from __future__ import annotations import datetime import inspect import warnings from collections import UserList from dataclasses import dataclass from numbers import Number from typing import Any, Callable, Iterable, List, Literal, Mapping, Sequence, Type from dateutil.relativedelta import relativedelta from .utils import FincalOptions, _parse_date, _preprocess_timeseries @dataclass(frozen=True) class Frequency: name: str freq_type: str value: int days: int symbol: str def date_parser(*pos): """Decorator to parse dates in any function Accepts the 0-indexed position of the parameter for which date parsing needs to be done. Works even if function is used with keyword arguments while not maintaining parameter order. Example: -------- >>> @date_parser(2, 3) >>> def calculate_difference(diff_units='days', return_type='int', date1, date2): ... diff = date2 - date1 ... if return_type == 'int': ... return diff.days ... return diff ... >>> calculate_difference(date1='2019-01-01', date2='2020-01-01') datetime.timedelta(365) Each of the dates is automatically parsed into a datetime.datetime object from string. """ def parse_dates(func): def wrapper_func(*args, **kwargs): date_format: str = kwargs.get("date_format", None) args: list = list(args) sig: inspect.Signature = inspect.signature(func) params: list = [i[0] for i in sig.parameters.items()] for j in pos: kwarg: str = params[j] date = kwargs.get(kwarg, None) in_args: bool = False if date is None: try: date = args[j] except IndexError: pass in_args = True if date is None: continue parsed_date: datetime.datetime = _parse_date(date, date_format) if not in_args: kwargs[kwarg] = parsed_date else: args[j] = parsed_date return func(*args, **kwargs) return wrapper_func return parse_dates class AllFrequencies: D = Frequency("daily", "days", 1, 1, "D") W = Frequency("weekly", "days", 7, 7, "W") M = Frequency("monthly", "months", 1, 30, "M") Q = Frequency("quarterly", "months", 3, 91, "Q") H = Frequency("half-yearly", "months", 6, 182, "H") Y = Frequency("annual", "years", 1, 365, "Y") class _IndexSlicer: """Class to create a slice using iloc in TimeSeriesCore""" def __init__(self, parent_obj: object): self.parent = parent_obj def __getitem__(self, n): if isinstance(n, int): keys: list = [self.parent.dates[n]] else: keys: list = self.parent.dates[n] item = [(key, self.parent.data[key]) for key in keys] if len(item) == 1: return item[0] return self.parent.__class__(item, self.parent.frequency.symbol) def __setitem__(self, key, value): raise NotImplementedError( "iloc cannot be used for setting a value as value will always be inserted in order of date" ) class Series(UserList): """Container for a series of objects, all objects must be of the same type""" def __init__( self, data: Sequence, dtype: Literal["date", "number", "bool"] = None, date_format: str = None, ): types_dict: dict = { "date": datetime.datetime, "datetime": datetime.datetime, "datetime.datetime": datetime.datetime, "float": float, "int": float, "number": float, "bool": bool, "Decimal": bool, } if not isinstance(data, Sequence): raise TypeError("Series object can only be created using Sequence types") if dtype is None: if isinstance(data[0], (Number, datetime.datetime, datetime.date, bool)): dtype = data[0].__class__.__name__.lower() if dtype not in types_dict.keys(): raise ValueError("Unsupported value for data type") if dtype in ["date", "datetime", "datetime.datetime"]: data = [_parse_date(i, date_format) for i in data] else: func: Callable = types_dict[dtype] data: list = [func(i) for i in data] self.dtype: Type = types_dict[dtype] self.data: Sequence = data def __repr__(self): return f"{self.__class__.__name__}({self.data}, data_type='{self.dtype.__name__}')" def __getitem__(self, i): if isinstance(i, slice): return self.__class__(self.data[i], str(self.dtype.__name__)) else: return self.data[i] def _comparison_validator(self, other, skip_bool: bool = False): """Validates other before making comparison""" if isinstance(other, (str, datetime.datetime, datetime.date)): other = _parse_date(other) return other if self.dtype == bool and not skip_bool: raise TypeError("Comparison operation not supported for boolean series") elif isinstance(other, Series): if len(self) != len(other): raise ValueError("Length of Series must be same for comparison") elif (self.dtype != float and isinstance(other, Number)) or not isinstance(other, self.dtype): raise Exception(f"Cannot compare type {self.dtype.__name__} to {type(other).__name__}") return other def __gt__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j > other[i] for i, j in enumerate(self)], "bool") return Series([i > other for i in self.data], "bool") def __ge__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j >= other[i] for i, j in enumerate(self)], "bool") return Series([i >= other for i in self.data], "bool") def __lt__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j < other[i] for i, j in enumerate(self)], "bool") return Series([i < other for i in self.data], "bool") def __le__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j <= other[i] for i, j in enumerate(self)], "bool") return Series([i <= other for i in self.data], "bool") def __eq__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j == other[i] for i, j in enumerate(self)], "bool") return Series([i == other for i in self.data], "bool") def __ne__(self, other): other = self._comparison_validator(other) if isinstance(other, Series): return Series([j != other[i] for i, j in enumerate(self)], "bool") return Series([i != other for i in self.data], "bool") def __and__(self, other): other = self._comparison_validator(other, skip_bool=True) if isinstance(other, Series): return Series([j and other[i] for