Permalink
1632 lines (1309 sloc) 51.9 KB
from datetime import timedelta
import numpy as np
import warnings
import copy
from textwrap import dedent
import pandas as pd
from pandas.core.groupby.base import GroupByMixin
from pandas.core.groupby.ops import BinGrouper
from pandas.core.groupby.groupby import (
_GroupBy, GroupBy, groupby, _pipe_template
)
from pandas.core.groupby.grouper import Grouper
from pandas.core.groupby.generic import SeriesGroupBy, PanelGroupBy
from pandas.tseries.frequencies import to_offset, is_subperiod, is_superperiod
from pandas.core.indexes.datetimes import DatetimeIndex, date_range
from pandas.core.indexes.timedeltas import TimedeltaIndex
from pandas.tseries.offsets import (DateOffset, Tick, Day,
delta_to_nanoseconds, Nano)
from pandas.core.indexes.period import PeriodIndex
from pandas.errors import AbstractMethodError
import pandas.core.algorithms as algos
from pandas.core.dtypes.generic import ABCDataFrame, ABCSeries
import pandas.compat as compat
from pandas.compat.numpy import function as nv
from pandas._libs import lib
from pandas._libs.tslibs import Timestamp, NaT
from pandas._libs.tslibs.period import IncompatibleFrequency
from pandas.util._decorators import Appender, Substitution
from pandas.core.generic import _shared_docs
_shared_docs_kwargs = dict()
class Resampler(_GroupBy):
"""
Class for resampling datetimelike data, a groupby-like operation.
See aggregate, transform, and apply functions on this object.
It's easiest to use obj.resample(...) to use Resampler.
Parameters
----------
obj : pandas object
groupby : a TimeGrouper object
axis : int, default 0
kind : str or None
'period', 'timestamp' to override default index treatement
Notes
-----
After resampling, see aggregate, apply, and transform functions.
Returns
-------
a Resampler of the appropriate type
"""
# to the groupby descriptor
_attributes = ['freq', 'axis', 'closed', 'label', 'convention',
'loffset', 'base', 'kind']
def __init__(self, obj, groupby=None, axis=0, kind=None, **kwargs):
self.groupby = groupby
self.keys = None
self.sort = True
self.axis = axis
self.kind = kind
self.squeeze = False
self.group_keys = True
self.as_index = True
self.exclusions = set()
self.binner = None
self.grouper = None
if self.groupby is not None:
self.groupby._set_grouper(self._convert_obj(obj), sort=True)
def __unicode__(self):
""" provide a nice str repr of our rolling object """
attrs = ["{k}={v}".format(k=k, v=getattr(self.groupby, k))
for k in self._attributes if
getattr(self.groupby, k, None) is not None]
return "{klass} [{attrs}]".format(klass=self.__class__.__name__,
attrs=', '.join(attrs))
def __getattr__(self, attr):
if attr in self._internal_names_set:
return object.__getattribute__(self, attr)
if attr in self._attributes:
return getattr(self.groupby, attr)
if attr in self.obj:
return self[attr]
return object.__getattribute__(self, attr)
def __iter__(self):
"""
Resampler iterator
Returns
-------
Generator yielding sequence of (name, subsetted object)
for each group
See Also
--------
GroupBy.__iter__
"""
self._set_binner()
return super(Resampler, self).__iter__()
@property
def obj(self):
return self.groupby.obj
@property
def ax(self):
return self.groupby.ax
@property
def _typ(self):
""" masquerade for compat as a Series or a DataFrame """
if isinstance(self._selected_obj, pd.Series):
return 'series'
return 'dataframe'
@property
def _from_selection(self):
""" is the resampling from a DataFrame column or MultiIndex level """
# upsampling and PeriodIndex resampling do not work
# with selection, this state used to catch and raise an error
return (self.groupby is not None and
(self.groupby.key is not None or
self.groupby.level is not None))
def _convert_obj(self, obj):
"""
provide any conversions for the object in order to correctly handle
Parameters
----------
obj : the object to be resampled
Returns
-------
obj : converted object
"""
obj = obj._consolidate()
return obj
def _get_binner_for_time(self):
raise AbstractMethodError(self)
def _set_binner(self):
"""
setup our binners
cache these as we are an immutable object
"""
if self.binner is None:
self.binner, self.grouper = self._get_binner()
def _get_binner(self):
"""
create the BinGrouper, assume that self.set_grouper(obj)
has already been called
"""
binner, bins, binlabels = self._get_binner_for_time()
bin_grouper = BinGrouper(bins, binlabels, indexer=self.groupby.indexer)
return binner, bin_grouper
def _assure_grouper(self):
""" make sure that we are creating our binner & grouper """
self._set_binner()
@Substitution(klass='Resampler',
versionadded='.. versionadded:: 0.23.0',
examples="""
>>> df = pd.DataFrame({'A': [1, 2, 3, 4]},
... index=pd.date_range('2012-08-02', periods=4))
>>> df
A
2012-08-02 1
2012-08-03 2
2012-08-04 3
2012-08-05 4
To get the difference between each 2-day period's maximum and minimum value in
one pass, you can do
>>> df.resample('2D').pipe(lambda x: x.max() - x.min())
A
2012-08-02 1
2012-08-04 1""")
@Appender(_pipe_template)
def pipe(self, func, *args, **kwargs):
return super(Resampler, self).pipe(func, *args, **kwargs)
_agg_doc = dedent("""
Examples
--------
>>> s = pd.Series([1,2,3,4,5],
index=pd.date_range('20130101', periods=5,freq='s'))
2013-01-01 00:00:00 1
2013-01-01 00:00:01 2
2013-01-01 00:00:02 3
2013-01-01 00:00:03 4
2013-01-01 00:00:04 5
