[Python] Find max/min value in a column in a range of data (multiindex) and append to a...

Discussão em 'Python' iniciado por Stack, Agosto 21, 2025.

  1. Stack

    Stack Membro Participativo

    I have the following dataframe:

    import pandas as pd
    import csv

    lst = [['SPXW 250715C06310000', '7/14/2025', 2.74, 2.87, 2.60, 2.65, 14, '8:30:00'],
    ['SPXW 250715C06310000', '7/14/2025', 2.80, 2.80, 2.50, 2.53, 61, '8:31:00'],
    ['SPXW 250715C06310000', '7/14/2025', 2.45, 2.45, 2.45, 2.45, 2, '8:32:00'],
    ['SPXW 250715C06310000', '7/14/2025', 2.58, 2.80, 2.58, 2.60, 32, '8:33:00'],
    ['SPXW 250715C06310000', '7/14/2025', 2.50, 2.50, 2.25, 2.30, 5, '8:34:00'],
    ['SPXW 250709C06345000', '7/9/2025', 0.05, 0.05, 0.03, 0.03, 246, '8:30:00'],
    ['SPXW 250709C06345000', '7/9/2025', 0.05, 0.10, 0.03, 0.07, 452, '8:31:00'],
    ['SPXW 250709C06345000', '7/9/2025', 0.07, 0.10, 0.05, 0.07, 137, '8:32:00'],
    ['SPXW 250709C06345000', '7/9/2025', 0.07, 0.07, 0.07, 0.07, 5, '8:33:00'],
    ['SPXW 250709C06345000', '7/9/2025', 0.07, 0.07, 0.05, 0.05, 225, '8:34:00'],
    ['SPXW 250715C06310000', '7/11/2025', 7.30, 7.30, 7.30, 7.30, 2, '8:30:00'],
    ['SPXW 250715C06310000', '7/11/2025', 7.20, 7.20, 7.20, 7.20, 2, '8:31:00'],
    ['SPXW 250715C06310000', '7/11/2025', 6.92, 6.92, 6.92, 6.92, 20, '8:32:00'],
    ['SPXW 250715C06310000', '7/11/2025', 6.58, 6.58, 6.58, 6.58, 1, '8:34:00'],
    ['SPXW 250715C06310000', '7/11/2025', 6.41, 6.41, 6.41, 6.41, 2, '8:35:00']
    ]

    df = pd.DataFrame(lst, columns = ['Symbol', 'Date', 'open', 'high', 'low', 'close', 'volume', 'hour'])

    df['Date'] = pd.to_datetime(df['Date'])
    df['hour'] = pd.to_datetime(df['hour'], format='%H:%M:%S')
    df.index = pd.MultiIndex.from_arrays([df['Symbol'], df['Date']], names=['Symbol', 'Date'])
    df.drop(columns=['Symbol', 'Date'], inplace=True)


    When run, it yields this:

    open high low close volume hour day_high day_low
    Symbol Date
    SPXW 250715C06310000 2025-07-14 2.74 2.87 2.60 2.65 14 1900-01-01 08:30:00
    2025-07-14 2.80 2.80 2.50 2.53 61 1900-01-01 08:31:00
    2025-07-14 2.45 2.45 2.45 2.45 2 1900-01-01 08:32:00
    2025-07-14 2.58 2.80 2.58 2.60 32 1900-01-01 08:33:00
    2025-07-14 2.50 2.50 2.25 2.30 5 1900-01-01 08:34:00
    SPXW 250709C06345000 2025-07-09 0.05 0.05 0.03 0.03 246 1900-01-01 08:30:00
    2025-07-09 0.05 0.10 0.03 0.07 452 1900-01-01 08:31:00
    2025-07-09 0.07 0.10 0.05 0.07 137 1900-01-01 08:32:00
    2025-07-09 0.07 0.07 0.07 0.07 5 1900-01-01 08:33:00
    2025-07-09 0.07 0.07 0.05 0.05 225 1900-01-01 08:34:00
    SPXW 250715C06310000 2025-07-11 7.30 7.30 7.30 7.30 2 1900-01-01 08:30:00
    2025-07-11 7.20 7.20 7.20 7.20 2 1900-01-01 08:31:00
    2025-07-11 6.92 6.92 6.92 6.92 20 1900-01-01 08:32:00
    2025-07-11 6.58 6.58 6.58 6.58 1 1900-01-01 08:34:00
    2025-07-11 6.41 6.41 6.41 6.41 2 1900-01-01 08:35:00


    This is a fragment of a dataframe that has 820,000 lines. These are options contracts trading over approximately two weeks, with 1 minute bars. I have set up a multiindex with Symbol and Date because it just makes sense to me to filter data that way.

    What I want to do, is find max value for a contract on a given day, and append it to the column 'day_high' where the time in 'hour' column is equal to 08:30:00.

    I've tried the following line of code:

    df.loc[('SPXW 250715C06310000', '2025-07-14'), 'day_high'] = df.loc[('SPXW 250715C06310000', '2025-07-14')]['high'].max()


    This line of code puts the max value in all rows. I've tried a few different modifiers to stick specifically in the row where hour = 8:30:00, but I've had no luck.

    So... here are my questions:


    1. How can I assign the max, or whatever value from a given day to a different column where 'hour'=8:30:00?


    2. Same as question #2, but for all contracts in the dataframe. Will I need to set up a for loop or is there an idiomatic way of doing this with pandas?

    TIA

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