update notebook

src/_py/panel.rs

@@ -68,7 +68,7 @@ pub fn get_period_indices_hv(dfw: PyDataFrame, est_freq: &str) -> PyResult<Vec<u
     cids,
     weights = None,
     signs = None,
-    weight_xcats = None,
+    weight_xcat = None,
     normalize_weights = false,
     start = None,
     end = None,
@@ -84,7 +84,7 @@ pub fn linear_composite(
     cids: Vec<String>,
     weights: Option<Vec<f64>>,
     signs: Option<Vec<f64>>,
-    weight_xcats: Option<Vec<String>>,
+    weight_xcat: Option<String>,
     normalize_weights: bool,
     start: Option<String>,
     end: Option<String>,
@@ -101,7 +101,7 @@ pub fn linear_composite(
             cids,
             weights,
             signs,
-            weight_xcats,
+            weight_xcat,
             normalize_weights,
             start,
             end,

src/_py/utils.rs

@@ -1,4 +1,5 @@
-use pyo3::prelude::*;
+use pyo3::types::IntoPyDict;
+use pyo3::{prelude::*, types::PyDict};
 use pyo3_polars::{PyDataFrame, PySeries};
 
 /// Python wrapper for [`crate::utils::qdf`] module.
@@ -7,6 +8,7 @@ use pyo3_polars::{PyDataFrame, PySeries};
 pub fn utils(_py: Python, m: &PyModule) -> PyResult<()> {
     m.add_function(wrap_pyfunction!(get_bdates_series_default_pl, m)?)?;
     m.add_function(wrap_pyfunction!(get_bdates_series_default_opt, m)?)?;
+    m.add_function(wrap_pyfunction!(create_blacklist_from_qdf, m)?)?;
     Ok(())
 }
 
@@ -33,3 +35,19 @@ pub fn get_bdates_series_default_opt(
             .map_err(|e| PyErr::new::<pyo3::exceptions::PyValueError, _>(format!("{}", e)))?,
     ))
 }
+
+#[allow(deprecated)]
+#[pyfunction(signature = (df, metric = None))]
+pub fn create_blacklist_from_qdf(df: PyDataFrame, metric: Option<String>) -> PyResult<PyObject> {
+    let result = crate::utils::qdf::blacklist::create_blacklist_from_qdf(&df.into(), metric)
+        .map_err(|e| PyErr::new::<pyo3::exceptions::PyValueError, _>(format!("{}", e)))?;
+    Python::with_gil(|py| {
+        let dict = PyDict::new(py);
+        // for (key, (start_date, end_date)) in result {
+        //     dict.set_item(key, (start_date, end_date))
+        for (key, dates) in result {
+            dict.set_item(key, dates).map_err(|e| PyErr::from(e))?;
+        }
+        Ok(dict.into())
+    })
+}

