ENH: Raise useful error when iterating a Window

doc/source/whatsnew/v0.23.0.txt

@@ -966,6 +966,7 @@ Other API Changes
 - Constructing a Series from a list of length 1 no longer broadcasts this list when a longer index is specified (:issue:`19714`, :issue:`20391`).
 - :func:`DataFrame.to_dict` with ``orient='index'`` no longer casts int columns to float for a DataFrame with only int and float columns (:issue:`18580`)
 - A user-defined-function that is passed to :func:`Series.rolling().aggregate() <pandas.core.window.Rolling.aggregate>`, :func:`DataFrame.rolling().aggregate() <pandas.core.window.Rolling.aggregate>`, or its expanding cousins, will now *always* be passed a ``Series``, rather than a ``np.array``; ``.apply()`` only has the ``raw`` keyword, see :ref:`here <whatsnew_0230.enhancements.window_raw>`. This is consistent with the signatures of ``.aggregate()`` across pandas (:issue:`20584`)
+- Window types, such as Rolling and Expanding, raise `NotImplementedError` upon iteration. This will ideally be replaced by mimicking the (key, group) iteration of GroupBy (:issue:`11704`).
 
 .. _whatsnew_0230.deprecations:
 

pandas/core/window.py

@@ -181,6 +181,10 @@ def __unicode__(self):
         return "{klass} [{attrs}]".format(klass=self._window_type,
                                           attrs=','.join(attrs))
 
+    def __iter__(self):
+        url = 'https://github.com/pandas-dev/pandas/issues/11704'
+        raise NotImplementedError('See issue #11704 {url}'.format(url=url))
+
     def _get_index(self, index=None):
         """
         Return index as ndarrays

pandas/tests/test_window.py

@@ -46,6 +46,27 @@ def win_types_special(request):
     return request.param
 
 
+# Issue 11704: Iteration over a Window
+
+@pytest.fixture
+def series():
+    return pd.Series([1, 2, 3, 4])
+
+@pytest.fixture
+def frame():
+    return pd.DataFrame({'a': [1, 2, 3, 4], 'b': [10, 20, 30, 40]})
+
+@pytest.mark.parametrize('which', [series(), frame()])
+def test_rolling_iterator(which):
+    with pytest.raises(NotImplementedError):
+        iter(which.rolling(2))
+
+@pytest.mark.parametrize('which', [series(), frame()])
+def test_expanding_iterator(which):
+    with pytest.raises(NotImplementedError):
+        iter(which.expanding())
+
+
 class Base(object):
 
     _nan_locs = np.arange(20, 40)