timearray: more Base functions support

NEWS.md

@@ -37,10 +37,23 @@
   ```
 
   can perform faster than ```merge(ta1, ta2)``` in this case. (issue #TBD)
+* Support more reduction functions of Base. (issue #TBD)
+    * `sum`
+    * `mean`
+    * `std`
+    * `var`
+
+  e.g.
+  ```julia
+    sum(ta)  # same as sum(ta, 1), and it's equivalent to moving(sum, ta, length(ta))
+    sum(ta, 2)
+  ```
+
+* Support cumulative prod `cumprod`. (issue #TBD)
 
 ### 0.10.0
 
-* add support for time series plotting via RecipesBase dependency (thank you @mkborregaard) 
+* add support for time series plotting via RecipesBase dependency (thank you @mkborregaard)
 * add StepRange indexing support (issue #311)
 
 ### 0.9.2
@@ -109,7 +122,7 @@
 
 ### 0.7.1
 
-* readtimearray method now allows arbitrary delimiters (thanks @dourouc05) 
+* readtimearray method now allows arbitrary delimiters (thanks @dourouc05)
 
 ### 0.7.0
 
@@ -146,7 +159,7 @@
 ### 0.6.3
 
 * precompile support added
-* test/combine.jl and test/split.jl now imports Base.Dates explicity 
+* test/combine.jl and test/split.jl now imports Base.Dates explicity
 
 ### 0.6.2
 
@@ -184,7 +197,7 @@
 
 ### 0.5.9
 
-* added kwarg argument `format` to the `readtimearray` method to allow parsing datetime formats that are not 
+* added kwarg argument `format` to the `readtimearray` method to allow parsing datetime formats that are not
 currently supported.
 * changed two references to `Range1` to `UnitRange`
 * added import of Base.values. I had defined it first and I guess they like it so much they co-opted it. :)

src/basemisc.jl

@@ -1,4 +1,61 @@
 # Misc. Base functions
 
-Base.cumsum(ta::TimeArray, dim::Int=1) =
-    TimeArray(ta.timestamp, cumsum(ta.values, dim), ta.colnames, ta.meta)
+function _autoimport(s::Symbol)
+    if isdefined(Base, s)
+        :(import Base: $s)
+    else
+        :()
+    end
+end
+
+const _tsmap  = Dict{Symbol, Dict{Number, Expr}}()  # timestamp map
+const _colmap = Dict{Symbol, Dict{Number, Expr}}()  # colanmes map
+
+macro _mapbase(sig::Expr, imp::Expr)
+    fname = sig.args[1]
+    import_expr = _autoimport(fname)
+
+    # these default values are useful for reduction function
+    ts = get(_tsmap, fname, Dict())
+    dim1ts = get(ts, 1, :(ta.timestamp[end]))
+    dim2ts = get(ts, 2, :(ta.timestamp))
+
+    # these default values are useful for reduction function
+    col = get(_colmap, fname, Dict())
+    dim1col = get(col, 1, :(ta.colnames))
+    dim2col = get(col, 2, :([string($fname)]))
+
+    fbody = quote
+        if dim == 1
+            TimeArray($dim1ts, $imp, $dim1col, ta.meta)
+        elseif dim == 2
+            TimeArray($dim2ts, $imp, $dim2col, ta.meta)
+        else
+            throw(DimensionMismatch("dim should be 1 or 2"))
+        end
+    end
+
+    doc = "   $sig"
+    fdef = Expr(:function, sig, fbody)
+
+    esc(quote
+        $import_expr
+        @doc $doc ->
+        $fdef
+    end)
+end
+
+# Cumulative functions
+_tsmap[:cumsum] = Dict(1 => :(ta.timestamp))
+_colmap[:cumsum] = Dict(2 => :(ta.colnames))
+@_mapbase cumsum(ta::TimeArray, dim = 1) cumsum(ta.values, dim)
+
+_tsmap[:cumprod] = Dict(1 => :(ta.timestamp))
+_colmap[:cumprod] = Dict(2 => :(ta.colnames))
+@_mapbase cumprod(ta::TimeArray, dim = 1) cumprod(ta.values, dim)
+
+# Reduction functions
+@_mapbase sum(ta::TimeArray, dim = 1) sum(ta.values, dim)
+@_mapbase mean(ta::TimeArray, dim = 1) mean(ta.values, dim)
+@_mapbase std(ta::TimeArray, dim = 1; kw...) std(ta.values, dim; kw...)
+@_mapbase var(ta::TimeArray, dim = 1; kw...) var(ta.values, dim; kw...)

test/basemisc.jl

@@ -8,7 +8,7 @@ using TimeSeries
 @testset "basemisc" begin
 
 
-@testset "cumsum" begin
+@testset "cumulative functions" begin
     let ta = cumsum(cl)
         @test ta.values == cumsum(cl.values)
         @test ta.meta == cl.meta
@@ -28,6 +28,76 @@ using TimeSeries
         @test ta.values == cumsum(ohlc.values, 2)
         @test ta.meta == ohlc.meta
     end
+
+    @test_throws DimensionMismatch cumsum(cl, 3)
+    @test_throws DimensionMismatch cumsum(ohlc, 3)
+
+    let ta = cumprod(cl[1:5])
+        @test ta.values == cumprod(cl[1:5].values)
+        @test ta.meta == cl[1:5].meta
+    end
+
+    let ta = cumprod(ohlc[1:5])
+        @test ta.values == cumprod(ohlc[1:5].values)
+        @test ta.meta == ohlc[1:5].meta
+    end
+
+    let ta = cumprod(cl[1:5], 2)
+        @test ta.values == cumprod(cl[1:5].values, 2)
+        @test ta.meta == cl[1:5].meta
+    end
+
+    let ta = cumprod(ohlc[1:5], 2)
+        @test ta.values == cumprod(ohlc[1:5].values, 2)
+        @test ta.meta == ohlc[1:5].meta
+    end
+
+    @test_throws DimensionMismatch cumprod(cl, 3)
+    @test_throws DimensionMismatch cumprod(ohlc, 3)
+end
+
+@testset "reduction functions" begin
+    for (fname, f) ∈ ([(:sum, sum), (:mean, mean)])
+        for (name, src) ∈ [(:cl, cl), (:ohlc, ohlc)]
+            @testset "$fname::$name" begin
+                let ta = f(src)
+                    @test ta.meta == src.meta
+                    @test length(ta) == 1
+                    @test ta.values == f(src.values, 1)
+                end
+
+                let ta = f(src, 2)
+                    @test ta.meta == src.meta
+                    @test length(ta) == length(src.timestamp)
+                    @test ta.values == f(src.values, 2)
+                    @test ta.colnames == [string(fname)]
+                end
+
+                @test_throws DimensionMismatch f(src, 3)
+            end  # @testset
+        end
+    end  # for func
+
+    for (fname, f) ∈ ([(:std, std), (:var, var)])
+        for (name, src) ∈ [(:cl, cl), (:ohlc, ohlc)]
+            @testset "$fname::$name" begin
+                let ta = f(src)
+                    @test ta.meta == src.meta
+                    @test length(ta) == 1
+                    @test ta.values == f(src.values, 1)
+                end
+
+                let ta = f(src, 2, corrected=false)
+                    @test ta.meta == src.meta
+                    @test length(ta) == length(src.timestamp)
+                    @test ta.values == f(src.values, 2, corrected=false)
+                    @test ta.colnames == [string(fname)]
+                end
+
+                @test_throws DimensionMismatch f(src, 3)
+            end  # @testset
+        end
+    end  # for func
 end