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Grouping

Grouping by fixed windows

We can calculate temporal statistics using group_by_dynamic to group rows into days/months/years etc.

Annual average example

In following simple example we calculate the annual average closing price of Apple stock prices. We first load the data from CSV:

upsample

df = pl.read_csv("docs/data/apple_stock.csv", try_parse_dates=True)
df = df.sort("Date")
print(df)

upsample

let df = CsvReader::from_path("docs/data/apple_stock.csv")
    .unwrap()
    .with_try_parse_dates(true)
    .finish()
    .unwrap()
    .sort(["Date"], false, true)?;
println!("{}", &df);

shape: (100, 2)
┌────────────┬────────┐
│ Date       ┆ Close  │
│ ---        ┆ ---    │
│ date       ┆ f64    │
╞════════════╪════════╡
│ 1981-02-23 ┆ 24.62  │
│ 1981-05-06 ┆ 27.38  │
│ 1981-05-18 ┆ 28.0   │
│ 1981-09-25 ┆ 14.25  │
│ 1982-07-08 ┆ 11.0   │
│ …          ┆ …      │
│ 2012-05-16 ┆ 546.08 │
│ 2012-12-04 ┆ 575.85 │
│ 2013-07-05 ┆ 417.42 │
│ 2013-11-07 ┆ 512.49 │
│ 2014-02-25 ┆ 522.06 │
└────────────┴────────┘

Info

The dates are sorted in ascending order - if they are not sorted in this way the group_by_dynamic output will not be correct!

To get the annual average closing price we tell group_by_dynamic that we want to:

  • group by the Date column on an annual (1y) basis
  • take the mean values of the Close column for each year:

group_by_dynamic

annual_average_df = df.group_by_dynamic("Date", every="1y").agg(pl.col("Close").mean())

df_with_year = annual_average_df.with_columns(pl.col("Date").dt.year().alias("year"))
print(df_with_year)

group_by_dynamic · Available on feature dynamic_group_by

let annual_average_df = df
    .clone()
    .lazy()
    .group_by_dynamic(
        col("Date"),
        [],
        DynamicGroupOptions {
            every: Duration::parse("1y"),
            period: Duration::parse("1y"),
            offset: Duration::parse("0"),
            ..Default::default()
        },
    )
    .agg([col("Close").mean()])
    .collect()?;

let df_with_year = annual_average_df
    .lazy()
    .with_columns([col("Date").dt().year().alias("year")])
    .collect()?;
println!("{}", &df_with_year);

The annual average closing price is then:

shape: (34, 3)
┌────────────┬───────────┬──────┐
│ Date       ┆ Close     ┆ year │
│ ---        ┆ ---       ┆ ---  │
│ date       ┆ f64       ┆ i32  │
╞════════════╪═══════════╪══════╡
│ 1981-01-01 ┆ 23.5625   ┆ 1981 │
│ 1982-01-01 ┆ 11.0      ┆ 1982 │
│ 1983-01-01 ┆ 30.543333 ┆ 1983 │
│ 1984-01-01 ┆ 27.583333 ┆ 1984 │
│ 1985-01-01 ┆ 18.166667 ┆ 1985 │
│ …          ┆ …         ┆ …    │
│ 2010-01-01 ┆ 278.265   ┆ 2010 │
│ 2011-01-01 ┆ 368.225   ┆ 2011 │
│ 2012-01-01 ┆ 560.965   ┆ 2012 │
│ 2013-01-01 ┆ 464.955   ┆ 2013 │
│ 2014-01-01 ┆ 522.06    ┆ 2014 │
└────────────┴───────────┴──────┘

Parameters for group_by_dynamic

A dynamic window is defined by a:

  • every: indicates the interval of the window
  • period: indicates the duration of the window
  • offset: can be used to offset the start of the windows

The value for every sets how often the groups start. The time period values are flexible - for example we could take:

  • the average over 2 year intervals by replacing 1y with 2y
  • the average over 18 month periods by replacing 1y with 1y6mo

We can also use the period parameter to set how long the time period for each group is. For example, if we set the every parameter to be 1y and the period parameter to be 2y then we would get groups at one year intervals where each groups spanned two years.

If the period parameter is not specified then it is set equal to the every parameter so that if the every parameter is set to be 1y then each group spans 1y as well.

Because every does not have to be equal to period, we can create many groups in a very flexible way. They may overlap or leave boundaries between them.

