Apply a date-range window to a timeSeries of data

I am writing a program to try and derive value from a timeseries set of stock-trade ideas. They are in a an array of quotedTrade objects below (using JSONSerializer to get the data off of disk) sorted by the startOn date field:

    [<DataContract>] 
    type trade = {
        [<field: DataMember(Name="tradeId") >] 
        tradeId : int ;
        [<field: DataMember(Name="analystId") >] 
        analystId: int
        [<field: 开发者_开发知识库DataMember(Name="startOn") >] 
        startOn : System.DateTime ;
        [<field: DataMember(Name="endOn") >] 
        endOn : System.DateTime option ;
        [<field: DataMember(Name="tradeType") >] 
        tradeType : string ;
        [<field: DataMember(Name="securityId") >] 
        securityId : int ;
        [<field: DataMember(Name="ricCode") >] 
        ricCode : string ;
        [<field: DataMember(Name="yahooSymbol") >] 
        yahooSymbol : string ;
        [<field: DataMember(Name="initialPrice") >] 
        initialPrice : float ;
    }

    [<DataContract>] 
    type quotedTrade = {
        [<field: DataMember(Name="trade") >] 
        trade : trade ;
        [<field: DataMember(Name="q7") >] 
        q7: float
        [<field: DataMember(Name="q14") >] 
        q14: float
        [<field: DataMember(Name="q21") >] 
        q21: float
    }

I would like to

• break view the data two ways

  • by analystId
  • by ticker (either ric or yahoo symbols)

• then iterate over the views with windows of days

perhaps introducing records:

    type byAnalyst = {
        analystId: int
        trades: quotedTrade array
    }

    type byTicker = {
        symbol: string
        trades: quotedTrade array
    }

and then filter them somehow (sliceByAnalyst, sliceByTicker to be provided later - though sugegstions on a clean solution would be appreciated I am considering the use of Array.Map, Array.Filter functions)

let quotedTrades : quotedTrade array = getTradesFromDisk()
let tradesByAnalyst : byAnalyst array = sliceByAnalyst quotedTrades
let tradesByTicker : byTicker array = sliceByTicker quotedTrades

The main question is around applying a sliding window:

// iterate over each analyst
for tradeByAnalyst in tradesByAnalyst do
    // look at trades on a per analyst basis
    let mySeries : quotedTrade array= tradeByAnalyst.trades
    // each window is an array of trades that occured in a seven day period
    let sevenDayWindowsByAnalyst : quotedTrade array = sliceByDays 7 mySeries
    // I want to evaluate the seven day window, per this analsyt independently
    for sevenDayWindowByAnalyst in sevenDayWindowsByAnalyst do
        let someResult = doSomethingWithTradesInWindow sevenDayWindowByAnalyst

The crux is I have a dataset per analyst where a single trade at day 0 is represented as: T0 and a single trade at day 1 is: T1; my orignal set contains 3 trades at day 0, and individual trades on the 1, 3, 5, 8, 10 periords after:

[ T0 T0 T0 T1 T3 T5 T8 T10 ]

returns

[
  [ T0 T0 T0 T1 T3 T5 ] // incudes T0 -> T6
  [ T1 T3 T5 ] // incudes T1 -> T7
  [ T3 T5 T8 ] // incudes T2 -> T8
  [ T3 T5 T8 ] // incudes T3 -> T9
  [ T5 T8 T10 ] // incudes T4 -> T10
  [ T5 T8 T10 ] // incudes T5 -> T11
  [ T8 T10 ] // incudes T6 -> T12
  [ T8 T10 ] // incudes T7 -> T13
  [ T8 T10 ] // incudes T8 -> T14
  [ T10 ] // incudes T9 -> T15
  [ T10 ] // incudes T10 -> T16
]

Any ideas on the best way to accomplish this would be highly appreciate.

---

First of all, regarding your first question - how to break the data - you can also use functions from the Seq module (they work with any collection type like lists, arrays, etc.). To break the data into groups, you could nicely use Seq.groupBy:

trades 
  |> Seq.groupBy (fun qt -> qt.trade.analystId)
  |> Seq.map (fun (key, values) -> 
        { analystId = key; trades = values |> Array.ofSeq )

Further processing of the data can be done again with Seq functions (like filter and map). I think these are preferred over functions for Array if you want to have the code more general (also some functions are not available in Array). However, functions from Array are a bit faster (for larger volumes of data, this could matter).

In the question about sliding window, I do not fully understand what your data representation is. However, if you have (or could construct) a list of all trades (e.g. type list<quotedTrade> for each analyst, then you could use Seq.windowed:

trades 
  |> Seq.windowed 7
  |> Seq.map (fun win ->
      // all trades in the window as an array are in 'win' 
     )

The function windowed creates only windows of the specified length (shorter windows are dropped), so this doesn't do exactly what you wanted. However, I guess that you could pad the data with empty trades to workaround this.

---

I think you can probably do something like this to get the trades you care about:

let sliceByDays n (qts : quotedTrade seq) =
  let dates = qts |> Seq.map (fun qt -> qt.trade.startOn)
  let min = dates |> Seq.min
  let max = dates |> Seq.max
  let days = min |> Seq.unfold (fun d -> if d > max then None else Some(d, d.AddDays(1.)))
  [for d in days do
     let tradesInRange =
       qts
       |> Seq.filter (fun qt -> qt.trade.startOn >= d && qt.trade.startOn < d.AddDays(float n))
     yield tradesInRange]

This gives you a list of sequences of trades, one sequence per day.