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I have a pandas dataframe with stock transactions which do not happen every day and not for each stock:

Goal is to get the (daily) weights of each stock for each day.

Starting table and expected result

This means - creating a full calendar of dates - repeating the cumulative shares for each stock on each date - and finally calculate the weight for this date

Would somone be able to help me on this? I was already searching through several threads but I am not able to find any working solution.

Daniel Quantil
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2 Answers2

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Thanks for the question. I took a stab at this code as I'm going to be building dataframes for investments, so it was good practice. Try this out, I think it does what you are asking for. 

import pandas as pd
import datetime

# create df
trades = pd.DataFrame(index=['2011-02-16', '2011-02-16', '2011-02-17', '2014-03-20','2014-03-20', '2018-01-04'])

# build data
trades['stock'] = ['A', 'B', 'A', 'B', 'C', 'B']
trades['shares_Tr'] = [5,10,5,10,15,-20]

# create a range of dates for the balance dataframe
index_of_dates = pd.date_range(('2011-02-10'), ('2018-01-05')).tolist()

# create a balance dataframe with columns for each stock. 
bal = pd.DataFrame(data = 0, index=index_of_dates, columns=['A', 'A_sum', 'A_weight', 'B', 'B_sum', 'B_weight',  'C', 'C_sum', 'C_weight', 'Total' ])

# populate the trades from trades df to the balance df.
for index, row in trades.iterrows():
    bal.loc[index, row['stock']] = row['shares_Tr']

# track totals
bal['A_sum'] = bal['A'].cumsum()
bal['B_sum'] = bal['B'].cumsum()
bal['C_sum'] = bal['C'].cumsum()
bal['Total'] = bal.iloc[:,[1,4,7]].sum(axis=1)
bal['A_weight'] = bal['A_sum'] / bal['Total']
bal['B_weight'] = bal['B_sum'] / bal['Total']
bal['C_weight'] = bal['C_sum'] / bal['Total']

You will have two dataframes, one called trades and the other called bal, which holds your results.

run-out
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Awesome! This inspired me finding a way to solve the issue! The issue in your solution was that if a stock D appears (added in below set) in the initial dataset it won't work anymore.

I was able to solve this with the following:

import pandas as pd
import datetime

# create df // build data // adding date as column
trades = pd.DataFrame()
trades['Date'] = pd.to_datetime(['2011-02-16', '2011-02-16', '2011-02-17', '2014-03-20','2014-03-20', '2018-01-04', '2011-02-18'])
trades['stock'] = ['A', 'B', 'A', 'B', 'C', 'B', 'D']
trades['shares_Tr'] = [5,10,5,10,15,-20,5]

# create a range of dates for the merged dataframe
index_of_dates = pd.date_range('2011-02-10', pd.datetime.today()).to_frame().reset_index(drop=True).rename(columns={0: 'Date'})

# create a merged dataframe with columns date / stock / stock_Tr. 
merged = pd.merge(index_of_dates,trades,how='left', on='Date')

# create a pivottable showing the shares_TR of each stock for each date 
shares_tr = merged.pivot(index='Date', columns='stock', values='shares_Tr').dropna(axis=1, how='all').fillna(0)

# calculate individual pivottables for the cumsum and weights 
cumShares = shares_tr.cumsum()
weights = ((cumShares.T / cumShares.T.sum()).T*100).round(2)

# finally combine all data into one dataframe
all_data = pd.concat([shares_tr, cumShares, weights], axis=1, keys=['Shares','cumShares', 'Weights'])
all_data
Daniel Quantil
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