src/core/dateseries.rs

@@ -1,281 +0,0 @@
-//! # DateSeries and BDateSeries Implementations
-//!
-//! This module provides two date-handling types using the [`chrono`](https://docs.rs/chrono) crate:
-//!
-//! - [`DateSeries`]: Stores any set of calendar dates and allows adding/subtracting *calendar days*.
-//! - [`BDateSeries`]: Stores only Monday–Friday business days and interprets add/sub as *business day* shifts,
-//!   skipping weekends (e.g., adding 1 to Friday goes to Monday).
-//!
-//! Both types also provide a [`from_iso8601_range`](#method.from_iso8601_range) constructor
-//! that builds a date series (or business‑date series) from a start/end string (YYYY‑MM‑DD).
-
-use chrono::{Datelike, Duration, NaiveDate, ParseResult};
-use std::ops::{Add, Sub};
-
-/// Determines if the date is Saturday or Sunday.
-fn is_weekend(date: NaiveDate) -> bool {
-    matches!(date.weekday(), chrono::Weekday::Sat | chrono::Weekday::Sun)
-}
-
-/// A `DateSeries` stores a list of [`NaiveDate`] values and shifts by **calendar days**.
-///
-/// ## Example Usage
-///
-/// ```
-/// use chrono::NaiveDate;
-/// use msyrs::core::dateseries::DateSeries;
-///
-/// // Create from explicit dates
-/// let ds = DateSeries::new(vec![
-///     NaiveDate::from_ymd_opt(2023, 7, 14).unwrap(), // a Friday
-///     NaiveDate::from_ymd_opt(2023, 7, 15).unwrap(), // a Saturday
-/// ]);
-///
-/// // Shift forward by 5 calendar days
-/// let ds_plus = ds + 5;
-/// // 2023-07-14 + 5 => 2023-07-19 (Wednesday)
-/// // 2023-07-15 + 5 => 2023-07-20 (Thursday)
-///
-/// assert_eq!(ds_plus.data()[0], NaiveDate::from_ymd_opt(2023, 7, 19).unwrap());
-/// assert_eq!(ds_plus.data()[1], NaiveDate::from_ymd_opt(2023, 7, 20).unwrap());
-/// ```
-///
-#[derive(Debug, Clone)]
-pub struct DateSeries {
-    data: Vec<NaiveDate>,
-}
-
-impl DateSeries {
-    /// Creates a new `DateSeries` from a vector of [`NaiveDate`] values.
-    ///
-    /// # Panics
-    /// - Does not panic on invalid weekend or anything; this type accepts all valid dates.
-    pub fn new(data: Vec<NaiveDate>) -> Self {
-        Self { data }
-    }
-
-    /// Constructs a `DateSeries` by parsing an ISO‑8601 start/end string (YYYY‑MM‑DD)
-    /// and including **every calendar date** from start to end (inclusive).
-    ///
-    /// # Errors
-    /// - Returns a [`chrono::ParseError`](chrono::ParseError) if parsing fails.
-    /// - Panics if `start` > `end` chronologically.
-    ///
-    /// # Examples
-    ///
-    /// ```
-    /// use msyrs::core::dateseries::DateSeries;
-    /// # fn main() -> Result<(), chrono::ParseError> {
-    /// let ds = DateSeries::from_iso8601_range("2023-07-14", "2023-07-16")?;
-    /// assert_eq!(ds.data().len(), 3);
-    /// # Ok(())
-    /// # }
-    /// ```
-    pub fn from_iso8601_range(start: &str, end: &str) -> ParseResult<Self> {
-        let start_date = NaiveDate::parse_from_str(start, "%Y-%m-%d")?;
-        let end_date = NaiveDate::parse_from_str(end, "%Y-%m-%d")?;
-        assert!(
-            start_date <= end_date,
-            "start date cannot be after end date"
-        );
-
-        let mut dates = Vec::new();
-        let mut current = start_date;
-        while current <= end_date {
-            dates.push(current);
-            current = current
-                .checked_add_signed(Duration::days(1))
-                .expect("Date overflow in from_iso8601_range");
-        }
-        Ok(Self::new(dates))
-    }
-
-    /// Returns a reference to the underlying slice of dates.
-    pub fn data(&self) -> &[NaiveDate] {
-        &self.data
-    }
-
-    /// Internal helper applying a function to each date.
-    fn apply<F>(&self, op: F) -> Self
-    where
-        F: Fn(NaiveDate) -> NaiveDate,
-    {
-        let new_data = self.data.iter().map(|&date| op(date)).collect();
-        Self { data: new_data }
-    }
-}
-
-/// Implements adding calendar days to each `NaiveDate`.
-///
-/// If the shifted date goes out of chrono's valid range, it panics.
-impl Add<i64> for DateSeries {
-    type Output = Self;
-
-    fn add(self, rhs: i64) -> Self::Output {
-        self.apply(|date| {
-            date.checked_add_signed(Duration::days(rhs))
-                .expect("Overflow in date addition")
-        })
-    }
-}
-
-/// Implements subtracting calendar days from each `NaiveDate`.
-///
-/// If the shifted date goes out of chrono's valid range, it panics.
-impl Sub<i64> for DateSeries {
-    type Output = Self;
-
-    fn sub(self, rhs: i64) -> Self::Output {
-        self.apply(|date| {
-            date.checked_sub_signed(Duration::days(rhs))
-                .expect("Overflow in date subtraction")
-        })
-    }
-}
-
-/// A “Business Date Series” for Monday–Friday only.
-///
-/// 1. The constructor disallows weekend dates (panics if any date is Sat/Sun).  
-/// 2. Adding or subtracting an `i64` interprets that integer as *business days*, skipping weekends.
-///    For example, adding 1 to a Friday yields the following Monday.
-///
-/// ## Example Usage
-///
-/// ```
-/// use chrono::NaiveDate;
-/// use msyrs::core::dateseries::BDateSeries;
-///
-/// // Friday
-/// let friday = NaiveDate::from_ymd_opt(2023, 7, 14).unwrap();
-/// let mut bds = BDateSeries::new(vec![friday]);
-///
-/// // Adding 1 “business day” => next Monday, 2023-07-17
-/// bds = bds + 1;
-/// assert_eq!(bds.data()[0], NaiveDate::from_ymd_opt(2023, 7, 17).unwrap());
-/// ```
-#[derive(Debug, Clone)]
-pub struct BDateSeries {
-    data: Vec<NaiveDate>,
-}
-
-impl BDateSeries {
-    /// Creates a new `BDateSeries`, panicking if any of the supplied dates is on Saturday/Sunday.
-    pub fn new(data: Vec<NaiveDate>) -> Self {
-        for &d in &data {
-            if is_weekend(d) {
-                panic!("BDateSeries cannot contain weekend dates: {}", d);
-            }
-        }
-        Self { data }
-    }
-
-    /// Constructs a `BDateSeries` by parsing an ISO‑8601 start/end string (YYYY‑MM‑DD).
-    ///
-    /// Only Monday–Friday dates within `[start, end]` are included in the series.  
-    ///
-    /// # Errors
-    /// - Returns a [`chrono::ParseError`](chrono::ParseError) if parsing fails.
-    /// - Panics if `start` > `end` chronologically.
-    ///
-    /// # Examples
-    ///
-    /// ```
-    /// use msyrs::core::dateseries::BDateSeries;
-    /// # fn main() -> Result<(), chrono::ParseError> {
-    /// let bds = BDateSeries::from_iso8601_range("2023-07-14", "2023-07-18")?;
-    /// // 2023-07-14 (Friday), 2023-07-15 (Saturday) => skipped,
-    /// // 2023-07-16 (Sunday) => skipped,
-    /// // 2023-07-17 (Monday), 2023-07-18 (Tuesday)
-    /// // so total 3 valid business days
-    /// assert_eq!(bds.data().len(), 3);
-    /// # Ok(())
-    /// # }
-    /// ```
-    pub fn from_iso8601_range(start: &str, end: &str) -> ParseResult<Self> {
-        let start_date = NaiveDate::parse_from_str(start, "%Y-%m-%d")?;
-        let end_date = NaiveDate::parse_from_str(end, "%Y-%m-%d")?;
-        assert!(
-            start_date <= end_date,
-            "start date cannot be after end date"
-        );
-
-        let mut dates = Vec::new();
-        let mut current = start_date;
-        while current <= end_date {
-            if !is_weekend(current) {
-                dates.push(current);
-            }
-            current = current
-                .checked_add_signed(Duration::days(1))
-                .expect("Date overflow in from_iso8601_range");
-        }
-        Ok(Self::new(dates))
-    }
-
-    /// Returns a reference to the underlying slice of dates.
-    pub fn data(&self) -> &[NaiveDate] {
-        &self.data
-    }
-
-    /// Internal helper that tries to shift a date forward or backward by one day at a time,
-    /// skipping weekends, for a total of `delta` business days.
-    fn shift_business_days(date: NaiveDate, delta: i64) -> NaiveDate {
-        if delta == 0 {
-            return date;
-        }
-
-        let step = if delta > 0 { 1 } else { -1 };
-        let abs_delta = delta.abs();
-
-        let mut new_date = date;
-        for _ in 0..abs_delta {
-            // Move by 1 day in the correct direction
-            new_date = new_date
-                .checked_add_signed(Duration::days(step))
-                .expect("Overflow in BDateSeries add/sub");
-            // If we land on weekend, keep moving until Monday..Friday
-            while is_weekend(new_date) {
-                new_date = new_date
-                    .checked_add_signed(Duration::days(step))
-                    .expect("Overflow in BDateSeries skipping weekend");
-            }
-        }
-        new_date
-    }
-
-    /// Internal helper to apply a shift of `delta` business days to each date.
-    fn apply(&self, delta: i64) -> Self {
-        let new_data = self
-            .data
-            .iter()
-            .map(|&date| Self::shift_business_days(date, delta))
-            .collect();
-        Self { data: new_data }
-    }
-}
-
-/// Implement *business day* addition for `BDateSeries`.
-///
-/// # Panics
-/// - If the resulting date(s) overflow `NaiveDate` range.
-/// - `BDateSeries` is guaranteed to remain Monday..Friday after the shift.
-impl Add<i64> for BDateSeries {
-    type Output = Self;
-
-    fn add(self, rhs: i64) -> Self::Output {
-        self.apply(rhs)
-    }
-}
-
-/// Implement *business day* subtraction for `BDateSeries`.
-///
-/// # Panics
-/// - If the resulting date(s) overflow `NaiveDate`.
-/// - `BDateSeries` is guaranteed to remain Monday..Friday after the shift.
-impl Sub<i64> for BDateSeries {
-    type Output = Self;
-
-    fn sub(self, rhs: i64) -> Self::Output {
-        self.apply(-rhs)
-    }
-}

