How to smooth stock data by pandas elegantly?

I want to smooth the stock data. which ignore the day price gap in the openning, make the price curve smooth in the whole period

Let me list an example:

[5]: df = pd.DataFrame([['20190101',2], ['20190101', 3], ['20190102',5], ['20190102', 4], ['20190103', 3], ['20190103', 2]], columns=['date', 'pric     ...: e'])    In [6]: df  Out[6]:          date  price  0  20190101      2  1  20190101      3  2  20190102      5  3  20190102      4  4  20190103      3  5  20190103      2  

above is a stock price dataframe, what i want is to ignore the price gap during day open.

that means the price difference between last one in 20190101 (3) and first one in 20190102(5), 3-5 = -2 is what i want to ignore.

my ignore method is to minus the difference between today and yesterday, which means the expected data should be:

 [8]: df  Out[8]:          date  price  0  20190101      3  1  20190101      3  2  20190102      3  3  20190102      2  4  20190103      2  5  20190103      1  

the data in 20190102 is original data(5, 4) - 2(the difference between today and yesterday), so it's 3, 2

is there any good methods can do this?

https://stackoverflow.com/questions/66072906/how-to-smooth-stock-data-by-pandas-elegantly February 06, 2021 at 10:03AM