# # 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 from copy import deepcopy def _ensure_index(x): if not isinstance(x, pd.Index): x = pd.Index(sorted(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, sids, cap_multiple=2, dtype=np.float64, date_buf=None): self._pos = window self._window = window self.items = _ensure_index(items) self.minor_axis = _ensure_index(sids) self.cap_multiple = cap_multiple self.cap = cap_multiple * window self.dtype = dtype self.date_buf = np.empty(self.cap, dtype='M8[ns]') \ if date_buf is None else date_buf self.buffer = self._create_buffer() @property def _oldest_frame_idx(self): return self._pos - self._window def oldest_frame(self): """ Get the oldest frame in the panel. """ return self.buffer.iloc[:, self._oldest_frame_idx, :] def set_minor_axis(self, minor_axis): self.minor_axis = _ensure_index(minor_axis) self.buffer = self.buffer.reindex(minor_axis=self.minor_axis) def set_items(self, items): self.items = _ensure_index(items) self.buffer = self.buffer.reindex(items=self.items) def _create_buffer(self): panel = pd.Panel( items=self.items, minor_axis=self.minor_axis, major_axis=range(self.cap), dtype=self.dtype, ) return panel def resize(self, window): """ Resizes the buffer to hold a new window with a new cap_multiple. If cap_multiple is None, then the old cap_multiple is used. """ self._window = window pre = self.cap self.cap = self.cap_multiple * window delta = self.cap - pre self._pos += delta self.date_buf = self.date_buf.copy() self.date_buf.resize(self.cap) self.date_buf = np.roll(self.date_buf, delta) self.buffer = pd.concat( [ pd.Panel( items=self.items, minor_axis=self.minor_axis, major_axis=np.arange(delta), dtype=self.dtype, ), self.buffer ], axis=1, ) self.buffer.major_axis = pd.Int64Index(range(self.cap)) def add_frame(self, tick, frame): """ """ if self._pos == self.cap: self._roll_data() self.buffer.loc[:, self._pos, :] = frame.T.astype(self.dtype) self.date_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(self._oldest_frame_idx, self._pos) major_axis = pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc') return pd.Panel(self.buffer.values[:, where, :], self.items, major_axis, self.minor_axis, dtype=self.dtype) def set_current(self, panel): """ Set the values stored in our current in-view data to be values of the passed panel. The passed panel must have the same indices as the panel that would be returned by self.get_current. """ where = slice(self._oldest_frame_idx, self._pos) self.buffer.values[:, where, :] = panel.values def current_dates(self): where = slice(self._oldest_frame_idx, self._pos) return pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc') 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.values[:, :self._window, :] = \ self.buffer.values[:, -self._window:, :] self.date_buf[:self._window] = self.date_buf[-self._window:] self._pos = self._window @property def window_length(self): return self._window class MutableIndexRollingPanel(object): """ A version of RollingPanel that exists for backwards compatibility with batch_transform. This is a copy to allow behavior of RollingPanel to drift away from this without breaking this class. This code should be considered frozen, and should not be used in the future. Instead, see RollingPanel. """ def __init__(self, window, items, sids, cap_multiple=2, dtype=np.float64): self._pos = 0 self._window = window self.items = _ensure_index(items) self.minor_axis = _ensure_index(sids) self.cap_multiple = cap_multiple self.cap = cap_multiple * window self.dtype = dtype self.date_buf = np.empty(self.cap, dtype='M8[ns]') self.buffer = self._create_buffer() def _oldest_frame_idx(self): return max(self._pos - self._window, 0) def oldest_frame(self): """ Get the oldest frame in the panel. """ return self.buffer.iloc[:, self._oldest_frame_idx(), :] def set_sids(self, sids): self.minor_axis = _ensure_index(sids) self.buffer = self.buffer.reindex(minor_axis=self.minor_axis) def _create_buffer(self): panel = pd.Panel( items=self.items, minor_axis=self.minor_axis, major_axis=range(self.cap), dtype=self.dtype, ) return panel 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(self._oldest_frame_idx(), self._pos) major_axis = pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc') return pd.Panel(self.buffer.values[:, where, :], self.items, major_axis, self.minor_axis, dtype=self.dtype) def set_current(self, panel): """ Set the values stored in our current in-view data to be values of the passed panel. The passed panel must have the same indices as the panel that would be returned by self.get_current. """ where = slice(self._oldest_frame_idx(), self._pos) self.buffer.values[:, where, :] = panel.values def current_dates(self): where = slice(self._oldest_frame_idx(), self._pos) return pd.DatetimeIndex(deepcopy(self.date_buf[where]), tz='utc') 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.values[:, :self._window, :] = \ self.buffer.values[:, -self._window:, :] self.date_buf[:self._window] = self.date_buf[-self._window:] self._pos = self._window def add_frame(self, tick, frame): """ """ if self._pos == self.cap: self._roll_data() if set(frame.columns).difference(set(self.minor_axis)) or \ set(frame.index).difference(set(self.items)): self._update_buffer(frame) self.buffer.loc[:, self._pos, :] = frame.T.astype(self.dtype) self.date_buf[self._pos] = tick self._pos += 1 def _update_buffer(self, frame): # Get current frame as we only need to care about the data that is in # the active window old_buffer = self.get_current() if self._pos >= self._window: # Don't count the last major_axis entry if we're past our window, # since it's about to roll off the end of the panel. old_buffer = old_buffer.iloc[:, 1:, :] nans = pd.isnull(old_buffer) # Find minor_axes that have only nans # Note that minor is axis 2 non_nan_cols = set(old_buffer.minor_axis[~np.all(nans, axis=(0, 1))]) # Determine new columns to be added new_cols = set(frame.columns).difference(non_nan_cols) # Update internal minor axis self.minor_axis = _ensure_index(new_cols.union(non_nan_cols)) # Same for items (fields) # Find items axes that have only nans # Note that items is axis 0 non_nan_items = set(old_buffer.items[~np.all(nans, axis=(1, 2))]) new_items = set(frame.index).difference(non_nan_items) self.items = _ensure_index(new_items.union(non_nan_items)) # :NOTE: # There is a simpler and 10x faster way to do this: # # Reindex buffer to update axes (automatically adds nans) # self.buffer = self.buffer.reindex(items=self.items, # major_axis=np.arange(self.cap), # minor_axis=self.minor_axis) # # However, pandas==0.12.0, for which we remain backwards compatible, # has a bug in .reindex() that this triggers. Using .update() as before # seems to work fine. new_buffer = self._create_buffer() new_buffer.update( self.buffer.loc[non_nan_items, :, non_nan_cols]) self.buffer = new_buffer