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https://github.com/Magnus167/msyrs.git
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Remove date utility functions from misc.rs and move them to dateutils.rs
This commit is contained in:
Palash Tyagi
parent
b4bc443f64
commit
6c72a6ef0a
126
src/utils/dateutils.rs
Normal file
126
src/utils/dateutils.rs
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@ -0,0 +1,126 @@
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use chrono::NaiveDate;
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use chrono::{Datelike, Weekday};
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use polars::prelude::*;
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use std::collections::HashMap;
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use std::error::Error;
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/// Get the minimum and maximum dates from a date column in a DataFrame.
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pub fn get_min_max_real_dates(
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df: &DataFrame,
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date_col: &str,
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) -> Result<(NaiveDate, NaiveDate), Box<dyn Error>> {
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let date_series = df.column(date_col)?;
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if let DataType::Date = date_series.dtype() {
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// Convert the `date` series to an i32 (days since 1970-01-01)
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let date_as_days = date_series.cast(&DataType::Int32)?;
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let min_days = date_as_days.i32()?.min().ok_or("No minimum value found")?;
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let max_days = date_as_days.i32()?.max().ok_or("No maximum value found")?;
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// Convert the days back to `NaiveDate`
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let min_date = NaiveDate::from_ymd_opt(1970, 1, 1)
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.unwrap()
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.checked_add_signed(chrono::Duration::days(min_days as i64))
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.ok_or("Invalid minimum date")?;
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let max_date = NaiveDate::from_ymd_opt(1970, 1, 1)
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.unwrap()
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.checked_add_signed(chrono::Duration::days(max_days as i64))
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.ok_or("Invalid maximum date")?;
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Ok((min_date, max_date))
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} else {
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Err(Box::new(polars::error::PolarsError::ComputeError(
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"The column is not of Date type".into(),
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)))
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}
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}
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/// Get the business dates between two dates.
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pub fn get_bdates_list(
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start_date: String,
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end_date: String,
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) -> Result<Vec<NaiveDate>, Box<dyn Error>> {
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let start_date = NaiveDate::parse_from_str(&start_date, "%Y-%m-%d")?;
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let end_date = NaiveDate::parse_from_str(&end_date, "%Y-%m-%d")?;
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let mut business_days = Vec::new();
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let mut current_date = start_date;
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while current_date <= end_date {
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// Check if the current date is a business day (not Saturday or Sunday)
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if current_date.weekday() != Weekday::Sat && current_date.weekday() != Weekday::Sun {
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business_days.push(current_date);
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}
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current_date = current_date.succ_opt().ok_or(format!(
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"Failed to get the next day for : {:?}",
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current_date
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))?;
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}
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Ok(business_days)
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}
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/// Get the business dates between two dates as a Series.
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pub fn get_bdates_series(start_date: String, end_date: String) -> Result<Series, Box<dyn Error>> {
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let business_days = get_bdates_list(start_date, end_date)?;
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let series = Series::new("business_dates".into(), business_days);
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Ok(series)
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}
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/// Get the business dates from a date column in a DataFrame.
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/// Identify business days, bucket them by period, and pick the first available date from each period.
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pub fn get_bdates_from_col(date_col: &Series, freq: &str) -> Result<Series, Box<dyn Error>> {
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// Ensure the column is of Date type
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if date_col.dtype() != &DataType::Date {
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return Err("The column is not of Date type".into());
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}
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// Step 1: Identify business days (exclude weekends)
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let date_as_days = date_col.cast(&DataType::Int32)?;
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let business_days: Vec<NaiveDate> = date_as_days
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.i32()?
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.into_iter()
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.filter_map(|opt_days| {
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opt_days.map(|days| {
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NaiveDate::from_ymd_opt(1970, 1, 1).unwrap() + chrono::Duration::days(days as i64)
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})
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})
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.filter(|date| {
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// Exclude weekends (Saturday and Sunday)
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let weekday = date.weekday();
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weekday != Weekday::Sat && weekday != Weekday::Sun
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})
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.collect();
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// Step 2: Bucket dates by period
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let mut buckets: HashMap<String, Vec<NaiveDate>> = HashMap::new();
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for date in &business_days {
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let bucket_key = match freq {
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"D" => date.format("%Y-%m-%d").to_string(),
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"W" => format!("{}-W{:02}", date.year(), date.iso_week().week()),
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"M" => date.format("%Y-%m").to_string(),
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"Q" => format!("{}-Q{}", date.year(), (date.month() - 1) / 3 + 1),
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"A" => date.year().to_string(),
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_ => return Err("Invalid frequency specified".into()),
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};
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buckets.entry(bucket_key).or_default().push(*date);
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}
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// Step 3: Pick the first available date from each bucket
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let mut selected_dates: Vec<NaiveDate> = Vec::new();
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for (_, mut dates) in buckets {
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dates.sort(); // Ensure dates are sorted within the bucket
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if let Some(first_date) = dates.first() {
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selected_dates.push(*first_date);
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}
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}
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// Step 4: Convert selected dates back to a Series of Date type
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let bdates_series = Series::new(
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"bdates".into(),
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selected_dates
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.into_iter()
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.map(|date| date.format("%Y-%m-%d").to_string()) // Format as strings
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.collect::<Vec<String>>(),
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)
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.cast(&DataType::Date)?; // Cast to Date type
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Ok(bdates_series)
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}
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@ -1,5 +1,3 @@
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use chrono::NaiveDate;
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use chrono::{Datelike, Weekday};
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use polars::prelude::*;
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use std::collections::HashMap;
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use std::error::Error;
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@ -14,96 +12,6 @@ pub fn split_ticker(ticker: String) -> Result<(String, String), Box<dyn Error>>
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Ok((parts[0].to_string(), parts[1].to_string()))
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}
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/// Get the minimum and maximum dates from a date column in a DataFrame.
