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QuickStart Samples

# Simple Time Series QuickStart Sample (C#)

Illustrates how to perform simple operations on time series data using classes in the Extreme.Statistics.TimeSeriesAnalysis namespace in C#.

View this sample in: Visual Basic F# IronPython

``````using System;
using System.Collections.Generic;

using Extreme.Data.Text;
using Extreme.DataAnalysis;
using Extreme.Statistics;

namespace Extreme.Numerics.QuickStart.CSharp
{
/// <summary>
/// Illustrates the use of the TimeSeriesCollection class to represent
/// and manipulate time series data.
/// </summary>
class SimpleTimeSeries
{
static void Main(string[] args)
{
// Time series data frames can be created in a variety of ways.
// Here we read from a CSV file and specify the column to use as the index:
@"..\..\..\..\Data\MicrosoftStock.csv", "Date");

// The RowCount property returns the number of
// observations:
Console.WriteLine("# observations: {0}", timeSeries.RowCount);

//
// Accessing variables
//

// Variables are accessed by name or numeric index.
// They need to be cast to the appropriate specialized
// type using the As() method:
var close = timeSeries["Close"].As<double>();
Console.WriteLine("Average close price: \${0:F2}", close.Mean());

// Variables can also be accessed by numeric index:
Console.WriteLine("3rd variable: {0}", timeSeries.Name);

// The GetRows method returns the data from the specified range.
DateTime y2004 = new DateTime(2004, 1, 1);
DateTime y2005 = new DateTime(2005, 1, 1);
var series2004 = timeSeries.GetRows(y2004, y2005);
Console.WriteLine("Opening price on the first trading day of 2004: {0}",
series2004["Open"].GetValue(0));

//
// Transforming the Frequency
//

// The first step is to define the aggregator function
// for each variable. This function specifies how each
// observation in the new time series is calculated
// from the observations in the original series.

// The Aggregators class has a number of
// pre-defined aggregator functions.

// We create a dictionary that maps column names
// to aggregators:
var aggregators = new Dictionary<string, AggregatorGroup>()
{
{ "Open", Aggregators.First },
{ "Close", Aggregators.Last },
{ "High", Aggregators.Max },
{ "Low", Aggregators.Min },
{ "Volume", Aggregators.Sum }
};

// We can then resample the data frame in accordance with
// a recurrence pattern we specify, in this case monthly:
var monthlySeries = timeSeries.Resample(Recurrence.Monthly, aggregators);

// We can specify a subset of the series by selecting it
// from the data frame first:
monthlySeries = timeSeries.GetRows(y2004, y2005)
.Resample(Recurrence.Monthly, aggregators);

// We can now print the results:
Console.WriteLine("Monthly statistics for Microsoft Corp. (MSFT)");
Console.WriteLine(monthlySeries.ToString());

Console.Write("Press any key to exit.");