Summarize bars operations in Amazon FinSpace
Important
Amazon FinSpace Dataset Browser will be discontinued on November 29,
2024. Starting November 29, 2023, FinSpace will no longer accept the creation of new Dataset Browser
environments. Customers using Amazon FinSpace with Managed Kdb Insights
The objective of this stage is to take collected data in bars from previous stage and summarize it using the events captures within a bar. Collect functions
are available in the aws.finspace.timeseries.spark.summarizer module and include the following list of functions.
Bar count
aws.finspace.timeseries.spark.summarizer.bar_cnt(input_series)
Returns the number of items in interval.
Parameters
-
input_series(Series) – a series window produced through groupby
Return type
Series
Returns
pandas.Series
Close
aws.finspace.timeseries.spark.summarizer.close(price)
Returns the last row, called close as its the closing price of that interval.
Parameters
-
price(Series) – a series Window produced through group by
Return type
Series
Returns
pandas.Series
First last high low
aws.finspace.timeseries.spark.summarizer.first_last_high_low(sort_col: list, price: list) -> list
Return type
list
First last high low presorted
aws.finspace.timeseries.spark.summarizer.*first_last_high_low_presorted*(price: list) -> list
Return type
list
High
aws.finspace.timeseries.spark.summarizer.high(price)
Returns the highest price in that interval.
Parameters
-
price(Series) – a DataFrame Window produced through groupby
Return type
Series
Returns
pandas.Series
Low
aws.finspace.timeseries.spark.summarizer.low(price)
Returns the lowest price in that interval.
Parameters
-
price(Series) – a series Window produced through groupby
Return type
Series
Returns
pandas.Series
Low high
aws.finspace.timeseries.spark.summarizer.lowhigh(value) -> list
Return type
list
Open high low close (OHLC)
The first, high, low, and last value over an interval.
aws.finspace.timeseries.spark.summarizer.ohlc_func(sort_col: list, price: list) -> list
Return type
list
Open high low close pre-sorted (OHLC)
The first, high, low, and last value over an interval.
aws.finspace.timeseries.spark.summarizer.ohlc_func_pre_sorted(price: list) -> list
Return type
list
Open high low close scala (OHLC)
The first, high, low, and last value over an interval.
aws.finspace.timeseries.spark.summarizer.ohlc_scala(timeseries, values)
Open
aws.finspace.timeseries.spark.summarizer.open(price)
Returns the first row, the opening price over that interval.
Parameters
-
price(Series) – a series window produced through groupby
Return type
Series
Returns
pandas.Series
Standard deviation
aws.finspace.timeseries.spark.summarizer.std(price)
Returns the standard deviation over that interval.
Parameters
-
price(Series) – a series Window produced through groupby
Return type
Series
Returns
pandas.Series
Time Delta
aws.finspace.timeseries.spark.summarizer.*time_delta*(time_series: list, ref_date: datetime.date) -> list
Return type
list
Total volume
aws.finspace.timeseries.spark.summarizer.total_volume(volume)
The total volume over that interval.
Parameters
-
volume(Series) – input volume
Return type
DataFrame
Returns
Volume and close
aws.finspace.timeseries.spark.summarizer.volume_and_close(price: list, vol: list) -> list
Return type
list
Volume weighted average price (VWAP)
aws.finspace.timeseries.spark.summarizer.vwap(price, volume)
The volume weighted average price over that interval.
Parameters
-
price(Series) – input price series -
volume(Series) – input volume
Return type
DataFrame
Returns
