From b1fb75af09691b7b3149e6d74cdc632a748e86e1 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Fri, 16 Oct 2020 23:03:40 -0700
Subject: [PATCH 01/12] ENH: Implement closed for fixed windows

---
 doc/source/user_guide/computation.rst |  7 ++-----
 pandas/core/window/indexers.py        |  5 +++++
 pandas/core/window/rolling.py         | 10 +---------
 3 files changed, 8 insertions(+), 14 deletions(-)

diff --git a/doc/source/user_guide/computation.rst b/doc/source/user_guide/computation.rst
index b24020848b363..b9f0683697ba6 100644
--- a/doc/source/user_guide/computation.rst
+++ b/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:
diff --git a/pandas/core/window/indexers.py b/pandas/core/window/indexers.py
index 71e77f97d8797..0b6b6a6a1a69f 100644
--- a/pandas/core/window/indexers.py
+++ b/pandas/core/window/indexers.py
@@ -86,6 +86,11 @@ 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)
 
diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index 1fcc47931e882..53ecea3e24819 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -850,10 +850,7 @@ 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'.
 
     Returns
     -------
@@ -1976,11 +1973,6 @@ 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

From 0e1b553a2a456f4c298a6734a317bf39ce4dbc5a Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:04:51 -0700
Subject: [PATCH 02/12] Add tests and fix end point calc

---
 pandas/core/window/indexers.py      |  6 +++---
 pandas/tests/window/test_rolling.py | 16 ++++++++++------
 2 files changed, 13 insertions(+), 9 deletions(-)

diff --git a/pandas/core/window/indexers.py b/pandas/core/window/indexers.py
index 0b6b6a6a1a69f..d3011764beaa8 100644
--- a/pandas/core/window/indexers.py
+++ b/pandas/core/window/indexers.py
@@ -85,11 +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 -= 1
 
         end = np.clip(end, 0, num_values)
         start = np.clip(start, 0, num_values)
@@ -109,9 +108,10 @@ def get_window_bounds(
         closed: Optional[str] = None,
     ) -> Tuple[np.ndarray, np.ndarray]:
 
-        return calculate_variable_window_bounds(
+        start, end = calculate_variable_window_bounds(
             num_values, self.window_size, min_periods, center, closed, self.index_array
         )
+        return start, end
 
 
 class VariableOffsetWindowIndexer(BaseIndexer):
diff --git a/pandas/tests/window/test_rolling.py b/pandas/tests/window/test_rolling.py
index f1d54d91c6d22..f18b1e22d4351 100644
--- a/pandas/tests/window/test_rolling.py
+++ b/pandas/tests/window/test_rolling.py
@@ -122,14 +122,18 @@ 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):
+    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)
 
 
 @pytest.mark.parametrize("closed", ["neither", "left"])

From 3de94782aeeb65f6ef5ce4e332ebe8216fa1e423 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:05:37 -0700
Subject: [PATCH 03/12] Add gh reference

---
 pandas/tests/window/test_rolling.py | 1 +
 1 file changed, 1 insertion(+)

diff --git a/pandas/tests/window/test_rolling.py b/pandas/tests/window/test_rolling.py
index f18b1e22d4351..9307e14316448 100644
--- a/pandas/tests/window/test_rolling.py
+++ b/pandas/tests/window/test_rolling.py
@@ -124,6 +124,7 @@ def test_numpy_compat(method):
 
 @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))

From c19fb2e93c1feb3fc12c43bf774816e276283ece Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:36:33 -0700
Subject: [PATCH 04/12] Clean variable window indexer

---
 pandas/_libs/window/indexers.pyx | 10 ++++------
 1 file changed, 4 insertions(+), 6 deletions(-)

diff --git a/pandas/_libs/window/indexers.pyx b/pandas/_libs/window/indexers.pyx
index 9af1159a805ec..6a49a5bb34855 100644
--- a/pandas/_libs/window/indexers.pyx
+++ b/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

From 1c3a1861796bba6660bb3b674493e4582fd978f1 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:41:28 -0700
Subject: [PATCH 05/12] Add test from original issue

