def days_and_sids_for_frames(frames):
"""
Returns the date index and sid columns shared by a list of dataframes,
ensuring they all match.
Parameters
----------
frames : list[pd.DataFrame]
A list of dataframes indexed by day, with a column per sid.
Returns
-------
days : np.array[datetime64[ns]]
The days in these dataframes.
sids : np.array[int64]
The sids in these dataframes.
Raises
------
ValueError
If the dataframes passed are not all indexed by the same days
and sids.
"""
# Ensure the indices and columns all match.
check_indexes_all_same(
[frame.index for frame in frames],
message='Frames have mistmatched days.',
)
check_indexes_all_same(
[frame.columns for frame in frames],
message='Frames have mismatched sids.',
)
return frames[0].index.values, frames[0].columns.values
def verify_frames_aligned(frames, calendar):
"""
Verify that DataFrames in ``frames`` have the same indexing scheme and are
aligned to ``calendar``.
Parameters
----------
frames : list[pd.DataFrame]
calendar : trading_calendars.TradingCalendar
Raises
------
ValueError
If frames have different indexes/columns, or if frame indexes do not
match a contiguous region of ``calendar``.
"""
indexes = [f.index for f in frames]
check_indexes_all_same(indexes, message="DataFrame indexes don't match:")
columns = [f.columns for f in frames]
check_indexes_all_same(columns, message="DataFrame columns don't match:")
start, end = indexes[0][[0, -1]]
cal_sessions = calendar.sessions_in_range(start, end)
check_indexes_all_same(
[indexes[0], cal_sessions],
f"DataFrame index doesn't match {calendar.name} calendar:",
)
def verify_frames_aligned(frames, calendar):
"""
Verify that DataFrames in ``frames`` have the same indexing scheme and are
aligned to ``calendar``.
Parameters
----------
frames : list[pd.DataFrame]
calendar : trading_calendars.TradingCalendar
Raises
------
ValueError
If frames have different indexes/columns, or if frame indexes do not
match a contiguous region of ``calendar``.
"""
indexes = [f.index for f in frames]
check_indexes_all_same(indexes, message="DataFrame indexes don't match:")
columns = [f.columns for f in frames]
check_indexes_all_same(columns, message="DataFrame columns don't match:")
start, end = indexes[0][[0, -1]]
cal_sessions = calendar.sessions_in_range(start, end)
check_indexes_all_same(
[indexes[0], cal_sessions],
"DataFrame index doesn't match {} calendar:".format(calendar.name),
)
def days_and_sids_for_frames(frames):
"""
Returns the date index and sid columns shared by a list of dataframes,
ensuring they all match.
Parameters
----------
frames : list[pd.DataFrame]
A list of dataframes indexed by day, with a column per sid.
Returns
-------
days : np.array[datetime64[ns]]
The days in these dataframes.
sids : np.array[int64]
The sids in these dataframes.
Raises
------
ValueError
If the dataframes passed are not all indexed by the same days
and sids.
"""
if not frames:
days = np.array([], dtype='datetime64[ns]')
sids = np.array([], dtype='int64')
return days, sids
# Ensure the indices and columns all match.
check_indexes_all_same(
[frame.index for frame in frames],
message='Frames have mistmatched days.',
)
check_indexes_all_same(
[frame.columns for frame in frames],
message='Frames have mismatched sids.',
)
return frames[0].index.values, frames[0].columns.values