src/core/mod.rs

@@ -1,3 +0,0 @@
-pub mod df;
-pub mod xseries;
-pub mod dateseries;

src/core/xseries.rs

@@ -1,223 +0,0 @@
-use std::ops::{Add, Div, Mul, Sub};
-
-//
-// 1) Define a float series: FSeries
-//
-
-#[derive(Debug, Clone)]
-pub struct FSeries {
-    data: Vec<f64>,
-}
-
-impl FSeries {
-    /// Create a new FSeries from a vector of f64 values.
-    pub fn new(data: Vec<f64>) -> Self {
-        Self { data }
-    }
-
-    pub fn len(&self) -> usize {
-        self.data.len()
-    }
-
-    /// Element‑wise helper applying an operation between two FSeries.
-    pub fn apply<F>(&self, other: &Self, op: F) -> Self
-    where
-        F: Fn(f64, f64) -> f64,
-    {
-        assert!(
-            self.len() == other.len(),
-            "FSeries must have the same length to apply operations."
-        );
-        let data = self
-            .data
-            .iter()
-            .zip(other.data.iter())
-            .map(|(&a, &b)| op(a, b))
-            .collect();
-        FSeries { data }
-    }
-
-    /// Access to the underlying data
-    pub fn data(&self) -> &[f64] {
-        &self.data
-    }
-}
-
-// Macros for float series arithmetic (element‑wise)
-macro_rules! impl_fseries_bin_op {
-    ($trait:ident, $method:ident, $op:tt) => {
-        impl $trait for FSeries {
-            type Output = Self;
-
-            fn $method(self, rhs: Self) -> Self::Output {
-                self.apply(&rhs, |a, b| a $op b)
-            }
-        }
-    };
-}
-
-impl_fseries_bin_op!(Add, add, +);
-impl_fseries_bin_op!(Sub, sub, -);
-impl_fseries_bin_op!(Mul, mul, *);
-impl_fseries_bin_op!(Div, div, /);
-
-macro_rules! impl_fseries_scalar_op {
-    ($trait:ident, $method:ident, $op:tt) => {
-        impl $trait<f64> for FSeries {
-            type Output = Self;
-
-            fn $method(mut self, scalar: f64) -> Self::Output {
-                for x in self.data.iter_mut() {
-                    *x = *x $op scalar;
-                }
-                self
-            }
-        }
-    };
-}
-
-impl_fseries_scalar_op!(Add, add, +);
-impl_fseries_scalar_op!(Sub, sub, -);
-impl_fseries_scalar_op!(Mul, mul, *);
-impl_fseries_scalar_op!(Div, div, /);
-
-//
-// 2) Define an integer series: ISeries
-//
-
-#[derive(Debug, Clone)]
-pub struct ISeries {
-    data: Vec<i64>,
-}
-
-impl ISeries {
-    /// Create an ISeries from a vector of i64 values.
-    pub fn new(data: Vec<i64>) -> Self {
-        Self { data }
-    }
-
-    pub fn len(&self) -> usize {
-        self.data.len()
-    }
-
-    pub fn data(&self) -> &[i64] {
-        &self.data
-    }
-
-    /// Element‑wise helper for integer series.
-    pub fn apply<F>(&self, other: &Self, op: F) -> Self
-    where
-        F: Fn(i64, i64) -> i64,
-    {
-        assert!(
-            self.len() == other.len(),
-            "ISeries must have the same length to apply operations."
-        );
-        let data = self
-            .data
-            .iter()
-            .zip(other.data.iter())
-            .map(|(&a, &b)| op(a, b))
-            .collect();
-        ISeries { data }
-    }
-}
-
-// Macros for integer series arithmetic (element‑wise)
-macro_rules! impl_iseries_bin_op {
-    ($trait:ident, $method:ident, $op:tt) => {
-        impl $trait for ISeries {
-            type Output = Self;
-
-            fn $method(self, rhs: Self) -> Self::Output {
-                self.apply(&rhs, |a, b| a $op b)
-            }
-        }
-    };
-}
-
-impl_iseries_bin_op!(Add, add, +);
-impl_iseries_bin_op!(Sub, sub, -);
-impl_iseries_bin_op!(Mul, mul, *);
-impl_iseries_bin_op!(Div, div, /); // integer division (floor trunc)
-
-// Optional scalar operations (for i64)
-macro_rules! impl_iseries_scalar_op {
-    ($trait:ident, $method:ident, $op:tt) => {
-        impl $trait<i64> for ISeries {
-            type Output = Self;
-
-            fn $method(mut self, scalar: i64) -> Self::Output {
-                for x in self.data.iter_mut() {
-                    *x = *x $op scalar;
-                }
-                self
-            }
-        }
-    };
-}
-
-impl_iseries_scalar_op!(Add, add, +);
-impl_iseries_scalar_op!(Sub, sub, -);
-impl_iseries_scalar_op!(Mul, mul, *);
-impl_iseries_scalar_op!(Div, div, /); // floor/trunc division by scalar
-
-/// A boolean series: BSeries
-///
-#[derive(Debug, Clone)]
-pub struct BSeries {
-    data: Vec<bool>,
-}
-
-impl BSeries {
-    pub fn new(data: Vec<bool>) -> Self {
-        Self { data }
-    }
-
-    pub fn len(&self) -> usize {
-        self.data.len()
-    }
-
-    pub fn data(&self) -> &[bool] {
-        &self.data
-    }
-}
-
-/// Convert an FSeries to ISeries by truncation (floor cast).
-impl From<FSeries> for ISeries {
-    fn from(fseries: FSeries) -> Self {
-        let data = fseries
-            .data
-            .into_iter()
-            .map(|val| val as i64) // trunc cast
-            .collect();
-        ISeries::new(data)
-    }
-}
-
-/// Implement conversion from ISeries to FSeries by casting to f64.
-impl From<ISeries> for FSeries {
-    fn from(iseries: ISeries) -> Self {
-        let data = iseries.data.into_iter().map(|val| val as f64).collect();
-        FSeries::new(data)
-    }
-}
-
-/// Convert an ISeries to BSeries by checking if each value is non-zero.
-impl From<ISeries> for BSeries {
-    fn from(iseries: ISeries) -> Self {
-        let data = iseries.data.into_iter().map(|val| val != 0).collect();
-        BSeries::new(data)
-    }
-}
-
-impl From<BSeries> for ISeries {
-    fn from(bseries: BSeries) -> Self {
-        let data = bseries
-            .data
-            .into_iter()
-            .map(|val| if val { 1 } else { 0 })
-            .collect();
-        ISeries::new(data)
-    }
-}

