Develop Reference

Find Gaps in a Pandas Dataframe

I have a Dataframe which has a column for Minutes and correlated value, the frequency is about 79 seconds but sometimes there is missing data for a period (no rows at all). I want to detect if there is a gap of 25 or more Minutes and delete the dataset if so.
How do I test if there is a gap which is?
The dataframe looks like this:
INDEX minutes data
0 23.000 1.456
1 24.185 1.223
2 27.250 0.931
3 55.700 2.513
4 56.790 1.446
... ... ...
So there is a irregular but short gap and one that exceeds 25 Minutes. In this case I want the dataset to be empty:
I am quite new to Python, especially to Pandas so an explanation would be helpful to learn.

You can use numpy.roll to create a column with shifted values (i.e. the first value from the original column becomes the second value, the second becomes the third, etc):
import pandas as pd
import numpy as np
df = pd.DataFrame({'minutes': [23.000, 24.185, 27.250, 55.700, 56.790]})
np.roll(df['minutes'], 1)
# output: array([56.79 , 23. , 24.185, 27.25 , 55.7 ])
Add this as a new column to your dataframe and subtract the original column with the new column.
We also drop the first row beforehand, since we don't want to calculate the difference from your first timepoint in the original column and your last timepoint that got rolled to the start of the new column.
Then we just ask if any of the values resulting from the subtraction is above your threshold:
df['rolled_minutes'] = np.roll(df['minutes'], 1)
dropped_df = df.drop(index=0)
diff = dropped_df['minutes'] - dropped_df['rolled_minutes']
(diff > 25).any()
# output: True

How can I create a multi-indexed pandas dataframe within a for loop?

I have a weekly time-series of multiple varibles and I am trying to view what percentrank the last 26week correlation would be in vs. all previous 26week correlations.
So I can generate a correlation matrix for the first 26wk period using the pd.corr function in pandas, but I dont know how I can loop through all previous periods too find the different values for these correlations to then rank.
I hope there is a better way to achieve this if so please let me know
I have tried calculating parallel dataframes but i couldnt write a formula to rank the most recent - so i beleive that the solution lays with multi-indexing.
'''python
daterange = pd.date_range('20160701', periods = 100, freq= '1w')
np.random.seed(120)
df_corr = pd.DataFrame(np.random.rand(100,5), index= daterange, columns = list('abcde'))
df_corr_chg=df_corr.diff()
df_corr_chg=df_corr_chg[1:]
df_corr_chg=df_corr_chg.replace(0, 0.01)
d=df_corr_chg.shape[0]
df_CCC=df_corr_chg[::-1]
for s in range(0,d-26):
i=df_CCC.iloc[s:26+s]
I am looking for a multi-indexed table showing the correlations at different times
Example of output
e.g. (formatting issues)
a b
a 1 1 -0.101713
2 1 -0.031109
n 1 0.471764
b 1 -0.101713 1
2 -0.031109 1
n 0.471764 1

Here is a receipe how you could approach the problem.
I assume, you have one price per week (otherwise just preaggregate your dataframe).
# in case you your weeks are not numbered
# Sort your dataframe for symbol (EUR, SPX, ...) and week descending.
df.sort_values(['symbol', 'date'], ascending=False, inplace=True)
# Now add a pseudo
indexer= df.groupby('symbol').cumcount() < 26
df.loc[indexer, 'pricecolumn'].corr()
One more hint, in case you need to preaggregate your dataframe. You could add another aux column with the week number in your frame like:
df['week_number']=df['datefield'].dt.week
Then I guess you would like to have the last price of each week. You could do that as follows:
df_last= df.sort_values(['symbol', 'week_number', 'date'], ascending=True, inplace=False).groupby(['symbol', 'week_number']).aggregate('last')
df_last.reset_index(inplace=True)
Then use df_last in in place of the df above. Please check/change the field names, I assumed.

Find if there is any holidays between two dates in a large dataset?

