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"""Indexer objects for computing start/end window bounds for rolling operations"""
from datetime import timedelta
from typing import Dict, Optional, Tuple, Type
import numpy as np
from pandas._libs.window.indexers import calculate_variable_window_bounds
from pandas.util._decorators import Appender
from pandas.core.dtypes.common import ensure_platform_int
from pandas.tseries.offsets import Nano
get_window_bounds_doc = """
Computes the bounds of a window.
Parameters
----------
num_values : int, default 0
number of values that will be aggregated over
window_size : int, default 0
the number of rows in a window
min_periods : int, default None
min_periods passed from the top level rolling API
center : bool, default None
center passed from the top level rolling API
closed : str, default None
closed passed from the top level rolling API
win_type : str, default None
win_type passed from the top level rolling API
Returns
-------
A tuple of ndarray[int64]s, indicating the boundaries of each
window
"""
class BaseIndexer:
"""Base class for window bounds calculations."""
def __init__(
self, index_array: Optional[np.ndarray] = None, window_size: int = 0, **kwargs,
):
"""
Parameters
----------
**kwargs :
keyword arguments that will be available when get_window_bounds is called
"""
self.index_array = index_array
self.window_size = window_size
# Set user defined kwargs as attributes that can be used in get_window_bounds
for key, value in kwargs.items():
setattr(self, key, value)
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
raise NotImplementedError
class FixedWindowIndexer(BaseIndexer):
"""Creates window boundaries that are of fixed length."""
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
start_s = np.zeros(self.window_size, dtype="int64")
start_e = (
np.arange(self.window_size, num_values, dtype="int64")
- self.window_size
+ 1
)
start = np.concatenate([start_s, start_e])[:num_values]
end_s = np.arange(self.window_size, dtype="int64") + 1
end_e = start_e + self.window_size
end = np.concatenate([end_s, end_e])[:num_values]
return start, end
class VariableWindowIndexer(BaseIndexer):
"""Creates window boundaries that are of variable length, namely for time series."""
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
return calculate_variable_window_bounds(
num_values, self.window_size, min_periods, center, closed, self.index_array,
)
class VariableOffsetWindowIndexer(BaseIndexer):
"""Calculate window boundaries based on a non-fixed offset such as a BusinessDay"""
def __init__(
self,
index_array: Optional[np.ndarray] = None,
window_size: int = 0,
index=None,
offset=None,
**kwargs,
):
super().__init__(index_array, window_size, **kwargs)
self.index = index
self.offset = offset
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
# if windows is variable, default is 'right', otherwise default is 'both'
if closed is None:
closed = "right" if self.index is not None else "both"
right_closed = closed in ["right", "both"]
left_closed = closed in ["left", "both"]
if self.index[num_values - 1] < self.index[0]:
index_growth_sign = -1
else:
index_growth_sign = 1
start = np.empty(num_values, dtype="int64")
start.fill(-1)
end = np.empty(num_values, dtype="int64")
end.fill(-1)
start[0] = 0
# right endpoint is closed
if right_closed:
end[0] = 1
# right endpoint is open
else:
end[0] = 0
# start is start of slice interval (including)
# end is end of slice interval (not including)
for i in range(1, num_values):
end_bound = self.index[i]
start_bound = self.index[i] - index_growth_sign * self.offset
# left endpoint is closed
if left_closed:
start_bound -= Nano(1)
# advance the start bound until we are
# within the constraint
start[i] = i
for j in range(start[i - 1], i):
if (self.index[j] - start_bound) * index_growth_sign > timedelta(0):
start[i] = j
break
# end bound is previous end
# or current index
if (self.index[end[i - 1]] - end_bound) * index_growth_sign <= timedelta(0):
end[i] = i + 1
else:
end[i] = end[i - 1]
# right endpoint is open
if not right_closed:
end[i] -= 1
return start, end
class ExpandingIndexer(BaseIndexer):
"""Calculate expanding window bounds, mimicking df.expanding()"""
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
return (
np.zeros(num_values, dtype=np.int64),
np.arange(1, num_values + 1, dtype=np.int64),
)
class FixedForwardWindowIndexer(BaseIndexer):
"""
Creates window boundaries for fixed-length windows that include the
current row.
Examples
--------
>>> df = pd.DataFrame({'B': [0, 1, 2, np.nan, 4]})
>>> df
B
0 0.0
1 1.0
2 2.0
3 NaN
4 4.0
>>> indexer = pd.api.indexers.FixedForwardWindowIndexer(window_size=2)
>>> df.rolling(window=indexer, min_periods=1).sum()
B
0 1.0
1 3.0
2 2.0
3 4.0
4 4.0
"""
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
if center:
raise ValueError("Forward-looking windows can't have center=True")
if closed is not None:
raise ValueError(
"Forward-looking windows don't support setting the closed argument"
)
start = np.arange(num_values, dtype="int64")
end_s = start[: -self.window_size] + self.window_size
end_e = np.full(self.window_size, num_values, dtype="int64")
end = np.concatenate([end_s, end_e])
return start, end
class GroupbyRollingIndexer(BaseIndexer):
"""Calculate bounds to compute groupby rolling, mimicking df.groupby().rolling()"""
def __init__(
self,
index_array: Optional[np.ndarray],
window_size: int,
groupby_indicies: Dict,
rolling_indexer: Type[BaseIndexer],
indexer_kwargs: Optional[Dict],
**kwargs,
):
"""
Parameters
----------
**kwargs :
keyword arguments that will be available when get_window_bounds is called
"""
self.groupby_indicies = groupby_indicies
self.rolling_indexer = rolling_indexer
self.indexer_kwargs = indexer_kwargs or {}
super().__init__(
index_array, self.indexer_kwargs.pop("window_size", window_size), **kwargs
)
@Appender(get_window_bounds_doc)
def get_window_bounds(
self,
num_values: int = 0,
min_periods: Optional[int] = None,
center: Optional[bool] = None,
closed: Optional[str] = None,
) -> Tuple[np.ndarray, np.ndarray]:
# 1) For each group, get the indices that belong to the group
# 2) Use the indices to calculate the start & end bounds of the window
# 3) Append the window bounds in group order
start_arrays = []
end_arrays = []
window_indicies_start = 0
for key, indices in self.groupby_indicies.items():
if self.index_array is not None:
index_array = self.index_array.take(ensure_platform_int(indices))
else:
index_array = self.index_array
indexer = self.rolling_indexer(
index_array=index_array,
window_size=self.window_size,
**self.indexer_kwargs,
)
start, end = indexer.get_window_bounds(
len(indices), min_periods, center, closed
)
start = start.astype(np.int64)
end = end.astype(np.int64)
# Cannot use groupby_indicies as they might not be monotonic with the object
# we're rolling over
window_indicies = np.arange(
window_indicies_start, window_indicies_start + len(indices),
)
window_indicies_start += len(indices)
# Extend as we'll be slicing window like [start, end)
window_indicies = np.append(
window_indicies, [window_indicies[-1] + 1]
).astype(np.int64)
start_arrays.append(window_indicies.take(ensure_platform_int(start)))
end_arrays.append(window_indicies.take(ensure_platform_int(end)))
start = np.concatenate(start_arrays)
end = np.concatenate(end_arrays)
# GH 35552: Need to adjust start and end based on the nans appended to values
# when center=True
if num_values > len(start):
offset = num_values - len(start)
start = np.concatenate([start, np.array([end[-1]] * offset)])
end = np.concatenate([end, np.array([end[-1]] * offset)])
return start, end