[Quantiles] A function to select the correct Quantile. #numpy
# Create a new DataFrame Containing Daily Trade Information Based on the 90th Quantile
dfDaily = df.groupby(by='Date').agg({'Price': percentile(.90),
'Volume': percentile(.90),
'Sell Volume': percentile(.90),
'Buy Volume': percentile(.90)})
# Define Function to Select Quantiles
def percentile(n):
def percentile_(x):
return np.quantile(x, n)
percentile_.__name__ = 'percentile_%s' % n
return percentile_