src/download/jpmaqsdownload.rs

@@ -102,7 +102,7 @@ impl Default for JPMaQSDownloadGetIndicatorArgs {
 /// Struct for downloading data from the JPMaQS data from JPMorgan DataQuery API.
 ///
 /// ## Example Usage
-/// ```ignore
+/// ```rust
 /// use msyrs::download::jpmaqsdownload::JPMaQSDownload;
 /// use msyrs::download::jpmaqsdownload::JPMaQSDownloadGetIndicatorArgs;
 /// use polars::prelude::*;
@@ -140,7 +140,7 @@ impl Default for JPMaQSDownloadGetIndicatorArgs {
 ///    Ok(_) => println!("Saved indicators to disk"),
 ///   Err(e) => println!("Error saving indicators: {:?}", e),
 /// }
-/// ```
+///
 #[derive(Debug, Clone)]
 pub struct JPMaQSDownload {
     requester: DQRequester,
@@ -277,7 +277,7 @@ impl JPMaQSDownload {
     ///  
     /// Usage:
     ///
-    /// ```ignore
+    /// ```rust
     /// use msyrs::download::jpmaqsdownload::JPMaQSDownload;
     /// use msyrs::download::jpmaqsdownload::JPMaQSDownloadGetIndicatorArgs;
     /// let mut jpamqs_download = JPMaQSDownload::default();

src/lib.rs

@@ -1,5 +1,4 @@
 // #![doc = include_str!("../README.md")]
-// uncomment the above line to include the README.md file in the documentation
 
 //! # msyrs
 //!
@@ -19,9 +18,6 @@
 /// Documentation and type-stubs for the `msyrs` Python API.
 pub mod _py;
 
-/// Implementation for the `core` module.
-pub mod core;
-
 /// Implementation for the `download` module.
 pub mod download;
 

src/msyrs.pyi

@@ -56,3 +56,5 @@ class utils:
     def get_bdates_series_default_pl(*args, **kwargs) -> Series: ...
     @staticmethod
     def get_bdates_series_default_opt(*args, **kwargs) -> Series: ...
+    @staticmethod
+    def create_blacklist_from_qdf(*args, **kwargs) -> dict: ...

