n",
       "      <th>issuesource</th>\n",
       "      <th>rtg</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>54.628472</td>\n",
       "      <td>3458.371528</td>\n",
       "      <td>98.250</td>\n",
       "      <td>4.095</td>\n",
       "      <td>85000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>53.511806</td>\n",
       "      <td>3459.488194</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>15000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.539583</td>\n",
       "      <td>3467.460417</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>97.940</td>\n",
       "      <td>4.112</td>\n",
       "      <td>100000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>53.666667</td>\n",
       "      <td>5224.333333</td>\n",
       "      <td>100.625</td>\n",
       "      <td>4.668</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.694444</td>\n",
       "      <td>5237.305556</td>\n",
       "      <td>102.827</td>\n",
       "      <td>4.392</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.446528</td>\n",
       "      <td>5237.553472</td>\n",
       "      <td>100.999</td>\n",
       "      <td>4.621</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.531944</td>\n",
       "      <td>5244.468056</td>\n",
       "      <td>97.500</td>\n",
       "      <td>4.995</td>\n",
       "      <td>50000</td>\n",
       "      <td>Purchase_from_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.334722</td>\n",
       "      <td>5244.665278</td>\n",
       "      <td>100.094</td>\n",
       "      <td>4.750</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>825485UR4</td>\n",
       "      <td>57.705556</td>\n",
       "      <td>8677.294444</td>\n",
       "      <td>114.007</td>\n",
       "      <td>3.154</td>\n",
       "      <td>150000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>5.00</td>\n",
       "      <td>shreveport wtr &amp; swr</td>\n",
       "      <td>louisiana</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: water revenue</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>825485UR4</td>\n",
       "      <td>57.555556</td>\n",
       "      <td>8677.444444</td>\n",
       "      <td>114.007</td>\n",
       "      <td>3.154</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>5.00</td>\n",
       "      <td>shreveport wtr &amp; swr</td>\n",
       "      <td>louisiana</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: water revenue</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        cusip  tradedate     maturity    price  yield  amount  \\\n",
       "0   13080SMW1  54.628472  3458.371528   98.250  4.095   85000   \n",
       "1   13080SMW1  53.511806  3459.488194  100.000  3.999   15000   \n",
       "3   13080SMW1  45.539583  3467.460417  100.000  3.999   20000   \n",
       "4   13080SMW1  45.531944  3467.468056  100.000  3.999   25000   \n",
       "5   13080SMW1  45.531944  3467.468056   97.940  4.112  100000   \n",
       "6   13080SMW1  37.619444  3475.380556  100.000  3.999   10000   \n",
       "8   64577BTT1  53.666667  5224.333333  100.625  4.668   10000   \n",
       "9   64577BTT1  40.694444  5237.305556  102.827  4.392   10000   \n",
       "10  64577BTT1  40.446528  5237.553472  100.999  4.621   10000   \n",
       "11  64577BTT1  33.531944  5244.468056   97.500  4.995   50000   \n",
       "12  64577BTT1  33.334722  5244.665278  100.094  4.750   20000   \n",
       "13  825485UR4  57.705556  8677.294444  114.007  3.154  150000   \n",
       "14  825485UR4  57.555556  8677.444444  114.007  3.154   25000   \n",
       "\n",
       "                 tradetype  coupon                   name       state  \\\n",
       "0   Purchase_from_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "1         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "3         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "4         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "5   Purchase_from_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "6         Sale_to_Customer    4.00   ca stwd cmntys-a-ref  california   \n",
       "8         Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "9         Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "10        Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "11  Purchase_from_Customer    4.75  new jersey st econ de  new jersey   \n",
       "12        Sale_to_Customer    4.75  new jersey st econ de  new jersey   \n",
       "13        Sale_to_Customer    5.00   shreveport wtr & swr   louisiana   \n",
       "14        Sale_to_Customer    5.00   shreveport wtr & swr   louisiana   \n",
       "\n",
       "                    issuetype                              issuesource  rtg  \n",
       "0   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "1   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "3   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "4   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "5   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "6   ISSUE TYPE: revenue bonds  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "8   ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "9   ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "10  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "11  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "12  ISSUE TYPE: revenue bonds             ISSUE SOURCE: APPROPRIATIONS    8  \n",
