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<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 class="sig sig-object py" id="pyspark.pandas.merge_asof">
<span class="sig-prename descclassname"><span class="pre">pyspark.pandas.</span></span><span class="sig-name descname"><span class="pre">merge_asof</span></span><span class="sig-paren">(</span><em class="sig-param"><span class="n"><span class="pre">left</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">right</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">on</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">left_on</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">right_on</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">left_index</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">False</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">right_index</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">False</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">by</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">left_by</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">right_by</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">suffixes</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">('_x',</span> <span class="pre">'_y')</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">tolerance</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">allow_exact_matches</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">True</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">direction</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">'backward'</span></span></em><span class="sig-paren">)</span><a class="reference internal" href="../../../_modules/pyspark/pandas/namespace.html#merge_asof"><span class="viewcode-link"><span class="pre">[source]</span></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">&gt;&gt;&gt; </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">&quot;a&quot;</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">&quot;left_val&quot;</span><span class="p">:</span> <span class="p">[</span><span class="s2">&quot;a&quot;</span><span class="p">,</span> <span class="s2">&quot;b&quot;</span><span class="p">,</span> <span class="s2">&quot;c&quot;</span><span class="p">]})</span>
<span class="gp">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;a&quot;</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">&quot;right_val&quot;</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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;a&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">sort_values</span><span class="p">(</span><span class="s2">&quot;a&quot;</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">&gt;&gt;&gt; </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">&quot;a&quot;</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">&quot;a&quot;</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">&gt;&gt;&gt; </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">&quot;a&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="n">direction</span><span class="o">=</span><span class="s2">&quot;forward&quot;</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">&quot;a&quot;</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">&gt;&gt;&gt; </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">&quot;a&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="n">direction</span><span class="o">=</span><span class="s2">&quot;nearest&quot;</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">&quot;a&quot;</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">&gt;&gt;&gt; </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">&quot;left_val&quot;</span><span class="p">:</span> <span class="p">[</span><span class="s2">&quot;a&quot;</span><span class="p">,</span> <span class="s2">&quot;b&quot;</span><span class="p">,</span> <span class="s2">&quot;c&quot;</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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;right_val&quot;</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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;time&quot;</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">&quot;2016-05-25 13:30:00.023&quot;</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">&quot;2016-05-25 13:30:00.023&quot;</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">&quot;2016-05-25 13:30:00.030&quot;</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">&quot;2016-05-25 13:30:00.041&quot;</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">&quot;2016-05-25 13:30:00.048&quot;</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">&quot;2016-05-25 13:30:00.049&quot;</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">&quot;2016-05-25 13:30:00.072&quot;</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">&quot;2016-05-25 13:30:00.075&quot;</span><span class="p">)</span>
<span class="gp">... </span> <span class="p">],</span>
<span class="gp">... </span> <span class="s2">&quot;ticker&quot;</span><span class="p">:</span> <span class="p">[</span>
<span class="gp">... </span> <span class="s2">&quot;GOOG&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;MSFT&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;MSFT&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;MSFT&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;GOOG&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;AAPL&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;GOOG&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="s2">&quot;MSFT&quot;</span>
<span class="gp">... </span> <span class="p">],</span>
<span class="gp">... </span> <span class="s2">&quot;bid&quot;</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">&quot;ask&quot;</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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;time&quot;</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">&quot;2016-05-25 13:30:00.023&quot;</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">&quot;2016-05-25 13:30:00.038&quot;</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">&quot;2016-05-25 13:30:00.048&quot;</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">&quot;2016-05-25 13:30:00.048&quot;</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">&quot;2016-05-25 13:30:00.048&quot;</span><span class="p">)</span>
<span class="gp">... </span> <span class="p">],</span>
<span class="gp">... </span> <span class="s2">&quot;ticker&quot;</span><span class="p">:</span> <span class="p">[</span><span class="s2">&quot;MSFT&quot;</span><span class="p">,</span> <span class="s2">&quot;MSFT&quot;</span><span class="p">,</span> <span class="s2">&quot;GOOG&quot;</span><span class="p">,</span> <span class="s2">&quot;GOOG&quot;</span><span class="p">,</span> <span class="s2">&quot;AAPL&quot;</span><span class="p">],</span>
<span class="gp">... </span> <span class="s2">&quot;price&quot;</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">&quot;quantity&quot;</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">&gt;&gt;&gt; </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">&gt;&gt;&gt; </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">&quot;time&quot;</span><span class="p">,</span> <span class="n">by</span><span class="o">=</span><span class="s2">&quot;ticker&quot;</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">&quot;time&quot;</span><span class="p">,</span> <span class="s2">&quot;ticker&quot;</span><span class="p">,</span> <span class="s2">&quot;price&quot;</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">&gt;&gt;&gt; </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">&quot;time&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="n">by</span><span class="o">=</span><span class="s2">&quot;ticker&quot;</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">&quot;INTERVAL 2 MILLISECONDS&quot;</span><span class="p">)</span> <span class="c1"># pd.Timedelta(&quot;2ms&quot;)</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">&quot;time&quot;</span><span class="p">,</span> <span class="s2">&quot;ticker&quot;</span><span class="p">,</span> <span class="s2">&quot;price&quot;</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">&gt;&gt;&gt; </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">&quot;time&quot;</span><span class="p">,</span>
<span class="gp">... </span> <span class="n">by</span><span class="o">=</span><span class="s2">&quot;ticker&quot;</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">&quot;INTERVAL 10 MILLISECONDS&quot;</span><span class="p">),</span> <span class="c1"># pd.Timedelta(&quot;10ms&quot;)</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">&quot;time&quot;</span><span class="p">,</span> <span class="s2">&quot;ticker&quot;</span><span class="p">,</span> <span class="s2">&quot;price&quot;</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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