Freq: S, dtype: int64
>>> r = s.resample('2s')
DatetimeIndexResampler [freq=<2 * Seconds>, axis=0, closed=left,
label=left, convention=start, base=0]
>>> r.agg(np.sum)
2013-01-01 00:00:00 3
2013-01-01 00:00:02 7
2013-01-01 00:00:04 5
Freq: 2S, dtype: int64
>>> r.agg(['sum','mean','max'])
sum mean max
2013-01-01 00:00:00 3 1.5 2
2013-01-01 00:00:02 7 3.5 4
2013-01-01 00:00:04 5 5.0 5
>>> r.agg({'result' : lambda x: x.mean() / x.std(),
'total' : np.sum})
total result
2013-01-01 00:00:00 3 2.121320
2013-01-01 00:00:02 7 4.949747
2013-01-01 00:00:04 5 NaN
See also
--------
pandas.DataFrame.groupby.aggregate
pandas.DataFrame.resample.transform
pandas.DataFrame.aggregate
""")
@Appender(_agg_doc)
@Appender(_shared_docs['aggregate'] % dict(
klass='DataFrame',
versionadded='',
axis=''))
def aggregate(self, func, *args, **kwargs):
self._set_binner()
result, how = self._aggregate(func, *args, **kwargs)
if result is None:
how = func
grouper = None
result = self._groupby_and_aggregate(how,
grouper,
*args,
**kwargs)
result = self._apply_loffset(result)
return result
agg = aggregate
apply = aggregate
def transform(self, arg, *args, **kwargs):
"""
Call function producing a like-indexed Series on each group and return
a Series with the transformed values
Parameters
----------
func : function
To apply to each group. Should return a Series with the same index
Examples
--------
>>> resampled.transform(lambda x: (x - x.mean()) / x.std())
Returns
-------
transformed : Series
"""
return self._selected_obj.groupby(self.groupby).transform(
arg, *args, **kwargs)
def _downsample(self, f):
raise AbstractMethodError(self)
def _upsample(self, f, limit=None, fill_value=None):
raise AbstractMethodError(self)
def _gotitem(self, key, ndim, subset=None):
"""
sub-classes to define
return a sliced object
Parameters
----------
key : string / list of selections
ndim : 1,2
requested ndim of result
subset : object, default None
subset to act on
"""
self._set_binner()
grouper = self.grouper
if subset is None:
subset = self.obj
grouped = groupby(subset, by=None, grouper=grouper, axis=self.axis)
# try the key selection
try:
return grouped[key]
except KeyError:
return grouped
def _groupby_and_aggregate(self, how, grouper=None, *args, **kwargs):
""" re-evaluate the obj with a groupby aggregation """
if grouper is None:
self._set_binner()
grouper = self.grouper
obj = self._selected_obj
try:
grouped = groupby(obj, by=None, grouper=grouper, axis=self.axis)
except TypeError:
# panel grouper
grouped = PanelGroupBy(obj, grouper=grouper, axis=self.axis)
try:
if isinstance(obj, ABCDataFrame) and compat.callable(how):
# Check if the function is reducing or not.
result = grouped._aggregate_item_by_item(how, *args, **kwargs)
else:
result = grouped.aggregate(how, *args, **kwargs)
except Exception:
# we have a non-reducing function
# try to evaluate
result = grouped.apply(how, *args, **kwargs)
result = self._apply_loffset(result)
return self._wrap_result(result)
def _apply_loffset(self, result):
"""
if loffset is set, offset the result index
This is NOT an idempotent routine, it will be applied
exactly once to the result.
Parameters
----------
result : Series or DataFrame
the result of resample
"""
needs_offset = (
isinstance(self.loffset, (DateOffset, timedelta,
np.timedelta64)) and
isinstance(result.index, DatetimeIndex) and
len(result.index) > 0
)
if needs_offset:
result.index = result.index + self.loffset
self.loffset = None
return result
def _get_resampler_for_grouping(self, groupby, **kwargs):
""" return the correct class for resampling with groupby """
return self._resampler_for_grouping(self, groupby=groupby, **kwargs)
def _wrap_result(self, result):
""" potentially wrap any results """
if isinstance(result, ABCSeries) and self._selection is not None:
result.name = self._selection
if isinstance(result, ABCSeries) and result.empty:
obj = self.obj
result.index = obj.index._shallow_copy(freq=to_offset(self.freq))
result.name = getattr(obj, 'name', None)
return result
def pad(self, limit=None):
"""
Forward fill the values
Parameters
----------
limit : integer, optional
limit of how many values to fill
Returns
-------
an upsampled Series
See Also
--------
Series.fillna
DataFrame.fillna
"""
return self._upsample('pad', limit=limit)
ffill = pad
def nearest(self, limit=None):
"""
Fill values with nearest neighbor starting from center
Parameters
----------
limit : integer, optional
limit of how many values to fill
.. versionadded:: 0.21.0
Returns
-------
an upsampled Series
See Also
--------
Series.fillna
DataFrame.fillna
"""
return self._upsample('nearest', limit=limit)
def backfill(self, limit=None):
"""
Backward fill the new missing values in the resampled data.
In statistics, imputation is the process of replacing missing data with
substituted values [1]_. When resampling data, missing values may
appear (e.g., when the resampling frequency is higher than the original
frequency). The backward fill will replace NaN values that appeared in
the resampled data with the next value in the original sequence.
Missing values that existed in the original data will not be modified.
Parameters
----------
limit : integer, optional
Limit of how many values to fill.
Returns
-------
Series, DataFrame
An upsampled Series or DataFrame with backward filled NaN values.