       "13  ISSUE TYPE: revenue bonds              ISSUE SOURCE: water revenue    7  \n",
       "14  ISSUE TYPE: revenue bonds              ISSUE SOURCE: water revenue    7  "
      ]
     },
     "execution_count": 72,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_filter"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 73,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "100%|██████████| 3/3 [00:00<00:00, 40.17it/s]\n"
     ]
    }
   ],
   "source": [
    "for s in tqdm(unique_cusip):\n",
    "        #get all data points for given cusip\n",
    "\t\tI = (d_filter.cusip == s) & (d_filter.rtg <= rtg_limit)\n",
    "\t\t\n",
    "\t\tif 'tradeid' in d.columns:\n",
    "\t\t\td_slice = d_filter.loc[I].sort_values(by = ['tradedate', 'tradeid'], ascending = [True, True])\n",
    "\t\telse:\n",
    "\t\t\td_slice = d_filter.loc[I].sort_values(by = ['tradedate'], ascending = [True])\n",
    "\n",
    "\t\tif fixed_tradetype is not None:\n",
    "\t\t\td_slice = d_slice.loc[d_slice.tradetype == tradetype_dict[fixed_tradetype], :]\n",
    "\t\t\tif d_slice.size == 0:\n",
    "\t\t\t\tcontinue\n",
    "\t\t\telse:\n",
    "\t\t\t\tfor j in d_slice.index:\n",
    "\t\t\t\t\td_entry = d_slice.loc[j,:]\n",
    "\t\t\t\t\tJ = d_slice.tradedate > d_entry.tradedate\n",
    "\t\t\t\t\tdp = d_slice.loc[J].price.values\n",
    "\t\t\t\t\tif dp.shape[0] > 0:\n",
    "\t\t\t\t\t\tdp -= d_entry.price\n",
    "\t\t\t\t\t\tdindex_set_1 += dp.shape[0]*[j] #add row j of d, dp.shape[0] times\n",
    "\t\t\t\t\t\tdindex_set_2 += list(d_slice[J].index.values)\n",
    "\t\t\t\t\t\tholdtime = d_slice.loc[J].tradedate - d_entry.tradedate\n",
    "\t\t\t\t\t\tdprice_data += list(dp)\n",
    "\t\t\t\t\t\tholdtime_data += list(holdtime)\n",
    "\n",
    "\t\telse: #assume we want to collect buy->sell pairs\n",
    "\t\t\t#'Sale_to_Customer': 1, 'Purchase_from_Customer': 0\n",
    "\t\t\td_purchase = d_slice[d_slice.tradetype == tradetype_dict['purchase']]\n",
    "\t\t\td_sell = d_slice[d_slice.tradetype == tradetype_dict['sell']]\n",
    "\t\t\n",
    "\t\t\tif d_sell.size == 0 or d_purchase.size == 0:\n",
    "\t\t\t\tcontinue #no data points to compare for price changes\n",
    "\t\t\n",
    "\t\t\telse:\n",
    "\t\t\t\t#go through d_purchase sequentially and slice from d_sell for dtradedate values greater than current dtradedate\n",
    "\t\t\t\tfor j in d_purchase.index:\n",
    "\t\t\t\t\td_entry = d_purchase.loc[j,:]\n",
    "\t\t\t\t\tJ = d_sell.tradedate > d_entry.tradedate\n",
    "\t\t\t\t\tdp = d_sell.loc[J].price.values\n",
    "\t\t\t\t\tif dp.shape[0] > 0:\n",
    "\t\t\t\t\t\tdp -= d_entry.price\n",
    "\t\t\t\t\t\tdindex_set_1 += dp.shape[0]*[j] #add row j of d, dp.shape[0] times\n",
    "\t\t\t\t\t\tdindex_set_2 += d_sell[J].index.values\n",
    "\t\t\t\t\t\tholdtime = d_sell.loc[J].tradedate - d_entry.tradedate\n",
    "\t\t\t\t\t\tdprice_data += list(dp)\n",
    "\t\t\t\t\t\tholdtime_data += list(holdtime)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 74,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "13 13 13 13\n"
     ]
    }
   ],
   "source": [
    "print len(holdtime_data), len(dindex_set_1), len(dindex_set_2), len(dprice_data)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 75,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "t = pd.DataFrame(np.vstack((dprice_data, holdtime_data)).T, columns = ['dprice', 'holdtime'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 76,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>dprice</th>\n",
       "      <th>holdtime</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.912500</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.920139</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>0.000</td>\n",
       "      <td>15.892361</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>0.000</td>\n",
       "      <td>0.007639</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.979861</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.972222</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>0.905</td>\n",
       "      <td>7.111806</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2.733</td>\n",
       "      <td>7.359722</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>0.531</td>\n",
       "      <td>20.331944</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>1.828</td>\n",
       "      <td>0.247917</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>-0.374</td>\n",
       "      <td>13.220139</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>-2.202</td>\n",
       "      <td>12.972222</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>0.000</td>\n",
       "      <td>0.150000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    dprice   holdtime\n",
       "0    0.000   7.912500\n",
       "1    0.000   7.920139\n",
       "2    0.000  15.892361\n",
       "3    0.000   0.007639\n",
       "4    0.000   7.979861\n",
       "5    0.000   7.972222\n",
       "6    0.905   7.111806\n",
       "7    2.733   7.359722\n",
       "8    0.531  20.331944\n",
       "9    1.828   0.247917\n",
       "10  -0.374  13.220139\n",
       "11  -2.202  12.972222\n",
       "12   0.000   0.150000"
      ]
     },
