[英]Applying a custom groupby aggregate function to output a binary outcome in pandas python
I have a dataset of trader transactions where the variable of interest is Buy/Sell
which is binary and takes on the value of 1 f the transaction was a buy and 0 if it is a sell.我有一个交易者交易数据集,其中感兴趣的变量是
Buy/Sell
,它是二进制的,如果交易是买入,则值为 1,如果是卖出,则值为 0。 An example looks as follows:一个示例如下所示:
Trader Buy/Sell
A 1
A 0
B 1
B 1
B 0
C 1
C 0
C 0
I would like to calculate the net Buy/Sell
for each trader such that if the trader had more than 50% of trades as a buy, he would have a Buy/Sell
of 1, if he had less than 50% buy then he would have a Buy/Sell
of 0 and if it were exactly 50% he would have NA (and would be disregarded in future calculations).我想计算每个交易者的净
Buy/Sell
,如果交易者有超过 50% 的交易作为买入,他的Buy/Sell
为 1,如果他Buy/Sell
少于 50%,那么他会Buy/Sell
为 0,如果正好是 50%,他将获得 NA(并且在未来的计算中将被忽略)。
So for trader A, the buy proportion is (number of buys)/(total number of trader) = 1/2 = 0.5 which gives NA.因此,对于交易者 A,买入比例为(买入数量)/(交易者总数)= 1/2 = 0.5,即为 NA。
For trader B it is 2/3 = 0.67 which gives a 1对于交易者 B,它是 2/3 = 0.67,这给出了 1
For trader C it is 1/3 = 0.33 which gives a 0对于交易者 C,它是 1/3 = 0.33,这给出了 0
The table should look like this:该表应如下所示:
Trader Buy/Sell
A NA
B 1
C 0
Ultimately i want to compute the total aggregated number of buys, which in this case is 1, and the aggregated total number of trades (disregarding NAs) which in this case is 2. I am not interested in the second table, I am just interested in the aggregated number of buys and the aggregated total number (count) of Buy/Sell
.最终,我想计算总购买次数,在这种情况下为 1,而在这种情况下为 2 的总交易总数(不考虑 NA)。我对第二个表不感兴趣,我只是感兴趣在买入的合计数量和
Buy/Sell
的合计总数(计数)中。
How can I do this in Pandas?我怎样才能在 Pandas 中做到这一点?
import numpy as np
import pandas as pd
df = pd.DataFrame({'Buy/Sell': [1, 0, 1, 1, 0, 1, 0, 0],
'Trader': ['A', 'A', 'B', 'B', 'B', 'C', 'C', 'C']})
grouped = df.groupby(['Trader'])
result = grouped['Buy/Sell'].agg(['sum', 'count'])
means = grouped['Buy/Sell'].mean()
result['Buy/Sell'] = np.select(condlist=[means>0.5, means<0.5], choicelist=[1, 0],
default=np.nan)
print(result)
yields产量
Buy/Sell sum count
Trader
A NaN 1 2
B 1 2 3
C 0 1 3
My original answer used a custom aggregator, categorize
:我的原始答案使用自定义聚合器,
categorize
:
def categorize(x):
m = x.mean()
return 1 if m > 0.5 else 0 if m < 0.5 else np.nan
result = df.groupby(['Trader'])['Buy/Sell'].agg([categorize, 'sum', 'count'])
result = result.rename(columns={'categorize' : 'Buy/Sell'})
While calling a custom function may be convenient, performance is often significantly slower when you use a custom function compared to the built-in aggregators (such as groupby/agg/mean
).虽然调用自定义函数可能很方便,但与内置聚合器(例如
groupby/agg/mean
)相比,当您使用自定义函数时,性能通常会显着降低。 The built-in aggregators are Cythonized, while the custom functions reduce performance to plain Python for-loop speeds.内置聚合器是 Cythonized,而自定义函数将性能降低到纯 Python for 循环速度。
The difference in speed is particularly significant when the number of groups is large.当组数较多时,速度差异尤为显着。 For example, with a 10000-row DataFrame with 1000 groups,
例如,具有 1000 个组的 10000 行 DataFrame,
import numpy as np
import pandas as pd
np.random.seed(2017)
N = 10000
df = pd.DataFrame({
'Buy/Sell': np.random.randint(2, size=N),
'Trader': np.random.randint(1000, size=N)})
def using_select(df):
grouped = df.groupby(['Trader'])
result = grouped['Buy/Sell'].agg(['sum', 'count'])
means = grouped['Buy/Sell'].mean()
result['Buy/Sell'] = np.select(condlist=[means>0.5, means<0.5], choicelist=[1, 0],
default=np.nan)
return result
def categorize(x):
m = x.mean()
return 1 if m > 0.5 else 0 if m < 0.5 else np.nan
def using_custom_function(df):
result = df.groupby(['Trader'])['Buy/Sell'].agg([categorize, 'sum', 'count'])
result = result.rename(columns={'categorize' : 'Buy/Sell'})
return result
using_select
is over 50x faster than using_custom_function
: using_select
比using_custom_function
快 50 倍以上:
In [69]: %timeit using_custom_function(df)
10 loops, best of 3: 132 ms per loop
In [70]: %timeit using_select(df)
100 loops, best of 3: 2.46 ms per loop
In [71]: 132/2.46
Out[71]: 53.65853658536585
Pandas cut()
provides an improvement in @unutbu's answer by getting the result in half the time. Pandas
cut()
通过在一半时间内获得结果来改进@unutbu 的答案。
def using_select(df):
grouped = df.groupby(['Trader'])
result = grouped['Buy/Sell'].agg(['sum', 'count'])
means = grouped['Buy/Sell'].mean()
result['Buy/Sell'] = np.select(condlist=[means>0.5, means<0.5], choicelist=[1, 0],
default=np.nan)
return result
def using_cut(df):
grouped = df.groupby(['Trader'])
result = grouped['Buy/Sell'].agg(['sum', 'count', 'mean'])
result['Buy/Sell'] = pd.cut(result['mean'], [0, 0.5, 1], labels=[0, 1], include_lowest=True)
result['Buy/Sell']=np.where(result['mean']==0.5,np.nan, result['Buy/Sell'])
return result
using_cut()
runs in 5.21 ms average per loop in my system whereas using_select()
runs in 10.4 ms average per loop. using_cut()
在我的系统中每个循环平均运行 5.21 毫秒,而using_select()
每个循环平均运行 10.4 毫秒。
%timeit using_select(df)
10.4 ms ± 1.07 ms per loop (mean ± std. dev. of 7 runs, 100 loops each)
%timeit using_cut(df)
5.21 ms ± 147 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)
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