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Merge pull request #2 from Magnus167/bdate_opt
Optimizing `bdates` utils
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GitHub
commit
4e4d1c6625
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notebooks/funcwise/bdate_range_util.ipynb
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360
notebooks/funcwise/bdate_range_util.ipynb
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"# ! uv pip install E:\\Work\\ruzt\\msyrs --upgrade"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"### Import Python packages\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"import macrosynergy\n",
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"import pandas as pd\n",
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"import numpy as np\n",
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"import polars as pl\n",
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"import os\n",
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"import time\n",
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"\n",
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"from macrosynergy.panel import view_timelines\n",
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"from macrosynergy.management.types import QuantamentalDataFrame\n"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"### Import Python bindings - `msyrs`\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [],
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"source": [
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"import msyrs"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/html": [
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"<div>\n",
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"<style scoped>\n",
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" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
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" }\n",
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"\n",
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>bdates</th>\n",
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" <th>0</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>0</th>\n",
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" <td>2000-01-03</td>\n",
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" <td>2000-01-03</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1</th>\n",
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" <td>2000-01-10</td>\n",
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" <td>2000-01-10</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2</th>\n",
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" <td>2000-01-17</td>\n",
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" <td>2000-01-17</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>3</th>\n",
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" <td>2000-01-24</td>\n",
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" <td>2000-01-24</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>4</th>\n",
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" <td>2000-01-31</td>\n",
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" <td>2000-01-31</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>...</th>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1056</th>\n",
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" <td>2020-03-30</td>\n",
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" <td>2020-03-30</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1057</th>\n",
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" <td>2020-04-06</td>\n",
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" <td>2020-04-06</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1058</th>\n",
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" <td>2020-04-13</td>\n",
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" <td>2020-04-13</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1059</th>\n",
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" <td>2020-04-20</td>\n",
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" <td>2020-04-20</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1060</th>\n",
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" <td>2020-04-27</td>\n",
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" <td>2020-04-27</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"<p>1061 rows × 2 columns</p>\n",
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"</div>"
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],
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"text/plain": [
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" bdates 0\n",
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"0 2000-01-03 2000-01-03\n",
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"1 2000-01-10 2000-01-10\n",
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"2 2000-01-17 2000-01-17\n",
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"3 2000-01-24 2000-01-24\n",
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"4 2000-01-31 2000-01-31\n",
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"... ... ...\n",
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"1056 2020-03-30 2020-03-30\n",
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"1057 2020-04-06 2020-04-06\n",
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"1058 2020-04-13 2020-04-13\n",
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"1059 2020-04-20 2020-04-20\n",
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"1060 2020-04-27 2020-04-27\n",
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"\n",
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"[1061 rows x 2 columns]"
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]
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},
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"execution_count": 4,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"x = msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='W').to_pandas()\n",
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"y = pd.Series(pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='W-MON'))\n",
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"\n",
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"pd.concat([x, y], axis=1)\n",
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"\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Results for M\t & \tBMS\t are exactly the same\n",
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"Results for Q\t & \tBQS\t are exactly the same\n",
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"Results for W\t & \tW-MON\t are exactly the same\n",
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"Results for WF\t & \tW-FRI\t are exactly the same\n"
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]
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}
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],
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"source": [
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"for rs_freq, pd_freq in [('M', 'BMS'), ('Q', 'BQS'), ('W', 'W-MON'), ('WF', 'W-FRI')]:\n",
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"\n",
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"\n",
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" x = msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq=rs_freq).to_pandas()\n",
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" y = pd.Series(pd.bdate_range(start='2000-01-01', end='2020-05-01', freq=pd_freq))\n",
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"\n",
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" e = x == y\n",
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" res = e.all()\n",
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" non_matching_df = pd.concat([x[~e], y[~e]], axis=1)\n",
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" assert res, f\"Results for {rs_freq}\\t and \\t{pd_freq}\\t are not the same\\n{non_matching_df}\"\n",
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" print(f\"Results for {rs_freq}\\t & \\t{pd_freq}\\t are exactly the same\")\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 6,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"23.5 μs ± 1.02 μs per loop (mean ± std. dev. of 7 runs, 10,000 loops each)\n",
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"67.4 μs ± 979 ns per loop (mean ± std. dev. of 7 runs, 10,000 loops each)\n",
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"1.97 ms ± 57.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"4.65 ms ± 170 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