     "execution_count": 76,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "t"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 77,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "t['d_index_1'] = dindex_set_1\n",
    "t['d_index_2'] = dindex_set_2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 78,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>dprice</th>\n",
       "      <th>holdtime</th>\n",
       "      <th>d_index_1</th>\n",
       "      <th>d_index_2</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.912500</td>\n",
       "      <td>6</td>\n",
       "      <td>4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.920139</td>\n",
       "      <td>6</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>0.000</td>\n",
       "      <td>15.892361</td>\n",
       "      <td>6</td>\n",
       "      <td>1</td>\n",
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       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>0.000</td>\n",
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       "      <td>4</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.979861</td>\n",
       "      <td>4</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.972222</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>0.905</td>\n",
       "      <td>7.111806</td>\n",
       "      <td>12</td>\n",
       "      <td>10</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2.733</td>\n",
       "      <td>7.359722</td>\n",
       "      <td>12</td>\n",
       "      <td>9</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>0.531</td>\n",
       "      <td>20.331944</td>\n",
       "      <td>12</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>1.828</td>\n",
       "      <td>0.247917</td>\n",
       "      <td>10</td>\n",
       "      <td>9</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>-0.374</td>\n",
       "      <td>13.220139</td>\n",
       "      <td>10</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>-2.202</td>\n",
       "      <td>12.972222</td>\n",
       "      <td>9</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>0.000</td>\n",
       "      <td>0.150000</td>\n",
       "      <td>14</td>\n",
       "      <td>13</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    dprice   holdtime  d_index_1  d_index_2\n",
       "0    0.000   7.912500          6          4\n",
       "1    0.000   7.920139          6          3\n",
       "2    0.000  15.892361          6          1\n",
       "3    0.000   0.007639          4          3\n",
       "4    0.000   7.979861          4          1\n",
       "5    0.000   7.972222          3          1\n",
       "6    0.905   7.111806         12         10\n",
       "7    2.733   7.359722         12          9\n",
       "8    0.531  20.331944         12          8\n",
       "9    1.828   0.247917         10          9\n",
       "10  -0.374  13.220139         10          8\n",
       "11  -2.202  12.972222          9          8\n",
       "12   0.000   0.150000         14         13"
      ]
     },
     "execution_count": 78,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "t"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 62,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0                    0\n",
       "1                    1\n",
       "3                    3\n",
       "4                    4\n",
       "5                    5\n",
       "6                    6\n",
       "8                    8\n",
       "9                    9\n",
       "10                  10\n",
       "11                  11\n",
       "12                  12\n",
       "13                  13\n",
       "14                  14\n",
       "d_index_1    d_index_1\n",
       "Name: d_index_1, dtype: object"
      ]
     },
     "execution_count": 62,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#d_filter.pop('d_index_1')\n",
    "#d_filter.loc[:,'d_index_1'] = d_filter.index\n",
    "d_filter['d_index_1']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 63,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "#joined_data = pd.concat([d_filter, t], axis=1, join='inner')\n",
    "joined_data = t.merge(d_filter, how='left', on='d_index_1')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 64,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>dprice</th>\n",
       "      <th>holdtime</th>\n",
       "      <th>d_index_1</th>\n",
       "      <th>d_index_2</th>\n",
       "      <th>cusip</th>\n",
       "      <th>tradedate</th>\n",
       "      <th>maturity</th>\n",
       "      <th>price</th>\n",
       "      <th>yield</th>\n",
       "      <th>amount</th>\n",
       "      <th>tradetype</th>\n",
       "      <th>coupon</th>\n",
       "      <th>name</th>\n",
       "      <th>state</th>\n",
       "      <th>issuetype</th>\n",
       "      <th>issuesource</th>\n",
       "      <th>rtg</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.912500</td>\n",
       "      <td>6</td>\n",
       "      <td>4</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.920139</td>\n",
       "      <td>6</td>\n",
       "      <td>3</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>0.000</td>\n",
       "      <td>15.892361</td>\n",
       "      <td>6</td>\n",
       "      <td>1</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>0.000</td>\n",
       "      <td>0.007639</td>\n",
       "      <td>4</td>\n",
       "      <td>3</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.979861</td>\n",
