Summarize bars operations in Amazon FinSpace

Important

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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