See Also
--------
bfill : Alias of backfill.
fillna : Fill NaN values using the specified method, which can be
'backfill'.
nearest : Fill NaN values with nearest neighbor starting from center.
pad : Forward fill NaN values.
pandas.Series.fillna : Fill NaN values in the Series using the
specified method, which can be 'backfill'.
pandas.DataFrame.fillna : Fill NaN values in the DataFrame using the
specified method, which can be 'backfill'.
References
----------
.. [1] https://en.wikipedia.org/wiki/Imputation_(statistics)
Examples
--------
Resampling a Series:
>>> s = pd.Series([1, 2, 3],
... index=pd.date_range('20180101', periods=3, freq='h'))
>>> s
2018-01-01 00:00:00 1
2018-01-01 01:00:00 2
2018-01-01 02:00:00 3
Freq: H, dtype: int64
>>> s.resample('30min').backfill()
2018-01-01 00:00:00 1
2018-01-01 00:30:00 2
2018-01-01 01:00:00 2
2018-01-01 01:30:00 3
2018-01-01 02:00:00 3
Freq: 30T, dtype: int64
>>> s.resample('15min').backfill(limit=2)
2018-01-01 00:00:00 1.0
2018-01-01 00:15:00 NaN
2018-01-01 00:30:00 2.0
2018-01-01 00:45:00 2.0
2018-01-01 01:00:00 2.0
2018-01-01 01:15:00 NaN
2018-01-01 01:30:00 3.0
2018-01-01 01:45:00 3.0
2018-01-01 02:00:00 3.0
Freq: 15T, dtype: float64
Resampling a DataFrame that has missing values:
>>> df = pd.DataFrame({'a': [2, np.nan, 6], 'b': [1, 3, 5]},
... index=pd.date_range('20180101', periods=3,
... freq='h'))
>>> df
a b
2018-01-01 00:00:00 2.0 1
2018-01-01 01:00:00 NaN 3
2018-01-01 02:00:00 6.0 5
>>> df.resample('30min').backfill()
a b
2018-01-01 00:00:00 2.0 1
2018-01-01 00:30:00 NaN 3
2018-01-01 01:00:00 NaN 3
2018-01-01 01:30:00 6.0 5
2018-01-01 02:00:00 6.0 5
>>> df.resample('15min').backfill(limit=2)
a b
2018-01-01 00:00:00 2.0 1.0
2018-01-01 00:15:00 NaN NaN
2018-01-01 00:30:00 NaN 3.0
2018-01-01 00:45:00 NaN 3.0
2018-01-01 01:00:00 NaN 3.0
2018-01-01 01:15:00 NaN NaN
2018-01-01 01:30:00 6.0 5.0
2018-01-01 01:45:00 6.0 5.0
2018-01-01 02:00:00 6.0 5.0
"""
return self._upsample('backfill', limit=limit)
bfill = backfill
def fillna(self, method, limit=None):
"""
Fill missing values introduced by upsampling.
In statistics, imputation is the process of replacing missing data with
substituted values [1]_. When resampling data, missing values may
appear (e.g., when the resampling frequency is higher than the original
frequency).
Missing values that existed in the original data will
not be modified.
Parameters
----------
method : {'pad', 'backfill', 'ffill', 'bfill', 'nearest'}
Method to use for filling holes in resampled data
* 'pad' or 'ffill': use previous valid observation to fill gap
(forward fill).
* 'backfill' or 'bfill': use next valid observation to fill gap.
* 'nearest': use nearest valid observation to fill gap.
limit : integer, optional
Limit of how many consecutive missing values to fill.
Returns
-------
Series or DataFrame
An upsampled Series or DataFrame with missing values filled.
See Also
--------
backfill : Backward fill NaN values in the resampled data.
pad : Forward fill NaN values in the resampled data.
nearest : Fill NaN values in the resampled data
with nearest neighbor starting from center.
interpolate : Fill NaN values using interpolation.
pandas.Series.fillna : Fill NaN values in the Series using the
specified method, which can be 'bfill' and 'ffill'.
pandas.DataFrame.fillna : Fill NaN values in the DataFrame using the
specified method, which can be 'bfill' and 'ffill'.
Examples
--------
Resampling a Series:
>>> s = pd.Series([1, 2, 3],
... index=pd.date_range('20180101', periods=3, freq='h'))
>>> s
2018-01-01 00:00:00 1
2018-01-01 01:00:00 2
2018-01-01 02:00:00 3
Freq: H, dtype: int64
Without filling the missing values you get:
>>> s.resample("30min").asfreq()
2018-01-01 00:00:00 1.0
2018-01-01 00:30:00 NaN
2018-01-01 01:00:00 2.0
2018-01-01 01:30:00 NaN
2018-01-01 02:00:00 3.0
Freq: 30T, dtype: float64
>>> s.resample('30min').fillna("backfill")
2018-01-01 00:00:00 1
2018-01-01 00:30:00 2
2018-01-01 01:00:00 2
2018-01-01 01:30:00 3
2018-01-01 02:00:00 3
Freq: 30T, dtype: int64
>>> s.resample('15min').fillna("backfill", limit=2)
2018-01-01 00:00:00 1.0
2018-01-01 00:15:00 NaN
2018-01-01 00:30:00 2.0
2018-01-01 00:45:00 2.0
2018-01-01 01:00:00 2.0
2018-01-01 01:15:00 NaN
2018-01-01 01:30:00 3.0
2018-01-01 01:45:00 3.0
2018-01-01 02:00:00 3.0
Freq: 15T, dtype: float64
>>> s.resample('30min').fillna("pad")
2018-01-01 00:00:00 1
2018-01-01 00:30:00 1
2018-01-01 01:00:00 2
2018-01-01 01:30:00 2
2018-01-01 02:00:00 3
Freq: 30T, dtype: int64
>>> s.resample('30min').fillna("nearest")
2018-01-01 00:00:00 1
2018-01-01 00:30:00 2
2018-01-01 01:00:00 2
2018-01-01 01:30:00 3
2018-01-01 02:00:00 3
Freq: 30T, dtype: int64
Missing values present before the upsampling are not affected.