src/panel/historic_vol.rs

@@ -1,6 +1,6 @@
 use crate::utils::dateutils::{get_bdates_from_col, get_min_max_real_dates};
 use crate::utils::qdf::pivots::*;
-use crate::utils::qdf::reduce_df::*;
+use crate::utils::qdf::reduce_dataframe;
 use chrono::NaiveDate;
 use ndarray::{s, Array, Array1, Zip};
 use polars::prelude::*;

src/panel/linear_composite.rs

@@ -1,6 +1,6 @@
 use crate::utils::qdf::check_quantamental_dataframe;
-use crate::utils::qdf::pivots::*;
-use crate::utils::qdf::reduce_df::*;
+use crate::utils::qdf::pivots::{pivot_dataframe_by_ticker, pivot_wide_dataframe_to_qdf};
+use crate::utils::qdf::reduce_df::reduce_dataframe;
 use polars::prelude::*;
 use std::collections::HashMap;
 const TOLERANCE: f64 = 1e-8;
@@ -108,14 +108,42 @@ fn _form_agg_nan_mask_series(nan_mask_dfw: &DataFrame) -> Result<Series, PolarsE
     Ok(combined.into_series())
 }
 
+/// Form the weights DataFrame
 fn _form_agg_weights_dfw(
-    agg_weights_map: &HashMap<String, Vec<f64>>,
-    data_dfw: DataFrame,
+    agg_weights_map: &HashMap<String, (WeightValue, f64)>,
+    dfw: &DataFrame,
 ) -> Result<DataFrame, PolarsError> {
     let mut weights_dfw = DataFrame::new(vec![])?;
     for (agg_targ, weight_signs) in agg_weights_map.iter() {
-        let wgt = weight_signs[0] * weight_signs[1];
-        let wgt_series = Series::new(agg_targ.into(), vec![wgt; data_dfw.height()]);
+        // let wgt = weight_signs[0] * weight_signs[1];
+        let wgt_series = match &weight_signs.0 {
+            WeightValue::F64(val) => {
+                let wgt = val * weight_signs.1;
+                Series::new(agg_targ.into(), vec![wgt; dfw.height()])
+            }
+            WeightValue::Str(vstr) => {
+                // vstr column from data_dfw, else raise wieght specification error
+                if !dfw.get_column_names().contains(&&PlSmallStr::from(vstr)) {
+                    return Err(PolarsError::ComputeError(
+                        format!(
+                            "The column {} does not exist in the DataFrame. {:?}",
+                            vstr, agg_weights_map
+                        )
+                        .into(),
+                    ));
+                }
+                let vstr_series = dfw.column(vstr)?;
+                let multiplied_series = vstr_series * weight_signs.1;
+                let mut multiplied_series =
+                    multiplied_series.as_series().cloned().ok_or_else(|| {
+                        PolarsError::ComputeError(
+                            "Failed to convert multiplied_series to Series".into(),
+                        )
+                    })?;
+                multiplied_series.rename(agg_targ.into());
+                multiplied_series
+            }
+        };
         weights_dfw.with_column(wgt_series)?;
     }
     Ok(weights_dfw)
@@ -143,14 +171,14 @@ fn perform_single_group_agg(
     dfw: &DataFrame,
     agg_on: &String,
     agg_targs: &Vec<String>,
-    agg_weights_map: &HashMap<String, Vec<f64>>,
+    agg_weights_map: &HashMap<String, (WeightValue, f64)>,
     normalize_weights: bool,
     complete: bool,
 ) -> Result<Column, PolarsError> {
     let data_dfw = _form_agg_data_dfw(dfw, agg_targs)?;
     let nan_mask_dfw = _form_agg_nan_mask_dfw(&data_dfw)?;
     let nan_mask_series = _form_agg_nan_mask_series(&nan_mask_dfw)?;
-    let weights_dfw = _form_agg_weights_dfw(agg_weights_map, data_dfw.clone())?;
+    let weights_dfw = _form_agg_weights_dfw(agg_weights_map, dfw)?;
     let weights_dfw = match normalize_weights {
         true => normalize_weights_with_nan_mask(weights_dfw, nan_mask_dfw)?,
         false => weights_dfw,
@@ -192,7 +220,7 @@ fn perform_single_group_agg(
 fn perform_multiplication(
     dfw: &DataFrame,
     mult_targets: &HashMap<String, Vec<String>>,
-    weights_map: &HashMap<String, HashMap<String, Vec<f64>>>,
+    weights_map: &HashMap<String, HashMap<String, (WeightValue, f64)>>,
     complete: bool,
     normalize_weights: bool,
 ) -> Result<DataFrame, PolarsError> {
@@ -200,6 +228,7 @@ fn perform_multiplication(
     // let mut new_dfw = DataFrame::new(vec![real_date])?;
     let mut new_dfw = DataFrame::new(vec![])?;
     assert!(!mult_targets.is_empty(), "agg_targs is empty");
+
     for (agg_on, agg_targs) in mult_targets.iter() {
         // perform_single_group_agg
         let cols_len = new_dfw.get_column_names().len();
@@ -288,76 +317,122 @@ fn get_mul_targets(
     Ok(mul_targets)
 }
 
+/// Builds a map of the shape:
+/// `HashMap<String, HashMap<String, (WeightValue, f64)>>`
+/// where only one of `weights` or `weight_xcats` can be provided.  
+/// If neither is provided, weights default to 1.0.  
+/// Each tuple is `(WeightValue, f64) = (weight, sign)`.
 fn form_weights_and_signs_map(
     cids: Vec<String>,
     xcats: Vec<String>,
     weights: Option<Vec<f64>>,
+    weight_xcat: Option<String>,
     signs: Option<Vec<f64>>,
-) -> Result<HashMap<String, HashMap<String, Vec<f64>>>, Box<dyn std::error::Error>> {
-    let _agg_xcats_for_cid = agg_xcats_for_cid(cids.clone(), xcats.clone());
-
+) -> Result<HashMap<String, HashMap<String, (WeightValue, f64)>>, Box<dyn std::error::Error>> {
+    // For demonstration, we pretend to load or infer these from helpers:
+    let agg_xcats_for_cid = agg_xcats_for_cid(cids.clone(), xcats.clone());
     let (agg_on, agg_targ) = get_agg_on_agg_targs(cids.clone(), xcats.clone());
 