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"28.3 ms ± 898 μs per loop (mean ± std. dev. of 7 runs, 10 loops each)\n",
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"93.8 ms ± 2.02 ms per loop (mean ± std. dev. of 7 runs, 10 loops each)\n"
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]
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}
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],
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"source": [
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='D')\n",
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='D')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='D')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='D')\n",
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"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='B')\n",
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"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='B')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"7.95 μs ± 146 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"17.9 μs ± 108 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"1.73 ms ± 20.8 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"4 ms ± 69.3 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
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"5.69 ms ± 139 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
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"19.1 ms ± 268 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n"
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]
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}
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],
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"source": [
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='WF')\n",
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='WF')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='WF')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='WF')\n",
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"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='W-FRI')\n",
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"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='W-FRI')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"6.9 μs ± 126 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"13.1 μs ± 93.3 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"1.73 ms ± 29.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"4.2 ms ± 81.5 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
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"931 μs ± 14.2 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"3.05 ms ± 47.5 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n"
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]
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}
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],
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"source": [
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='ME')\n",
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='ME')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='ME')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='ME')\n",
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"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='BME')\n",
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"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='BME')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"3.65 μs ± 69.1 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"4.78 μs ± 38.7 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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"1.73 ms ± 122 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"4.16 ms ± 286 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
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"340 μs ± 11.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
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"1.1 ms ± 11.5 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n"
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]
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}
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],
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"source": [
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='Q')\n",
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"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='Q')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='Q')\n",
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"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='Q')\n",
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"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='BQS')\n",
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"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='BQS')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 10,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"3.21 μs ± 83.4 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
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||||||
|
"3.66 μs ± 198 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
|
||||||
|
"2.67 ms ± 459 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
|
||||||
|
"3.71 ms ± 143 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
|
||||||
|
"98.7 μs ± 1.47 μs per loop (mean ± std. dev. of 7 runs, 10,000 loops each)\n",
|
||||||
|
"289 μs ± 15.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n"
|
||||||
|
]
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='YE')\n",
|
||||||
|
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='YE')\n",
|
||||||
|
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='YE')\n",
|
||||||
|
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='YE')\n",
|
||||||
|
"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='BYE')\n",
|
||||||
|
"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='BYE')"
|
||||||
|
]
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"metadata": {
|
||||||
|
"kernelspec": {
|
||||||
|
"display_name": ".venv",
|
||||||
|
"language": "python",
|
||||||
|
"name": "python3"
|
||||||
|
},
|
||||||
|
"language_info": {
|
||||||
|
"codemirror_mode": {
|
||||||
|
"name": "ipython",
|
||||||
|
"version": 3
|
||||||
|
},
|
||||||
|
"file_extension": ".py",
|
||||||
|
"mimetype": "text/x-python",
|
||||||
|
"name": "python",
|
||||||
|
"nbconvert_exporter": "python",
|
||||||
|
"pygments_lexer": "ipython3",
|
||||||
|
"version": "3.12.4"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
"nbformat": 4,
|
||||||
|
"nbformat_minor": 4
|
||||||
|
}
|
||||||
@ -5,18 +5,31 @@ use pyo3_polars::{PyDataFrame, PySeries};
|
|||||||
#[allow(deprecated)]
|
#[allow(deprecated)]
|
||||||
#[pymodule]
|
#[pymodule]
|
||||||
pub fn utils(_py: Python, m: &PyModule) -> PyResult<()> {
|
pub fn utils(_py: Python, m: &PyModule) -> PyResult<()> {
|
||||||
m.add_function(wrap_pyfunction!(get_bdates_series_default, m)?)?;
|
m.add_function(wrap_pyfunction!(get_bdates_series_default_pl, m)?)?;
|
||||||
|
m.add_function(wrap_pyfunction!(get_bdates_series_default_opt, m)?)?;
|
||||||
Ok(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
||||||
#[pyfunction]
|
#[pyfunction]
|
||||||
pub fn get_bdates_series_default(
|
pub fn get_bdates_series_default_pl(
|
||||||
start_date: String,
|
start_date: String,
|
||||||
end_date: String,
|
end_date: String,
|
||||||
freq: Option<String>,
|
freq: Option<String>,
|
||||||
) -> PyResult<PySeries> {
|
) -> PyResult<PySeries> {
|
||||||
Ok(PySeries(
|
Ok(PySeries(
|
||||||
crate::utils::dateutils::get_bdates_series_default(start_date, end_date, freq)
|
crate::utils::dateutils::get_bdates_series_default_pl(start_date, end_date, freq)
|
||||||
|
.map_err(|e| PyErr::new::<pyo3::exceptions::PyValueError, _>(format!("{}", e)))?,
|
||||||
|
))
|
||||||
|
}
|
||||||
|
|
||||||
|
#[pyfunction]
|
||||||
|
pub fn get_bdates_series_default_opt(
|
||||||
|
start_date: String,
|
||||||
|
end_date: String,
|
||||||
|
freq: Option<String>,
|
||||||
|
) -> PyResult<PySeries> {
|
||||||
|
Ok(PySeries(
|
||||||
|
crate::utils::dateutils::get_bdates_series_default_opt(start_date, end_date, freq)
|
||||||
.map_err(|e| PyErr::new::<pyo3::exceptions::PyValueError, _>(format!("{}", e)))?,
|
.map_err(|e| PyErr::new::<pyo3::exceptions::PyValueError, _>(format!("{}", e)))?,
|
||||||
))
|
))
|
||||||
}
|
}
|
||||||
|
|||||||
@ -51,6 +51,8 @@ class panel:
|
|||||||
def linear_composite(*args, **kwargs) -> DataFrame: ...
