CODEWITHSUNDEEP
scala
user3674993
user3674993

Reputation: 129

Rolling sum over a Seq with Date as key

I'm working on a small personal project and am trying to re-write the codebase from Python to Scala so that I can be a little more competent functional programmer.

I am working with a Seq that contains stock data and need to create a running sum of volume traded for each day.

My code so far is:

import org.joda.time.DateTime
import org.joda.time.format.DateTimeFormat

case class SymbolData(date: DateTime, open: Double, high: Double, low: Double, close: Double, adjClose: Double, volume: Int)

def dateTimeHelper(date: String): DateTime = {
       DateTimeFormat.forPattern("yyyy-MM-dd").parseDateTime(date)
}

val sampleData: Seq[SymbolData] = Seq(
       SymbolData(dateTimeHelper("2019-01-01"), 1.0, 1.0, 1.0, 1.0, 1.0, 10),
       SymbolData(dateTimeHelper("2019-01-02"), 3.0, 2.0, 5.0, 2.0, 8.0, 20),
       SymbolData(dateTimeHelper("2019-01-03"), 1.0, 1.0, 1.0, 1.0, 1.0, 10),
       SymbolData(dateTimeHelper("2019-01-04"), 4.0, 3.0, 2.5, 2.3, 5.3, 7))

Not all dates may be present so I do not think using a sliding window will be appropriate. For the output I would need to get a Seq of ints that contain sum of last 2 days of data, for example:

Seq(10, 30, 30, 17) # 2019-01-01 has only 1 day with sum value of 10 since there is no data for 2018-12-31, 2019-01-02 would be 30 since we have 2nd and 1st of Jan present, etc...

This is not overly difficult to do in base python, however with Scala there seem to be quite a few options (recursive use of folds?) but I am struggling with the syntax and implementation. Would anyone be able to shed some light on this?

Upvotes: 1

Views: 173

Answers (1)

jwvh
jwvh

Reputation: 51271

You say "not all dates may be present" but you don't specify how date gaps should be handled.

Here I guessed that output should include all 2-day sums, gap days included.

import java.time.LocalDate
import java.time.temporal.ChronoUnit.DAYS

case class SymbolData(date     : LocalDate
                     ,open     : Double
                     ,high     : Double
                     ,low      : Double
                     ,close    : Double
                     ,adjClose : Double
                     ,volume   : Int)

val sampleData: List[SymbolData] = List(
  SymbolData(LocalDate.parse("2019-01-01"), 1.0, 1.0, 1.0, 1.0, 1.0, 10),
  SymbolData(LocalDate.parse("2019-01-02"), 3.0, 2.0, 5.0, 2.0, 8.0, 20),
  SymbolData(LocalDate.parse("2019-01-03"), 1.0, 1.0, 1.0, 1.0, 1.0, 10),
  SymbolData(LocalDate.parse("2019-01-04"), 4.0, 3.0, 2.5, 2.3, 5.3, 7),
  // 1 day gap
  SymbolData(LocalDate.parse("2019-01-06"), 4.4, 3.3, 2.2, 2.3, 1.3, 13),
  // 2 day gap
  SymbolData(LocalDate.parse("2019-01-09"), 2.4, 2.2, 1.5, 3.1, 0.9, 21),
  SymbolData(LocalDate.parse("2019-01-10"), 2.4, 2.2, 1.5, 3.1, 0.9, 11)
)

val volByDate = sampleData.foldLeft(Map.empty[LocalDate,Int]){
  case (m,sd) => m + (sd.date -> sd.volume)
}.withDefaultValue(0)

val startDate = sampleData.head.date
val endDate   = sampleData.last.date

val rslt = List.unfold(startDate){ date =>  //<--Scala 2.13
  if (date isAfter endDate) None
  else
    Some(volByDate(date) + volByDate(date.minus(1L,DAYS)) -> date.plus(1L,DAYS))
}
//rslt: List[Int] = List(10, 30, 30, 17, 7, 13, 13, 0, 21, 32)

Upvotes: 1

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