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| <div class="section" id="pyspark-pandas-merge-asof"> |
| <h1>pyspark.pandas.merge_asof<a class="headerlink" href="#pyspark-pandas-merge-asof" title="Permalink to this headline">¶</a></h1> |
| <dl class="py function"> |
| <dt id="pyspark.pandas.merge_asof"> |
| <code class="sig-prename descclassname">pyspark.pandas.</code><code class="sig-name descname">merge_asof</code><span class="sig-paren">(</span><em class="sig-param"><span class="n">left</span><span class="p">:</span> <span class="n">Union<span class="p">[</span>pyspark.pandas.frame.DataFrame<span class="p">, </span>pyspark.pandas.series.Series<span class="p">]</span></span></em>, <em class="sig-param"><span class="n">right</span><span class="p">:</span> <span class="n">Union<span class="p">[</span>pyspark.pandas.frame.DataFrame<span class="p">, </span>pyspark.pandas.series.Series<span class="p">]</span></span></em>, <em class="sig-param"><span class="n">on</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">left_on</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">right_on</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">left_index</span><span class="p">:</span> <span class="n">bool</span> <span class="o">=</span> <span class="default_value">False</span></em>, <em class="sig-param"><span class="n">right_index</span><span class="p">:</span> <span class="n">bool</span> <span class="o">=</span> <span class="default_value">False</span></em>, <em class="sig-param"><span class="n">by</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], List[Union[Any, Tuple[Any, …]]], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">left_by</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], List[Union[Any, Tuple[Any, …]]], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">right_by</span><span class="p">:</span> <span class="n">Union[Any, Tuple[Any, …], List[Union[Any, Tuple[Any, …]]], None]</span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">suffixes</span><span class="p">:</span> <span class="n">Tuple<span class="p">[</span>str<span class="p">, </span>str<span class="p">]</span></span> <span class="o">=</span> <span class="default_value">'_x', '_y'</span></em>, <em class="sig-param"><span class="n">tolerance</span><span class="p">:</span> <span class="n">Optional<span class="p">[</span>Any<span class="p">]</span></span> <span class="o">=</span> <span class="default_value">None</span></em>, <em class="sig-param"><span class="n">allow_exact_matches</span><span class="p">:</span> <span class="n">bool</span> <span class="o">=</span> <span class="default_value">True</span></em>, <em class="sig-param"><span class="n">direction</span><span class="p">:</span> <span class="n">str</span> <span class="o">=</span> <span class="default_value">'backward'</span></em><span class="sig-paren">)</span> → pyspark.pandas.frame.DataFrame<a class="reference internal" href="../../../_modules/pyspark/pandas/namespace.html#merge_asof"><span class="viewcode-link">[source]</span></a><a class="headerlink" href="#pyspark.pandas.merge_asof" title="Permalink to this definition">¶</a></dt> |
| <dd><p>Perform an asof merge.</p> |
| <p>This is like a left-join except that we match on nearest |
| key rather than equal keys.</p> |
| <p>For each row in the left DataFrame:</p> |
| <blockquote> |
| <div><ul class="simple"> |
| <li><p>A “backward” search selects the last row in the right DataFrame whose |
| ‘on’ key is less than or equal to the left’s key.</p></li> |
| <li><p>A “forward” search selects the first row in the right DataFrame whose |
| ‘on’ key is greater than or equal to the left’s key.</p></li> |
| <li><p>A “nearest” search selects the row in the right DataFrame who’s ‘on’ |
| key is closest in absolute distance to the left’s key.</p></li> |
| </ul> |
| </div></blockquote> |
| <p>Optionally match on equivalent keys with ‘by’ before searching with ‘on’.</p> |
| <div class="versionadded"> |
| <p><span class="versionmodified added">New in version 3.3.0.</span></p> |
| </div> |
| <dl class="field-list simple"> |
| <dt class="field-odd">Parameters</dt> |
| <dd class="field-odd"><dl class="simple"> |
| <dt><strong>left</strong><span class="classifier">DataFrame or named Series</span></dt><dd></dd> |
| <dt><strong>right</strong><span class="classifier">DataFrame or named Series</span></dt><dd></dd> |
| <dt><strong>on</strong><span class="classifier">label</span></dt><dd><p>Field name to join on. Must be found in both DataFrames. |
| The data MUST be ordered. This must be a numeric column, |
| such as datetimelike, integer, or float. On or left_on/right_on |
| must be given.</p> |
| </dd> |
| <dt><strong>left_on</strong><span class="classifier">label</span></dt><dd><p>Field name to join on in left DataFrame.</p> |
| </dd> |
| <dt><strong>right_on</strong><span class="classifier">label</span></dt><dd><p>Field name to join on in right DataFrame.</p> |
