-
Notifications
You must be signed in to change notification settings - Fork 2
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
Resampling timeseries #9
Comments
an example API design could be Define a timeframe tf = Yearly(5, boundary=End) or tf = Yearly(5, boundary=Begin) Downscaling using mean values mean(resample(ta, tf)) Downscaling using OHLC values ohlc(resample(ta, tf) which use internally downscaling using
min(resample(ta, tf)
max(resample(ta, tf)
first(resample(ta, tf)
last(resample(ta, tf) Downscaling using sum might also be required (to sum volume for example in OHLCV data) sum(resample(ta, tf)
|
I've post an example of this API usage with TimeSeries.jl (but a similar approach could be done with JuliaTS) http://stackoverflow.com/questions/20816813/resampling-a-dataframe-to-hourly-15min-and-5min-periods-in-julia/40444762#40444762 Maybe we should have a shared package (let's call it So timeframes could be used both for JuliaTS and TimeSeries.jl (and maybe some other packages) What is your opinion @tanmaykm @milktrader @JeffBezanson ? |
TimeFrames.jl created |
@femtotrader Sorry, I am unable to actively participate at the moment because of other involvements. |
Thanks @tanmaykm for this I want to first work on TimeSeries.jl resampling as it seems to be a in a more stable state for now than JuliaTS.jl but I'm definitely interested in working on JuliaTS when it will we work with latest IndexedTables |
Sure! I can take a look at this in a few weeks. |
Hello,
Resampling timeseries will be a great feature to have.
Ideally API should provide the concept of
DateTimeOffset
orTimeFrame
(timeframe could be yearly, monthly, weekly, daily, hourly, minutely... or a multiple of)See an analog question with TimeSeries.jl JuliaStats/TimeSeries.jl#257
Kind regards
The text was updated successfully, but these errors were encountered: