PERF: Add __contains__ to CategoricalIndex

asv_bench/benchmarks/categoricals.py

@@ -193,3 +193,16 @@ def time_categorical_series_is_monotonic_increasing(self):
 
     def time_categorical_series_is_monotonic_decreasing(self):
         self.s.is_monotonic_decreasing
+
+
+class Contains(object):
+
+    goal_time = 0.2
+
+    def setup(self):
+        N = 10**5
+        self.ci = tm.makeCategoricalIndex(N)
+        self.cat = self.ci.categories[0]
+
+    def time_contains(self):
+        self.cat in self.ci

doc/source/whatsnew/v0.23.2.txt

@@ -24,7 +24,9 @@ Fixed Regressions
 Performance Improvements
 ~~~~~~~~~~~~~~~~~~~~~~~~
 
--
+- Improved performance of membership checks in :class:`CategoricalIndex`
+  (i.e. ``x in ci``-style checks are much faster). :meth:`CategoricalIndex.contains`
+  is likewise much faster (:issue:`21369`)
 -
 
 Documentation Changes

pandas/core/indexes/category.py

@@ -325,19 +325,31 @@ def _reverse_indexer(self):
     def __contains__(self, key):
         hash(key)
 
-        if self.categories._defer_to_indexing:
-            return key in self.categories
+        if isna(key):  # if key is a NaN, check if any NaN is in self.
+            return self.isna().any()
+
+        # is key in self.categories? Then get its location.
+        # If not (i.e. KeyError), it logically can't be in self either
+        try:
+            loc = self.categories.get_loc(key)
+        except KeyError:
+            return False
 
-        return key in self.values
+        # loc is the location of key in self.categories, but also the value
+        # for key in self.codes and in self._engine. key may be in categories,
+        # but still not in self, check this. Example:
+        # 'b' in CategoricalIndex(['a'], categories=['a', 'b']) #  False
+        if is_scalar(loc):
+            return loc in self._engine
+        else:
+            # if self.categories is IntervalIndex, loc is an array
+            # check if any scalar of the array is in self._engine
+            return any(loc_ in self._engine for loc_ in loc)
 
     @Appender(_index_shared_docs['contains'] % _index_doc_kwargs)
     def contains(self, key):
         hash(key)
-
-        if self.categories._defer_to_indexing:
-            return self.categories.contains(key)
-
-        return key in self.values
+        return key in self
 
     def __array__(self, dtype=None):
         """ the array interface, return my values """