|
def linear_composite(*args, **kwargs) -> DataFrame: ...
|
||||||
|
|
||||||
class utils:
|
class utils:
|
||||||
__all__ = ["get_bdates_series_default"]
|
__all__ = ["get_bdates_series_default", "get_bdates_series_default_opt"]
|
||||||
@staticmethod
|
@staticmethod
|
||||||
def get_bdates_series_default(*args, **kwargs) -> Series: ...
|
def get_bdates_series_default_pl(*args, **kwargs) -> Series: ...
|
||||||
|
@staticmethod
|
||||||
|
def get_bdates_series_default_opt(*args, **kwargs) -> Series: ...
|
||||||
|
|||||||
365
src/utils/bdates.rs
Normal file
365
src/utils/bdates.rs
Normal file
@ -0,0 +1,365 @@
|
|||||||
|
use chrono::{Datelike, Duration, NaiveDate, Weekday};
|
||||||
|
use std::error::Error;
|
||||||
|
|
||||||
|
#[derive(Debug, Clone, Copy)]
|
||||||
|
pub enum BDateFreq {
|
||||||
|
Daily,
|
||||||
|
WeeklyMonday,
|
||||||
|
MonthStart,
|
||||||
|
QuarterStart,
|
||||||
|
YearStart,
|
||||||
|
MonthEnd,
|
||||||
|
QuarterEnd,
|
||||||
|
WeeklyFriday,
|
||||||
|
YearEnd,
|
||||||
|
}
|
||||||
|
|
||||||
|
#[derive(Debug, Clone, Copy)]
|
||||||
|
pub enum AggregationType {
|
||||||
|
Start, // Indicates picking the first date in a group.
|
||||||
|
End, // Indicates picking the last date in a group.
|
||||||
|
}
|
||||||
|
|
||||||
|
impl BDateFreq {
|
||||||
|
pub fn from_string(freq: String) -> Result<Self, Box<dyn Error>> {
|
||||||
|
// use from_str to convert the string to a BDateFreq enum
|
||||||
|
Self::from_str(&freq)
|
||||||
|
}
|
||||||
|
pub fn from_str(freq: &str) -> Result<Self, Box<dyn Error>> {
|
||||||
|
match freq {
|
||||||
|
"D" => Ok(BDateFreq::Daily),
|
||||||
|
"W" => Ok(BDateFreq::WeeklyMonday),
|
||||||
|
"M" => Ok(BDateFreq::MonthStart),
|
||||||
|
"Q" => Ok(BDateFreq::QuarterStart),
|
||||||
|
"A" => Ok(BDateFreq::YearStart),
|
||||||
|
"ME" => Ok(BDateFreq::MonthEnd),
|
||||||
|
"QE" => Ok(BDateFreq::QuarterEnd),
|
||||||
|
"WF" => Ok(BDateFreq::WeeklyFriday),
|
||||||
|
"YE" => Ok(BDateFreq::YearEnd),
|
||||||
|
_ => Err("Invalid frequency specified".into()),
|
||||||
|
}
|
||||||
|
}
|
||||||
|
pub fn agg_type(&self) -> AggregationType {
|
||||||
|
match self {
|
||||||
|
BDateFreq::Daily
|
||||||
|
| BDateFreq::WeeklyMonday
|
||||||
|
| BDateFreq::MonthStart
|
||||||
|
| BDateFreq::QuarterStart
|
||||||
|
| BDateFreq::YearStart => AggregationType::Start,
|
||||||
|
|
||||||
|
BDateFreq::WeeklyFriday
|
||||||
|
| BDateFreq::MonthEnd
|
||||||
|
| BDateFreq::QuarterEnd
|
||||||
|
| BDateFreq::YearEnd => AggregationType::End,
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Returns only the business dates (Mon-Fri) between start_date and end_date
|
||||||
|
/// that match the desired frequency.
