From 6a403986658d5426b2ae254aa352b51a97bc1930 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Javier=20Rodr=C3=ADguez=20Chatruc?= Date: Tue, 7 Jan 2020 16:27:26 -0300 Subject: [PATCH] Fixed monthly data iterator to return correct dates and moved data cleanup notebook to 'backtester/demos/' --- backtester/datahandler/historical_options_data.py | 7 +++---- data_cleanup.ipynb => backtester/demos/data_cleanup.ipynb | 0 2 files changed, 3 insertions(+), 4 deletions(-) rename data_cleanup.ipynb => backtester/demos/data_cleanup.ipynb (100%) diff --git a/backtester/datahandler/historical_options_data.py b/backtester/datahandler/historical_options_data.py index 4be6c08..9679228 100644 --- a/backtester/datahandler/historical_options_data.py +++ b/backtester/datahandler/historical_options_data.py @@ -36,10 +36,9 @@ class HistoricalOptionsData: def iter_months(self): """Returns `pd.DataFrameGroupBy` that groups contracts by month""" date_col = self.schema["date"] - iterator = self._data.groupby( - pd.Grouper(key=date_col, - freq="MS")).apply(lambda g: g[g[date_col] == g[date_col].min()]).reset_index(drop=True).groupby( - pd.Grouper(key=date_col, freq="MS")) + iterator = self._data.groupby(pd.Grouper( + key=date_col, + freq="MS")).apply(lambda g: g[g[date_col] == g[date_col].min()]).reset_index(drop=True).groupby(date_col) return iterator def __getattr__(self, attr): diff --git a/data_cleanup.ipynb b/backtester/demos/data_cleanup.ipynb similarity index 100% rename from data_cleanup.ipynb rename to backtester/demos/data_cleanup.ipynb