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Summarize bars operations in Amazon FinSpace

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Important

Amazon FinSpace Dataset Browser will be discontinued on March 26, 2025. Starting November 29, 2023, FinSpace will no longer accept the creation of new Dataset Browser environments. Customers using Amazon FinSpace with Managed Kdb Insights will not be affected. For more information, review the FAQ or contact AWS Support to assist with your transition.

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