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* add join_asof & pivot * refactor(nodejs-dtypes): big refactor on datatypes for full recursive support * working on some serde issues * update parquet reader options & fix lazy serde * deterministic row infer schema * update test-js.yaml * lets try the "either" again * code cleanup
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Original file line number | Diff line number | Diff line change |
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@@ -85,6 +85,7 @@ features = [ | |
"ipc", | ||
"avro", | ||
"list_eval", | ||
"arg_where", | ||
] | ||
path = "../polars" | ||
|
||
|
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Original file line number | Diff line number | Diff line change |
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@@ -0,0 +1,122 @@ | ||
import pl from "@polars"; | ||
describe("datelike", () => { | ||
test("asof join", () => { | ||
const fmt = "%F %T%.3f"; | ||
const quotes = pl.DataFrame( | ||
{ | ||
dates: pl.Series([ | ||
"2016-05-25 13:30:00.023", | ||
"2016-05-25 13:30:00.023", | ||
"2016-05-25 13:30:00.030", | ||
"2016-05-25 13:30:00.041", | ||
"2016-05-25 13:30:00.048", | ||
"2016-05-25 13:30:00.049", | ||
"2016-05-25 13:30:00.072", | ||
"2016-05-25 13:30:00.075" | ||
]).str.strptime(pl.Datetime("ms"), fmt), | ||
ticker: [ | ||
"GOOG", | ||
"MSFT", | ||
"MSFT", | ||
"MSFT", | ||
"GOOG", | ||
"AAPL", | ||
"GOOG", | ||
"MSFT", | ||
], | ||
bid: [ | ||
720.5, | ||
51.95, | ||
51.97, | ||
51.99, | ||
720.50, | ||
97.99, | ||
720.50, | ||
52.01 | ||
], | ||
}); | ||
const trades = pl.DataFrame({ | ||
dates: pl.Series([ | ||
"2016-05-25 13:30:00.023", | ||
"2016-05-25 13:30:00.038", | ||
"2016-05-25 13:30:00.048", | ||
"2016-05-25 13:30:00.048", | ||
"2016-05-25 13:30:00.048" | ||
]).str.strptime(pl.Datetime("ms"), fmt), | ||
ticker: [ | ||
"MSFT", | ||
"MSFT", | ||
"GOOG", | ||
"GOOG", | ||
"AAPL", | ||
], | ||
bid: [ | ||
51.95, | ||
51.95, | ||
720.77, | ||
720.92, | ||
98.0 | ||
], | ||
}); | ||
let out: any = trades.joinAsof(quotes, {on: "dates"}); | ||
expect(out.columns).toEqual(["dates", "ticker", "bid", "ticker_right", "bid_right"]); | ||
expect(out.getColumn("dates").cast(pl.Float64) | ||
.div(1000) | ||
.toArray()).toEqual([ | ||
1464183000023, | ||
1464183000038, | ||
1464183000048, | ||
1464183000048, | ||
1464183000048, | ||
]); | ||
out = trades.joinAsof(quotes, {on:"dates", strategy:"forward"}).getColumn("bid_right") | ||
.toArray(); | ||
expect(out).toEqual([720.5, 51.99, 720.5, 720.5, 720.5]); | ||
|
||
out = trades.joinAsof(quotes, {on:"dates", by:"ticker"}); | ||
expect(out.getColumn("bid_right").toArray()).toEqual([51.95, 51.97, 720.5, 720.5, null]); | ||
out = quotes.joinAsof(trades, {on:"dates", by:"ticker"}); | ||
expect(out.getColumn("bid_right").toArray()).toEqual([ | ||
null, | ||
51.95, | ||
51.95, | ||
51.95, | ||
720.92, | ||
98.0, | ||
720.92, | ||
51.95, | ||
]); | ||
out = quotes.joinAsof(trades, {on:"dates", strategy:"backward", tolerance:"5ms"})[ | ||
"bid_right" | ||
].toArray(); | ||
expect(out).toEqual([51.95, 51.95, null, 51.95, 98.0, 98.0, null, null]); | ||
out = quotes.joinAsof(trades, {on:"dates", strategy:"forward", tolerance:"5ms"})[ | ||
"bid_right" | ||
].toArray(); | ||
expect(out).toEqual([51.95, 51.95, null, null, 720.77, null, null, null]); | ||
}); | ||
test("asofjoin tolerance grouper", () => { | ||
|
||
const df1 = pl.DataFrame({"date": [new Date(2020, 1, 5), new Date(2020, 1, 10)], "by": [1, 1]}); | ||
const df2 = pl.DataFrame( | ||
{ | ||
"date": [new Date(2020, 1, 5), new Date(2020, 1, 6)], | ||
"by": [1, 1], | ||
"values": [100, 200], | ||
} | ||
); | ||
|
||
const out = df1.joinAsof(df2, {by: "by", on:"date", tolerance:"3d"}); | ||
|
||
const expected = pl.DataFrame( | ||
{ | ||
"date": [new Date(2020, 1, 5), new Date(2020, 1, 10)], | ||
"by": [1, 1], | ||
"values": [100, null], | ||
} | ||
); | ||
|
||
expect(out).toFrameEqual(expected); | ||
|
||
}); | ||
}); |
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