-    // if weights are None, create a vector of 1s of the same length as agg_targ
-    let weights = weights.unwrap_or(vec![1.0 / agg_targ.len() as f64; agg_targ.len()]);
-    let signs = signs.unwrap_or(vec![1.0; agg_targ.len()]);
+    // Determine if each weight option has non-empty values.
+    let weights_provided = weights.as_ref().map_or(false, |v| !v.is_empty());
+    let weight_xcats_provided = weight_xcat.as_ref().map_or(false, |v| !v.is_empty());
 
-    // check that the lengths of weights and signs match the length of agg_targ
-    check_weights_signs_lengths(
-        weights.clone(),
-        signs.clone(),
-        _agg_xcats_for_cid,
-        agg_targ.len(),
-    )?;
+    // Enforce that only one of weights or weight_xcats is specified.
+    if weights_provided && weight_xcats_provided {
+        return Err("Only one of `weights` and `weight_xcats` may be specified.".into());
+    }
 
-    let mut weights_map = HashMap::new();
+    // 1) Build the "actual_weights" vector as WeightValue.
+    let actual_weights: Vec<WeightValue> = if weights_provided {
+        weights.unwrap().into_iter().map(WeightValue::F64).collect()
+    } else if weight_xcats_provided {
+        vec![WeightValue::Str(weight_xcat.unwrap()); agg_targ.len()]
+    } else {
+        // Default to numeric 1.0 if neither is provided
+        vec![WeightValue::F64(1.0); agg_targ.len()]
+    };
+
+    // 2) Build the "signs" vector; default to 1.0 if not provided
+    let signs = signs.unwrap_or_else(|| vec![1.0; agg_targ.len()]);
+
+    // 3) Optional: check lengths & zero values (only numeric weights).
+    check_weights_signs_lengths(&actual_weights, &signs, agg_xcats_for_cid, agg_targ.len())?;
+
+    // 4) Build the final nested HashMap
+    let mut weights_map: HashMap<String, HashMap<String, (WeightValue, f64)>> = HashMap::new();
 
     for agg_o in agg_on {
         let mut agg_t_map = HashMap::new();
         for (i, agg_t) in agg_targ.iter().enumerate() {
-            let ticker = match _agg_xcats_for_cid {
-                true => format!("{}_{}", agg_o, agg_t),
-                false => format!("{}_{}", agg_t, agg_o),
+            // Format the ticker
+            let ticker = if agg_xcats_for_cid {
+                format!("{}_{}", agg_o, agg_t)
+            } else {
+                format!("{}_{}", agg_t, agg_o)
             };
-            let weight_signs = vec![weights[i], signs[i]];
-            agg_t_map.insert(ticker, weight_signs);
+            // Build the tuple (WeightValue, f64)
+            let weight_sign_tuple = match &actual_weights[i] {
+                WeightValue::F64(val) => (WeightValue::F64(*val).clone(), signs[i]),
+                WeightValue::Str(vstr) => {
+                    let new_str = format!("{}_{}", agg_t, vstr);
+                    (WeightValue::Str(new_str), signs[i])
+                }
+            };
+            agg_t_map.insert(ticker, weight_sign_tuple);
         }
         weights_map.insert(agg_o.clone(), agg_t_map);
     }
+
     Ok(weights_map)
 }
-
+/// Checks that the given slices have the expected length and that:
+/// - numeric weights are non-zero,
+/// - signs are non-zero.
 fn check_weights_signs_lengths(
-    weights_vec: Vec<f64>,
-    signs_vec: Vec<f64>,
-    _agg_xcats_for_cid: bool,
+    weights_vec: &[WeightValue],
+    signs_vec: &[f64],
+    agg_xcats_for_cid: bool,
     agg_targ_len: usize,
 ) -> Result<(), Box<dyn std::error::Error>> {
-    // for vx, vname in ...
-    let agg_targ = match _agg_xcats_for_cid {
-        true => "xcats",
-        false => "cids",
-    };
-    for (vx, vname) in vec![
-        (weights_vec.clone(), "weights"),
-        (signs_vec.clone(), "signs"),
-    ] {
-        for (i, v) in vx.iter().enumerate() {
-            if *v == 0.0 {
-                return Err(format!("The {} at index {} is 0.0", vname, i).into());
+    // For diagnostics, decide what to call the dimension
+    let agg_targ = if agg_xcats_for_cid { "xcats" } else { "cids" };
+
+    // 1) Check numeric weights for zeroes.
+    for (i, weight) in weights_vec.iter().enumerate() {
+        if let WeightValue::F64(val) = weight {
+            if *val == 0.0 {
+                return Err(format!("The weight at index {} is 0.0", i).into());
             }
         }
-        if vx.len() != agg_targ_len {
-            return Err(format!(
-                "The length of {} ({}) does not match the length of {} ({})",
-                vname,
-                vx.len(),
-                agg_targ,
-                agg_targ_len
-            )
-            .into());
+    }
+    // 2) Ensure the weights vector is the expected length.
+    if weights_vec.len() != agg_targ_len {
+        return Err(format!(
+            "The length of weights ({}) does not match the length of {} ({})",
+            weights_vec.len(),
+            agg_targ,
+            agg_targ_len
+        )
+        .into());
+    }
+
+    // 3) Check signs for zero.
+    for (i, sign) in signs_vec.iter().enumerate() {
+        if *sign == 0.0 {
+            return Err(format!("The sign at index {} is 0.0", i).into());
         }
     }
+    // 4) Ensure the signs vector is the expected length.
+    if signs_vec.len() != agg_targ_len {
+        return Err(format!(
+            "The length of signs ({}) does not match the length of {} ({})",
+            signs_vec.len(),
+            agg_targ,
+            agg_targ_len
+        )
+        .into());
+    }
+
     Ok(())
 }
 fn rename_result_dfw_cols(
@@ -393,6 +468,36 @@ fn agg_xcats_for_cid(cids: Vec<String>, xcats: Vec<String>) -> bool {
     xcats.len() > 1
 }
 
