Question

我有两个pandas数据帧，一个叫做'orders'，另一个叫做'daily_prices'。 daily_prices如下：

              AAPL    GOOG     IBM    XOM
2011-01-10  339.44  614.21  142.78  71.57
2011-01-13  342.64  616.69  143.92  73.08
2011-01-26  340.82  616.50  155.74  75.89
2011-02-02  341.29  612.00  157.93  79.46
2011-02-10  351.42  616.44  159.32  79.68
2011-03-03  356.40  609.56  158.73  82.19
2011-05-03  345.14  533.89  167.84  82.00
2011-06-03  340.42  523.08  160.97  78.19
2011-06-10  323.03  509.51  159.14  76.84
2011-08-01  393.26  606.77  176.28  76.67
2011-12-20  392.46  630.37  184.14  79.97

订单如下：

           direction  size ticker  prices
2011-01-10       Buy  1500   AAPL  339.44
2011-01-13      Sell  1500   AAPL  342.64
2011-01-13       Buy  4000    IBM  143.92
2011-01-26       Buy  1000   GOOG  616.50
2011-02-02      Sell  4000    XOM   79.46
2011-02-10       Buy  4000    XOM   79.68
2011-03-03      Sell  1000   GOOG  609.56
2011-03-03      Sell  2200    IBM  158.73
2011-06-03      Sell  3300    IBM  160.97
2011-05-03       Buy  1500    IBM  167.84
2011-06-10       Buy  1200   AAPL  323.03
2011-08-01       Buy    55   GOOG  606.77
2011-08-01      Sell    55   GOOG  606.77
2011-12-20      Sell  1200   AAPL  392.46

两个数据帧的索引都是datetime.date。 'orders'数据框中的'price'列通过使用列表推导来循环遍历所有订单并在'daily_prices'数据框中查找特定日期的特定代码，然后将该列表作为列添加到'订单'数据框。我想使用数组操作而不是循环的东西来做这件事。能做到吗？我试图使用：

daily_prices.ix [日期，代码]

但是这会返回两个列表中的笛卡尔积的矩阵。我希望它返回指定日期的指定股票价格的列向量。

Answer 1

使用专为此目的设计的朋友lookup：

In [17]: prices
Out[17]: 
              AAPL    GOOG     IBM    XOM
2011-01-10  339.44  614.21  142.78  71.57
2011-01-13  342.64  616.69  143.92  73.08
2011-01-26  340.82  616.50  155.74  75.89
2011-02-02  341.29  612.00  157.93  79.46
2011-02-10  351.42  616.44  159.32  79.68
2011-03-03  356.40  609.56  158.73  82.19
2011-05-03  345.14  533.89  167.84  82.00
2011-06-03  340.42  523.08  160.97  78.19
2011-06-10  323.03  509.51  159.14  76.84
2011-08-01  393.26  606.77  176.28  76.67
2011-12-20  392.46  630.37  184.14  79.97

In [18]: orders
Out[18]: 
                  Date direction  size ticker  prices
0  2011-01-10 00:00:00       Buy  1500   AAPL  339.44
1  2011-01-13 00:00:00      Sell  1500   AAPL  342.64
2  2011-01-13 00:00:00       Buy  4000    IBM  143.92
3  2011-01-26 00:00:00       Buy  1000   GOOG  616.50
4  2011-02-02 00:00:00      Sell  4000    XOM   79.46
5  2011-02-10 00:00:00       Buy  4000    XOM   79.68
6  2011-03-03 00:00:00      Sell  1000   GOOG  609.56
7  2011-03-03 00:00:00      Sell  2200    IBM  158.73
8  2011-06-03 00:00:00      Sell  3300    IBM  160.97
9  2011-05-03 00:00:00       Buy  1500    IBM  167.84
10 2011-06-10 00:00:00       Buy  1200   AAPL  323.03
11 2011-08-01 00:00:00       Buy    55   GOOG  606.77
12 2011-08-01 00:00:00      Sell    55   GOOG  606.77
13 2011-12-20 00:00:00      Sell  1200   AAPL  392.46

In [19]: prices.lookup(orders.Date, orders.ticker)
Out[19]: 
array([ 339.44,  342.64,  143.92,  616.5 ,   79.46,   79.68,  609.56,
        158.73,  160.97,  167.84,  323.03,  606.77,  606.77,  392.46])

Pandas数据帧中值的矢量化查找

1 个答案: