# cython: boundscheck=False, wraparound=False, cdivision=True import numpy as np from numpy cimport ( int64_t, ndarray, ) # Cython routines for window indexers def calculate_variable_window_bounds( int64_t num_values, int64_t window_size, object min_periods, # unused but here to match get_window_bounds signature bint center, str closed, const int64_t[:] index ): """ Calculate window boundaries for rolling windows from a time offset. Parameters ---------- num_values : int64 total number of values window_size : int64 window size calculated from the offset min_periods : object ignored, exists for compatibility center : bint center the rolling window on the current observation closed : str string of side of the window that should be closed index : ndarray[int64] time series index to roll over Returns ------- (ndarray[int64], ndarray[int64]) """ cdef: bint left_closed = False bint right_closed = False ndarray[int64_t, ndim=1] start, end int64_t start_bound, end_bound, index_growth_sign = 1 Py_ssize_t i, j if num_values <= 0: return np.empty(0, dtype='int64'), np.empty(0, dtype='int64') # default is 'right' if closed is None: closed = 'right' if closed in ['right', 'both']: right_closed = True if closed in ['left', 'both']: left_closed = True # GH 43997: # If the forward and the backward facing windows # would result in a fraction of 1/2 a nanosecond # we need to make both interval ends inclusive. if center and window_size % 2 == 1: right_closed = True left_closed = True if index[num_values - 1] < index[0]: index_growth_sign = -1 start = np.empty(num_values, dtype='int64') start.fill(-1) end = np.empty(num_values, dtype='int64') end.fill(-1) start[0] = 0 # right endpoint is closed if right_closed: end[0] = 1 # right endpoint is open else: end[0] = 0 if center: end_bound = index[0] + index_growth_sign * window_size / 2 for j in range(0, num_values): if (index[j] - end_bound) * index_growth_sign < 0: end[0] = j + 1 elif (index[j] - end_bound) * index_growth_sign == 0 and right_closed: end[0] = j + 1 elif (index[j] - end_bound) * index_growth_sign >= 0: end[0] = j break with nogil: # start is start of slice interval (including) # end is end of slice interval (not including) for i in range(1, num_values): if center: end_bound = index[i] + index_growth_sign * window_size / 2 start_bound = index[i] - index_growth_sign * window_size / 2 else: end_bound = index[i] start_bound = index[i] - index_growth_sign * window_size # left endpoint is closed if left_closed: start_bound -= 1 * index_growth_sign # advance the start bound until we are # within the constraint start[i] = i for j in range(start[i - 1], i): if (index[j] - start_bound) * index_growth_sign > 0: start[i] = j break # for centered window advance the end bound until we are # outside the constraint if center: for j in range(end[i - 1], num_values + 1): if j == num_values: end[i] = j elif ((index[j] - end_bound) * index_growth_sign == 0 and right_closed): end[i] = j + 1 elif (index[j] - end_bound) * index_growth_sign >= 0: end[i] = j break # end bound is previous end # or current index elif (index[end[i - 1]] - end_bound) * index_growth_sign <= 0: end[i] = i + 1 else: end[i] = end[i - 1] # right endpoint is open if not right_closed and not center: end[i] -= 1 return start, end