|
||||||
|
pub fn get_bdates_list_with_freq(
|
||||||
|
start_date_str: &str,
|
||||||
|
end_date_str: &str,
|
||||||
|
freq: BDateFreq,
|
||||||
|
) -> Result<Vec<NaiveDate>, Box<dyn Error>> {
|
||||||
|
let start_date = NaiveDate::parse_from_str(start_date_str, "%Y-%m-%d")?;
|
||||||
|
let end_date = NaiveDate::parse_from_str(end_date_str, "%Y-%m-%d")?;
|
||||||
|
|
||||||
|
if start_date > end_date {
|
||||||
|
return Ok(Vec::new());
|
||||||
|
}
|
||||||
|
|
||||||
|
let mut dates = match freq {
|
||||||
|
BDateFreq::Daily => collect_daily(start_date, end_date),
|
||||||
|
|
||||||
|
BDateFreq::WeeklyMonday => collect_weekly(start_date, end_date, Weekday::Mon),
|
||||||
|
BDateFreq::WeeklyFriday => collect_weekly(start_date, end_date, Weekday::Fri),
|
||||||
|
|
||||||
|
BDateFreq::MonthStart => collect_monthly(start_date, end_date, /*start=*/ true),
|
||||||
|
BDateFreq::MonthEnd => collect_monthly(start_date, end_date, /*start=*/ false),
|
||||||
|
|
||||||
|
BDateFreq::QuarterStart => collect_quarterly(start_date, end_date, /*start=*/ true),
|
||||||
|
BDateFreq::QuarterEnd => collect_quarterly(start_date, end_date, /*start=*/ false),
|
||||||
|
|
||||||
|
BDateFreq::YearStart => collect_yearly(start_date, end_date, /*start=*/ true),
|
||||||
|
BDateFreq::YearEnd => collect_yearly(start_date, end_date, /*start=*/ false),
|
||||||
|
};
|
||||||
|
|
||||||
|
// Filter out any weekend days that might slip in edge cases (e.g. if the
|
||||||
|
// computed "start of month" fell on Sat/Sun).
|
||||||
|
dates.retain(|d| d.weekday() != Weekday::Sat && d.weekday() != Weekday::Sun);
|
||||||
|
|
||||||
|
Ok(dates)
|
||||||
|
}
|
||||||
|
|
||||||
|
/* ------------------------------ Helpers ------------------------------ */
|
||||||
|
|
||||||
|
/// Return all business days, day-by-day.
|
||||||
|
fn collect_daily(start_date: NaiveDate, end_date: NaiveDate) -> Vec<NaiveDate> {
|
||||||
|
let mut result = Vec::new();
|
||||||
|
let mut current = start_date;
|
||||||
|
while current <= end_date {
|
||||||
|
if is_weekday(current) {
|
||||||
|
result.push(current);
|
||||||
|
}
|
||||||
|
current = current.succ_opt().unwrap();
|
||||||
|
}
|
||||||
|
result
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return the specified weekday (e.g. Monday, Friday) in each week of the range.
|
||||||
|
fn collect_weekly(
|
||||||
|
start_date: NaiveDate,
|
||||||
|
end_date: NaiveDate,
|
||||||
|
target_weekday: Weekday,
|
||||||
|
) -> Vec<NaiveDate> {
|
||||||
|
let mut result = Vec::new();
|
||||||
|
|
||||||
|
// Find the first `target_weekday` on or after `start_date`.
|
||||||
|
// If `start_date` is already e.g. Monday, we can use it as is.
|
||||||
|
// Otherwise, jump ahead until we get that weekday.
|
||||||
|
let mut current = move_to_weekday_on_or_after(start_date, target_weekday);
|
||||||
|
|
||||||
|
// Step in 7-day increments (full weeks).
|
||||||
|
while current <= end_date {
|
||||||
|
result.push(current);
|
||||||
|
current = current + Duration::days(7);
|
||||||
|
}
|
||||||
|
result
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return either first or last business day in each month of the range.
