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{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"# ! uv pip install E:\\Work\\ruzt\\msyrs --upgrade"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### Import Python packages\n"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"import macrosynergy\n",
"import pandas as pd\n",
"import numpy as np\n",
"import polars as pl\n",
"import os\n",
"import time\n",
"\n",
"from macrosynergy.panel import view_timelines\n",
"from macrosynergy.management.types import QuantamentalDataFrame\n"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### Import Python bindings - `msyrs`\n"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
"import msyrs"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>bdates</th>\n",
" <th>0</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2000-01-03</td>\n",
" <td>2000-01-03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2000-01-10</td>\n",
" <td>2000-01-10</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2000-01-17</td>\n",
" <td>2000-01-17</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2000-01-24</td>\n",
" <td>2000-01-24</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2000-01-31</td>\n",
" <td>2000-01-31</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1056</th>\n",
" <td>2020-03-30</td>\n",
" <td>2020-03-30</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1057</th>\n",
" <td>2020-04-06</td>\n",
" <td>2020-04-06</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1058</th>\n",
" <td>2020-04-13</td>\n",
" <td>2020-04-13</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1059</th>\n",
" <td>2020-04-20</td>\n",
" <td>2020-04-20</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1060</th>\n",
" <td>2020-04-27</td>\n",
" <td>2020-04-27</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>1061 rows × 2 columns</p>\n",
"</div>"
],
"text/plain": [
" bdates 0\n",
"0 2000-01-03 2000-01-03\n",
"1 2000-01-10 2000-01-10\n",
"2 2000-01-17 2000-01-17\n",
"3 2000-01-24 2000-01-24\n",
"4 2000-01-31 2000-01-31\n",
"... ... ...\n",
"1056 2020-03-30 2020-03-30\n",
"1057 2020-04-06 2020-04-06\n",
"1058 2020-04-13 2020-04-13\n",
"1059 2020-04-20 2020-04-20\n",
"1060 2020-04-27 2020-04-27\n",
"\n",
"[1061 rows x 2 columns]"
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"x = msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='W').to_pandas()\n",
"y = pd.Series(pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='W-MON'))\n",
"\n",
"pd.concat([x, y], axis=1)\n",
"\n"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Results for M\t & \tBMS\t are exactly the same\n",
"Results for Q\t & \tBQS\t are exactly the same\n",
"Results for W\t & \tW-MON\t are exactly the same\n",
"Results for WF\t & \tW-FRI\t are exactly the same\n"
]
}
],
"source": [
"for rs_freq, pd_freq in [('M', 'BMS'), ('Q', 'BQS'), ('W', 'W-MON'), ('WF', 'W-FRI')]:\n",
"\n",
"\n",
" x = msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq=rs_freq).to_pandas()\n",
" y = pd.Series(pd.bdate_range(start='2000-01-01', end='2020-05-01', freq=pd_freq))\n",
"\n",
" e = x == y\n",
" res = e.all()\n",
" non_matching_df = pd.concat([x[~e], y[~e]], axis=1)\n",
" assert res, f\"Results for {rs_freq}\\t and \\t{pd_freq}\\t are not the same\\n{non_matching_df}\"\n",
" print(f\"Results for {rs_freq}\\t & \\t{pd_freq}\\t are exactly the same\")\n"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"23.5 μs ± 1.02 μs per loop (mean ± std. dev. of 7 runs, 10,000 loops each)\n",
"67.4 μs ± 979 ns per loop (mean ± std. dev. of 7 runs, 10,000 loops each)\n",
"1.97 ms ± 57.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"4.65 ms ± 170 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
"28.3 ms ± 898 μs per loop (mean ± std. dev. of 7 runs, 10 loops each)\n",
"93.8 ms ± 2.02 ms per loop (mean ± std. dev. of 7 runs, 10 loops each)\n"
]
}
],
"source": [
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='D')\n",
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='D')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='D')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='D')\n",
"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='B')\n",
"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='B')"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"7.95 μs ± 146 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"17.9 μs ± 108 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"1.73 ms ± 20.8 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"4 ms ± 69.3 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
"5.69 ms ± 139 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
"19.1 ms ± 268 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n"
]
}
],
"source": [
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='WF')\n",
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='WF')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='WF')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='WF')\n",
"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='W-FRI')\n",
"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='W-FRI')"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"6.9 μs ± 126 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"13.1 μs ± 93.3 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"1.73 ms ± 29.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"4.2 ms ± 81.5 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
"931 μs ± 14.2 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"3.05 ms ± 47.5 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n"
]
}
],
"source": [
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='2000-01-01', end_date='2020-05-01', freq='ME')\n",
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='ME')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='ME')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='ME')\n",
"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='BME')\n",
"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='BME')"
]
},
{
"cell_type": "code",
"execution_count": 9,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"3.65 μs ± 69.1 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"4.78 μs ± 38.7 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"1.73 ms ± 122 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"4.16 ms ± 286 μs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n",
"340 μs ± 11.3 μs per loop (mean ± std. dev. of 7 runs, 1,000 loops each)\n",
"1.1 ms ± 11.5 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='Q')\n",
"%timeit msyrs.utils.get_bdates_series_default_opt(start_date='1971-01-01', end_date='2040-05-01', freq='Q')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='2000-01-01', end_date='2020-05-01', freq='Q')\n",
"%timeit msyrs.utils.get_bdates_series_default_pl(start_date='1971-01-01', end_date='2040-05-01', freq='Q')\n",
"%timeit pd.bdate_range(start='2000-01-01', end='2020-05-01', freq='BQS')\n",
"%timeit pd.bdate_range(start='1971-01-01', end='2040-05-01', freq='BQS')"
]
},
{
"cell_type": "code",
"execution_count": 10,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"3.21 μs ± 83.4 ns per loop (mean ± std. dev. of 7 runs, 100,000 loops each)\n",
"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
}