| </dd> |
| <dt><strong>left_index</strong><span class="classifier">bool</span></dt><dd><p>Use the index of the left DataFrame as the join key.</p> |
| </dd> |
| <dt><strong>right_index</strong><span class="classifier">bool</span></dt><dd><p>Use the index of the right DataFrame as the join key.</p> |
| </dd> |
| <dt><strong>by</strong><span class="classifier">column name or list of column names</span></dt><dd><p>Match on these columns before performing merge operation.</p> |
| </dd> |
| <dt><strong>left_by</strong><span class="classifier">column name</span></dt><dd><p>Field names to match on in the left DataFrame.</p> |
| </dd> |
| <dt><strong>right_by</strong><span class="classifier">column name</span></dt><dd><p>Field names to match on in the right DataFrame.</p> |
| </dd> |
| <dt><strong>suffixes</strong><span class="classifier">2-length sequence (tuple, list, …)</span></dt><dd><p>Suffix to apply to overlapping column names in the left and right |
| side, respectively.</p> |
| </dd> |
| <dt><strong>tolerance</strong><span class="classifier">int or Timedelta, optional, default None</span></dt><dd><p>Select asof tolerance within this range; must be compatible |
| with the merge index.</p> |
| </dd> |
| <dt><strong>allow_exact_matches</strong><span class="classifier">bool, default True</span></dt><dd><ul class="simple"> |
| <li><p>If True, allow matching with the same ‘on’ value |
| (i.e. less-than-or-equal-to / greater-than-or-equal-to)</p></li> |
| <li><p>If False, don’t match the same ‘on’ value |
| (i.e., strictly less-than / strictly greater-than).</p></li> |
| </ul> |
| </dd> |
| <dt><strong>direction</strong><span class="classifier">‘backward’ (default), ‘forward’, or ‘nearest’</span></dt><dd><p>Whether to search for prior, subsequent, or closest matches.</p> |
| </dd> |
| </dl> |
| </dd> |
| <dt class="field-even">Returns</dt> |
| <dd class="field-even"><dl class="simple"> |
| <dt><strong>merged</strong><span class="classifier">DataFrame</span></dt><dd></dd> |
| </dl> |
| </dd> |
| </dl> |
| <div class="admonition seealso"> |
| <p class="admonition-title">See also</p> |
| <dl class="simple"> |
| <dt><a class="reference internal" href="pyspark.pandas.merge.html#pyspark.pandas.merge" title="pyspark.pandas.merge"><code class="xref py py-obj docutils literal notranslate"><span class="pre">merge</span></code></a></dt><dd><p>Merge with a database-style join.</p> |
| </dd> |
| <dt><code class="xref py py-obj docutils literal notranslate"><span class="pre">merge_ordered</span></code></dt><dd><p>Merge with optional filling/interpolation.</p> |
| </dd> |
| </dl> |
| </div> |
| <p class="rubric">Examples</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">left</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">({</span><span class="s2">"a"</span><span class="p">:</span> <span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">5</span><span class="p">,</span> <span class="mi">10</span><span class="p">],</span> <span class="s2">"left_val"</span><span class="p">:</span> <span class="p">[</span><span class="s2">"a"</span><span class="p">,</span> <span class="s2">"b"</span><span class="p">,</span> <span class="s2">"c"</span><span class="p">]})</span> |
| <span class="gp">>>> </span><span class="n">left</span> |
| <span class="go"> a left_val</span> |
| <span class="go">0 1 a</span> |
| <span class="go">1 5 b</span> |
| <span class="go">2 10 c</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">right</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">({</span><span class="s2">"a"</span><span class="p">:</span> <span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">2</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="mi">6</span><span class="p">,</span> <span class="mi">7</span><span class="p">],</span> <span class="s2">"right_val"</span><span class="p">:</span> <span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">2</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="mi">6</span><span class="p">,</span> <span class="mi">7</span><span class="p">]})</span> |
| <span class="gp">>>> </span><span class="n">right</span> |
| <span class="go"> a right_val</span> |
| <span class="go">0 1 1</span> |
| <span class="go">1 2 2</span> |
| <span class="go">2 3 3</span> |
| <span class="go">3 6 6</span> |
| <span class="go">4 7 7</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span><span class="n">left</span><span class="p">,</span> <span class="n">right</span><span class="p">,</span> <span class="n">on</span><span class="o">=</span><span class="s2">"a"</span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="s2">"a"</span><span class="p">)</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> a left_val right_val</span> |
| <span class="go">0 1 a 1</span> |
| <span class="go">1 5 b 3</span> |