Let's see how the windows for some parameter combinations would look. Let's start out boring. 🥱

  • every: 1 day -> "1d"
  • period: 1 day -> "1d"
this creates adjacent windows of the same size
|--|
   |--|
      |--|
  • every: 1 day -> "1d"
  • period: 2 days -> "2d"
these windows have an overlap of 1 day
|----|
   |----|
      |----|
  • every: 2 days -> "2d"
  • period: 1 day -> "1d"
this would leave gaps between the windows
data points that in these gaps will not be a member of any group
|--|
       |--|
              |--|

truncate

The truncate parameter is a Boolean variable that determines what datetime value is associated with each group in the output. In the example above the first data point is on 23rd February 1981. If truncate = True (the default) then the date for the first year in the annual average is 1st January 1981. However, if truncate = False then the date for the first year in the annual average is the date of the first data point on 23rd February 1981. Note that truncate only affects what's shown in the Date column and does not affect the window boundaries.

Using expressions in group_by_dynamic

We aren't restricted to using simple aggregations like mean in a group by operation - we can use the full range of expressions available in Polars.

In the snippet below we create a date range with every day ("1d") in 2021 and turn this into a DataFrame.

Then in the group_by_dynamic we create dynamic windows that start every month ("1mo") and have a window length of 1 month. The values that match these dynamic windows are then assigned to that group and can be aggregated with the powerful expression API.

Below we show an example where we use group_by_dynamic to compute:

  • the number of days until the end of the month
  • the number of days in a month

group_by_dynamic · DataFrame.explode · date_range

df = (
    pl.date_range(
        start=date(2021, 1, 1),
        end=date(2021, 12, 31),
        interval="1d",
        eager=True,
    )
    .alias("time")
    .to_frame()
)

out = df.group_by_dynamic("time", every="1mo", period="1mo", closed="left").agg(
    pl.col("time").cum_count().reverse().head(3).alias("day/eom"),
    ((pl.col("time") - pl.col("time").first()).last().dt.total_days() + 1).alias(
        "days_in_month"
    ),
)
print(out)

group_by_dynamic · DataFrame.explode · date_range · Available on feature range · Available on feature dtype-date · Available on feature dynamic_group_by

let time = polars::time::date_range(
    "time",
    NaiveDate::from_ymd_opt(2021, 1, 1)
        .unwrap()
        .and_hms_opt(0, 0, 0)
        .unwrap(),
    NaiveDate::from_ymd_opt(2021, 12, 31)
        .unwrap()
        .and_hms_opt(0, 0, 0)
        .unwrap(),
    Duration::parse("1d"),
    ClosedWindow::Both,
    TimeUnit::Milliseconds,
    None,
)?
.cast(&DataType::Date)?;

let df = df!(
    "time" => time,
)?;

let out = df
    .clone()
    .lazy()
    .group_by_dynamic(
        col("time"),
        [],
        DynamicGroupOptions {
            every: Duration::parse("1mo"),
            period: Duration::parse("1mo"),
            offset: Duration::parse("0"),
            closed_window: ClosedWindow::Left,
            ..Default::default()
        },
    )
    .agg([
        col("time")
            .cum_count(true) // python example has false
            .reverse()
            .head(Some(3))
            .alias("day/eom"),
        ((col("time").last() - col("time").first()).map(
            // had to use map as .duration().days() is not available
            |s| {
                Ok(Some(
                    s.duration()?
                        .into_iter()
                        .map(|d| d.map(|v| v / 1000 / 24 / 60 / 60))
                        .collect::<Int64Chunked>()
                        .into_series(),
                ))
            },
            GetOutput::from_type(DataType::Int64),
        ) + lit(1))
        .alias("days_in_month"),
    ])
    .collect()?;
println!("{}", &out);

shape: (12, 3)
┌────────────┬──────────────┬───────────────┐
│ time       ┆ day/eom      ┆ days_in_month │
│ ---        ┆ ---          ┆ ---           │
│ date       ┆ list[u32]    ┆ i64           │
╞════════════╪══════════════╪═══════════════╡
│ 2021-01-01 ┆ [31, 30, 29] ┆ 31            │
│ 2021-02-01 ┆ [28, 27, 26] ┆ 28            │
│ 2021-03-01 ┆ [31, 30, 29] ┆ 31            │
│ 2021-04-01 ┆ [30, 29, 28] ┆ 30            │
│ 2021-05-01 ┆ [31, 30, 29] ┆ 31            │
│ …          ┆ …            ┆ …             │
│ 2021-08-01 ┆ [31, 30, 29] ┆ 31            │
│ 2021-09-01 ┆ [30, 29, 28] ┆ 30            │
│ 2021-10-01 ┆ [31, 30, 29] ┆ 31            │
│ 2021-11-01 ┆ [30, 29, 28] ┆ 30            │
│ 2021-12-01 ┆ [31, 30, 29] ┆ 31            │
└────────────┴──────────────┴───────────────┘

Grouping by rolling windows

The rolling operation, rolling, is another entrance to the group_by/agg context. But different from the group_by_dynamic where the windows are fixed by a parameter every and period. In a rolling, the windows are not fixed at all! They are determined by the values in the index_column.

