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https://github.com/wassname/catalyst.git
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Wes McKinneyandEddie Hebert
c5f4d00bf1
Manage a rolling window collection of collection of panels for computation purposes.
87 lines
2.6 KiB
Python
87 lines
2.6 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import numpy as np
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import pandas as pd
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def _ensure_index(x):
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if not isinstance(x, pd.Index):
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x = pd.Index(x)
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return x
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class RollingPanel(object):
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"""
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Preallocation strategies for rolling window over expanding data set
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Restrictions: major_axis can only be a DatetimeIndex for now
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"""
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def __init__(self, window, items, minor_axis, cap_multiple=2,
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dtype=np.float64):
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self.pos = 0
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self.window = window
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self.items = _ensure_index(items)
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self.minor_axis = _ensure_index(minor_axis)
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self.cap_multiple = cap_multiple
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self.cap = cap_multiple * window
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self.dtype = dtype
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self.buffer = np.empty((len(items), self.cap, len(minor_axis)),
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dtype=dtype)
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self.index_buf = np.empty(self.cap, dtype='M8[ns]')
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def add_frame(self, tick, frame):
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"""
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TODO: this assumes the DataFrame has the right shape
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"""
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if self.pos == self.cap:
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self._roll_data()
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self.buffer[:, self.pos, :] = frame.values
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self.index_buf[self.pos] = tick
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self.pos += 1
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def get_current(self):
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"""
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Get a Panel that is the current data in view. It is not safe to persist
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these objects because internal data might change
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"""
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where = slice(max(self.pos - self.window, 0), self.pos)
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major_axis = pd.DatetimeIndex(self.index_buf[where], tz='utc')
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return pd.Panel(self.buffer[:, where, :], self.items, major_axis,
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self.minor_axis)
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def _roll_data(self):
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"""
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Roll window worth of data up to position zero.
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Save the effort of having to expensively roll at each iteration
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"""
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self.buffer[:, :self.window, :] = self.buffer[:, -self.window:]
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self.index_buf[:self.window] = self.index_buf[-self.window:]
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self.pos = self.window
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class NaiveRollingPanel(object):
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def __init__(self, window, items, minor_axis, cap_multiple=2):
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pass
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