ENH: Support closed for fixed windows in rolling (pandas-dev#37207)

Author: mroeschke

doc/source/user_guide/computation.rst

@@ -652,9 +652,9 @@ parameter:
     :header: "``closed``", "Description", "Default for"
     :widths: 20, 30, 30
 
-    ``right``, close right endpoint, time-based windows
+    ``right``, close right endpoint,
     ``left``, close left endpoint,
-    ``both``, close both endpoints, fixed windows
+    ``both``, close both endpoints,
     ``neither``, open endpoints,
 
 For example, having the right endpoint open is useful in many problems that require that there is no contamination
@@ -681,9 +681,6 @@ from present information back to past information. This allows the rolling windo
 
    df
 
-Currently, this feature is only implemented for time-based windows.
-For fixed windows, the closed parameter cannot be set and the rolling window will always have both endpoints closed.
-
 .. _stats.iter_rolling_window:
 
 Iteration over window:

doc/source/whatsnew/v1.2.0.rst

@@ -222,6 +222,7 @@ Other enhancements
 - :meth:`DataFrame.plot` now recognizes ``xlabel`` and ``ylabel`` arguments for plots of type ``scatter`` and ``hexbin`` (:issue:`37001`)
 - :class:`DataFrame` now supports ``divmod`` operation (:issue:`37165`)
 - :meth:`DataFrame.to_parquet` now returns a ``bytes`` object when no ``path`` argument is passed (:issue:`37105`)
+- :class:`Rolling` now supports the ``closed`` argument for fixed windows (:issue:`34315`)
 
 .. _whatsnew_120.api_breaking.python:
 

pandas/_libs/window/indexers.pyx

@@ -43,16 +43,14 @@ def calculate_variable_window_bounds(
     (ndarray[int64], ndarray[int64])
     """
     cdef:
-        bint left_closed = False
-        bint right_closed = False
-        int index_growth_sign = 1
+        bint left_closed = False, right_closed = False
         ndarray[int64_t, ndim=1] start, end
-        int64_t start_bound, end_bound
+        int64_t start_bound, end_bound, index_growth_sign = 1
         Py_ssize_t i, j
 
-    # if windows is variable, default is 'right', otherwise default is 'both'
+    # default is 'right'
     if closed is None:
-        closed = 'right' if index is not None else 'both'
+        closed = 'right'
 
     if closed in ['right', 'both']:
         right_closed = True

pandas/core/window/indexers.py

@@ -85,6 +85,10 @@ def get_window_bounds(
 
         end = np.arange(1 + offset, num_values + 1 + offset, dtype="int64")
         start = end - self.window_size
+        if closed in ["left", "both"]:
+            start -= 1
+        if closed in ["left", "neither"]:
+            end -= 1
 
         end = np.clip(end, 0, num_values)
         start = np.clip(start, 0, num_values)

pandas/core/window/rolling.py

@@ -850,10 +850,11 @@ class Window(BaseWindow):
     axis : int or str, default 0
     closed : str, default None
         Make the interval closed on the 'right', 'left', 'both' or
-        'neither' endpoints.
-        For offset-based windows, it defaults to 'right'.
-        For fixed windows, defaults to 'both'. Remaining cases not implemented
-        for fixed windows.
+        'neither' endpoints. Defaults to 'right'.
+
+        .. versionchanged:: 1.2.0
+
+            The closed parameter with fixed windows is now supported.
 
     Returns
     -------
@@ -1976,11 +1977,6 @@ def validate(self):
         elif self.window < 0:
             raise ValueError("window must be non-negative")
 
-        if not self.is_datetimelike and self.closed is not None:
-            raise ValueError(
-                "closed only implemented for datetimelike and offset based windows"
-            )
-
     def _determine_window_length(self) -> Union[int, float]:
         """
         Calculate freq for PeriodIndexes based on Index freq. Can not use

pandas/tests/window/test_rolling.py

@@ -122,14 +122,37 @@ def test_numpy_compat(method):
         getattr(r, method)(dtype=np.float64)
 
 
-def test_closed():
-    df = DataFrame({"A": [0, 1, 2, 3, 4]})
-    # closed only allowed for datetimelike
+@pytest.mark.parametrize("closed", ["left", "right", "both", "neither"])
+def test_closed_fixed(closed, arithmetic_win_operators):
+    # GH 34315
+    func_name = arithmetic_win_operators
+    df_fixed = DataFrame({"A": [0, 1, 2, 3, 4]})
+    df_time = DataFrame({"A": [0, 1, 2, 3, 4]}, index=date_range("2020", periods=5))
 
-    msg = "closed only implemented for datetimelike and offset based windows"
+    result = getattr(df_fixed.rolling(2, closed=closed, min_periods=1), func_name)()
+    expected = getattr(df_time.rolling("2D", closed=closed), func_name)().reset_index(
+        drop=True
+    )
 
-    with pytest.raises(ValueError, match=msg):
-        df.rolling(window=3, closed="neither")
+    tm.assert_frame_equal(result, expected)
+
+
+def test_closed_fixed_binary_col():
+    # GH 34315
+    data = [0, 1, 1, 0, 0, 1, 0, 1]
+    df = DataFrame(
+        {"binary_col": data},
+        index=pd.date_range(start="2020-01-01", freq="min", periods=len(data)),
+    )
+
+    rolling = df.rolling(window=len(df), closed="left", min_periods=1)
+    result = rolling.mean()
+    expected = DataFrame(
+        [np.nan, 0, 0.5, 2 / 3, 0.5, 0.4, 0.5, 0.428571],
+        columns=["binary_col"],
+        index=pd.date_range(start="2020-01-01", freq="min", periods=len(data)),
+    )
+    tm.assert_frame_equal(result, expected)
 
 
 @pytest.mark.parametrize("closed", ["neither", "left"])