I am working on a dataset that has some 26 million rows and 13 columns including two datetime columns arr_date and dep_date. I am trying to create a new boolean column to check if there is any US holidays between these dates.
I am using apply function to the entire dataframe but the execution time is too slow. The code has been running for more than 48 hours now on Goolge Cloud Platform (24GB ram, 4 core). Is there a faster way to do this?
The dataset looks like this:
Sample data
The code I am using is -
import pandas as pd
import numpy as np
from pandas.tseries.holiday import USFederalHolidayCalendar as calendar
df = pd.read_pickle('dataGT70.pkl')
cal = calendar()
def mark_holiday(df):
df.apply(lambda x: True if (len(cal.holidays(start=x['dep_date'], end=x['arr_date']))>0 and x['num_days']<20) else False, axis=1)
return df
df = mark_holiday(df)

This took me about two minutes to run on a sample dataframe of 30m rows with two columns, start_date and end_date.
The idea is to get a sorted list of all holidays occurring on or after the minimum start date, and then to use bisect_left from the bisect module to determine the next holiday occurring on or after each start date. This holiday is then compared to the end date. If it is less than or equal to the end date, then there must be at least one holiday in the date range between the start and end dates (both inclusive).
from bisect import bisect_left
import pandas as pd
from pandas.tseries.holiday import USFederalHolidayCalendar as calendar
# Create sample dataframe of 10k rows with an interval of 1-19 days.
np.random.seed(0)
n = 10000 # Sample size, e.g. 10k rows.
years = np.random.randint(2010, 2019, n)
months = np.random.randint(1, 13, n)
days = np.random.randint(1, 29, n)
df = pd.DataFrame({'start_date': [pd.Timestamp(*x) for x in zip(years, months, days)],
'interval': np.random.randint(1, 20, n)})
df['end_date'] = df['start_date'] + pd.TimedeltaIndex(df['interval'], unit='d')
df = df.drop('interval', axis=1)
# Get a sorted list of holidays since the fist start date.
hols = calendar().holidays(df['start_date'].min())
# Determine if there is a holiday between the start and end dates (both inclusive).
df['holiday_in_range'] = df['end_date'].ge(
df['start_date'].apply(lambda x: bisect_left(hols, x)).map(lambda x: hols[x]))
>>> df.head(6)
start_date end_date holiday_in_range
0 2015-07-14 2015-07-31 False
1 2010-12-18 2010-12-30 True # 2010-12-24
2 2013-04-06 2013-04-16 False
3 2013-09-12 2013-09-24 False
4 2017-10-28 2017-10-31 False
5 2013-12-14 2013-12-29 True # 2013-12-25
So, for a given start_date timestamp (e.g. 2013-12-14), bisect_right(hols, '2013-12-14') would yield 39, and hols[39] results in 2013-12-25, the next holiday falling on or after the 2013-12-14 start date. The next holiday calculated as df['start_date'].apply(lambda x: bisect_left(hols, x)).map(lambda x: hols[x]). This holiday is then compared to the end_date, and holiday_in_range is thus True if the end_date is greater than or equal to this holiday value, otherwise the holiday must fall after this end_date.

Have you already considered using pandas.merge_asof for this?
I could imagine that map and apply with lambda functions cannot be executed that efficiently.
UPDATE: Ah sorry, I just read, that you only need a boolean if there are any holidays inbetween, this makes it much easier. If thats enough you just need to perform steps 1-5 then group the DataFrame that is the result of step5 by start/end date and use count as the aggregate function to have the number of holidays in the ranges. This result you can join to your original dataset similar to step 8 described below. Then fill the rest of the values with fillna(0). Do something like joined_df['includes_holiday']= joined_df['joined_count_column']>0. After that, you can delete the joined_count_column again from your DataFrame, if you like.
If you use pandas_merge_asof you could work through these steps (step 6 and 7 are only necessary if you need to have all the holidays inbetween start and end in your result DataFrame as well, not just the booleans):
Load your holiday records in a DataFrame and index it on the date. The holidays should be one date per line (storing ranges like for christmas from 24th-26th in one row, would make it much more complex).
Create a copy of your dataframe with just the start, end date columns. UPDATE: every start, end date should only occur once in it. E.g. by using groupby.
Use merge_asof with a reasonable tolerance value (if you join over the start of the period, use direction='forward', if you use the end date, use direction='backward' and how='inner'.
As a result you have a merged DataFrame with your start, end columns and the date column from your holiday dataframe. You get only records, for which a holiday was found with the given tolerance, but later you can merge this data back with your original DataFrame. You will probably now have duplicates of your original records.
Then check the joined holiday for your records with indexers by comparing them with the start and end column and remove the holidays, which are not inbetween.
Sort the dataframe you obtained form step 5 (use something like df.sort_values(['start', 'end', 'holiday'], inplace=True). Now you should insert a number column that numbers the holidays between your periods (the ones you obtained after step 5) form 1 to ... (for each period starting from 1). This is necesary to use unstack in the next step to get the holidays in columns.
Add an index on your dataframe based on period start date, period end date and the count column you inserted in step 6. Use df.unstack(level=-1) on the DataFrame you prepared in steps 1-7. What you now have, is a condensed DataFrame with your original periods with the holidays arranged columnwise.
Now you only have to merge this DataFrame back to your original data using original_df.merge(df_from_step7, left_on=['start', 'end'], right_index=True, how='left')
The result of this is a file with your original data containing the date ranges and for each date range the holidays that lie inbetween the period are stored in a separte columns each behind the data. Loosely speaking the numbering in step 6 assigns the holidays to the columns and has the effect, that the holidays are always assigned from right to left to the columns (you wouldn't have a holiday in column 3 if column 1 is empty).
Step 6. is probably also a bit tricky, but you can do that for example by adding a series filled with a range and then fixing it, so the numbering starts by 0 or 1 in each group by using shift or grouping by start, end with aggregate({'idcol':'min') and joining the result back to subtract it from the value assigned by the range-sequence.
In all, I think it sounds more complicated, than it is and it should be performed quite efficient. Especially if your periods are not that large, because then after step 5, your result set should be much smaller than your original dataframe, but even if that is not the case, it should still be quite efficient, since it can use compiled code.

