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Merge_files_2017.py
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Merge_files_2017.py
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import pandas as pd
import os
w_dir = 'D:/BIG DATA'
directory = 'Merged Files'
os.chdir(w_dir)
if not os.path.exists(directory):
os.makedirs(directory)
ccys = ['EURUSD', 'EURCHF', 'EURGBP', 'EURJPY', 'EURAUD']
for ccy in ccys:
year_int = 2017
year = str(year_int)
for month_int in range(1,12):
if year_int<2009:
cols = ['Ask','Bid','erase']
elif year_int==2009 and month_int <6:
cols = ['Ask','Bid','erase']
else:
cols = ['Bid','Ask','erase']
month = str(month_int)
file_name = 'DAT_ASCII_'+ ccy +'_T_'+ year+month.zfill(2)+'.csv'
df = pd.read_csv(file_name, names = cols)
if df['Ask'].values[0]<df['Bid'].values[0]:
print('ERROOOOOOOOR')
df = df.drop('erase', axis=1)
df = df.dropna(how='any')
#Change index to datetime
df['datetime'] = pd.to_datetime(df.index.astype(str)+'000',format="%Y%m%d %H%M%S%f")
df = df.sort_values('datetime')
df.index = df['datetime']
df = df.drop('datetime', axis=1)
df.to_hdf(directory+'/'+ccy+'-'+year+'.h5', ccy+year+month.zfill(2),format='table')