>>> sm = pd.Series([1, None, 3],
... index=pd.date_range('20180101', periods=3, freq='h'))
>>> sm
2018-01-01 00:00:00 1.0
2018-01-01 01:00:00 NaN
2018-01-01 02:00:00 3.0
Freq: H, dtype: float64
>>> sm.resample('30min').fillna('backfill')
2018-01-01 00:00:00 1.0
2018-01-01 00:30:00 NaN
2018-01-01 01:00:00 NaN
2018-01-01 01:30:00 3.0
2018-01-01 02:00:00 3.0
Freq: 30T, dtype: float64
>>> sm.resample('30min').fillna('pad')
2018-01-01 00:00:00 1.0
2018-01-01 00:30:00 1.0
2018-01-01 01:00:00 NaN
2018-01-01 01:30:00 NaN
2018-01-01 02:00:00 3.0
Freq: 30T, dtype: float64
>>> sm.resample('30min').fillna('nearest')
2018-01-01 00:00:00 1.0
2018-01-01 00:30:00 NaN
2018-01-01 01:00:00 NaN
2018-01-01 01:30:00 3.0
2018-01-01 02:00:00 3.0
Freq: 30T, dtype: float64
DataFrame resampling is done column-wise. All the same options are
available.
>>> df = pd.DataFrame({'a': [2, np.nan, 6], 'b': [1, 3, 5]},
... index=pd.date_range('20180101', periods=3,
... freq='h'))
>>> df
a b
2018-01-01 00:00:00 2.0 1
2018-01-01 01:00:00 NaN 3
2018-01-01 02:00:00 6.0 5
>>> df.resample('30min').fillna("bfill")
a b
2018-01-01 00:00:00 2.0 1
2018-01-01 00:30:00 NaN 3
2018-01-01 01:00:00 NaN 3
2018-01-01 01:30:00 6.0 5
2018-01-01 02:00:00 6.0 5
References
----------
.. [1] https://en.wikipedia.org/wiki/Imputation_(statistics)
"""
return self._upsample(method, limit=limit)
@Appender(_shared_docs['interpolate'] % _shared_docs_kwargs)
def interpolate(self, method='linear', axis=0, limit=None, inplace=False,
limit_direction='forward', limit_area=None,
downcast=None, **kwargs):
"""
Interpolate values according to different methods.
.. versionadded:: 0.18.1
"""
result = self._upsample(None)
return result.interpolate(method=method, axis=axis, limit=limit,
inplace=inplace,
limit_direction=limit_direction,
limit_area=limit_area,
downcast=downcast, **kwargs)
def asfreq(self, fill_value=None):
"""
return the values at the new freq,
essentially a reindex
Parameters
----------
fill_value: scalar, optional
Value to use for missing values, applied during upsampling (note
this does not fill NaNs that already were present).
.. versionadded:: 0.20.0
See Also
--------
Series.asfreq
DataFrame.asfreq
"""
return self._upsample('asfreq', fill_value=fill_value)
def std(self, ddof=1, *args, **kwargs):
"""
Compute standard deviation of groups, excluding missing values
Parameters
----------
ddof : integer, default 1
degrees of freedom
"""
nv.validate_resampler_func('std', args, kwargs)
return self._downsample('std', ddof=ddof)
def var(self, ddof=1, *args, **kwargs):
"""
Compute variance of groups, excluding missing values
Parameters
----------
ddof : integer, default 1
degrees of freedom
"""
nv.validate_resampler_func('var', args, kwargs)
return self._downsample('var', ddof=ddof)
@Appender(GroupBy.size.__doc__)
def size(self):
# It's a special case as higher level does return
# a copy of 0-len objects. GH14962
result = self._downsample('size')
if not len(self.ax) and isinstance(self._selected_obj, ABCDataFrame):
result = pd.Series([], index=result.index, dtype='int64')
return result
def quantile(self, q=0.5, **kwargs):
"""
Return value at the given quantile.
.. versionadded:: 0.24.0
Parameters
----------
q : float or array-like, default 0.5 (50% quantile)
See Also
--------
Series.quantile
DataFrame.quantile
DataFrameGroupBy.quantile
"""
return self._downsample('quantile', q=q, **kwargs)
# downsample methods
for method in ['sum', 'prod']:
def f(self, _method=method, min_count=0, *args, **kwargs):
nv.validate_resampler_func(_method, args, kwargs)
return self._downsample(_method, min_count=min_count)
f.__doc__ = getattr(GroupBy, method).__doc__
setattr(Resampler, method, f)
# downsample methods
for method in ['min', 'max', 'first', 'last', 'mean', 'sem',
'median', 'ohlc']:
def f(self, _method=method, *args, **kwargs):
nv.validate_resampler_func(_method, args, kwargs)
return self._downsample(_method)
f.__doc__ = getattr(GroupBy, method).__doc__
setattr(Resampler, method, f)
# groupby & aggregate methods
for method in ['count']:
def f(self, _method=method):
return self._downsample(_method)
f.__doc__ = getattr(GroupBy, method).__doc__
setattr(Resampler, method, f)
# series only methods
for method in ['nunique']:
def f(self, _method=method):
return self._downsample(_method)
f.__doc__ = getattr(SeriesGroupBy, method).__doc__
setattr(Resampler, method, f)
def _maybe_process_deprecations(r, how=None, fill_method=None, limit=None):
""" potentially we might have a deprecation warning, show it
but call the appropriate methods anyhow """
if how is not None:
# .resample(..., how='sum')
if isinstance(how, compat.string_types):
method = "{0}()".format(how)