|
||||||
|
fn collect_monthly(
|
||||||
|
start_date: NaiveDate,
|
||||||
|
end_date: NaiveDate,
|
||||||
|
want_first_day: bool,
|
||||||
|
) -> Vec<NaiveDate> {
|
||||||
|
let mut result = Vec::new();
|
||||||
|
|
||||||
|
// We'll iterate month by month, from (start_year, start_month) up to
|
||||||
|
// (end_year, end_month).
|
||||||
|
let mut year = start_date.year();
|
||||||
|
let mut month = start_date.month();
|
||||||
|
|
||||||
|
// A small helper that updates year/month by +1 month.
|
||||||
|
let next_month = |(yr, mo): (i32, u32)| -> (i32, u32) {
|
||||||
|
if mo == 12 {
|
||||||
|
(yr + 1, 1)
|
||||||
|
} else {
|
||||||
|
(yr, mo + 1)
|
||||||
|
}
|
||||||
|
};
|
||||||
|
|
||||||
|
// Move `(year, month)` backward if necessary so that `(year, month)`
|
||||||
|
// definitely covers the entire period from `start_date` onward.
|
||||||
|
// Actually, it’s simpler to start from the actual (year, month) of start_date
|
||||||
|
// and go up. We'll just skip if the computed "day" < start_date.
|
||||||
|
|
||||||
|
// Continue while we haven't passed (end_year, end_month).
|
||||||
|
while year < end_date.year() || (year == end_date.year() && month <= end_date.month()) {
|
||||||
|
// Compute the date that represents either first or last business day
|
||||||
|
// for this (year, month).
|
||||||
|
let candidate = if want_first_day {
|
||||||
|
first_business_day_of_month(year, month)
|
||||||
|
} else {
|
||||||
|
last_business_day_of_month(year, month)
|
||||||
|
};
|
||||||
|
if candidate >= start_date && candidate <= end_date {
|
||||||
|
result.push(candidate);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Move to the next month.
|
||||||
|
let (ny, nm) = next_month((year, month));
|
||||||
|
year = ny;
|
||||||
|
month = nm;
|
||||||
|
}
|
||||||
|
|
||||||
|
result
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return either the first or last business day in each quarter of the range.
|
||||||
|
fn collect_quarterly(
|
||||||
|
start_date: NaiveDate,
|
||||||
|
end_date: NaiveDate,
|
||||||
|
want_first_day: bool,
|
||||||
|
) -> Vec<NaiveDate> {
|
||||||
|
let mut result = Vec::new();
|
||||||
|
|
||||||
|
// We'll figure out which quarter `start_date` is in, then jump quarter-by-quarter.
|
||||||
|
// Quarters are: Q1 = months 1–3, Q2 = 4–6, Q3 = 7–9, Q4 = 10–12.
|
||||||
|
// Start by computing the (year, quarter_index) for start_date.
|
||||||
|
let mut year = start_date.year();
|
||||||
|
let mut q = month_to_quarter(start_date.month());
|
||||||
|
|
||||||
|
while quarter_to_first_date(year, q) > end_date {
|
||||||
|
// If even the earliest day in that quarter is > end_date, we’re done.
|
||||||
|
return result;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Move backward if the quarter’s last day < start_date, etc.
|
||||||
|
// But simpler: we’ll do a loop that increments quarter by quarter, and
|
||||||
|
// pick the appropriate date each time. We break when we pass end_date.
|
||||||
|
|
||||||
|
loop {
|
||||||
|
// For the current year+quarter, compute the date that’s either the first or last
|
||||||
|
// business day of that quarter:
|
||||||
|
let candidate = if want_first_day {
|
||||||
|
first_business_day_of_quarter(year, q)
|
||||||
|
} else {
|
||||||
|
last_business_day_of_quarter(year, q)
|
||||||
|
};
|
||||||
|
|
||||||
|
if candidate > end_date {
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
if candidate >= start_date {
|
||||||
|
result.push(candidate);
|
||||||
|
}
|
||||||
|
|
||||||
|
// Move to next quarter.
|
||||||
|
if q == 4 {
|
||||||
|
year += 1;
|
||||||
|
q = 1;
|
||||||
|
} else {
|
||||||
|
q += 1;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
result
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return either the first or last business day in each year of the range.
|
||||||
|
fn collect_yearly(
|
||||||
|
start_date: NaiveDate,
|
||||||
|
end_date: NaiveDate,
|
||||||
|
want_first_day: bool,
|
||||||
|
) -> Vec<NaiveDate> {
|
||||||
|
let mut result = Vec::new();
|
||||||
|
let mut year = start_date.year();
|
||||||
|
|
||||||
|
// Step year-by-year from `start_date.year()` up to `end_date.year()`.