i, j in enumerate(self)], "bool") return Series([i and other for i in self.data], "bool") def __or__(self, other): other = self._comparison_validator(other, skip_bool=True) if isinstance(other, Series): return Series([j or other[i] for i, j in enumerate(self)], "bool") return Series([i or other for i in self.data], "bool") def _math_validator(self, other): if not isinstance(other, (Series, Number, datetime.timedelta, relativedelta, datetime.datetime, datetime.date)): return NotImplemented if isinstance(other, Series): if len(self) != len(other): raise ValueError("Arithmatic operations cannot be performed on objects of different lengths.") if self.dtype == bool or other.dtype == bool: raise TypeError("Arithmatic operations cannot be performed on boolean series.") if self.dtype == float and not other.dtype == float: raise TypeError( "Arithmatic operation cannot be performed between " f"'{self.dtype.__name__}' and '{other.dtype.__name__}'" ) if self.dtype == datetime.datetime: raise TypeError( "Arithmatic operation cannot be performed between '" f"'{self.dtype.__name__}' and '{other.dtype.__name__}'" ) return elif self.dtype == float and not isinstance(other, Number): raise TypeError( f"Arithmatic operation cannot be performed between '{self.dtype}' and '{other.__class__.__name__}'" ) elif self.dtype == datetime.datetime and not isinstance(other, (datetime.timedelta, relativedelta)): raise TypeError( f"Arithmatic operation cannot be performed between '{self.dtype.__name__}' and " f"'{other.__class__.__name__}'\nHint: Try using timedelta or relativedelta objects." ) return other def __add__(self, other): if self._math_validator(other) == NotImplemented: return NotImplemented if isinstance(other, Series): return self.__class__([j + other[i] for i, j in enumerate(self)], self.dtype.__name__) if isinstance(other, (Number, datetime.timedelta, relativedelta)): return self.__class__([i + other for i in self], self.dtype.__name__) @Mapping.register class TimeSeriesCore: """Defines the core building blocks of a TimeSeries object""" def __init__( self, ts_data: List[Iterable] | Mapping, frequency: Literal["D", "W", "M", "Q", "H", "Y"], date_format: str = "%Y-%m-%d", ): """Instantiate a TimeSeriesCore object Parameters ---------- ts_data : List[Iterable] | Mapping Time Series data in the form of list of tuples or dictionary. The first element of each tuple should be a date and second element should be a value. In case of dictionary, the key should be the date. frequency : str The frequency of the time series. Valid values are {D, W, M, Q, H, Y} date_format : str, optional, default "%Y-%m-%d" Specify the format of the date Required only if the first argument of tuples is a string. Otherwise ignored. """ ts_data = _preprocess_timeseries(ts_data, date_format=date_format) self.data = dict(ts_data) if len(self.data) != len(ts_data): warnings.warn("The input data contains duplicate dates which have been ignored.") self.frequency: Frequency = getattr(AllFrequencies, frequency) self.iter_num: int = -1 self._dates: list = None self._values: list = None self._start_date: datetime.datetime = None self._end_date: datetime.datetime = None @property def dates(self) -> Series: """Get a list of all the dates in the TimeSeries object""" if self._dates is None or len(self._dates) != len(self.data): self._dates = list(self.data.keys()) return Series(self._dates, "date") @property def values(self) -> Series: """Get a list of all the Values in the TimeSeries object""" if self._values is None or len(self._values) != len(self.data): self._values = list(self.data.values()) return Series(self._values, "number") @property def start_date(self) -> datetime.datetime: """The first date in the TimeSeries object""" return self.dates[0] @property def end_date(self) -> datetime.datetime: """The last date in the TimeSeries object""" return self.dates[-1] def _get_printable_slice(self, n: int): """Helper function for __repr__ and __str__ Returns a slice of the dataframe from beginning and end. """ printable = {} iter_f = iter(self.data) first_n = [next(iter_f) for i in range(n // 2)] iter_b = reversed(self.data) last_n = [next(iter_b) for i in range(n // 2)] last_n.sort() printable["start"] = [str((i, self.data[i])) for i in first_n] printable["end"] = [str((i, self.data[i])) for i in last_n] return printable def __repr__(self): if len(self.data) > 6: printable = self._get_printable_slice(6) printable_str = "{}([{}\n\t ...\n\t {}], frequency={})".format( self.__class__.__name__, ",\n\t ".join(printable["start"]), ",\n\t ".join(printable["end"]), repr(self.frequency.symbol), ) else: printable_str = "{}([{}], frequency={})".format( self.__class__.__name__, ",\n\t".join([str(i) for i in self.data.items()]), repr(self.frequency.symbol), ) return printable_str def __str__(self): if len(self.data) > 6: printable = self._get_printable_slice(6) printable_str = "[{}\n ...\n {}]".format( ",\n ".join(printable["start"]), ",\n ".join(printable["end"]), ) else: printable_str = "[{}]".format(",\n ".join([str(i) for i in self.data.items()])) return printable_str @date_parser(1) def _get_item_from_date(self, date: str | datetime.datetime): """Helper function to retrieve item using a date""" return self.get(date, raise_error=True) def _get_item_from_key(self, key: str | datetime.datetime): """Helper function to implement special keys""" if isinstance(key, int): raise KeyError(f"{key}. \nHint: use .iloc[{key}] for index based slicing.") if key in ["dates", "values"]: return getattr(self, key) return self._get_item_from_date(key) def _get_item_from_list(self, date_list: Sequence[str | datetime.datetime]): """Helper function to retrieve items using a list""" data_to_return = [self._get_item_from_key(key) for key in date_list] return self.