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

[Mark Wiebe]

I've received some good feedback from Chuck and Ralf on the code and
documentation, respectively, and build testing with proposed fixes for
issues from the previous merge from Derek. I believe the current set of
changes are in good shape to merge, so would like to proceed with that later
today.

Cheers,
Mark

On Tue, Jun 14, 2011 at 6:34 PM, Mark Wiebe <mwwiebe at gmail.com> wrote:

> 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 at 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 at 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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