|
||||||
|
while year <= end_date.year() {
|
||||||
|
let candidate = if want_first_day {
|
||||||
|
first_business_day_of_year(year)
|
||||||
|
} else {
|
||||||
|
last_business_day_of_year(year)
|
||||||
|
};
|
||||||
|
if candidate >= start_date && candidate <= end_date {
|
||||||
|
result.push(candidate);
|
||||||
|
}
|
||||||
|
year += 1;
|
||||||
|
}
|
||||||
|
result
|
||||||
|
}
|
||||||
|
|
||||||
|
/* ---------------------- Low-Level Utility Functions ---------------------- */
|
||||||
|
|
||||||
|
/// Is this a weekday (Mon-Fri)?
|
||||||
|
fn is_weekday(date: NaiveDate) -> bool {
|
||||||
|
match date.weekday() {
|
||||||
|
Weekday::Sat | Weekday::Sun => false,
|
||||||
|
_ => true,
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Given a date and a `target_weekday`, returns the date that is the first
|
||||||
|
/// `target_weekday` on or after the given date.
|
||||||
|
fn move_to_weekday_on_or_after(date: NaiveDate, target: Weekday) -> NaiveDate {
|
||||||
|
let mut current = date;
|
||||||
|
while current.weekday() != target {
|
||||||
|
current = current.succ_opt().unwrap();
|
||||||
|
}
|
||||||
|
current
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return the earliest business day of (year, month).
|
||||||
|
fn first_business_day_of_month(year: i32, month: u32) -> NaiveDate {
|
||||||
|
// Start with the 1st of the month.
|
||||||
|
let mut d = NaiveDate::from_ymd_opt(year, month, 1).expect("invalid year-month");
|
||||||
|
// If it’s Sat/Sun, move forward until we get a weekday.
|
||||||
|
while !is_weekday(d) {
|
||||||
|
d = d.succ_opt().unwrap();
|
||||||
|
}
|
||||||
|
d
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return the latest business day of (year, month).
|
||||||
|
fn last_business_day_of_month(year: i32, month: u32) -> NaiveDate {
|
||||||
|
let last_dom = days_in_month(year, month);
|
||||||
|
let mut d = NaiveDate::from_ymd_opt(year, month, last_dom).expect("invalid year-month");
|
||||||
|
// If it’s Sat/Sun, move backward until we get a weekday.
|
||||||
|
while !is_weekday(d) {
|
||||||
|
d = d.pred_opt().unwrap();
|
||||||
|
}
|
||||||
|
d
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Number of days in a month (not considering leap years *beyond* chrono's normal handling).
|
||||||
|
fn days_in_month(year: i32, month: u32) -> u32 {
|
||||||
|
// Chrono can handle this if we do a little trick:
|
||||||
|
// Construct the 1st of the next month, then subtract 1 day.
|
||||||
|
// For example:
|
||||||
|
// if month == 12 => next = (year+1, 1, 1)
|
||||||
|
// else => next = (year, month+1, 1)
|
||||||
|
let (ny, nm) = if month == 12 {
|
||||||
|
(year + 1, 1)
|
||||||
|
} else {
|
||||||
|
(year, month + 1)
|
||||||
|
};
|
||||||
|
let first_of_next = NaiveDate::from_ymd_opt(ny, nm, 1).unwrap();
|
||||||
|
let last_of_this = first_of_next.pred_opt().unwrap();
|
||||||
|
last_of_this.day()
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Convert a month (1..12) to a quarter (1..4).
|
||||||
|
fn month_to_quarter(m: u32) -> u32 {
|
||||||
|
(m - 1) / 3 + 1
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Returns 1st day of a given (year, quarter).
|
||||||
|
fn quarter_to_first_date(year: i32, quarter: u32) -> NaiveDate {
|
||||||
|
let month = match quarter {
|
||||||
|
1 => 1,
|
||||||
|
2 => 4,
|
||||||
|
3 => 7,
|
||||||
|
4 => 10,
|
||||||
|
_ => panic!("invalid quarter"),
|
||||||
|
};
|
||||||
|
NaiveDate::from_ymd_opt(year, month, 1).unwrap()
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return the earliest business day in (year, quarter).