       "      <td>4</td>\n",
       "      <td>1</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>0.000</td>\n",
       "      <td>7.972222</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.539583</td>\n",
       "      <td>3467.460417</td>\n",
       "      <td>100.000</td>\n",
       "      <td>3.999</td>\n",
       "      <td>20000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.00</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>0.905</td>\n",
       "      <td>7.111806</td>\n",
       "      <td>12</td>\n",
       "      <td>10</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.334722</td>\n",
       "      <td>5244.665278</td>\n",
       "      <td>100.094</td>\n",
       "      <td>4.750</td>\n",
       "      <td>20000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2.733</td>\n",
       "      <td>7.359722</td>\n",
       "      <td>12</td>\n",
       "      <td>9</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.334722</td>\n",
       "      <td>5244.665278</td>\n",
       "      <td>100.094</td>\n",
       "      <td>4.750</td>\n",
       "      <td>20000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>0.531</td>\n",
       "      <td>20.331944</td>\n",
       "      <td>12</td>\n",
       "      <td>8</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>33.334722</td>\n",
       "      <td>5244.665278</td>\n",
       "      <td>100.094</td>\n",
       "      <td>4.750</td>\n",
       "      <td>20000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>1.828</td>\n",
       "      <td>0.247917</td>\n",
       "      <td>10</td>\n",
       "      <td>9</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.446528</td>\n",
       "      <td>5237.553472</td>\n",
       "      <td>100.999</td>\n",
       "      <td>4.621</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>-0.374</td>\n",
       "      <td>13.220139</td>\n",
       "      <td>10</td>\n",
       "      <td>8</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.446528</td>\n",
       "      <td>5237.553472</td>\n",
       "      <td>100.999</td>\n",
       "      <td>4.621</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>-2.202</td>\n",
       "      <td>12.972222</td>\n",
       "      <td>9</td>\n",
       "      <td>8</td>\n",
       "      <td>64577BTT1</td>\n",
       "      <td>40.694444</td>\n",
       "      <td>5237.305556</td>\n",
       "      <td>102.827</td>\n",
       "      <td>4.392</td>\n",
       "      <td>10000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.75</td>\n",
       "      <td>new jersey st econ de</td>\n",
       "      <td>new jersey</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: APPROPRIATIONS</td>\n",
       "      <td>8.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>0.000</td>\n",
       "      <td>0.150000</td>\n",
       "      <td>14</td>\n",
       "      <td>13</td>\n",
       "      <td>825485UR4</td>\n",
       "      <td>57.555556</td>\n",
       "      <td>8677.444444</td>\n",
       "      <td>114.007</td>\n",
       "      <td>3.154</td>\n",
       "      <td>25000.0</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>5.00</td>\n",
       "      <td>shreveport wtr &amp; swr</td>\n",
       "      <td>louisiana</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: water revenue</td>\n",
       "      <td>7.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    dprice   holdtime  d_index_1  d_index_2      cusip  tradedate  \\\n",
       "0    0.000   7.912500          6          4  13080SMW1  37.619444   \n",
       "1    0.000   7.920139          6          3  13080SMW1  37.619444   \n",
       "2    0.000  15.892361          6          1  13080SMW1  37.619444   \n",
       "3    0.000   0.007639          4          3  13080SMW1  45.531944   \n",
       "4    0.000   7.979861          4          1  13080SMW1  45.531944   \n",
       "5    0.000   7.972222          3          1  13080SMW1  45.539583   \n",
       "6    0.905   7.111806         12         10  64577BTT1  33.334722   \n",
       "7    2.733   7.359722         12          9  64577BTT1  33.334722   \n",
       "8    0.531  20.331944         12          8  64577BTT1  33.334722   \n",
       "9    1.828   0.247917         10          9  64577BTT1  40.446528   \n",
       "10  -0.374  13.220139         10          8  64577BTT1  40.446528   \n",
       "11  -2.202  12.972222          9          8  64577BTT1  40.694444   \n",
       "12   0.000   0.150000         14         13  825485UR4  57.555556   \n",
       "\n",
       "       maturity    price  yield   amount         tradetype  coupon  \\\n",
       "0   3475.380556  100.000  3.999  10000.0  Sale_to_Customer    4.00   \n",
       "1   3475.380556  100.000  3.999  10000.0  Sale_to_Customer    4.00   \n",
       "2   3475.380556  100.000  3.999  10000.0  Sale_to_Customer    4.00   \n",
       "3   3467.468056  100.000  3.999  25000.0  Sale_to_Customer    4.00   \n",
       "4   3467.468056  100.000  3.999  25000.0  Sale_to_Customer    4.00   \n",
       "5   3467.460417  100.000  3.999  20000.0  Sale_to_Customer    4.00   \n",
       "6   5244.665278  100.094  4.750  20000.0  Sale_to_Customer    4.75   \n",
       "7   5244.665278  100.094  4.750  20000.0  Sale_to_Customer    4.75   \n",
       "8   5244.665278  100.094  4.750  20000.0  Sale_to_Customer    4.75   \n",