| <span class="go">2 10 c 7</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">left</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">right</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">on</span><span class="o">=</span><span class="s2">"a"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">allow_exact_matches</span><span class="o">=</span><span class="kc">False</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="s2">"a"</span><span class="p">)</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> a left_val right_val</span> |
| <span class="go">0 1 a NaN</span> |
| <span class="go">1 5 b 3.0</span> |
| <span class="go">2 10 c 7.0</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">left</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">right</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">on</span><span class="o">=</span><span class="s2">"a"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">direction</span><span class="o">=</span><span class="s2">"forward"</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="s2">"a"</span><span class="p">)</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> a left_val right_val</span> |
| <span class="go">0 1 a 1.0</span> |
| <span class="go">1 5 b 6.0</span> |
| <span class="go">2 10 c NaN</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">left</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">right</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">on</span><span class="o">=</span><span class="s2">"a"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">direction</span><span class="o">=</span><span class="s2">"nearest"</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="s2">"a"</span><span class="p">)</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> a left_val right_val</span> |
| <span class="go">0 1 a 1</span> |
| <span class="go">1 5 b 6</span> |
| <span class="go">2 10 c 7</span> |
| </pre></div> |
| </div> |
| <p>We can use indexed DataFrames as well.</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">left</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">({</span><span class="s2">"left_val"</span><span class="p">:</span> <span class="p">[</span><span class="s2">"a"</span><span class="p">,</span> <span class="s2">"b"</span><span class="p">,</span> <span class="s2">"c"</span><span class="p">]},</span> <span class="n">index</span><span class="o">=</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">5</span><span class="p">,</span> <span class="mi">10</span><span class="p">])</span> |
| <span class="gp">>>> </span><span class="n">left</span> |
| <span class="go"> left_val</span> |
| <span class="go">1 a</span> |
| <span class="go">5 b</span> |
| <span class="go">10 c</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">right</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">({</span><span class="s2">"right_val"</span><span class="p">:</span> <span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">2</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="mi">6</span><span class="p">,</span> <span class="mi">7</span><span class="p">]},</span> <span class="n">index</span><span class="o">=</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="mi">2</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="mi">6</span><span class="p">,</span> <span class="mi">7</span><span class="p">])</span> |
| <span class="gp">>>> </span><span class="n">right</span> |
| <span class="go"> right_val</span> |
| <span class="go">1 1</span> |
| <span class="go">2 2</span> |
| <span class="go">3 3</span> |
| <span class="go">6 6</span> |
| <span class="go">7 7</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span><span class="n">left</span><span class="p">,</span> <span class="n">right</span><span class="p">,</span> <span class="n">left_index</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">right_index</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span><span class="o">.</span><span class="n">sort_index</span><span class="p">()</span> |
| <span class="go"> left_val right_val</span> |
| <span class="go">1 a 1</span> |
| <span class="go">5 b 3</span> |
| <span class="go">10 c 7</span> |
| </pre></div> |
| </div> |
| <p>Here is a real-world times-series example</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">quotes</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="p">{</span> |
| <span class="gp">... </span> <span class="s2">"time"</span><span class="p">:</span> <span class="p">[</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.023"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.023"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.030"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.041"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.048"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.049"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.072"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.075"</span><span class="p">)</span> |