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@ -5,18 +5,31 @@ use pyo3_polars::{PyDataFrame, PySeries};
#[allow(deprecated)]
#[pymodule]
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(())
}
#[pyfunction]
pub fn get_bdates_series_default(
pub fn get_bdates_series_default_pl(
start_date: String,
end_date: String,
freq: Option<String>,
) -> PyResult<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)))?,
))
}

View File

@ -51,6 +51,8 @@ class panel:
def linear_composite(*args, **kwargs) -> DataFrame: ...
class utils:
__all__ = ["get_bdates_series_default"]
__all__ = ["get_bdates_series_default", "get_bdates_series_default_opt"]
@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
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@ -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, its 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 13, Q2 = 46, Q3 = 79, Q4 = 1012.
// 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, were done.
return result;
}
// Move backward if the quarters last day < start_date, etc.
// But simpler: well 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 thats 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 its 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 its 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
}

View File

@ -1,3 +1,5 @@
use crate::utils::bdates;
use crate::utils::bdates::BDateFreq;
use chrono::NaiveDate;
use chrono::{Datelike, Weekday};
use polars::prelude::*;
@ -57,61 +59,6 @@ pub fn get_bdates_list(
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 {
match freq {
// 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()),
}
}
pub fn get_bdates_series_default(
pub fn get_bdates_series_default_opt(
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(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.
pub fn get_bdates_series(
pub fn get_bdates_series_pl(
start_date: String,
end_date: String,
freq: BDateFreq,
@ -163,8 +123,8 @@ pub fn get_bdates_series(
])?;
let gb = df.lazy().group_by(["group"]);
let aggx = match freq.agg_type() {
AggregationType::Start => gb.agg([col("bdates").first()]),
AggregationType::End => gb.agg([col("bdates").last()]),
bdates::AggregationType::Start => gb.agg([col("bdates").first()]),
bdates::AggregationType::End => gb.agg([col("bdates").last()]),
};
let result = aggx.collect()?;
let result = result

View File

@ -1,3 +1,4 @@
pub mod qdf;
pub mod bdates;
pub mod dateutils;
pub mod misc;
pub mod dateutils;
pub mod qdf;