# .resample(..., how=lambda x: ....)
else:
method = ".apply(<func>)"
# if we have both a how and fill_method, then show
# the following warning
if fill_method is None:
warnings.warn("how in .resample() is deprecated\n"
"the new syntax is "
".resample(...).{method}".format(
method=method),
FutureWarning, stacklevel=3)
r = r.aggregate(how)
if fill_method is not None:
# show the prior function call
method = '.' + method if how is not None else ''
args = "limit={0}".format(limit) if limit is not None else ""
warnings.warn("fill_method is deprecated to .resample()\n"
"the new syntax is .resample(...){method}"
".{fill_method}({args})".format(
method=method,
fill_method=fill_method,
args=args),
FutureWarning, stacklevel=3)
if how is not None:
r = getattr(r, fill_method)(limit=limit)
else:
r = r.aggregate(fill_method, limit=limit)
return r
class _GroupByMixin(GroupByMixin):
""" provide the groupby facilities """
def __init__(self, obj, *args, **kwargs):
parent = kwargs.pop('parent', None)
groupby = kwargs.pop('groupby', None)
if parent is None:
parent = obj
# initialize our GroupByMixin object with
# the resampler attributes
for attr in self._attributes:
setattr(self, attr, kwargs.get(attr, getattr(parent, attr)))
super(_GroupByMixin, self).__init__(None)
self._groupby = groupby
self._groupby.mutated = True
self._groupby.grouper.mutated = True
self.groupby = copy.copy(parent.groupby)
def _apply(self, f, grouper=None, *args, **kwargs):
"""
dispatch to _upsample; we are stripping all of the _upsample kwargs and
performing the original function call on the grouped object
"""
def func(x):
x = self._shallow_copy(x, groupby=self.groupby)
if isinstance(f, compat.string_types):
return getattr(x, f)(**kwargs)
return x.apply(f, *args, **kwargs)
result = self._groupby.apply(func)
return self._wrap_result(result)
_upsample = _apply
_downsample = _apply
_groupby_and_aggregate = _apply
class DatetimeIndexResampler(Resampler):
@property
def _resampler_for_grouping(self):
return DatetimeIndexResamplerGroupby
def _get_binner_for_time(self):
# this is how we are actually creating the bins
if self.kind == 'period':
return self.groupby._get_time_period_bins(self.ax)
return self.groupby._get_time_bins(self.ax)
def _downsample(self, how, **kwargs):
"""
Downsample the cython defined function
Parameters
----------
how : string / cython mapped function
**kwargs : kw args passed to how function
"""
self._set_binner()
how = self._is_cython_func(how) or how
ax = self.ax
obj = self._selected_obj
if not len(ax):
# reset to the new freq
obj = obj.copy()
obj.index.freq = self.freq
return obj
# do we have a regular frequency
if ax.freq is not None or ax.inferred_freq is not None:
if len(self.grouper.binlabels) > len(ax) and how is None:
# let's do an asfreq
return self.asfreq()
# we are downsampling
# we want to call the actual grouper method here
result = obj.groupby(
self.grouper, axis=self.axis).aggregate(how, **kwargs)
result = self._apply_loffset(result)
return self._wrap_result(result)
def _adjust_binner_for_upsample(self, binner):
"""
Adjust our binner when upsampling.
The range of a new index should not be outside specified range
"""
if self.closed == 'right':
binner = binner[1:]
else:
binner = binner[:-1]
return binner
def _upsample(self, method, limit=None, fill_value=None):
"""
method : string {'backfill', 'bfill', 'pad',
'ffill', 'asfreq'} method for upsampling
limit : int, default None
Maximum size gap to fill when reindexing
fill_value : scalar, default None
Value to use for missing values
See also
--------
.fillna
"""
self._set_binner()
if self.axis:
raise AssertionError('axis must be 0')
if self._from_selection:
raise ValueError("Upsampling from level= or on= selection"
" is not supported, use .set_index(...)"