|
||||||
|
fn first_business_day_of_quarter(year: i32, quarter: u32) -> NaiveDate {
|
||||||
|
let mut d = quarter_to_first_date(year, quarter);
|
||||||
|
while !is_weekday(d) {
|
||||||
|
d = d.succ_opt().unwrap();
|
||||||
|
}
|
||||||
|
d
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Return the last business day in (year, quarter).
|
||||||
|
fn last_business_day_of_quarter(year: i32, quarter: u32) -> NaiveDate {
|
||||||
|
// The last month in the quarter is quarter_to_first_date(...) + 2 months
|
||||||
|
// Then we find the last day of that month.
|
||||||
|
let start = quarter_to_first_date(year, quarter);
|
||||||
|
let last_month = start.month() + 2; // e.g. Q1 => month=1 => +2=3 => March
|
||||||
|
last_business_day_of_month(year, last_month)
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Returns Jan 1st of a given year (adjust if weekend).
|
||||||
|
fn first_business_day_of_year(year: i32) -> NaiveDate {
|
||||||
|
let mut d = NaiveDate::from_ymd_opt(year, 1, 1).unwrap();
|
||||||
|
while !is_weekday(d) {
|
||||||
|
d = d.succ_opt().unwrap();
|
||||||
|
}
|
||||||
|
d
|
||||||
|
}
|
||||||
|
|
||||||
|
/// Returns Dec 31st of a given year (adjust if weekend).
|
||||||
|
fn last_business_day_of_year(year: i32) -> NaiveDate {
|
||||||
|
let mut d = NaiveDate::from_ymd_opt(year, 12, 31).unwrap();
|
||||||
|
while !is_weekday(d) {
|
||||||
|
d = d.pred_opt().unwrap();
|
||||||
|
}
|
||||||
|
d
|
||||||
|
}
|
||||||
@ -1,3 +1,5 @@
|
|||||||
|
use crate::utils::bdates;
|
||||||
|
use crate::utils::bdates::BDateFreq;
|
||||||
use chrono::NaiveDate;
|
use chrono::NaiveDate;
|
||||||
use chrono::{Datelike, Weekday};
|
use chrono::{Datelike, Weekday};
|
||||||
use polars::prelude::*;
|
use polars::prelude::*;
|
||||||
@ -57,61 +59,6 @@ pub fn get_bdates_list(
|
|||||||
Ok(business_days)
|
Ok(business_days)
|
||||||
}
|
}
|
||||||
|
|
||||||
#[derive(Debug, Clone, Copy)]
|
|
||||||
pub enum BDateFreq {
|
|
||||||
Daily,
|
|
||||||
WeeklyMonday,
|
|
||||||
MonthStart,
|
|
||||||
QuarterStart,
|
|
||||||
YearStart,
|
|
||||||
MonthEnd,
|
|
||||||
QuarterEnd,
|
|
||||||
WeeklyFriday,
|
|
||||||
YearEnd,
|
|
||||||
}
|
|
||||||
|
|
||||||
impl BDateFreq {
|
|
||||||
pub fn from_string(freq: String) -> Result<Self, Box<dyn Error>> {
|
|
||||||
// use `from_str` to convert the string to a BDateFreq enum
|
|
||||||
Self::from_str(&freq)
|
|
||||||
}
|
|
||||||
pub fn from_str(freq: &str) -> Result<Self, Box<dyn Error>> {
|
|
||||||
match freq {
|
|
||||||
"D" => Ok(BDateFreq::Daily),
|
|
||||||
"W" => Ok(BDateFreq::WeeklyMonday),
|
|
||||||
"M" => Ok(BDateFreq::MonthStart),
|
|
||||||
"Q" => Ok(BDateFreq::QuarterStart),
|
|
||||||
"A" => Ok(BDateFreq::YearStart),
|
|
||||||
"ME" => Ok(BDateFreq::MonthEnd),
|
|
||||||
"QE" => Ok(BDateFreq::QuarterEnd),
|
|
||||||
"WF" => Ok(BDateFreq::WeeklyFriday),
|
|
||||||
"YE" => Ok(BDateFreq::YearEnd),
|
|
||||||
_ => Err("Invalid frequency specified".into()),
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
pub fn agg_type(&self) -> AggregationType {
|
|
||||||
match self {
|
|
||||||
BDateFreq::Daily
|
|
||||||
| BDateFreq::WeeklyMonday
|
|
||||||
| BDateFreq::MonthStart
|
|
||||||
| BDateFreq::QuarterStart
|
|
||||||
| BDateFreq::YearStart => AggregationType::Start,
|
|
||||||
BDateFreq::WeeklyFriday
|
|
||||||
| BDateFreq::MonthEnd
|
|
||||||
| BDateFreq::QuarterEnd
|
|
||||||
| BDateFreq::YearEnd => AggregationType::End,
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
#[derive(Debug, Clone, Copy)]
|
|
||||||
pub enum AggregationType {
|
|
||||||
Start, // Indicates picking the first date in a group.