       "9   5237.553472  100.999  4.621  10000.0  Sale_to_Customer    4.75   \n",
       "10  5237.553472  100.999  4.621  10000.0  Sale_to_Customer    4.75   \n",
       "11  5237.305556  102.827  4.392  10000.0  Sale_to_Customer    4.75   \n",
       "12  8677.444444  114.007  3.154  25000.0  Sale_to_Customer    5.00   \n",
       "\n",
       "                     name       state                  issuetype  \\\n",
       "0    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "1    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "2    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "3    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "4    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "5    ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "6   new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "7   new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "8   new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "9   new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "10  new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "11  new jersey st econ de  new jersey  ISSUE TYPE: revenue bonds   \n",
       "12   shreveport wtr & swr   louisiana  ISSUE TYPE: revenue bonds   \n",
       "\n",
       "                                issuesource  rtg  \n",
       "0   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "1   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "2   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "3   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "4   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "5   ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.  5.0  \n",
       "6              ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "7              ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "8              ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "9              ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "10             ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "11             ISSUE SOURCE: APPROPRIATIONS  8.0  \n",
       "12              ISSUE SOURCE: water revenue  7.0  "
      ]
     },
     "execution_count": 64,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "joined_data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "tradetype_dict = {'purchase': 'Sale_to_Customer', 'sell': 'Purchase_from_Customer'}\n",
    "fixed_tradetype = 'purchase'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "d_slice_2 = d_slice.loc[d_slice.tradetype == tradetype_dict[fixed_tradetype], :]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>cusip</th>\n",
       "      <th>tradedate</th>\n",
       "      <th>maturity</th>\n",
       "      <th>price</th>\n",
       "      <th>yield</th>\n",
       "      <th>amount</th>\n",
       "      <th>tradetype</th>\n",
       "      <th>coupon</th>\n",
       "      <th>name</th>\n",
       "      <th>state</th>\n",
       "      <th>issuetype</th>\n",
       "      <th>issuesource</th>\n",
       "      <th>rtg</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.539583</td>\n",
       "      <td>3467.460417</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>53.511806</td>\n",
       "      <td>3459.488194</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>15000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       cusip  tradedate     maturity  price  yield  amount         tradetype  \\\n",
       "6  13080SMW1  37.619444  3475.380556  100.0  3.999   10000  Sale_to_Customer   \n",
       "4  13080SMW1  45.531944  3467.468056  100.0  3.999   25000  Sale_to_Customer   \n",
       "3  13080SMW1  45.539583  3467.460417  100.0  3.999   20000  Sale_to_Customer   \n",
       "1  13080SMW1  53.511806  3459.488194  100.0  3.999   15000  Sale_to_Customer   \n",
       "\n",
       "   coupon                  name       state                  issuetype  \\\n",
       "6     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "4     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "3     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "1     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "\n",
       "                               issuesource  rtg  \n",
       "6  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "4  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "3  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "1  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  "
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_slice_2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": [
    "dindex_set_1 = [] #d_index for first trade event\n",
    "dindex_set_2 = [] #d_index for second trade event\n",
    "dprice_data = []\n",
    "holdtime_data = []\n",
    "for j in d_slice_2.index:\n",
    "                    d_entry = d_slice_2.loc[j,:]\n",
    "                    I = d_slice_2.tradedate > d_entry.tradedate\n",
    "                    dp = d_slice_2.loc[I].price.values\n",
    "                    if dp.shape[0] > 0:\n",
    "                        dp -= d_entry.price\n",
    "                        dindex_set_1 += dp.shape[0]*[j] #add row j of d, dp.shape[0] times\n",
    "                        dindex_set_2 += list(d_slice_2[I].index.values)\n",
    "                        holdtime = d_slice_2.loc[I].tradedate - d_entry.tradedate\n",