" to explicitly set index to"
" datetime-like")
ax = self.ax
obj = self._selected_obj
binner = self.binner
res_index = self._adjust_binner_for_upsample(binner)
# if we have the same frequency as our axis, then we are equal sampling
if limit is None and to_offset(ax.inferred_freq) == self.freq:
result = obj.copy()
result.index = res_index
else:
result = obj.reindex(res_index, method=method,
limit=limit, fill_value=fill_value)
result = self._apply_loffset(result)
return self._wrap_result(result)
def _wrap_result(self, result):
result = super(DatetimeIndexResampler, self)._wrap_result(result)
# we may have a different kind that we were asked originally
# convert if needed
if self.kind == 'period' and not isinstance(result.index, PeriodIndex):
result.index = result.index.to_period(self.freq)
return result
class DatetimeIndexResamplerGroupby(_GroupByMixin, DatetimeIndexResampler):
"""
Provides a resample of a groupby implementation
.. versionadded:: 0.18.1
"""
@property
def _constructor(self):
return DatetimeIndexResampler
class PeriodIndexResampler(DatetimeIndexResampler):
@property
def _resampler_for_grouping(self):
return PeriodIndexResamplerGroupby
def _get_binner_for_time(self):
if self.kind == 'timestamp':
return super(PeriodIndexResampler, self)._get_binner_for_time()
return self.groupby._get_period_bins(self.ax)
def _convert_obj(self, obj):
obj = super(PeriodIndexResampler, self)._convert_obj(obj)
if self._from_selection:
# see GH 14008, GH 12871
msg = ("Resampling from level= or on= selection"
" with a PeriodIndex is not currently supported,"
" use .set_index(...) to explicitly set index")
raise NotImplementedError(msg)
if self.loffset is not None:
# Cannot apply loffset/timedelta to PeriodIndex -> convert to
# timestamps
self.kind = 'timestamp'
# convert to timestamp
if self.kind == 'timestamp':
obj = obj.to_timestamp(how=self.convention)
return obj
def _downsample(self, how, **kwargs):
"""
Downsample the cython defined function
Parameters
----------
how : string / cython mapped function
**kwargs : kw args passed to how function
"""
# we may need to actually resample as if we are timestamps
if self.kind == 'timestamp':
return super(PeriodIndexResampler, self)._downsample(how, **kwargs)
how = self._is_cython_func(how) or how
ax = self.ax
if is_subperiod(ax.freq, self.freq):
# Downsampling
return self._groupby_and_aggregate(how, grouper=self.grouper,
**kwargs)
elif is_superperiod(ax.freq, self.freq):
if how == 'ohlc':
# GH #13083
# upsampling to subperiods is handled as an asfreq, which works
# for pure aggregating/reducing methods
# OHLC reduces along the time dimension, but creates multiple
# values for each period -> handle by _groupby_and_aggregate()
return self._groupby_and_aggregate(how, grouper=self.grouper)
return self.asfreq()
elif ax.freq == self.freq:
return self.asfreq()
raise IncompatibleFrequency(
'Frequency {} cannot be resampled to {}, as they are not '
'sub or super periods'.format(ax.freq, self.freq))
def _upsample(self, method, limit=None, fill_value=None):
"""
method : string {'backfill', 'bfill', 'pad', 'ffill'}
method for upsampling
limit : int, default None
Maximum size gap to fill when reindexing
fill_value : scalar, default None
Value to use for missing values
See also
--------
.fillna
"""
# we may need to actually resample as if we are timestamps
if self.kind == 'timestamp':
return super(PeriodIndexResampler, self)._upsample(
method, limit=limit, fill_value=fill_value)
self._set_binner()
ax = self.ax
obj = self.obj
new_index = self.binner
# Start vs. end of period
memb = ax.asfreq(self.freq, how=self.convention)
# Get the fill indexer
indexer = memb.get_indexer(new_index, method=method, limit=limit)
return self._wrap_result(_take_new_index(
obj, indexer, new_index, axis=self.axis))
class PeriodIndexResamplerGroupby(_GroupByMixin, PeriodIndexResampler):
"""
Provides a resample of a groupby implementation
.. versionadded:: 0.18.1
"""
@property
def _constructor(self):
return PeriodIndexResampler
class TimedeltaIndexResampler(DatetimeIndexResampler):
@property
def _resampler_for_grouping(self):
return TimedeltaIndexResamplerGroupby
def _get_binner_for_time(self):
return self.groupby._get_time_delta_bins(self.ax)
def _adjust_binner_for_upsample(self, binner):
"""
Adjust our binner when upsampling.
The range of a new index is allowed to be greater than original range
so we don't need to change the length of a binner, GH 13022
"""
return binner
class TimedeltaIndexResamplerGroupby(_GroupByMixin, TimedeltaIndexResampler):
"""
Provides a resample of a groupby implementation
.. versionadded:: 0.18.1
"""
@property
def _constructor(self):
return TimedeltaIndexResampler
def resample(obj, kind=None, **kwds):
""" create a TimeGrouper and return our resampler """
tg = TimeGrouper(**kwds)
return tg._get_resampler(obj, kind=kind)
resample.__doc__ = Resampler.__doc__
def get_resampler_for_grouping(groupby, rule, how=None, fill_method=None,
limit=None, kind=None, **kwargs):
""" return our appropriate resampler when grouping as well """
# .resample uses 'on' similar to how .groupby uses 'key'
kwargs['key'] = kwargs.pop('on', None)
tg = TimeGrouper(freq=rule, **kwargs)
resampler = tg._get_resampler(groupby.obj, kind=kind)
r = resampler._get_resampler_for_grouping(groupby=groupby)
return _maybe_process_deprecations(r,
how=how,
fill_method=fill_method,
limit=limit)
class TimeGrouper(Grouper):
"""
Custom groupby class for time-interval grouping
Parameters
----------
