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added limit parameter to closest lookups

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This commit is contained in:
Gourav Kumar 2022-02-26 22:18:10 +05:30
parent 336276cf4b
commit 0cbfede7b6
2 changed files with 13 additions and 6 deletions
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13
fincal/fincal.py
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@ -126,11 +126,12 @@ class TimeSeries(TimeSeriesCore):
as_on_match: str = "closest", as_on_match: str = "closest",
prior_match: str = "closest", prior_match: str = "closest",
closest: Literal["previous", "next", "exact"] = 'previous', closest: Literal["previous", "next", "exact"] = 'previous',
closest_max_days: int = -1,
if_not_found: Literal['fail', 'nan'] = 'fail', if_not_found: Literal['fail', 'nan'] = 'fail',
compounding: bool = True, compounding: bool = True,
interval_type: Literal['years', 'months', 'days'] = 'years', interval_type: Literal['years', 'months', 'days'] = 'years',
interval_value: int = 1, interval_value: int = 1,
date_format: str = None date_format: str = None,
) -> float: ) -> float:
"""Method to calculate returns for a certain time-period as on a particular date """Method to calculate returns for a certain time-period as on a particular date
@ -172,6 +173,12 @@ class TimeSeries(TimeSeriesCore):
Should be passed as a datetime library compatible string. Should be passed as a datetime library compatible string.
Sets the date format only for this operation. To set it globally, use FincalOptions.date_format Sets the date format only for this operation. To set it globally, use FincalOptions.date_format
closest_max_days: int, default -1
The maximum acceptable gap between the provided date arguments and actual date.
Pass -1 for no limit.
Note: There's a hard max limit of 1000 days due to Python's limits on recursion.
This can be overridden by importing the sys module.
Returns Returns
------- -------
A tuple containing the date and float value of the returns. A tuple containing the date and float value of the returns.
@ -191,8 +198,8 @@ class TimeSeries(TimeSeriesCore):
as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest) as_on_delta, prior_delta = _preprocess_match_options(as_on_match, prior_match, closest)
prev_date = as_on - relativedelta(**{interval_type: interval_value}) prev_date = as_on - relativedelta(**{interval_type: interval_value})
current = _find_closest_date(self.data, as_on, as_on_delta, if_not_found) current = _find_closest_date(self.data, as_on, closest_max_days, as_on_delta, if_not_found)
previous = _find_closest_date(self.data, prev_date, prior_delta, if_not_found) previous = _find_closest_date(self.data, prev_date, closest_max_days, prior_delta, if_not_found)
if current[1] == str('nan') or previous[1] == str('nan'): if current[1] == str('nan') or previous[1] == str('nan'):
return as_on, float('NaN') return as_on, float('NaN')

6
fincal/utils.py
View File

@ -85,7 +85,7 @@ def _preprocess_match_options(as_on_match: str, prior_match: str, closest: str)
return as_on_delta, prior_delta return as_on_delta, prior_delta
def _find_closest_date(data, date, delta, if_not_found): def _find_closest_date(data, date, limit_days, delta, if_not_found):
"""Helper function to find data for the closest available date""" """Helper function to find data for the closest available date"""
if delta.days < 0 and date < min(data): if delta.days < 0 and date < min(data):
@ -97,8 +97,8 @@ def _find_closest_date(data, date, delta, if_not_found):
if row is not None: if row is not None:
return date, row return date, row
if delta: if delta and limit_days != 0:
return _find_closest_date(data, date + delta, delta, if_not_found) return _find_closest_date(data, date + delta, limit_days-1, delta, if_not_found)
if if_not_found == "fail": if if_not_found == "fail":
raise DateNotFoundError("Data not found for date", date) raise DateNotFoundError("Data not found for date", date)