+/// Represents a weight value that can be a string, (float, or integer).
+#[derive(Debug, Clone, PartialEq)]
+pub enum WeightValue {
+    Str(String),
+    F64(f64),
+}
+impl From<String> for WeightValue {
+    fn from(s: String) -> Self {
+        WeightValue::Str(s)
+    }
+}
+
+impl<'a> From<&'a str> for WeightValue {
+    fn from(s: &'a str) -> Self {
+        WeightValue::Str(s.to_string())
+    }
+}
+
+impl From<f64> for WeightValue {
+    fn from(f: f64) -> Self {
+        WeightValue::F64(f)
+    }
+}
+
+impl From<i32> for WeightValue {
+    fn from(i: i32) -> Self {
+        WeightValue::F64(i as f64)
+    }
+}
+
 /// Weighted linear combinations of cross sections or categories
 /// # Arguments
 /// * `df` - QDF DataFrame
@@ -417,7 +522,7 @@ pub fn linear_composite(
     cids: Vec<String>,
     weights: Option<Vec<f64>>,
     signs: Option<Vec<f64>>,
-    weight_xcats: Option<Vec<String>>,
+    weight_xcat: Option<String>,
     normalize_weights: bool,
     start: Option<String>,
     end: Option<String>,
@@ -429,10 +534,28 @@ pub fn linear_composite(
 ) -> Result<DataFrame, Box<dyn std::error::Error>> {
     // Check if the DataFrame is a Quantamental DataFrame
     check_quantamental_dataframe(df)?;
+
+    if agg_xcats_for_cid(cids.clone(), xcats.clone()) {
+        if weight_xcat.is_some() {
+            return Err(
+                format!(
+                    "Using xcats as weights is not supported when aggregating cids for a single xcat. {:?} {:?}",
+                    cids, xcats
+                )
+                .into(),
+            );
+        }
+    }
+
+    let mut rxcats = xcats.clone();
+    if weight_xcat.is_some() {
+        rxcats.extend(vec![weight_xcat.clone().unwrap()]);
+    }
+
     let rdf = reduce_dataframe(
         df.clone(),
         Some(cids.clone()),
-        Some(xcats.clone()),
+        Some(rxcats.clone()),
         Some(vec!["value".to_string()]),
         start.clone(),
         end.clone(),
@@ -443,10 +566,11 @@ pub fn linear_composite(
     let new_xcat = new_xcat.unwrap_or_else(|| "COMPOSITE".to_string());
     let new_cid = new_cid.unwrap_or_else(|| "GLB".to_string());
 
-    let dfw = pivot_dataframe_by_ticker(rdf.clone(), Some("value".to_string())).unwrap();
+    let dfw = pivot_dataframe_by_ticker(rdf, Some("value".to_string())).unwrap();
 
     let mul_targets = get_mul_targets(cids.clone(), xcats.clone())?;
-    let weights_map = form_weights_and_signs_map(cids.clone(), xcats.clone(), weights, signs)?;
+    let weights_map =
+        form_weights_and_signs_map(cids.clone(), xcats.clone(), weights, weight_xcat, signs)?;
 
     for (ticker, targets) in mul_targets.iter() {
         println!("ticker: {}, targets: {:?}", ticker, targets);