| <span class="gp">... </span> <span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"ticker"</span><span class="p">:</span> <span class="p">[</span> |
| <span class="gp">... </span> <span class="s2">"GOOG"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"MSFT"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"MSFT"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"MSFT"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"GOOG"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"AAPL"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"GOOG"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="s2">"MSFT"</span> |
| <span class="gp">... </span> <span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"bid"</span><span class="p">:</span> <span class="p">[</span><span class="mf">720.50</span><span class="p">,</span> <span class="mf">51.95</span><span class="p">,</span> <span class="mf">51.97</span><span class="p">,</span> <span class="mf">51.99</span><span class="p">,</span> <span class="mf">720.50</span><span class="p">,</span> <span class="mf">97.99</span><span class="p">,</span> <span class="mf">720.50</span><span class="p">,</span> <span class="mf">52.01</span><span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"ask"</span><span class="p">:</span> <span class="p">[</span><span class="mf">720.93</span><span class="p">,</span> <span class="mf">51.96</span><span class="p">,</span> <span class="mf">51.98</span><span class="p">,</span> <span class="mf">52.00</span><span class="p">,</span> <span class="mf">720.93</span><span class="p">,</span> <span class="mf">98.01</span><span class="p">,</span> <span class="mf">720.88</span><span class="p">,</span> <span class="mf">52.03</span><span class="p">]</span> |
| <span class="gp">... </span> <span class="p">}</span> |
| <span class="gp">... </span><span class="p">)</span> |
| <span class="gp">>>> </span><span class="n">quotes</span> |
| <span class="go"> time ticker bid ask</span> |
| <span class="go">0 2016-05-25 13:30:00.023 GOOG 720.50 720.93</span> |
| <span class="go">1 2016-05-25 13:30:00.023 MSFT 51.95 51.96</span> |
| <span class="go">2 2016-05-25 13:30:00.030 MSFT 51.97 51.98</span> |
| <span class="go">3 2016-05-25 13:30:00.041 MSFT 51.99 52.00</span> |
| <span class="go">4 2016-05-25 13:30:00.048 GOOG 720.50 720.93</span> |
| <span class="go">5 2016-05-25 13:30:00.049 AAPL 97.99 98.01</span> |
| <span class="go">6 2016-05-25 13:30:00.072 GOOG 720.50 720.88</span> |
| <span class="go">7 2016-05-25 13:30:00.075 MSFT 52.01 52.03</span> |
| </pre></div> |
| </div> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">trades</span> <span class="o">=</span> <span class="n">ps</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="p">{</span> |
| <span class="gp">... </span> <span class="s2">"time"</span><span class="p">:</span> <span class="p">[</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.023"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.038"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.048"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.048"</span><span class="p">),</span> |
| <span class="gp">... </span> <span class="n">pd</span><span class="o">.</span><span class="n">Timestamp</span><span class="p">(</span><span class="s2">"2016-05-25 13:30:00.048"</span><span class="p">)</span> |
| <span class="gp">... </span> <span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"ticker"</span><span class="p">:</span> <span class="p">[</span><span class="s2">"MSFT"</span><span class="p">,</span> <span class="s2">"MSFT"</span><span class="p">,</span> <span class="s2">"GOOG"</span><span class="p">,</span> <span class="s2">"GOOG"</span><span class="p">,</span> <span class="s2">"AAPL"</span><span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"price"</span><span class="p">:</span> <span class="p">[</span><span class="mf">51.95</span><span class="p">,</span> <span class="mf">51.95</span><span class="p">,</span> <span class="mf">720.77</span><span class="p">,</span> <span class="mf">720.92</span><span class="p">,</span> <span class="mf">98.0</span><span class="p">],</span> |
| <span class="gp">... </span> <span class="s2">"quantity"</span><span class="p">:</span> <span class="p">[</span><span class="mi">75</span><span class="p">,</span> <span class="mi">155</span><span class="p">,</span> <span class="mi">100</span><span class="p">,</span> <span class="mi">100</span><span class="p">,</span> <span class="mi">100</span><span class="p">]</span> |
| <span class="gp">... </span> <span class="p">}</span> |
| <span class="gp">... </span> <span class="p">)</span> |
| <span class="gp">>>> </span><span class="n">trades</span> |
| <span class="go"> time ticker price quantity</span> |
| <span class="go">0 2016-05-25 13:30:00.023 MSFT 51.95 75</span> |
| <span class="go">1 2016-05-25 13:30:00.038 MSFT 51.95 155</span> |
| <span class="go">2 2016-05-25 13:30:00.048 GOOG 720.77 100</span> |
