Title: Add time series data - stock market
Author: farside-sh (NONE)
State: open
Created: 2022-04-06T05:46:58Z
Labels: dataset request

## Adding a Time Series Dataset
- **Name:** 2min ticker data for stock market 
- **Description:** 8 stocks' data collected for 1month post ukraine-russia war. 4 NSE stocks and 4 NASDAQ stocks. Along with technical indicators (additional features) as shown in below image
- **Data:** Collected by myself from investing.com
- **Motivation:** Test applicability of transformer based model on stock market / time series problem

![image](https://user-images.githubusercontent.com/45640029/161904077-52fe97cb-3720-4e3f-98ee-7f6720a056e2.png)

Comments:
Can I use instructions present in below link for time series dataset as well? 
https://github.com/huggingface/datasets/blob/master/ADD_NEW_DATASET.md 

cc'ing @kashif and @NielsRogge for visibility!

@INF800 happy to add this dataset! I will try to set a PR by the end of the day... if you can kindly point me to the dataset? Also, note we have a bunch of time series datasets checked in e.g. `electricity_load_diagrams` or `monash_tsf`, and ideally this dataset could also be in a similar format. 

Thankyou. This is how raw data looks like before cleaning for an individual stocks:

1. https://github.com/INF800/marktech/tree/raw-data/f/data/raw
2. https://github.com/INF800/marktech/tree/raw-data/t/data/raw
3. https://github.com/INF800/marktech/tree/raw-data/rdfn/data/raw
4. https://github.com/INF800/marktech/tree/raw-data/irbt/data/raw
5. https://github.com/INF800/marktech/tree/raw-data/hll/data/raw
6. https://github.com/INF800/marktech/tree/raw-data/infy/data/raw
7. https://github.com/INF800/marktech/tree/raw-data/reli/data/raw
8. https://github.com/INF800/marktech/tree/raw-data/hdbk/data/raw

> Scraping is automated using GitHub Actions. So, everyday we will see a new file added in the above links.

I can rewrite the cleaning scripts to make sure it fits HF dataset standards. (P.S I am very much new to HF dataset)

The data set above can be converted into univariate regression / multivariate regression / sequence to sequence generation dataset etc. So, do we have some kind of transformation modules that will read the dataset as some type of dataset (`GenericTimeData`) and convert it to other possible dataset relating to a specific ML task. **By having this kind of transformation module, I only have to add data once** and use transformation module whenever necessary

Additionally, having some kind of versioning for the dataset will be really helpful because it will keep on updating - especially time series datasets 

thanks @INF800 I'll have a look. I believe it should be possible to incorporate this into the time-series format.

Referencing https://github.com/qingsongedu/time-series-transformers-review

@INF800 yes I am aware of the review repository and paper which is more or less a collection of abstracts etc. I am working on a unified library of implementations of these papers together with datasets to be then able to compare/contrast and build upon the research etc. but I am not ready to share them publicly just yet.

In any case regarding your dataset at the moment its seems from looking at the csv files, its mixture of textual and numerical data, sometimes in the same column etc. As you know, for time series models we would need just numeric data so I would need your help in disambiguating the dataset you have collected and also perhaps starting with just numerical data to start with... 

Do you think you can make a version with just numerical data?

> @INF800 yes I am aware of the review repository and paper which is more or less a collection of abstracts etc. I am working on a unified library of implementations of these papers together with datasets to be then able to compare/contrast and build upon the research etc. but I am not ready to share them publicly just yet.
> 
> In any case regarding your dataset at the moment its seems from looking at the csv files, its mixture of textual and numerical data, sometimes in the same column etc. As you know, for time series models we would need just numeric data so I would need your help in disambiguating the dataset you have collected and also perhaps starting with just numerical data to start with...
> 
> Do you think you can make a version with just numerical data?

Will share the numeric data and conversion script within end of this week. 

I am on a business trip currently - it is in my desktop.

thanks @INF800 kashif.rasul@gmail.com should work

It should be in your inbox!

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