# # Copyright 2013 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. import numpy as np import pandas as pd def _ensure_index(x): if not isinstance(x, pd.Index): x = pd.Index(x) return x class RollingPanel(object): """ Preallocation strategies for rolling window over expanding data set Restrictions: major_axis can only be a DatetimeIndex for now """ def __init__(self, window, items, minor_axis, cap_multiple=2, dtype=np.float64): self.pos = 0 self.window = window self.items = _ensure_index(items) self.minor_axis = _ensure_index(minor_axis) self.cap_multiple = cap_multiple self.cap = cap_multiple * window self.dtype = dtype self.buffer = np.empty((len(items), self.cap, len(minor_axis)), dtype=dtype) self.index_buf = np.empty(self.cap, dtype='M8[ns]') def add_frame(self, tick, frame): """ TODO: this assumes the DataFrame has the right shape """ if self.pos == self.cap: self._roll_data() self.buffer[:, self.pos, :] = frame.values self.index_buf[self.pos] = tick self.pos += 1 def get_current(self): """ Get a Panel that is the current data in view. It is not safe to persist these objects because internal data might change """ where = slice(max(self.pos - self.window, 0), self.pos) major_axis = pd.DatetimeIndex(self.index_buf[where], tz='utc') return pd.Panel(self.buffer[:, where, :], self.items, major_axis, self.minor_axis) def _roll_data(self): """ Roll window worth of data up to position zero. Save the effort of having to expensively roll at each iteration """ self.buffer[:, :self.window, :] = self.buffer[:, -self.window:] self.index_buf[:self.window] = self.index_buf[-self.window:] self.pos = self.window class NaiveRollingPanel(object): def __init__(self, window, items, minor_axis, cap_multiple=2): pass