__class__(data_to_return, frequency=self.frequency.symbol) def _get_item_from_series(self, series: Series): """Helper function to retrieve item using a Series object A Series of type bool of equal length to the time series can be used. A Series of dates can be used to filter out a set of dates. """ if series.dtype == bool: if len(series) != len(self.dates): raise ValueError(f"Length of Series: {len(series)} did not match length of object: {len(self.dates)}") dates_to_return = [self.dates[i] for i, j in enumerate(series) if j] elif series.dtype == datetime.datetime: dates_to_return = list(series) else: raise TypeError(f"Cannot slice {self.__class__.__name__} using a Series of {series.dtype.__name__}") return self._get_item_from_list(dates_to_return) def __getitem__(self, key): if isinstance(key, (int, str, datetime.datetime, datetime.date)): return self._get_item_from_key(key) if isinstance(key, Series): return self._get_item_from_series(key) if isinstance(key, Sequence): return self._get_item_from_list(key) raise TypeError(f"Invalid type {repr(type(key).__name__)} for slicing.") @date_parser(1) def __setitem__(self, key: str | datetime.datetime, value: Number) -> None: if not isinstance(value, Number): raise TypeError("Only numerical values can be stored in TimeSeries") if key in self.data: self.data[key] = float(value) else: self.data.update({key: float(value)}) self.data = dict(sorted(self.data.items())) @date_parser(1) def __delitem__(self, key): del self.data[key] def _comparison_validator(self, other): """Validates the data before comparison is performed""" if not isinstance(other, (Number, Series, TimeSeriesCore)): raise TypeError( f"Comparison cannot be performed between '{self.__class__.__name__}' and '{other.__class__.__name__}'" ) if isinstance(other, TimeSeriesCore): if any(self.dates != other.dates): raise ValueError( "Only objects with same set of dates can be compared.\n" "Hint: use TimeSeries.sync() method to sync dates of two TimeSeries objects." ) if isinstance(other, Series): if other.dtype != float: raise TypeError("Only Series of type float can be used for comparison") if len(self) != len(other): raise ValueError("Length of series does not match length of object") def __gt__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v > other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val > other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val > other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __ge__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v >= other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val >= other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val >= other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __lt__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v < other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val < other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val < other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __le__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v <= other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val <= other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val <= other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __eq__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v == other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val == other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val == other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __ne__(self, other): self._comparison_validator(other) if isinstance(other, Number): data = {k: v != other for k, v in self.data.items()} if isinstance(other, TimeSeriesCore): data = {dt: val != other[dt][1] for dt, val in self.data.items()} if isinstance(other, Series): data = {dt: val != other[i] for i, (dt, val) in enumerate(self.data.items())} return self.__class__(data, frequency=self.frequency.symbol) def __iter__(self): self.n = 0 return self def __next__(self): if self.n >= len(self.dates): raise StopIteration else: key = self.dates[self.n] self.n += 1 return key, self.data[key] def __len__(self): return len(self.data) @date_parser(1) def __contains__(self, key: object) -> bool: return key in self.data def _arithmatic_validator(self, other): """Validates input data before performing math operatios""" if not isinstance(other, (Number, Series, TimeSeriesCore)): raise TypeError( "Cannot perform mathematical operations between " f"'{self.__class__.__name__}' and '{other.__class__.__name__}'" ) if isinstance(other, TimeSeriesCore): if len(other) != len(self): raise ValueError("Can only perform mathematical operations between objects of same length.") if any(self.dates != other.dates): raise ValueError("Can only perform mathematical operations between objects having same dates.") if isinstance(other, Series): if other.dtype != float: raise TypeError( "Cannot perform mathematical operations with " f"'{other.__class__.