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pub fn get_min_max_real_dates(
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df: &DataFrame,
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date_col: &str,
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) -> Result<(NaiveDate, NaiveDate), Box<dyn Error>> {
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let date_series = df.column(date_col)?;
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if let DataType::Date = date_series.dtype() {
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// Convert the `date` series to an i32 (days since 1970-01-01)
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let date_as_days = date_series.cast(&DataType::Int32)?;
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let min_days = date_as_days.i32()?.min().ok_or("No minimum value found")?;
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let max_days = date_as_days.i32()?.max().ok_or("No maximum value found")?;
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// Convert the days back to `NaiveDate`
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let min_date = NaiveDate::from_ymd_opt(1970, 1, 1)
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.unwrap()
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.checked_add_signed(chrono::Duration::days(min_days as i64))
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.ok_or("Invalid minimum date")?;
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let max_date = NaiveDate::from_ymd_opt(1970, 1, 1)
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.unwrap()
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.checked_add_signed(chrono::Duration::days(max_days as i64))
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.ok_or("Invalid maximum date")?;
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Ok((min_date, max_date))
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} else {
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Err(Box::new(polars::error::PolarsError::ComputeError(
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"The column is not of Date type".into(),
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)))
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}
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}
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/// Get the business dates from a date column in a DataFrame.
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/// Identify business days, bucket them by period, and pick the first available date from each period.
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pub fn get_bdates_from_col(date_col: &Series, freq: &str) -> Result<Series, Box<dyn Error>> {
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// Ensure the column is of Date type
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if date_col.dtype() != &DataType::Date {
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return Err("The column is not of Date type".into());
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}
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// Step 1: Identify business days (exclude weekends)
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let date_as_days = date_col.cast(&DataType::Int32)?;
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let business_days: Vec<NaiveDate> = date_as_days
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.i32()?
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.into_iter()
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.filter_map(|opt_days| {
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opt_days.map(|days| {
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NaiveDate::from_ymd_opt(1970, 1, 1).unwrap() + chrono::Duration::days(days as i64)
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})
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})
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.filter(|date| {
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// Exclude weekends (Saturday and Sunday)
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let weekday = date.weekday();
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weekday != Weekday::Sat && weekday != Weekday::Sun
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})
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.collect();
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// Step 2: Bucket dates by period
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let mut buckets: HashMap<String, Vec<NaiveDate>> = HashMap::new();
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for date in &business_days {
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let bucket_key = match freq {
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"D" => date.format("%Y-%m-%d").to_string(),
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"W" => format!("{}-W{:02}", date.year(), date.iso_week().week()),
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"M" => date.format("%Y-%m").to_string(),
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"Q" => format!("{}-Q{}", date.year(), (date.month() - 1) / 3 + 1),
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"A" => date.year().to_string(),
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_ => return Err("Invalid frequency specified".into()),
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};
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buckets.entry(bucket_key).or_default().push(*date);
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}
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// Step 3: Pick the first available date from each bucket
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let mut selected_dates: Vec<NaiveDate> = Vec::new();
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for (_, mut dates) in buckets {
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dates.sort(); // Ensure dates are sorted within the bucket
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if let Some(first_date) = dates.first() {
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selected_dates.push(*first_date);
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}
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}
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// Step 4: Convert selected dates back to a Series of Date type
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let bdates_series = Series::new(
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"bdates".into(),
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selected_dates
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.into_iter()
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.map(|date| date.format("%Y-%m-%d").to_string()) // Format as strings
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.collect::<Vec<String>>(),
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)
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.cast(&DataType::Date)?; // Cast to Date type
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Ok(bdates_series)
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}
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/// Get the `cid` from a ticker string.
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#[allow(dead_code)]
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pub fn get_cid(ticker: String) -> Result<String, Box<dyn Error>> {
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