金融工程及其python应用课程_Fintech金融工程课程笔记（四：Python处理数据不完整）...

注：这是我参加招行Fintech精英训练营金融工程课程跟着做的笔记，代码是在Pycharm上写的。

里面用到的股票数据均来自雅虎财经(https://finance.yahoo.com/)，数据下载方法我在(一)中有介绍。

量化交易基础：使用python处理金融数据

01-05 数据不完整 Fill missing values

import numpyas np

import pandasas pd

import matplotlib.pyplotas plt

import os

def fill_missing_values(df_data):

"""Fill missing values in data frame, in place."""

##########################################################

df_data.fillna(method="ffill",inplace=True)

df_data.fillna(method="bfill", inplace=True)

def symbol_to_path(symbol, base_dir="data"):

"""Return CSV file path given ticker symbol."""

return os.path.join(base_dir, "{}.csv".format(str(symbol)))

def get_data(symbols, dates):

"""Read stock data (adjusted close) for given symbols from CSV files."""

df_final = pd.DataFrame(index=dates)

if "SPY" not in symbols:# add SPY for reference, if absent

symbols.insert(0, "SPY")

for symbolin symbols:

file_path = symbol_to_path(symbol)

df_temp = pd.read_csv(file_path, parse_dates=True, index_col="Date",

usecols=["Date", "Adj Close"], na_values=["nan"])

df_temp = df_temp.rename(columns={"Adj Close": symbol})

df_final = df_final.join(df_temp)

if symbol =="SPY":# drop dates SPY did not trade

df_final = df_final.dropna(subset=["SPY"])

return df_final

def plot_data(df_data):

"""Plot stock data with appropriate axis labels."""

ax = df_data.plot(title="Stock Data", fontsize=2)

ax.set_xlabel("Date")

ax.set_ylabel("Price")

plt.show()

def test_run():

"""Function called by Test Run."""

# Read data

symbol_list = ["JAVA", "FAKE1", "FAKE2"]# list of symbols

start_date ="2005-12-31"

end_date ="2014-12-07"

dates = pd.date_range(start_date, end_date)# date range as index

df_data = get_data(symbol_list, dates)# get data for each symbol

# Fill missing values

fill_missing_values(df_data)

# Plot

plot_data(df_data)

if __name__ =="__main__":

test_run()