SmartTimeSeries

A Smart TimeSeries is an expression that is used to build TimeSeries on demand

Introduction

Smart TimeSeries are an easy but powerful way of defining TimeSeries derivations.

A Smart TimeSeries consists of the following:

Base TimeSeries

The base TimeSeries is mandatory and can be either a real TimeSeries or another Smart TimeSeries. The base TimeSeries is usually used in the expression using the variable name BASE.

Expression

The expression is also mandatory and is a string formula used to build the TimeSeries.

• It can be a simple operation like BASE*1.2
• It can use built-in functions like scale(BASE, 'MONTHLY', 'summed')
• It can use functions in the #TimeSeriesScript (if you have not specified a custom script) like fill(BASE, 'LINEAR')
• It can use your own functions in a specified custom script like myfunction(BASE)

Script

The script is an optional saved custom script with user defined functions. These functions can then be used in the expression. The function script can also import the default #TimeSeriesScript, so your functions can use those too.

References to other TimeSeries

You can optionally add references to other TimeSeries or Smart TimeSeries that can also be used in your expression

Construction

You construct a Smart TimeSeries using one of the following constructors:

// Specify base TimeSeries id and expression
st = SmartTimeSeries("CORN:CLOSE", "fill(BASE,'LINEAR')")

// Specify a start date, calendar and expression
// This can be used to create a TimeSeries that has the same scalar value from the start date till now
// Or you can use an expression to build a TimeSeries
st = SmartTimeSeries("2022-01-01", "MONTHLY", "12.5")

Properties

A SmartTimeSeries has the following properties:

Name	Description	Type
baseTimeSeries	The TimeSeries that this Smart TimeSeries uses for a base	ID String, TimeSeries or Reference
expression	The expression used to generate the TimeSeries	String
script	Optional custom script name used with the expression	String
currency	Optional currency of the TimeSeries, defaults to base TimeSeries currency	String
units	Optional units of the TimeSeries, defaults to base TimeSeries units	String

info

If a currency and/or units are set, the base TimeSeries and any other TimeSeries added to this Smart TimeSeries will be converted to the specified currency and units

A SmartTimeSeries also supports adding dynamic properties, e.g.

sc = SmartTimeSeries("SMART_TEST:CLOSE", "BASE*1.02")
sc.product = "CORN"

Any dynamic properties added to a SmartTimeSeries can be used in the expression including references to other TimeSeries. Here are some examples of using properties within the Smart TimeSeries expression:

// Example using another TimeSeries
st1 = SmartTimeSeries("TEST_SMART_TS:ASK", "(BASE+BID)/2")
st1.BID = ref("data","TEST_SMART_TS:BID")

// Example using a numeric factor
st2 = SmartTimeSeries("TEST_SMART_TS:CLOSE", "BASE*factor")
st2.factor=1.2

Methods

A SmartTimeSeries has the following methods:

Name	Description	Return Type
build()	Builds a TimeSeries	TimeSeries

Below is an example of creating a Smart TimeSeries and building a TimeSeries using it:

st1 = SmartTimeSeries("TEST_SMART_TS:CLOSE", "BASE*factor)
st1.factor=1.2

t1 = st1.build()
print t1.values

Adding to an object and saving

A SmartTimeSeries needs to be added to an object in order to save it to the database, e.g.

CORN_TEST = Object()
CORN_TEST.category = "TEST"

cf = SmartTimeSeries("TEST_SMART_TS:CLOSE", "interpolate(BASE,'LINEAR')")
CORN_TEST.FILLED = cf

save ${object: CORN_TEST}