Filling missing time values in a multi-indexed dataframe

Problem and what I want
I have a data file that comprises time series read asynchronously from multiple sensors. Basically for every data element in my file, I have a sensor ID and time at which it was read, but I do not always have all sensors for every time, and read times may not be evenly spaced. Something like:
ID,time,data
0,0,1
1,0,2
2,0,3
0,1,4
2,1,5 # skip some sensors for some time steps
0,2,6
2,2,7
2,3,8
1,5,9 # skip some time steps
2,5,10
Important note the actual time column is of datetime type.
What I want is to be able to zero-order hold (forward fill) values for every sensor for any time steps where that sensor does not exist, and either set to zero or back fill any sensors that are not read at the earliest time steps. What I want is a dataframe that looks like it was read from:
ID,time,data
0,0,1
1,0,2
2,0,3
0,1,4
1,1,2 # ID 1 hold value from time step 0
2,1,5
0,2,6
1,2,2 # ID 1 still holding
2,2,7
0,3,6 # ID 0 holding
1,3,2 # ID 1 still holding
2,3,8
0,5,6 # ID 0 still holding, can skip totally missing time steps
1,5,9 # ID 1 finally updates
2,5,10
Pandas attempts so far
I initialize my dataframe and set my indices:
df = pd.read_csv(filename, dtype=np.int)
df.set_index(['ID', 'time'], inplace=True)
I try to mess with things like:
filled = df.reindex(method='ffill')
or the like with various values passed to the index keyword argument like df.index, ['time'], etc. This always either throws an error because I passed an invalid keyword argument, or does nothing visible to the dataframe. I think it is not recognizing that the data I am looking for is "missing".
I also tried:
df.update(df.groupby(level=0).ffill())
or level=1 based on Multi-Indexed fillna in Pandas, but I get no visible change to the dataframe again, I think because I don't have anything currently where I want my values to go.
Numpy attempt so far
I have had some luck with numpy and non-integer indexing using something like:
data = [np.array(df.loc[level].data) for level in df.index.levels[0]]
shapes = [arr.shape for arr in data]
print(shapes)
# [(3,), (2,), (5,)]
data = [np.array([arr[i] for i in np.linspace(0, arr.shape[0]-1, num=max(shapes)[0])]) for arr in data]
print([arr.shape for arr in data])
# [(5,), (5,), (5,)]
But this has two problems:
It takes me out of the pandas world, and I now have to manually maintain my sensor IDs, time index, etc. along with my feature vector (the actual data column is not just one column but a ton of values from a sensor suite).
Given the number of columns and the size of the actual dataset, this is going to be clunky and inelegant to implement on my real example. I would prefer a way of doing it in pandas.
The application
Ultimately this is just the data-cleaning step for training recurrent neural network, where for each time step I will need to feed a feature vector that always has the same structure (one set of measurements for each sensor ID for each time step).
Thank you for your help!

