[Numpy-discussion] code review/build & test for datetime business day API

Mark Wiebe mwwiebe@gmail....
Tue Jun 14 18:34:44 CDT 2011


These functions are now fully implemented and documented. As always, code
reviews are welcome here:

https://github.com/numpy/numpy/pull/87

and for those that don't want to dig into review C code, the commit for the
documentation is here:

https://github.com/m-paradox/numpy/commit/6b5a42a777b16812e774193b06da1b68b92bc689

This is probably also another good place to do a merge to master, so if
people could test it on Mac/Windows/other platforms that would be much
appreciated.

Thanks,
Mark

On Fri, Jun 10, 2011 at 5:49 PM, Mark Wiebe <mwwiebe@gmail.com> wrote:

> I've implemented the busday_offset function with support for the weekmask
> and roll parameters, the commits are tagged 'datetime-bday' in the pull
> request here:
>
> https://github.com/numpy/numpy/pull/87
>
> -Mark
>
>
> On Thu, Jun 9, 2011 at 5:23 PM, Mark Wiebe <mwwiebe@gmail.com> wrote:
>
>> Here's a possible design for a business day API for numpy datetimes:
>>
>>
>> The 'B' business day unit will be removed. All business day-related
>> calculations will be done using the 'D' day unit.
>>
>> A class *BusinessDayDef* to encapsulate the definition of the business
>> week and holidays. The business day functions will either take one of these
>> objects, or separate weekmask and holidays parameters, to specify the
>> business day definition. This class serves as both a performance
>> optimization and a way to encapsulate the weekmask and holidays together,
>> for example if you want to make a dictionary mapping exchange names to their
>> trading days definition.
>>
>> The weekmask can be specified in a number of ways, and internally becomes
>> a boolean array with 7 elements with True for the days Monday through Sunday
>> which are valid business days. Some different notations are for the 5-day
>> week include [1,1,1,1,1,0,0], "1111100" "MonTueWedThuFri". The holidays are
>> always specified as a one-dimensional array of dtype 'M8[D]', and are
>> internally used in sorted form.
>>
>>
>> A function *is_busday*(datearray, weekmask=, holidays=, busdaydef=)
>> returns a boolean array matching the input datearray, with True for the
>> valid business days.
>>
>> A function *busday_offset*(datearray, offsetarray,
>> roll='raise', weekmask=, holidays=, busdaydef=) which first applies the
>> 'roll' policy to start at a valid business date, then offsets the date by
>> the number of business days specified in offsetarray. The arrays datearray
>> and offsetarray are broadcast together. The 'roll' parameter can be
>> 'forward'/'following', 'backward'/'preceding', 'modifiedfollowing',
>> 'modifiedpreceding', or 'raise' (the default).
>>
>> A function *busday_count*(datearray1, datearray2, weekmask=, holidays=,
>> busdaydef=) which calculates the number of business days between datearray1
>> and datearray2, not including the day of datearray2.
>>
>>
>> For example, to find the first Monday in Feb 2011,
>>
>> >>>np.busday_offset('2011-02', 0, roll='forward', weekmask='Mon')
>>
>> or to find the number of weekdays in Feb 2011,
>>
>> >>>np.busday_count('2011-02', '2011-03')
>>
>> This set of three functions appears to be powerful enough to express the
>> business-day computations that I've been shown thus far.
>>
>> Cheers,
>> Mark
>>
>
>
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