| <span class="go">3 2016-05-25 13:30:00.048 GOOG 720.92 100</span> |
| <span class="go">4 2016-05-25 13:30:00.048 AAPL 98.00 100</span> |
| </pre></div> |
| </div> |
| <p>By default we are taking the asof of the quotes</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">trades</span><span class="p">,</span> <span class="n">quotes</span><span class="p">,</span> <span class="n">on</span><span class="o">=</span><span class="s2">"time"</span><span class="p">,</span> <span class="n">by</span><span class="o">=</span><span class="s2">"ticker"</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">([</span><span class="s2">"time"</span><span class="p">,</span> <span class="s2">"ticker"</span><span class="p">,</span> <span class="s2">"price"</span><span class="p">])</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> time ticker price quantity bid ask</span> |
| <span class="go">0 2016-05-25 13:30:00.023 MSFT 51.95 75 51.95 51.96</span> |
| <span class="go">1 2016-05-25 13:30:00.038 MSFT 51.95 155 51.97 51.98</span> |
| <span class="go">2 2016-05-25 13:30:00.048 AAPL 98.00 100 NaN NaN</span> |
| <span class="go">3 2016-05-25 13:30:00.048 GOOG 720.77 100 720.50 720.93</span> |
| <span class="go">4 2016-05-25 13:30:00.048 GOOG 720.92 100 720.50 720.93</span> |
| </pre></div> |
| </div> |
| <p>We only asof within 2ms between the quote time and the trade time</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">trades</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">quotes</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">on</span><span class="o">=</span><span class="s2">"time"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">by</span><span class="o">=</span><span class="s2">"ticker"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">tolerance</span><span class="o">=</span><span class="n">sf</span><span class="o">.</span><span class="n">expr</span><span class="p">(</span><span class="s2">"INTERVAL 2 MILLISECONDS"</span><span class="p">)</span> <span class="c1"># pd.Timedelta("2ms")</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">([</span><span class="s2">"time"</span><span class="p">,</span> <span class="s2">"ticker"</span><span class="p">,</span> <span class="s2">"price"</span><span class="p">])</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> time ticker price quantity bid ask</span> |
| <span class="go">0 2016-05-25 13:30:00.023 MSFT 51.95 75 51.95 51.96</span> |
| <span class="go">1 2016-05-25 13:30:00.038 MSFT 51.95 155 NaN NaN</span> |
| <span class="go">2 2016-05-25 13:30:00.048 AAPL 98.00 100 NaN NaN</span> |
| <span class="go">3 2016-05-25 13:30:00.048 GOOG 720.77 100 720.50 720.93</span> |
| <span class="go">4 2016-05-25 13:30:00.048 GOOG 720.92 100 720.50 720.93</span> |
| </pre></div> |
| </div> |
| <p>We only asof within 10ms between the quote time and the trade time |
| and we exclude exact matches on time. However <em>prior</em> data will |
| propagate forward</p> |
| <div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="n">ps</span><span class="o">.</span><span class="n">merge_asof</span><span class="p">(</span> |
| <span class="gp">... </span> <span class="n">trades</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">quotes</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">on</span><span class="o">=</span><span class="s2">"time"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">by</span><span class="o">=</span><span class="s2">"ticker"</span><span class="p">,</span> |
| <span class="gp">... </span> <span class="n">tolerance</span><span class="o">=</span><span class="n">sf</span><span class="o">.</span><span class="n">expr</span><span class="p">(</span><span class="s2">"INTERVAL 10 MILLISECONDS"</span><span class="p">),</span> <span class="c1"># pd.Timedelta("10ms")</span> |
| <span class="gp">... </span> <span class="n">allow_exact_matches</span><span class="o">=</span><span class="kc">False</span> |
| <span class="gp">... </span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">([</span><span class="s2">"time"</span><span class="p">,</span> <span class="s2">"ticker"</span><span class="p">,</span> <span class="s2">"price"</span><span class="p">])</span><span class="o">.</span><span class="n">reset_index</span><span class="p">(</span><span class="n">drop</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> |
| <span class="go"> time ticker price quantity bid ask</span> |
| <span class="go">0 2016-05-25 13:30:00.023 MSFT 51.95 75 NaN NaN</span> |
| <span class="go">1 2016-05-25 13:30:00.038 MSFT 51.95 155 51.97 51.98</span> |
| <span class="go">2 2016-05-25 13:30:00.048 AAPL 98.00 100 NaN NaN</span> |
| <span class="go">3 2016-05-25 13:30:00.048 GOOG 720.77 100 NaN NaN</span> |
| <span class="go">4 2016-05-25 13:30:00.048 GOOG 720.92 100 NaN NaN</span> |
| </pre></div> |
| </div> |
| </dd></dl> |
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