So imagine having a time column with the values {2021-01-06, 2021-01-10} and a period="5d" this would create the following windows:

2021-01-01   2021-01-06
    |----------|

       2021-01-05   2021-01-10
             |----------|

Because the windows of a rolling group by are always determined by the values in the DataFrame column, the number of groups is always equal to the original DataFrame.

Combining group by operations

Rolling and dynamic group by operations can be combined with normal group by operations.

Below is an example with a dynamic group by.

DataFrame

df = pl.DataFrame(
    {
        "time": pl.datetime_range(
            start=datetime(2021, 12, 16),
            end=datetime(2021, 12, 16, 3),
            interval="30m",
            eager=True,
        ),
        "groups": ["a", "a", "a", "b", "b", "a", "a"],
    }
)
print(df)

DataFrame

let time = polars::time::date_range(
    "time",
    NaiveDate::from_ymd_opt(2021, 12, 16)
        .unwrap()
        .and_hms_opt(0, 0, 0)
        .unwrap(),
    NaiveDate::from_ymd_opt(2021, 12, 16)
        .unwrap()
        .and_hms_opt(3, 0, 0)
        .unwrap(),
    Duration::parse("30m"),
    ClosedWindow::Both,
    TimeUnit::Milliseconds,
    None,
)?;
let df = df!(
    "time" => time,
    "groups"=> ["a", "a", "a", "b", "b", "a", "a"],
)?;
println!("{}", &df);

shape: (7, 2)
┌─────────────────────┬────────┐
│ time                ┆ groups │
│ ---                 ┆ ---    │
│ datetime[μs]        ┆ str    │
╞═════════════════════╪════════╡
│ 2021-12-16 00:00:00 ┆ a      │
│ 2021-12-16 00:30:00 ┆ a      │
│ 2021-12-16 01:00:00 ┆ a      │
│ 2021-12-16 01:30:00 ┆ b      │
│ 2021-12-16 02:00:00 ┆ b      │
│ 2021-12-16 02:30:00 ┆ a      │
│ 2021-12-16 03:00:00 ┆ a      │
└─────────────────────┴────────┘

group_by_dynamic

out = df.group_by_dynamic(
    "time",
    every="1h",
    closed="both",
    by="groups",
    include_boundaries=True,
).agg(pl.len())
print(out)

group_by_dynamic · Available on feature dynamic_group_by

let out = df
    .clone()
    .lazy()
    .group_by_dynamic(
        col("time"),
        [col("groups")],
        DynamicGroupOptions {
            every: Duration::parse("1h"),
            period: Duration::parse("1h"),
            offset: Duration::parse("0"),
            include_boundaries: true,
            closed_window: ClosedWindow::Both,
            ..Default::default()
        },
    )
    .agg([len()])
    .collect()?;
println!("{}", &out);

shape: (7, 5)
┌────────┬─────────────────────┬─────────────────────┬─────────────────────┬─────┐
│ groups ┆ _lower_boundary     ┆ _upper_boundary     ┆ time                ┆ len │
│ ---    ┆ ---                 ┆ ---                 ┆ ---                 ┆ --- │
│ str    ┆ datetime[μs]        ┆ datetime[μs]        ┆ datetime[μs]        ┆ u32 │
╞════════╪═════════════════════╪═════════════════════╪═════════════════════╪═════╡
│ a      ┆ 2021-12-15 23:00:00 ┆ 2021-12-16 00:00:00 ┆ 2021-12-15 23:00:00 ┆ 1   │
│ a      ┆ 2021-12-16 00:00:00 ┆ 2021-12-16 01:00:00 ┆ 2021-12-16 00:00:00 ┆ 3   │
│ a      ┆ 2021-12-16 01:00:00 ┆ 2021-12-16 02:00:00 ┆ 2021-12-16 01:00:00 ┆ 1   │
│ a      ┆ 2021-12-16 02:00:00 ┆ 2021-12-16 03:00:00 ┆ 2021-12-16 02:00:00 ┆ 2   │
│ a      ┆ 2021-12-16 03:00:00 ┆ 2021-12-16 04:00:00 ┆ 2021-12-16 03:00:00 ┆ 1   │
│ b      ┆ 2021-12-16 01:00:00 ┆ 2021-12-16 02:00:00 ┆ 2021-12-16 01:00:00 ┆ 2   │
│ b      ┆ 2021-12-16 02:00:00 ┆ 2021-12-16 03:00:00 ┆ 2021-12-16 02:00:00 ┆ 1   │
└────────┴─────────────────────┴─────────────────────┴─────────────────────┴─────┘