    "                        dprice_data += list(dp)\n",
    "                        holdtime_data += list(holdtime)\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[7.9124999999999943,\n",
       " 7.9201388888888857,\n",
       " 15.892361111111107,\n",
       " 0.0076388888888914153,\n",
       " 7.9798611111111128,\n",
       " 7.9722222222222214]"
      ]
     },
     "execution_count": 39,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "holdtime_data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[6, 6, 6, 4, 4, 3]"
      ]
     },
     "execution_count": 40,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "dindex_set_1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[4, 3, 1, 3, 1, 1]"
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "dindex_set_2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>cusip</th>\n",
       "      <th>tradedate</th>\n",
       "      <th>maturity</th>\n",
       "      <th>price</th>\n",
       "      <th>yield</th>\n",
       "      <th>amount</th>\n",
       "      <th>tradetype</th>\n",
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       "      <th>rtg</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>37.619444</td>\n",
       "      <td>3475.380556</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>10000</td>\n",
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       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.531944</td>\n",
       "      <td>3467.468056</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>25000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
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       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>45.539583</td>\n",
       "      <td>3467.460417</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>20000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>13080SMW1</td>\n",
       "      <td>53.511806</td>\n",
       "      <td>3459.488194</td>\n",
       "      <td>100.0</td>\n",
       "      <td>3.999</td>\n",
       "      <td>15000</td>\n",
       "      <td>Sale_to_Customer</td>\n",
       "      <td>4.0</td>\n",
       "      <td>ca stwd cmntys-a-ref</td>\n",
       "      <td>california</td>\n",
       "      <td>ISSUE TYPE: revenue bonds</td>\n",
       "      <td>ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       cusip  tradedate     maturity  price  yield  amount         tradetype  \\\n",
       "6  13080SMW1  37.619444  3475.380556  100.0  3.999   10000  Sale_to_Customer   \n",
       "4  13080SMW1  45.531944  3467.468056  100.0  3.999   25000  Sale_to_Customer   \n",
       "3  13080SMW1  45.539583  3467.460417  100.0  3.999   20000  Sale_to_Customer   \n",
       "1  13080SMW1  53.511806  3459.488194  100.0  3.999   15000  Sale_to_Customer   \n",
       "\n",
       "   coupon                  name       state                  issuetype  \\\n",
       "6     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "4     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "3     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "1     4.0  ca stwd cmntys-a-ref  california  ISSUE TYPE: revenue bonds   \n",
       "\n",
       "                               issuesource  rtg  \n",
       "6  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "4  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "3  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  \n",
       "1  ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.    5  "
      ]
     },
     "execution_count": 37,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_slice_2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Int64Index([6, 4, 3, 1], dtype='int64')"
      ]
     },
     "execution_count": 42,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_slice_2.index"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Int64Index([6, 4, 5, 3, 1, 0], dtype='int64')"
      ]
     },
     "execution_count": 43,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_slice.index"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Int64Index([0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14], dtype='int64')"
      ]
     },
     "execution_count": 45,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "dc.index"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Int64Index([0, 1, 3, 4, 5, 6, 8, 9, 10, 11, 12, 13, 14], dtype='int64')"
      ]
     },
     "execution_count": 46,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_filter.index"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([['13080SMW1', 54.62847222222222, 3458.371527777778, 98.25, 4.095,\n",
       "        85000, 'Purchase_from_Customer', 4.0, 'ca stwd cmntys-a-ref',\n",
       "        'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['13080SMW1', 53.511805555555554, 3459.4881944444446, 100.0,\n",
       "        3.9989999999999997, 15000, 'Sale_to_Customer', 4.0,\n",
       "        'ca stwd cmntys-a-ref', 'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['13080SMW1', 45.53958333333333, 3467.460416666667, 100.0,\n",
       "        3.9989999999999997, 20000, 'Sale_to_Customer', 4.0,\n",
       "        'ca stwd cmntys-a-ref', 'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['13080SMW1', 45.53194444444444, 3467.4680555555556, 100.0,\n",
       "        3.9989999999999997, 25000, 'Sale_to_Customer', 4.0,\n",