freq : pandas date offset or offset alias for identifying bin edges
closed : closed end of interval; 'left' or 'right'
label : interval boundary to use for labeling; 'left' or 'right'
convention : {'start', 'end', 'e', 's'}
If axis is PeriodIndex
"""
_attributes = Grouper._attributes + ('closed', 'label', 'how',
'loffset', 'kind', 'convention',
'base')
def __init__(self, freq='Min', closed=None, label=None, how='mean',
axis=0, fill_method=None, limit=None, loffset=None,
kind=None, convention=None, base=0, **kwargs):
# Check for correctness of the keyword arguments which would
# otherwise silently use the default if misspelled
if label not in {None, 'left', 'right'}:
raise ValueError('Unsupported value {} for `label`'.format(label))
if closed not in {None, 'left', 'right'}:
raise ValueError('Unsupported value {} for `closed`'.format(
closed))
if convention not in {None, 'start', 'end', 'e', 's'}:
raise ValueError('Unsupported value {} for `convention`'
.format(convention))
freq = to_offset(freq)
end_types = {'M', 'A', 'Q', 'BM', 'BA', 'BQ', 'W'}
rule = freq.rule_code
if (rule in end_types or
('-' in rule and rule[:rule.find('-')] in end_types)):
if closed is None:
closed = 'right'
if label is None:
label = 'right'
else:
if closed is None:
closed = 'left'
if label is None:
label = 'left'
self.closed = closed
self.label = label
self.kind = kind
self.convention = convention or 'E'
self.convention = self.convention.lower()
if isinstance(loffset, compat.string_types):
loffset = to_offset(loffset)
self.loffset = loffset
self.how = how
self.fill_method = fill_method
self.limit = limit
self.base = base
# always sort time groupers
kwargs['sort'] = True
super(TimeGrouper, self).__init__(freq=freq, axis=axis, **kwargs)
def _get_resampler(self, obj, kind=None):
"""
return my resampler or raise if we have an invalid axis
Parameters
----------
obj : input object
kind : string, optional
'period','timestamp','timedelta' are valid
Returns
-------
a Resampler
Raises
------
TypeError if incompatible axis
"""
self._set_grouper(obj)
ax = self.ax
if isinstance(ax, DatetimeIndex):
return DatetimeIndexResampler(obj,
groupby=self,
kind=kind,
axis=self.axis)
elif isinstance(ax, PeriodIndex) or kind == 'period':
return PeriodIndexResampler(obj,
groupby=self,
kind=kind,
axis=self.axis)
elif isinstance(ax, TimedeltaIndex):
return TimedeltaIndexResampler(obj,
groupby=self,
axis=self.axis)
raise TypeError("Only valid with DatetimeIndex, "
"TimedeltaIndex or PeriodIndex, "
"but got an instance of %r" % type(ax).__name__)
def _get_grouper(self, obj, validate=True):
# create the resampler and return our binner
r = self._get_resampler(obj)
r._set_binner()
return r.binner, r.grouper, r.obj
def _get_time_bins(self, ax):
if not isinstance(ax, DatetimeIndex):
raise TypeError('axis must be a DatetimeIndex, but got '
'an instance of %r' % type(ax).__name__)
if len(ax) == 0:
binner = labels = DatetimeIndex(
data=[], freq=self.freq, name=ax.name)
return binner, [], labels
first, last = _get_range_edges(ax.min(), ax.max(), self.freq,
closed=self.closed,
base=self.base)
tz = ax.tz
# GH #12037
# use first/last directly instead of call replace() on them
# because replace() will swallow the nanosecond part
# thus last bin maybe slightly before the end if the end contains
# nanosecond part and lead to `Values falls after last bin` error
binner = labels = DatetimeIndex(freq=self.freq,
start=first,
end=last,
tz=tz,
name=ax.name)
# GH 15549
# In edge case of tz-aware resapmling binner last index can be
# less than the last variable in data object, this happens because of
# DST time change
if len(binner) > 1 and binner[-1] < last:
extra_date_range = pd.date_range(binner[-1], last + self.freq,
freq=self.freq, tz=tz,
name=ax.name)
binner = labels = binner.append(extra_date_range[1:])
# a little hack
trimmed = False
if (len(binner) > 2 and binner[-2] == last and
self.closed == 'right'):
binner = binner[:-1]
trimmed = True
ax_values = ax.asi8
binner, bin_edges = self._adjust_bin_edges(binner, ax_values)
# general version, knowing nothing about relative frequencies
bins = lib.generate_bins_dt64(
ax_values, bin_edges, self.closed, hasnans=ax.hasnans)
if self.closed == 'right':
labels = binner
if self.label == 'right':
labels = labels[1:]
elif not trimmed:
labels = labels[:-1]
else:
if self.label == 'right':
labels = labels[1:]
elif not trimmed:
labels = labels[:-1]
if ax.hasnans:
binner = binner.insert(0, NaT)
labels = labels.insert(0, NaT)
# if we end up with more labels than bins
# adjust the labels
# GH4076
if len(bins) < len(labels):
labels = labels[:len(bins)]
return binner, bins, labels
def _adjust_bin_edges(self, binner, ax_values):
# Some hacks for > daily data, see #1471, #1458, #1483
if self.freq != 'D' and is_superperiod(self.freq, 'D'):
if self.closed == 'right':
# GH 21459, GH 9119: Adjust the bins relative to the wall time
bin_edges = binner.tz_localize(None)
bin_edges = bin_edges + timedelta(1) - Nano(1)
bin_edges = bin_edges.tz_localize(binner.tz).asi8
else:
bin_edges = binner.asi8
# intraday values on last day
if bin_edges[-2] > ax_values.max():
bin_edges = bin_edges[:-1]
binner = binner[:-1]
else:
bin_edges = binner.asi8
return binner, bin_edges
def _get_time_delta_bins(self, ax):
if not isinstance(ax, TimedeltaIndex):
raise TypeError('axis must be a TimedeltaIndex, but got '
'an instance of %r' % type(ax).__name__)
if not len(ax):
binner = labels = TimedeltaIndex(
data=[], freq=self.freq, name=ax.name)
return binner, [], labels
start, end = ax.min(), ax.max()
