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use super::*;
use crate::frame::select::Selection;
use crate::utils::split_df;
use crate::vector_hasher::df_rows_to_hashes_threaded;
use crate::POOL;
use rayon::prelude::*;
use crate::frame::hash_join::{get_hash_tbl_threaded_join_partitioned, multiple_keys as mk};
fn find_latest_leq<T>(left_val: T, right_asof: &[T], subset_idx: &[u32]) -> Option<u32>
where
T: Copy + PartialOrd,
{
subset_idx
.iter()
.rev()
.find(|&&i| {
debug_assert!((i as usize) < right_asof.len());
unsafe { *right_asof.get_unchecked(i as usize) <= left_val }
})
.copied()
}
fn asof_join_by<T>(
a: &DataFrame,
b: &DataFrame,
left_asof: &ChunkedArray<T>,
right_asof: &ChunkedArray<T>,
) -> Vec<Option<u32>>
where
T: PolarsNumericType,
{
let left_asof = left_asof.rechunk();
let left_asof = left_asof.cont_slice().unwrap();
let right_asof = right_asof.rechunk();
let right_asof = right_asof.cont_slice().unwrap();
let n_threads = POOL.current_num_threads();
let dfs_a = split_df(a, n_threads).unwrap();
let dfs_b = split_df(b, n_threads).unwrap();
let (build_hashes, random_state) = df_rows_to_hashes_threaded(&dfs_b, None);
let (probe_hashes, _) = df_rows_to_hashes_threaded(&dfs_a, Some(random_state));
let hash_tbls = mk::create_build_table(&build_hashes, b);
drop(build_hashes);
let n_tables = hash_tbls.len() as u64;
let offsets = mk::get_offsets(&probe_hashes);
POOL.install(|| {
probe_hashes
.into_par_iter()
.zip(offsets)
.map(|(probe_hashes, offset)| {
let hash_tbls = &hash_tbls;
let mut results =
Vec::with_capacity(probe_hashes.len() / POOL.current_num_threads());
let local_offset = offset;
let mut idx_a = local_offset as u32;
for probe_hashes in probe_hashes.data_views() {
for (idx, &h) in probe_hashes.iter().enumerate() {
debug_assert!(idx + offset < left_asof.len());
let left_val = unsafe { *left_asof.get_unchecked(idx + offset) };
let current_probe_table = unsafe {
get_hash_tbl_threaded_join_partitioned(h, hash_tbls, n_tables)
};
let entry = current_probe_table.raw_entry().from_hash(h, |idx_hash| {
let idx_b = idx_hash.idx;
unsafe { mk::compare_df_rows2(a, b, idx_a as usize, idx_b as usize) }
});
match entry {
Some((_, indexes_b)) => {
results.push(find_latest_leq(left_val, right_asof, indexes_b))
}
None => results.push(None),
}
idx_a += 1;
}
}
results
})
.flatten()
.collect()
})
}
impl DataFrame {
#[cfg_attr(docsrs, doc(cfg(feature = "asof_join")))]
pub fn join_asof_by<'a, S, J>(
&self,
other: &DataFrame,
left_on: &str,
right_on: &str,
left_by: S,
right_by: S,
) -> Result<DataFrame>
where
S: Selection<'a, J>,
{
let left_asof = self.column(left_on)?;
let right_asof = other.column(right_on)?;
let right_asof_name = right_asof.name();
let left_by = self.select(left_by)?;
let right_by = other.select(right_by)?;
let right_join_tuples = if left_asof.bit_repr_is_large() {
let left_asof = left_asof.cast(&DataType::Int64)?;
let right_asof = right_asof.cast(&DataType::Int64)?;
let left_asof = left_asof.i64().unwrap();
let right_asof = right_asof.i64().unwrap();
asof_join_by(&left_by, &right_by, left_asof, right_asof)
} else {
let left_asof = left_asof.cast(&DataType::Int32)?;
let right_asof = right_asof.cast(&DataType::Int32)?;
let left_asof = left_asof.i32().unwrap();
let right_asof = right_asof.i32().unwrap();
asof_join_by(&left_by, &right_by, left_asof, right_asof)
};
let mut drop_these = right_by.get_column_names();
drop_these.push(right_asof_name);
let cols = other
.get_columns()
.iter()
.filter_map(|s| {
if drop_these.contains(&s.name()) {
None
} else {
Some(s.clone())
}
})
.collect();
let other = DataFrame::new_no_checks(cols);
let right_df = unsafe {
other.take_opt_iter_unchecked(
right_join_tuples
.into_iter()
.map(|opt_idx| opt_idx.map(|idx| idx as usize)),
)
};
self.finish_join(self.clone(), right_df, None)
}
}
#[cfg(test)]
mod test {
use super::*;
#[test]
fn test_asof_by() -> Result<()> {
let a = df![
"a" => [-1, 2, 3, 3, 3, 4],
"b" => ["a", "b", "c", "d", "e", "f"]
]?;
let b = df![
"a" => [1, 2, 3, 3],
"b" => ["a", "b", "c", "d"],
"right_vals" => [1, 2, 3, 4]
]?;
let out = a.join_asof_by(&b, "a", "a", "b", "b")?;
assert_eq!(out.get_column_names(), &["a", "b", "right_vals"]);
let out = out.column("right_vals").unwrap();
let out = out.i32().unwrap();
assert_eq!(
Vec::from(out),
&[None, Some(2), Some(3), Some(4), None, None]
);
Ok(())
}
#[test]
fn test_asof_by2() -> Result<()> {
let trades = df![
"time" => [1464183000023i64, 1464183000038, 1464183000048, 1464183000048, 1464183000048],
"ticker" => ["MSFT", "MSFT", "GOOG", "GOOG", "AAPL"],
"bid" => [51.95, 51.95, 720.77, 720.92, 98.0]
]?;
let quotes = df![
"time" => [1464183000023i64,
1464183000023,
1464183000030,
1464183000041,
1464183000048,
1464183000049,
1464183000072,
1464183000075],
"ticker" => ["GOOG", "MSFT", "MSFT", "MSFT", "GOOG", "AAPL", "GOOG", "MSFT"],
"bid" => [720.5, 51.95, 51.97, 51.99, 720.5, 97.99, 720.5, 52.01]
]?;
let out = trades.join_asof_by("es, "time", "time", "ticker", "ticker")?;
let a = out.column("bid_right").unwrap();
let a = a.f64().unwrap();
assert_eq!(
Vec::from(a),
&[Some(51.95), Some(51.97), Some(720.5), Some(720.5), None]
);
Ok(())
}
}