Vectorized look-up of values in Pandas dataframe

Question

I have two pandas dataframes one called orders and another one called daily_prices.
daily_prices is as follows:

              AAPL    GOOG     IBM    XOM
2011-01-10  339.44  614.21  142.78  71.57
2011-01-13  342.64  616.69  143.92  73.08
2011-01-26  340.82  616.50  155.74  75.89
2011-02-02  341.29  612.00  157.93  79.46
2011-02-10  351.42  616.44  159.32  79.68
2011-03-03  356.40  609.56  158.73  82.19
2011-05-03  345.14  533.89  167.84  82.00
2011-06-03  340.42  523.08  160.97  78.19
2011-06-10  323.03  509.51  159.14  76.84
2011-08-01  393.26  606.77  176.28  76.67
2011-12-20  392.46  630.37  184.14  79.97

orders is as follows:

           direction  size ticker  prices
2011-01-10       Buy  1500   AAPL  339.44
2011-01-13      Sell  1500   AAPL  342.64
2011-01-13       Buy  4000    IBM  143.92
2011-01-26       Buy  1000   GOOG  616.50
2011-02-02      Sell  4000    XOM   79.46
2011-02-10       Buy  4000    XOM   79.68
2011-03-03      Sell  1000   GOOG  609.56
2011-03-03      Sell  2200    IBM  158.73
2011-06-03      Sell  3300    IBM  160.97
2011-05-03       Buy  1500    IBM  167.84
2011-06-10       Buy  1200   AAPL  323.03
2011-08-01       Buy    55   GOOG  606.77
2011-08-01      Sell    55   GOOG  606.77
2011-12-20      Sell  1200   AAPL  392.46

Index of both dataframes is datetime.date.
prices column in the orders dataframe was added by using a list comprehension to loop through all the orders and look up the specific ticker for the specific date in the daily_prices data frame and then adding that list as a column to the orders dataframe. I would like to do this using an array operation rather than something that loops. can it be done? I tried to use:

daily_prices.ix[dates, tickers]

but this returns a matrix of cartesian product of the two lists. I want it to return a column vector of only the price of a specified ticker for a specified date.

Asked By: luckyfool

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Source

Answer 1

Use our friend lookup, designed precisely for this purpose:

In [17]: prices
Out[17]: 
              AAPL    GOOG     IBM    XOM
2011-01-10  339.44  614.21  142.78  71.57
2011-01-13  342.64  616.69  143.92  73.08
2011-01-26  340.82  616.50  155.74  75.89
2011-02-02  341.29  612.00  157.93  79.46
2011-02-10  351.42  616.44  159.32  79.68
2011-03-03  356.40  609.56  158.73  82.19
2011-05-03  345.14  533.89  167.84  82.00
2011-06-03  340.42  523.08  160.97  78.19
2011-06-10  323.03  509.51  159.14  76.84
2011-08-01  393.26  606.77  176.28  76.67
2011-12-20  392.46  630.37  184.14  79.97

In [18]: orders
Out[18]: 
                  Date direction  size ticker  prices
0  2011-01-10 00:00:00       Buy  1500   AAPL  339.44
1  2011-01-13 00:00:00      Sell  1500   AAPL  342.64
2  2011-01-13 00:00:00       Buy  4000    IBM  143.92
3  2011-01-26 00:00:00       Buy  1000   GOOG  616.50
4  2011-02-02 00:00:00      Sell  4000    XOM   79.46
5  2011-02-10 00:00:00       Buy  4000    XOM   79.68
6  2011-03-03 00:00:00      Sell  1000   GOOG  609.56
7  2011-03-03 00:00:00      Sell  2200    IBM  158.73
8  2011-06-03 00:00:00      Sell  3300    IBM  160.97
9  2011-05-03 00:00:00       Buy  1500    IBM  167.84
10 2011-06-10 00:00:00       Buy  1200   AAPL  323.03
11 2011-08-01 00:00:00       Buy    55   GOOG  606.77
12 2011-08-01 00:00:00      Sell    55   GOOG  606.77
13 2011-12-20 00:00:00      Sell  1200   AAPL  392.46

In [19]: prices.lookup(orders.Date, orders.ticker)
Out[19]: 
array([ 339.44,  342.64,  143.92,  616.5 ,   79.46,   79.68,  609.56,
        158.73,  160.97,  167.84,  323.03,  606.77,  606.77,  392.46])

Answered By: Wes McKinney

Vectorized look-up of values in Pandas dataframe

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