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Center window #36097

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11c1bb7
update syntax for pandas style
adamamiller Sep 3, 2020
3cac891
Merge branch 'master' of https://github.com/pandas-dev/pandas into ce…
adamamiller Sep 3, 2020
c73ffc4
fix syntax error
adamamiller Sep 3, 2020
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41 changes: 35 additions & 6 deletions pandas/_libs/window/indexers.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,7 @@ def calculate_variable_window_bounds(
int64_t num_values,
int64_t window_size,
object min_periods, # unused but here to match get_window_bounds signature
object center, # unused but here to match get_window_bounds signature
object center,
object closed,
const int64_t[:] index
):
Expand All @@ -30,7 +30,7 @@ def calculate_variable_window_bounds(
ignored, exists for compatibility

center : object
ignored, exists for compatibility
center the rolling window on the current observation

closed : str
string of side of the window that should be closed
Expand All @@ -45,6 +45,7 @@ def calculate_variable_window_bounds(
cdef:
bint left_closed = False
bint right_closed = False
bint center_window = False
int index_growth_sign = 1
ndarray[int64_t, ndim=1] start, end
int64_t start_bound, end_bound
Expand All @@ -62,6 +63,8 @@ def calculate_variable_window_bounds(

if index[num_values - 1] < index[0]:
index_growth_sign = -1
if center:
center_window = True

start = np.empty(num_values, dtype='int64')
start.fill(-1)
Expand All @@ -76,14 +79,27 @@ def calculate_variable_window_bounds(
# right endpoint is open
else:
end[0] = 0
if center_window:
for j in range(0, num_values+1):
if (index[j] == index[0] + index_growth_sign*window_size/2 and
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@jreback jreback Sep 5, 2020

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this is likley failing linting (need spaces between operators)

right_closed):
end[0] = j+1
break
elif index[j] >= index[0] + index_growth_sign * window_size/2:
end[0] = j
break

with nogil:

# start is start of slice interval (including)
# end is end of slice interval (not including)
for i in range(1, num_values):
end_bound = index[i]
start_bound = index[i] - index_growth_sign * window_size
if center_window:
end_bound = index[i] + index_growth_sign * window_size/2
start_bound = index[i] - index_growth_sign * window_size/2
else:
end_bound = index[i]
start_bound = index[i] - index_growth_sign * window_size

# left endpoint is closed
if left_closed:
Expand All @@ -97,14 +113,27 @@ def calculate_variable_window_bounds(
start[i] = j
break

# for centered window advance the end bound until we are
# outside the constraint
if center_window:
for j in range(end[i - 1], num_values+1):
if j == num_values:
end[i] = j
elif ((index[j] - end_bound) * index_growth_sign == 0 and
right_closed):
end[i] = j+1
break
elif (index[j] - end_bound) * index_growth_sign >= 0:
end[i] = j
break
# end bound is previous end
# or current index
if (index[end[i - 1]] - end_bound) * index_growth_sign <= 0:
elif (index[end[i - 1]] - end_bound) * index_growth_sign <= 0:
end[i] = i + 1
else:
end[i] = end[i - 1]

# right endpoint is open
if not right_closed:
if not right_closed and not center_window:
end[i] -= 1
return start, end
26 changes: 17 additions & 9 deletions pandas/core/window/rolling.py
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Original file line number Diff line number Diff line change
Expand Up @@ -462,15 +462,16 @@ def _get_window_indexer(self, window: int) -> BaseIndexer:
if isinstance(self.window, BaseIndexer):
return self.window
if self.is_freq_type:
return VariableWindowIndexer(index_array=self._on.asi8, window_size=window)
return VariableWindowIndexer(
index_array=self._on.asi8, window_size=window, center=self.center
)
return FixedWindowIndexer(window_size=window)

def _apply_series(self, homogeneous_func: Callable[..., ArrayLike]) -> "Series":
"""
Series version of _apply_blockwise
"""
_, obj = self._create_blocks(self._selected_obj)

try:
values = self._prep_values(obj.values)
except (TypeError, NotImplementedError) as err:
Expand Down Expand Up @@ -554,7 +555,14 @@ def homogeneous_func(values: np.ndarray):
if values.size == 0:
return values.copy()

offset = calculate_center_offset(window) if center else 0
offset = (
calculate_center_offset(window)
if center
and not isinstance(
self._get_window_indexer(window), VariableWindowIndexer
)
else 0
)
additional_nans = np.array([np.nan] * offset)

if not is_weighted:
Expand Down Expand Up @@ -597,7 +605,9 @@ def calc(x):
if use_numba_cache:
NUMBA_FUNC_CACHE[(kwargs["original_func"], "rolling_apply")] = func

if center:
if center and not isinstance(
self._get_window_indexer(window), VariableWindowIndexer
):
result = self._center_window(result, window)

return result
Expand Down Expand Up @@ -1950,15 +1960,13 @@ def validate(self):
if (self.obj.empty or self.is_datetimelike) and isinstance(
self.window, (str, BaseOffset, timedelta)
):

self._validate_monotonic()
freq = self._validate_freq()

# we don't allow center
if self.center:
# we don't allow center for offset based windows
if self.center and self.obj.empty:
raise NotImplementedError(
"center is not implemented for "
"datetimelike and offset based windows"
"center is not implemented for offset based windows"
)

# this will raise ValueError on non-fixed freqs
Expand Down