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ENH: Add engine keyword to expanding.apply to utilize Numba #30937

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merged 9 commits into from
Jan 16, 2020

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@mroeschke mroeschke commented Jan 12, 2020

@mroeschke mroeschke added Enhancement Window rolling, ewma, expanding labels Jan 12, 2020
@mroeschke mroeschke added this to the 1.1 milestone Jan 12, 2020
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@WillAyd WillAyd left a comment

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Thanks! Do we have any benchmarks for this?

raw=False,
engine="cython",
engine_kwargs=None,
args=None,
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Is this totally equivalent? I get the impression previously should have been *args and **kwargs so a little strange as is, but I don't think converting to None is totally the same?

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Previously the docs described rolling/expanding.apply being able to take *args, **kwargs: https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.core.window.Expanding.apply.html

But in actuality, the arguments were args=(), kwargs={}: https://github.com/pandas-dev/pandas/blob/0.25.x/pandas/core/window.py#L2128

Since the docs were incorrect, and the prior arguments has a mutable default argument, I changed rolling.apply to be args=None, kwargs=None (later converting to args=(), kwargs={} internally if still None), and I am doing the same here for expanding.apply.

So slightly changing the behavior, but taking advantage of the fact the docs were incorrect in the first place.

func,
raw=False,
engine="cython",
engine_kwargs=None,
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Can you add annotation for this? I assume Dict[str, Any] unless can further subset the provided values

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lgtm.

@jreback jreback modified the milestones: 1.1, 1.0.0 Jan 15, 2020
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jreback commented Jan 15, 2020

actually ok for 1.0.0; can you add this issues / PR number to the whatsnew note that already existis for rolling.apply

@jreback jreback merged commit e4a96bb into pandas-dev:master Jan 16, 2020
@mroeschke mroeschke deleted the feature/expanding_apply_engine branch January 16, 2020 21:15
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ENH: Add engine keyword argument to expanding.apply to leverage Numba
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