       "        'ca stwd cmntys-a-ref', 'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['13080SMW1', 45.53194444444444, 3467.4680555555556, 97.94, 4.112,\n",
       "        100000, 'Purchase_from_Customer', 4.0, 'ca stwd cmntys-a-ref',\n",
       "        'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['13080SMW1', 37.61944444444445, 3475.3805555555555, 100.0,\n",
       "        3.9989999999999997, 10000, 'Sale_to_Customer', 4.0,\n",
       "        'ca stwd cmntys-a-ref', 'california', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: HLTH, HOSP, NURSHOME REV.', 5],\n",
       "       ['64577BTT1', 53.666666666666664, 5224.333333333333, 100.625, 4.668,\n",
       "        10000, 'Sale_to_Customer', 4.75, 'new jersey st econ de',\n",
       "        'new jersey', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: APPROPRIATIONS', 8],\n",
       "       ['64577BTT1', 40.69444444444444, 5237.305555555556,\n",
       "        102.82700000000001, 4.3919999999999995, 10000, 'Sale_to_Customer',\n",
       "        4.75, 'new jersey st econ de', 'new jersey',\n",
       "        'ISSUE TYPE: revenue bonds', 'ISSUE SOURCE: APPROPRIATIONS', 8],\n",
       "       ['64577BTT1', 40.446527777777774, 5237.553472222222, 100.999, 4.621,\n",
       "        10000, 'Sale_to_Customer', 4.75, 'new jersey st econ de',\n",
       "        'new jersey', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: APPROPRIATIONS', 8],\n",
       "       ['64577BTT1', 33.53194444444444, 5244.468055555555, 97.5, 4.995,\n",
       "        50000, 'Purchase_from_Customer', 4.75, 'new jersey st econ de',\n",
       "        'new jersey', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: APPROPRIATIONS', 8],\n",
       "       ['64577BTT1', 33.334722222222226, 5244.665277777778, 100.094, 4.75,\n",
       "        20000, 'Sale_to_Customer', 4.75, 'new jersey st econ de',\n",
       "        'new jersey', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: APPROPRIATIONS', 8],\n",
       "       ['825485UR4', 57.705555555555556, 8677.294444444444, 114.007, 3.154,\n",
       "        150000, 'Sale_to_Customer', 5.0, 'shreveport wtr & swr',\n",
       "        'louisiana', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: water revenue', 7],\n",
       "       ['825485UR4', 57.55555555555556, 8677.444444444445, 114.007, 3.154,\n",
       "        25000, 'Sale_to_Customer', 5.0, 'shreveport wtr & swr',\n",
       "        'louisiana', 'ISSUE TYPE: revenue bonds',\n",
       "        'ISSUE SOURCE: water revenue', 7]], dtype=object)"
      ]
     },
     "execution_count": 48,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "d_filter.values"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "metadata": {
    "collapsed": false,
    "deletable": true,
    "editable": true
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "100%|██████████| 3/3 [00:00<00:00, 139.01it/s]\n"
     ]
    },
    {
     "ename": "ValueError",
     "evalue": "Length of values does not match length of index",
     "output_type": "error",
     "traceback": [
      "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[0;31mValueError\u001b[0m                                Traceback (most recent call last)",
      "\u001b[0;32m<ipython-input-53-f18afefebcb6>\u001b[0m in \u001b[0;36m<module>\u001b[0;34m()\u001b[0m\n\u001b[0;32m----> 1\u001b[0;31m \u001b[0ms\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mextract\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mcompile_price_change_data\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdc\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mfixed_tradetype\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0;34m'purchase'\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mmarketvalue_min\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0;36m20000\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mrtg_limit\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0;36m10\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m",
      "\u001b[0;32m/home/mark/Math/bondproject/extract.py\u001b[0m in \u001b[0;36mcompile_price_change_data\u001b[0;34m(d, fixed_tradetype, tradetype_dict, marketvalue_min, rtg_limit)\u001b[0m\n\u001b[1;32m    302\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    303\u001b[0m         \u001b[0;31m#create data frame that includes all dprice and holdtime data, set its index to dindex_set and perform inner join with d\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 304\u001b[0;31m         \u001b[0mt\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mpd\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mDataFrame\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mnp\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mvstack\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdprice_data\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mholdtime_data\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mT\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mcolumns\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0;34m[\u001b[0m\u001b[0;34m'dprice'\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'holdtime'\u001b[0m\u001b[0;34m]\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m    305\u001b[0m         \u001b[0mt\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m'd_index_1'\u001b[0m\u001b[0;34m]\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mdindex_set_1\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    306\u001b[0m         \u001b[0mt\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m'd_index_2'\u001b[0m\u001b[0;34m]\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mdindex_set_2\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m/home/mark/Math/bondproject/venv/local/lib/python2.7/site-packages/pandas/core/frame.pyc\u001b[0m in \u001b[0;36m__setitem__\u001b[0;34m(self, key, value)\u001b[0m\n\u001b[1;32m   2417\u001b[0m         \u001b[0;32melse\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2418\u001b[0m             \u001b[0;31m# set column\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m-> 2419\u001b[0;31m             \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_set_item\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mkey\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m   2420\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2421\u001b[0m     \u001b[0;32mdef\u001b[0m \u001b[0m_setitem_slice\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mself\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mkey\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m/home/mark/Math/bondproject/venv/local/lib/python2.7/site-packages/pandas/core/frame.pyc\u001b[0m in \u001b[0;36m_set_item\u001b[0;34m(self, key, value)\u001b[0m\n\u001b[1;32m   2483\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2484\u001b[0m         \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_ensure_valid_index\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m-> 2485\u001b[0;31m         \u001b[0mvalue\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_sanitize_column\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mkey\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m   2486\u001b[0m         \u001b[0mNDFrame\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_set_item\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mself\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mkey\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2487\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m/home/mark/Math/bondproject/venv/local/lib/python2.7/site-packages/pandas/core/frame.pyc\u001b[0m in \u001b[0;36m_sanitize_column\u001b[0;34m(self, key, value, broadcast)\u001b[0m\n\u001b[1;32m   2654\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2655\u001b[0m             \u001b[0;31m# turn me into an ndarray\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m-> 2656\u001b[0;31m             \u001b[0mvalue\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0m_sanitize_index\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalue\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mself\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mindex\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mcopy\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0mFalse\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m   2657\u001b[0m             \u001b[0;32mif\u001b[0m \u001b[0;32mnot\u001b[0m \u001b[0misinstance\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalue\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m(\u001b[0m\u001b[0mnp\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mndarray\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mIndex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2658\u001b[0m                 \u001b[0;32mif\u001b[0m \u001b[0misinstance\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalue\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mlist\u001b[0m\u001b[0;34m)\u001b[0m \u001b[0;32mand\u001b[0m \u001b[0mlen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mvalue\u001b[0m\u001b[0;34m)\u001b[0m \u001b[0;34m>\u001b[0m \u001b[0;36m0\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m/home/mark/Math/bondproject/venv/local/lib/python2.7/site-packages/pandas/core/series.pyc\u001b[0m in \u001b[0;36m_sanitize_index\u001b[0;34m(data, index, copy)\u001b[0m\n\u001b[1;32m   2798\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2799\u001b[0m     \u001b[0;32mif\u001b[0m \u001b[0mlen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdata\u001b[0m\u001b[0;34m)\u001b[0m \u001b[0;34m!=\u001b[0m \u001b[0mlen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mindex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m-> 2800\u001b[0;31m         \u001b[0;32mraise\u001b[0m \u001b[0mValueError\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m'Length of values does not match length of '\u001b[0m \u001b[0;34m'index'\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m   2801\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m   2802\u001b[0m     \u001b[0;32mif\u001b[0m \u001b[0misinstance\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdata\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mPeriodIndex\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;31mValueError\u001b[0m: Length of values does not match length of index"
     ]
    }
   ],
   "source": [
    "s = extract.compile_price_change_data(dc, fixed_tradetype = 'purchase', marketvalue_min = 20000, rtg_limit = 10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true,
    "deletable": true,
    "editable": true
   },
   "outputs": [],
   "source": []
  }
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