|
|
||||||
End, // Indicates picking the last date in a group.
|
|
||||||
}
|
|
||||||
|
|
||||||
// Map a BDateFreq to an AggregationType.
|
|
||||||
fn compute_group_key(d: NaiveDate, freq: BDateFreq) -> String {
|
fn compute_group_key(d: NaiveDate, freq: BDateFreq) -> String {
|
||||||
match freq {
|
match freq {
|
||||||
// For Daily, each date is its own group.
|
// For Daily, each date is its own group.
|
||||||
@ -134,19 +81,32 @@ fn compute_group_key(d: NaiveDate, freq: BDateFreq) -> String {
|
|||||||
BDateFreq::YearStart | BDateFreq::YearEnd => format!("{}", d.year()),
|
BDateFreq::YearStart | BDateFreq::YearEnd => format!("{}", d.year()),
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
pub fn get_bdates_series_default_opt(
|
||||||
pub fn get_bdates_series_default(
|
|
||||||
start_date: String,
|
start_date: String,
|
||||||
end_date: String,
|
end_date: String,
|
||||||
freq: Option<String>,
|
freq: Option<String>,
|
||||||
) -> Result<Series, Box<dyn Error>> {
|
) -> Result<Series, Box<dyn Error>> {
|
||||||
let freq = freq.unwrap_or_else(|| "D".to_string());
|
let freq = freq.unwrap_or_else(|| "D".to_string());
|
||||||
let freq = BDateFreq::from_str(&freq)?;
|
let freq = BDateFreq::from_str(&freq)?;
|
||||||
get_bdates_series(start_date, end_date, freq)
|
let series = Series::new(
|
||||||
|
"bdates".into(),
|
||||||
|
bdates::get_bdates_list_with_freq(&start_date, &end_date, freq)?,
|
||||||
|
);
|
||||||
|
Ok(series)
|
||||||
|
}
|
||||||
|
|
||||||
|
pub fn get_bdates_series_default_pl(
|
||||||
|
start_date: String,
|
||||||
|
end_date: String,
|
||||||
|
freq: Option<String>,
|
||||||
|
) -> Result<Series, Box<dyn Error>> {
|
||||||
|
let freq = freq.unwrap_or_else(|| "D".to_string());
|
||||||
|
let freq = BDateFreq::from_str(&freq)?;
|
||||||
|
get_bdates_series_pl(start_date, end_date, freq)
|
||||||
}
|
}
|
||||||
|
|
||||||
/// Get the business dates between two dates as a Series.
|
/// Get the business dates between two dates as a Series.
|
||||||
pub fn get_bdates_series(
|
pub fn get_bdates_series_pl(
|
||||||
start_date: String,
|
start_date: String,
|
||||||
end_date: String,
|
end_date: String,
|
||||||
freq: BDateFreq,
|
freq: BDateFreq,
|
||||||
@ -163,8 +123,8 @@ pub fn get_bdates_series(
|
|||||||
])?;
|
])?;
|
||||||
let gb = df.lazy().group_by(["group"]);
|
let gb = df.lazy().group_by(["group"]);
|
||||||
let aggx = match freq.agg_type() {
|
let aggx = match freq.agg_type() {
|
||||||
AggregationType::Start => gb.agg([col("bdates").first()]),
|
bdates::AggregationType::Start => gb.agg([col("bdates").first()]),
|
||||||
AggregationType::End => gb.agg([col("bdates").last()]),
|
bdates::AggregationType::End => gb.agg([col("bdates").last()]),
|
||||||
};
|
};
|
||||||
let result = aggx.collect()?;
|
let result = aggx.collect()?;
|
||||||
let result = result
|
let result = result
|
||||||
|
|||||||
@ -1,3 +1,4 @@
|
|||||||
pub mod qdf;
|
pub mod bdates;
|
||||||
|
pub mod dateutils;
|
||||||
pub mod misc;
|
pub mod misc;
|
||||||
pub mod dateutils;
|
pub mod qdf;
|
||||||
|
|||||||
Loading…
x
Reference in New Issue
Block a user