WIP: adds conversion from TimeArray -> AxisArray, and various other methods

src/AxisArrays.jl

@@ -2,11 +2,13 @@ module AxisArrays
 
 using Requires
 
-export AxisArray, Axis, Interval, axisnames, axisdim, axes
+export AxisArray, Axis, Interval, axisnames, axisdim, axes,
+       moving, merge
 
 include("core.jl")
 include("intervals.jl")
 include("indexing.jl")
 include("utils.jl")
+include("timeseries.jl")
 
 end

src/timeseries.jl

@@ -0,0 +1,60 @@
+# these methods are not specific to time series necessarily, but quarantined here for the time being
+
+import TimeSeries.moving, Base.merge
+
+# only works for single column AxisArrays
+# TODO generalize to work over any dimension (see commented prototype code below
+
+function moving(a::AxisArray, f::Function, n::Int)
+    m = length(a)-n+1
+    res = zeros(m)
+    for i in 1:m
+        #res[i] = f(a[Interval(a.axes[1][i],a.axes[1][i+n-1])])
+        res[i] = f(a[Axis{1}(i:i+n-1)])
+    end
+    AxisArray(res, (a.axes[1][n:end],))
+end
+
+# generalized moving over any dimension
+# to be called thus: moving(AAPL, mean, Axis{:time}(10))
+##### NOT WORKING ### function moving{Ax<:Axis}(a::AxisArray, f::Function, n::Ax)
+##### NOT WORKING ###     v = n.val
+##### NOT WORKING ###     m = size(a, n) - v
+##### NOT WORKING ###     res = similar(a, (Ax(m),), (axes(a, Ax)[cld(v,2):end-fld(v,2)],))
+##### NOT WORKING ###     for i in 1:m
+##### NOT WORKING ###         #res[Ax(i)] = f(a[Ax[i:i+v-1])
+##### NOT WORKING ###         res[Ax(i)] = f(a[Ax[i:i+v-1]])
+##### NOT WORKING ###     end
+##### NOT WORKING ### end
+
+
+
+
+# this is @tshort implementation with correction to overlaps
+
+function overlaps(ordered1, ordered2)
+    i = j = 1
+    idx1 = Int[]
+    idx2 = Int[]
+    while i < length(ordered1) + 1 && j < length(ordered2) + 1
+        if ordered1[i] > ordered2[j]
+            j += 1
+        elseif ordered1[i] < ordered2[j]
+            i += 1
+        else
+            push!(idx1, i)
+            push!(idx2, j)
+            i += 1
+            j += 1
+        end
+    end
+    (idx1, idx2)        
+end
+
+function merge(a1::AxisArray, a2::AxisArray)
+    idx1, idx2 = overlaps(a1.axes[1], a2.axes[1])
+    vals1      = a1[Axis{:row}(idx1)].data
+    vals2      = a2[Axis{:row}(idx2)].data
+    vals       = reshape(hcat(vals1,vals2), size(vals1)..., 2)
+    AxisArray(vals,(a1.axes[1][idx1], a1.axes[2], ["stock1","stock2"]))
+end

src/utils.jl

@@ -65,3 +65,36 @@ end
     Gadfly.plot(A::AxisArray, args...; kwargs...) = Gadfly.plot(DataFrames.DataFrame(A), args...; kwargs...)
 
 end
+
+@require TimeSeries begin
+
+    """
+    Convert a TimeArray into an AxisArray 
+
+    ```julia
+    AxisArray(a::TimeArray)
+    ```
+
+    ### Arguments
+
+    * `a::TimeArray`
+
+    ### Returns
+
+    * `::AxisArray` : an AxisArray from a TimeArray. The first axis
+      is of type Base.Dates and the second axis is String.
+
+    ### Examples
+
+    ```julia
+    using MarketData
+    Apple = AxisArray(AAPL)
+    ```
+
+    """
+    function Base.convert(::Type{AxisArrays.AxisArray}, A::TimeSeries.TimeArray)
+        length(A.colnames) > 1 ?
+        AxisArray(A.values, (A.timestamp,A.colnames)) :
+        AxisArray(A.values, (A.timestamp,)) 
+    end
+end

test/timeseries.jl

@@ -0,0 +1,30 @@
+using FactCheck, MarketData
+
+facts("conversion from TimeArray to AxisArray") do
+
+    context("axes values are correct") do
+        @fact AxisArray(AAPL).axes[1][1] => Date(1980,12,12)
+        @fact AxisArray(AAPL).axes[2][1] => "Open"
+        @fact_throws AxisArray(cl).axes[2]
+    end
+
+    context("data values are correct") do
+        @fact AxisArray(AAPL).data[1]    => 28.75
+        @fact AxisArray(AAPL).data[8336] => 554.17
+    end
+end
+
+facts("moving") do
+
+    context("moving only works on single column") do
+        @fact moving(AxisArray(cl), mean, 10)[1] => roughly(98.782)
+        @fact_throws moving(AxisArray(AAPL), mean, 10) 
+    end
+end
+
+facts("merge") do
+
+    context("only inner join supported") do
+        @fact size(merge(AxisArray(AAPL), AxisArray(BA)),1) => 8335
+    end
+end