src/utils/qdf/blacklist.rs

@@ -0,0 +1,161 @@
+use crate::utils::bdates::{self, get_bdates_list_with_freq, BDateFreq};
+use crate::utils::dateutils::{get_bdates_series_default_opt, get_min_max_real_dates};
+use crate::utils::qdf::core::check_quantamental_dataframe;
+use chrono::NaiveDate;
+use polars::prelude::*;
+use std::collections::HashMap;
+use std::error::Error;
+
+pub fn create_blacklist_from_qdf(
+    df: &DataFrame,
+    metric: Option<String>,
+    // ) -> Result<HashMap<String, (String, String)>, Box<dyn Error>> {
+) -> Result<HashMap<String, Vec<String>>, Box<dyn Error>> {
+    // Verify that the DataFrame follows the Quantamental structure.
+    check_quantamental_dataframe(df)?;
+    let mut blacklist: HashMap<String, Vec<String>> = HashMap::new();
+    // let mut blacklist: HashMap<String, (String, String)> = HashMap::new();
+    let mut blk: HashMap<String, Vec<NaiveDate>> = HashMap::new();
+
+    // Use the provided metric or default to "value".
+    let metric = metric.unwrap_or_else(|| "value".into());
+
+    let (min_date, max_date) = get_min_max_real_dates(df, "real_date".into())?;
+    let min_date_str = min_date.format("%Y-%m-%d").to_string();
+    let max_date_str = max_date.format("%Y-%m-%d").to_string();
+    // let all_bdates = get_bdates_series_default_opt(min_date_str, max_date_str, None)?;
+    let all_bdates = get_bdates_list_with_freq(
+        min_date_str.clone().as_str(),
+        max_date_str.clone().as_str(),
+        BDateFreq::Daily,
+    )?;
+
+    // filter df
+    let null_mask = df.column(metric.as_str())?.is_null();
+    let nan_mask = df.column(metric.as_str())?.is_nan()?;
+    let null_mask = null_mask | nan_mask;
+    let df = df.filter(&null_mask)?;
+
+    let df = df
+        .lazy()
+        .filter(
+            col(metric.as_str())
+                .is_null()
+                .or(col(metric.as_str()).is_nan()),
+        )
+        .sort(
+            ["cid", "xcat"],
+            SortMultipleOptions::default().with_maintain_order(true),
+        )
+        .group_by([col("cid"), col("xcat")])
+        // .agg([col("real_date").sort(SortOptions::default())])
+        .agg([col("real_date")
+            .dt()
+            .strftime("%Y-%m-%d")
+            .sort(SortOptions::default())])
+        .select([
+            concat_str([col("cid"), col("xcat")], "_", true).alias("ticker"),
+            col("real_date").alias("real_dates"),
+        ])
+        .collect()?;
+
+    // assert!(0 == 1, "{:?}", df);
+
+    let ticker_vec = df
+        .column("ticker")?
+        .str()?
+        .into_iter()
+        .filter_map(|opt| opt.map(|s| s.to_string()))
+        .collect::<Vec<String>>();
+
+    let rdt = get_vec_of_vec_of_dates_from_df(df)?;
+
+    // assert!(0 == 1, "{:?}", rdt);
+    for (tkr, dates) in ticker_vec.iter().zip(rdt.iter()) {
+        blacklist.insert(tkr.to_string(), dates.clone());
+    }
+
+    Ok(blacklist)
+}
+
+fn convert_dates_list_to_date_ranges(
+    blacklist: HashMap<String, Vec<String>>,
+    all_bdates: Vec<NaiveDate>,
+) -> HashMap<String, (String, String)> {
+    let blk = HashMap::new();
+    let bdates = all_bdates
+        .iter()
+        .map(|date| date.format("%Y-%m-%d").to_string())
+        .collect::<Vec<String>>();
+
+    //
+
+    blk
+}
+
+fn get_vec_of_vec_of_dates_from_df(df: DataFrame) -> Result<Vec<Vec<String>>, Box<dyn Error>> {
+    let rdt = df
+        .column("real_dates")?
+        // .clone()
+        .as_series()
+        .unwrap()
+        .list()?
+        .into_iter()
+        .filter_map(|opt| opt)
+        .collect::<Vec<Series>>()
+        .iter()
+        .map(|s| {
+            s.str()
+                .unwrap()
+                .into_iter()
+                .filter_map(|opt| opt.map(|s| s.to_string()))
+                .collect::<Vec<String>>()
+        })
+        .collect::<Vec<Vec<String>>>();
+    Ok(rdt)
+}
+
+fn get_vec_of_vec_of_naivedates_from_df(
+    df: DataFrame,
+) -> Result<Vec<Vec<NaiveDate>>, Box<dyn Error>> {
+    let rdt = df
+        .column("real_dates")?
+        // .clone()
+        .as_series()
+        .unwrap()
+        .list()?
+        .into_iter()
+        .filter_map(|opt| opt)
+        .collect::<Vec<Series>>()
+        .iter()
+        .map(|s| {
+            s.date()
+                .unwrap()
+                .into_iter()
+                .filter_map(|opt| opt.and_then(|date| NaiveDate::from_num_days_from_ce_opt(date)))
+                .collect::<Vec<NaiveDate>>()
+        })
+        .collect::<Vec<Vec<NaiveDate>>>();
+    Ok(rdt)
+}
+
+// fn get_vec_of_vec_of_dates_from_df(df: DataFrame) -> Result<Vec<Vec<String>>, Box<dyn Error>> {
+//     let real_dates_column = df.column("real_dates")?.clone();
+//     let series = real_dates_column.as_series().unwrap().clone();
+//     let rdt = series.list()?.clone();
+//     let rdt = rdt
+//         .into_iter()
+//         .filter_map(|opt| opt)
+//         .collect::<Vec<Series>>();
+//     let rdt = rdt
+//         .iter()
+//         .map(|s| {
+//             s.str()
+//                 .unwrap()
+//                 .into_iter()
+//                 .filter_map(|opt| opt.map(|s| s.to_string()))
+//                 .collect::<Vec<String>>()
+//         })
+//         .collect::<Vec<Vec<String>>>();
+//     Ok(rdt)
+// }

src/utils/qdf/mod.rs

@@ -1,11 +1,12 @@
+pub mod blacklist;
 pub mod core;
-pub mod update_df;
 pub mod load;
-pub mod reduce_df;
 pub mod pivots;
+pub mod reduce_df;
+pub mod update_df;
 
 // Re-export submodules for easier access
 pub use core::*;
-pub use update_df::*;
 pub use load::*;
 pub use reduce_df::*;
+pub use update_df::*;

src/utils/qdf/reduce_df.rs

@@ -30,12 +30,12 @@ pub fn reduce_dataframe(
     let df_size = df.shape();
     let mut new_df = df.clone();
 
-    let ticker_col: Column = get_ticker_column_for_quantamental_dataframe(&new_df)?;
+    let ticker_col = get_ticker_column_for_quantamental_dataframe(&new_df)?;
 
     // if cids is not provided, get all unique cids
-    let u_cids: Vec<String> = get_unique_cids(&new_df)?;
-    let u_xcats: Vec<String> = get_unique_xcats(&new_df)?;
-    let u_tickers: Vec<String> = _get_unique_strs_from_str_column_object(&ticker_col)?;
+    let u_cids = get_unique_cids(&new_df)?;
+    let u_xcats = get_unique_xcats(&new_df)?;
+    let u_tickers = _get_unique_strs_from_str_column_object(&ticker_col)?;
 
     let cids_vec = cids.unwrap_or_else(|| u_cids.clone());
     let specified_cids: Vec<&str> = cids_vec.iter().map(AsRef::as_ref).collect();