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Exercise 3 Merge MultiIndex

The goal of this exercise is to learn to merge DataFrames with MultiIndex. Use the code below to generate the DataFrames. market_data contains fake market data. In finance, the market is available during the trading days (business days). alternative_data contains fake alternative data from social media. This data is available every day. But, for some reasons the Data Engineer lost the last 15 days of alternative data.

Using market_data as the reference, merge alternative_data on market_data

#generate days
all_dates = pd.date_range('2021-01-01', '2021-12-15')
business_dates = pd.bdate_range('2021-01-01', '2021-12-31')

#generate tickers
tickers = ['AAPL', 'FB', 'GE', 'AMZN', 'DAI']

#create indexs
index_alt = pd.MultiIndex.from_product([all_dates, tickers], names=['Date', 'Ticker'])
index = pd.MultiIndex.from_product([business_dates, tickers], names=['Date', 'Ticker'])

# create DFs
market_data = pd.DataFrame(index=index,
                        data=np.random.randn(len(index), 3),
                        columns=['Open','Close','Close_Adjusted'])

alternative_data = pd.DataFrame(index=index_alt,
                                data=np.random.randn(len(index_alt), 2),
                                columns=['Twitter','Reddit'])

reset_index is not allowed for this question

Fill missing values with 0

https://medium.com/swlh/merging-dataframes-with-pandas-pd-merge-7764c7e2d46d

1.5 KiB Raw Blame History

Exercise 3 Merge MultiIndex

1.5 KiB

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