Higher order differences for diff function #350
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iblislin
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Dec 15, 2017
docs/src/apply.md
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| You can calculate higher order differences by using the keyword | ||
| parameter `differences`, accepting a positive integer. The default | ||
| value is `differences=1`. For instance, passing `differences=2` is | ||
| equivalent to doing `diff(diff(cl)`. |
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julia> diff(diff(cl)
ERROR: syntax: incomplete: premature end of input
iblislin
reviewed
Dec 15, 2017
test/apply.jl
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| @test diff(diff(diff(op))).timestamp == diff(op, padding=false, differences=3).timestamp | ||
| @test diff(diff(diff(op))).values == diff(op, padding=false, differences=3).values | ||
| @test diff(op, padding=true, differences=3).values[4] == diff(op, differences=3).values[1] | ||
| end |
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maybe add some test cases for multi-column TimeArray ohlc?
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Ok, I will push a new commit with more tests.
iblislin
reviewed
Dec 15, 2017
docs/src/apply.md
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|
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||
| ```@repl diff | ||
| diff(cl) | ||
| ``` |
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well, this rendering failed. you have to add using statement. it's a restriction of Documenter :(
using TimeSeries
using MarketData
iblislin
approved these changes
Dec 15, 2017
|
Thanks for your contribution! |
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This pull request adds a new parameter
differencesto thedifffunction, to calculate higher order differences. The default value is1, so this change is backwards compatible.