熊猫时间序列重采样的问题

Question

I'm using python 3.5.1 and Pandas 0.18.0 and trying to use this notebook to modify financial tick data as the exercises are of interest to me:

I'm having issues with some of the commands and wondered if this is due to the versions of python and pandas?

For example:

This is the file I am reading in with associated output:

data = pd.read_csv('test30dayes2tickforpython.csv',index_col=0,        header=0,parse_dates={"Timestamp" : [0,1]})
data.dtypes
Out[80]:
 Open              float64
 High              float64
 Low               float64
 Last              float64
 Volume              int64
 NumberOfTrades      int64
 BidVolume           int64
 AskVolume           int64
dtype: object

When I try to then create another object like this:

ticks = data.ix[:, ['High','Volume']]
ticks

I get NaN values:

    High    Volume
Timestamp       
2015-12-27 23:00:25.000 NaN NaN
2015-12-27 23:01:11.000 NaN NaN

But if I use the column reference instead of names it works:

ticks = data.ix[:, [1,4]]
ticks


High    Volume
Timestamp       
2015-12-27 23:00:25.000 2045.25 1
2015-12-27 23:01:11.000 2045.50 2

Why is this?

Also, the notebook shows another object created:

bars = ticks.Price.resample('1min', how='ohlc')
bars

When I try this I get this error:

bars = ticks.High.resample('60min', how='ohlc')
bars

1 bars = ticks.High.resample('60min', how='ohlc')
AttributeError: 'DataFrame' object has no attribute 'High'

It works if I don't call the High column:

bars = ticks.resample('60min', how='ohlc')
bars

FutureWarning: how in .resample() is deprecated the new syntax is .resample(...).ohlc()

High    Volume
open    high    low close   open    high    low close
Timestamp                               
2015-12-27 23:00:00 2045.25 2047.75 2045.25 2045.25 1.0 7.0 1.0 5.0

What is the correct command for this please?

I appreciate the notebook is probably not valid for the version of Python/Pandas Im using but as a newbie it is very useful for me so would like to get it working on my data .

Answer 1

There is problem spaces in column names.

print (data.columns)
Index(['Timestamp', ' Open', ' High', ' Low', ' Last', ' Volume',
       ' NumberOfTrades', ' BidVolume', ' AskVolume'],
      dtype='object')

You can strip this spaces:

data.columns = data.columns.str.strip()
print (data.columns)
Index(['Timestamp', 'Open', 'High', 'Low', 'Last', 'Volume', 'NumberOfTrades',
       'BidVolume', 'AskVolume'],
      dtype='object')

ticks = data.ix[:, ['High','Volume']]
print (ticks.head())
      High  Volume
0  2045.25       1
1  2045.50       2
2  2045.50       2
3  2045.50       2
4  2045.50       2

Now you can use:

print (ticks.Price.resample('1min', how='ohlc'))

If you dont want remove spaces, add space to column name:

print (ticks[' Price'].resample('1min', how='ohlc'))

But better is use Resampler.ohlc , if pandas version higher as 0.18.0 :

print (ticks.Price.resample('1min').ohlc())