__name__}' of type '{other.dtype}'" ) if len(other) != len(self): raise ValueError("Can only perform mathematical operations between objects of same length.") def __add__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val + other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val + other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __sub__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val - other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val - other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __truediv__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val / other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val / other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __floordiv__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val // other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val // other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __mul__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val * other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val * other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __mod__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val % other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val % other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __pow__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val ** other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val**other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __radd__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val + other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val + other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __rsub__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: other[i] - val for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: other - val for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __rtruediv__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: other[i] / val for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: other / val for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __rfloordiv__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: other[i] // val for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: other // val for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __rmul__(self, other): self._arithmatic_validator(other) if isinstance(other, TimeSeriesCore): other = other.values if isinstance(other, Series): data = {dt: val * other[i] for i, (dt, val) in enumerate(self.data.items())} elif isinstance(other, Number): data = {dt: val * other for dt, val in self.data.items()} return self.__class__(data, self.frequency.symbol) def __rpow__(self, _): raise NotImplementedError("This operation is not supported.") @date_parser(1) def get( self, date: str | datetime.datetime, default: Any = None, closest: Literal["previous", "next"] = None, limit: int = 1000, raise_error: bool = False, ) -> tuple | Any: """Get a value for a particular key. Return a default value on KeyError Parameters ---------- date: Date for which the value needs to be fetched. default: Optional, Default None Default value to be returned in case the date is not found. Default None. closest: Look for previous or next value when date is not found. If not specified, the value set in FincalOptions is used limit: Maximum number of days to look for the closest available date. If exceeded without finding a date, default value will be returned. raise_error : bool, optional Whether to raise an error and ignore the default value. Meant for use with __getitem__. Returns ------- tuple | Any _description_ Raises ------ ValueError If the argument for closest is not valid. KeyError if raise_error is true and date is not found """ if closest is None: closest = FincalOptions.get_closest time_delta_dict = {"exact": 0, "previous": -1, "next": 1} if closest not in time_delta_dict: raise ValueError(f"Invalid argument from closest {closest!r}") delta = relativedelta(days=time_delta_dict[closest]) for _ in range(limit): try: return date, self.data[date] except KeyError: if not delta: break date += delta if raise_error: raise KeyError(date) return default @property def iloc(self) -> Mapping: """Returns an item or a set of items based on index supports slicing using numerical index. Accepts integers or Python slice objects Usage ----- >>> ts = TimeSeries(data, frequency='D') >>> ts.iloc[0] # get the first value >>> ts.iloc[-1] # get the last value >>> ts.iloc[:3] # get the first 3 values >>> ts.illoc[-3:] # get the last 3 values >>> ts.iloc[5:10] # get five values starting from the fifth value >>> ts.iloc[::2] # get every alternate date """ return _IndexSlicer(self) def head(self, n: int = 6) -> TimeSeriesCore: """Returns the first n items of the TimeSeries object""" return self.iloc[:n] def tail(self, n: int = 6) -> TimeSeriesCore: """Returns the last n items of the TimeSeries object""" return self.iloc[-n:] def items(self): return self.data.items() def update(self, items: dict): for k, v in items.items(): self[k] = v def to_dict(self, date_as_string: bool = False, string_date_format: str = "default") -> dict: """Convert time series to a dictionary Parameters ---------- date_as_string: boolean, default False Whether date should be converted to string. If False, then the output will contain datetime.datetime objects string_date_format: datetime library compatible format string If date is to be output as string, pass the format here. If it is left as default, the format set in fincal_options will be used. """ if not date_as_string: return self.data if string_date_format == "default": string_date_format = FincalOptions.date_format data = {datetime.datetime.strftime(dt, string_date_format): val for dt, val in self.data.items()} return data def to_list(self, date_as_string: bool = False, string_date_format: str = "default") -> List[tuple]: """Convert time series to a list of tuples Parameters ---------- date_as_string: boolean, optional Whether date should be converted to string. If False, then the output will contain datetime.datetime objects string_date_format : str, optional If date is to be output as string, pass the format here. If it is left as default, the format set in fincal_options will be used. """ if not date_as_string: return list(self.data.items()) if string_date_format == "default": string_date_format = FincalOptions.date_format data = [(datetime.datetime.strftime(dt, string_date_format), val) for dt, val in self.data.items()] return data