Here is one way , by using reindex and category
df.time=df.time.astype('category',categories =[0,1,2,3,4,5])
new_df=df.groupby('time',as_index=False).apply(lambda x : x.set_index('ID').reindex([0,1,2])).reset_index()
new_df['data']=new_df.groupby('ID')['data'].ffill()
new_df.drop('time',1).rename(columns={'level_0':'time'})
Out[311]:
time ID data
0 0 0 1.0
1 0 1 2.0
2 0 2 3.0
3 1 0 4.0
4 1 1 2.0
5 1 2 5.0
6 2 0 6.0
7 2 1 2.0
8 2 2 7.0
9 3 0 6.0
10 3 1 2.0
11 3 2 8.0
12 4 0 6.0
13 4 1 2.0
14 4 2 8.0
15 5 0 6.0
16 5 1 9.0
17 5 2 10.0

You can have a dictionary of last readings for each sensors. You'll have to pick some initial value; the most logical choice is probably to back-fill the earliest reading to earlier times. Once you've populated your last_reading dictionary, you can just sort all the readings by time, update the dictionary for each reading, and then fill in rows according to the dictionay. So after you have your last_reading dictionary initialized:
last_time = readings[1][time]
for reading in readings:
if reading[time] > last_time:
for ID in ID_list:
df.loc[last_time,ID] = last_reading[ID]
last_time = reading[time]
last_reading[reading[ID]] = reading[data]
#the above for loop doesn't update for the last time
#so you'll have to handle that separately
for ID in ID_list:
df.loc[last_time,ID] = last_reading[ID]
last_time = reading[time]
This assumes that you have only one reading for each time/sensor pair, and that 'readings' a list of dictionaries sorted by time. It also assumes that df has the different sensors as columns and different times as index. Adjust the code as necessary if otherwise. You can also probably optimize it a bit more by updating a whole row at once instead of using a for loop, but I didn't want to deal with making sure I had the Pandas syntax right.
Looking at the application, though, you might want to have each cell in the dataframe be not a number but a tuple of last value and time it was read, so replace last_reading[reading[ID]] = reading[data] with
last_reading[reading[ID]] = [reading[data],reading[time]]. Your neural net can then decide how to weight data based on how old it is.

I got this to work with the following, which I think is pretty general for any case like this where the time index for which you want to fill values is the second in a multi-index with two indices:
# Remove duplicate time indices (happens some in the dataset, pandas freaks out).
df = df[~df.index.duplicated(keep='first')]
# Unstack the dataframe and fill values per serial number forward, backward.
df = df.unstack(level=0)
df.update(df.ffill()) # first ZOH forward
df.update(df.bfill()) # now back fill values that are not seen at the beginning
# Restack the dataframe and re-order the indices.
df = df.stack(level=1)
df = df.swaplevel()
This gets me what I want, although I would love to be able to keep the duplicate time entries if anybody knows of a good way to do this.
You could also use df.update(df.fillna(0)) instead of backfilling if starting unseen values at zero is preferable for a particular application.
I put the above code block in a function called clean_df that takes the dataframe as argument and returns the cleaned dataframe.

Pandas: Getting a rolling sum while grouping by a column

I have a pandas dataframe that looks like
Name Date Value
Sarah 11-01-2015 3
Sarah 11-02-2015 2
Sarah 11-03-2015 27
Bill 11-01-2015 42
Bill 11-02-2015 5
Bill 11-03-2015 15
.... (a couple hundred rows)
How do I get a 30 day (or x day) rolling sum of these values broken out by whoever is in the 'Name' column? The ideal output would have the same columns as the current dataframe, but instead of having the values for each row be what that person had as a value for that day, it would be the cumulative sum of what their values over the past 30 days.
I know I can do
result = pd.rolling_sum(df, 30)
to get the rolling sum overall. But how do I return a dataframe with that rolling sum grouped by the 'Name' column?

Figured it out using the grigri group_resample function.
df = group_resample(df,date_column='Date',groupby=group_by,value_column='Value',how='sum',freq='d')
df = df.unstack(group_by).fillna(0)
result = pd.rolling_mean(df,30)

Note that if you don't need a precise temporal window, or if your dataset has 1 line per [day , user] (which seems to be your case), then the standard groupby of pandas is perfectly suited. See this very similar question
Otherwise, something like:
df.groupby('Name').rolling('30D', on="Date").Value.sum()
should work.