labels = binner = TimedeltaIndex(start=start,
end=end,
freq=self.freq,
name=ax.name)
end_stamps = labels + 1
bins = ax.searchsorted(end_stamps, side='left')
# Addresses GH #10530
if self.base > 0:
labels += type(self.freq)(self.base)
return binner, bins, labels
def _get_time_period_bins(self, ax):
if not isinstance(ax, DatetimeIndex):
raise TypeError('axis must be a DatetimeIndex, but got '
'an instance of %r' % type(ax).__name__)
if not len(ax):
binner = labels = PeriodIndex(
data=[], freq=self.freq, name=ax.name)
return binner, [], labels
labels = binner = PeriodIndex(start=ax[0],
end=ax[-1],
freq=self.freq,
name=ax.name)
end_stamps = (labels + 1).asfreq(self.freq, 's').to_timestamp()
if ax.tzinfo:
end_stamps = end_stamps.tz_localize(ax.tzinfo)
bins = ax.searchsorted(end_stamps, side='left')
return binner, bins, labels
def _get_period_bins(self, ax):
if not isinstance(ax, PeriodIndex):
raise TypeError('axis must be a PeriodIndex, but got '
'an instance of %r' % type(ax).__name__)
memb = ax.asfreq(self.freq, how=self.convention)
# NaT handling as in pandas._lib.lib.generate_bins_dt64()
nat_count = 0
if memb.hasnans:
nat_count = np.sum(memb._isnan)
memb = memb[~memb._isnan]
# if index contains no valid (non-NaT) values, return empty index
if not len(memb):
binner = labels = PeriodIndex(
data=[], freq=self.freq, name=ax.name)
return binner, [], labels
start = ax.min().asfreq(self.freq, how=self.convention)
end = ax.max().asfreq(self.freq, how='end')
labels = binner = PeriodIndex(start=start, end=end,
freq=self.freq, name=ax.name)
i8 = memb.asi8
freq_mult = self.freq.n
# when upsampling to subperiods, we need to generate enough bins
expected_bins_count = len(binner) * freq_mult
i8_extend = expected_bins_count - (i8[-1] - i8[0])
rng = np.arange(i8[0], i8[-1] + i8_extend, freq_mult)
rng += freq_mult
bins = memb.searchsorted(rng, side='left')
if nat_count > 0:
# NaT handling as in pandas._lib.lib.generate_bins_dt64()
# shift bins by the number of NaT
bins += nat_count
bins = np.insert(bins, 0, nat_count)
binner = binner.insert(0, NaT)
labels = labels.insert(0, NaT)
return binner, bins, labels
def _take_new_index(obj, indexer, new_index, axis=0):
from pandas.core.api import Series, DataFrame
if isinstance(obj, Series):
new_values = algos.take_1d(obj.values, indexer)
return Series(new_values, index=new_index, name=obj.name)
elif isinstance(obj, DataFrame):
if axis == 1:
raise NotImplementedError("axis 1 is not supported")
return DataFrame(obj._data.reindex_indexer(
new_axis=new_index, indexer=indexer, axis=1))
else:
raise ValueError("'obj' should be either a Series or a DataFrame")
def _get_range_edges(first, last, offset, closed='left', base=0):
if isinstance(offset, Tick):
is_day = isinstance(offset, Day)
day_nanos = delta_to_nanoseconds(timedelta(1))
# #1165
if (is_day and day_nanos % offset.nanos == 0) or not is_day:
return _adjust_dates_anchored(first, last, offset,
closed=closed, base=base)
else:
first = first.normalize()
last = last.normalize()
if closed == 'left':
first = Timestamp(offset.rollback(first))
else:
first = Timestamp(first - offset)
last = Timestamp(last + offset)
return first, last
def _adjust_dates_anchored(first, last, offset, closed='right', base=0):
# First and last offsets should be calculated from the start day to fix an
# error cause by resampling across multiple days when a one day period is
# not a multiple of the frequency.
#
# See https://github.com/pandas-dev/pandas/issues/8683
# GH 10117 & GH 19375. If first and last contain timezone information,
# Perform the calculation in UTC in order to avoid localizing on an
# Ambiguous or Nonexistent time.
first_tzinfo = first.tzinfo
last_tzinfo = last.tzinfo
start_day_nanos = first.normalize().value
if first_tzinfo is not None:
first = first.tz_convert('UTC')
if last_tzinfo is not None:
last = last.tz_convert('UTC')
base_nanos = (base % offset.n) * offset.nanos // offset.n
start_day_nanos += base_nanos
foffset = (first.value - start_day_nanos) % offset.nanos
loffset = (last.value - start_day_nanos) % offset.nanos
if closed == 'right':
if foffset > 0:
# roll back
fresult = first.value - foffset
else:
fresult = first.value - offset.nanos
if loffset > 0:
# roll forward
lresult = last.value + (offset.nanos - loffset)
else:
# already the end of the road
lresult = last.value
else: # closed == 'left'
if foffset > 0:
fresult = first.value - foffset
else:
# start of the road
fresult = first.value
if loffset > 0:
# roll forward
lresult = last.value + (offset.nanos - loffset)
else:
lresult = last.value + offset.nanos
fresult = Timestamp(fresult)
lresult = Timestamp(lresult)
if first_tzinfo is not None:
fresult = fresult.tz_localize('UTC').tz_convert(first_tzinfo)
if last_tzinfo is not None:
lresult = lresult.tz_localize('UTC').tz_convert(last_tzinfo)
return fresult, lresult
def asfreq(obj, freq, method=None, how=None, normalize=False, fill_value=None):
"""
Utility frequency conversion method for Series/DataFrame
"""
if isinstance(obj.index, PeriodIndex):
if method is not None:
raise NotImplementedError("'method' argument is not supported")
if how is None:
how = 'E'
new_obj = obj.copy()
new_obj.index = obj.index.asfreq(freq, how=how)
elif len(obj.index) == 0:
new_obj = obj.copy()
new_obj.index = obj.index._shallow_copy(freq=to_offset(freq))
else:
dti = date_range(obj.index[0], obj.index[-1], freq=freq)
dti.name = obj.index.name
new_obj = obj.reindex(dti, method=method, fill_value=fill_value)
if normalize:
new_obj.index = new_obj.index.normalize()
return new_obj