JerBouma
2/9/2019 - 7:22 PM

[Quantiles] A function to select the correct Quantile. #numpy

[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_