---
 pandas/tests/window/test_rolling.py | 18 ++++++++++++++++++
 1 file changed, 18 insertions(+)

diff --git a/pandas/tests/window/test_rolling.py b/pandas/tests/window/test_rolling.py
index 9307e14316448..81ebd7560345b 100644
--- a/pandas/tests/window/test_rolling.py
+++ b/pandas/tests/window/test_rolling.py
@@ -137,6 +137,24 @@ def test_closed_fixed(closed, arithmetic_win_operators):
     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"])
 def test_closed_empty(closed, arithmetic_win_operators):
     # GH 26005

From 0d855eba733eda57ce6c6b3dd11e26a4f8897676 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:43:27 -0700
Subject: [PATCH 06/12] Add whatsnew

---
 doc/source/whatsnew/v1.2.0.rst | 1 +
 1 file changed, 1 insertion(+)

diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index d8961f5fdb959..7ad3e37de62e6 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -221,6 +221,7 @@ Other enhancements
 - :meth:`Rolling.var()` and :meth:`Rolling.std()` use Kahan summation and Welfords Method to avoid numerical issues (:issue:`37051`)
 - :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`)
+- :class:`Rolling` now supports the ``closed`` argument for fixed windows (:issue`34315`)
 
 .. _whatsnew_120.api_breaking.python:
 

From 5b7625d31376d75070f3c87e9cf8c322b39ed8ab Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 13:45:16 -0700
Subject: [PATCH 07/12] revert a debugging change

---
 pandas/core/window/indexers.py | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/pandas/core/window/indexers.py b/pandas/core/window/indexers.py
index d3011764beaa8..a8229257bb7bb 100644
--- a/pandas/core/window/indexers.py
+++ b/pandas/core/window/indexers.py
@@ -108,10 +108,9 @@ def get_window_bounds(
         closed: Optional[str] = None,
     ) -> Tuple[np.ndarray, np.ndarray]:
 
-        start, end = calculate_variable_window_bounds(
+        return calculate_variable_window_bounds(
             num_values, self.window_size, min_periods, center, closed, self.index_array
         )
-        return start, end
 
 
 class VariableOffsetWindowIndexer(BaseIndexer):

From fc74b5f117593ab80f2baabda225c903664e2583 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 17:00:29 -0700
Subject: [PATCH 08/12] fix whatsnew entry

---
 doc/source/whatsnew/v1.2.0.rst | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index 7ad3e37de62e6..0911654c5e37e 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -221,7 +221,7 @@ Other enhancements
 - :meth:`Rolling.var()` and :meth:`Rolling.std()` use Kahan summation and Welfords Method to avoid numerical issues (:issue:`37051`)
 - :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`)
-- :class:`Rolling` now supports the ``closed`` argument for fixed windows (:issue`34315`)
+- :class:`Rolling` now supports the ``closed`` argument for fixed windows (:issue:`34315`)
 
 .. _whatsnew_120.api_breaking.python:
 

From 5679de701ac2be3ae9054b3297a90d1ab47d9587 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 17:06:16 -0700
Subject: [PATCH 09/12] Add versionchanged tag

---
 pandas/core/window/rolling.py | 4 ++++
 1 file changed, 4 insertions(+)

diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index 53ecea3e24819..9455e75d63c1d 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -851,6 +851,10 @@ class Window(BaseWindow):
     closed : str, default None
         Make the interval closed on the 'right', 'left', 'both' or
         'neither' endpoints. Defaults to 'right'.
+        
+        .. versionchanged:: 1.2.0
+
+        The closed parameter with fixed windows is now supported.
 
     Returns
     -------

From c2c5bead110bd19ae1361265e344104e3d7830f4 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Sat, 17 Oct 2020 17:08:52 -0700
Subject: [PATCH 10/12] Fix whitespace

---
 pandas/core/window/rolling.py | 2 --
 1 file changed, 2 deletions(-)

diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index 9455e75d63c1d..19d448d23b90b 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -851,9 +851,7 @@ class Window(BaseWindow):
     closed : str, default None
         Make the interval closed on the 'right', 'left', 'both' or
         'neither' endpoints. Defaults to 'right'.
-        
         .. versionchanged:: 1.2.0
-
         The closed parameter with fixed windows is now supported.
 
     Returns

From cbf088be3063b1d8c278cc204377027d59f8ddd6 Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Tue, 20 Oct 2020 16:59:45 -0700
Subject: [PATCH 11/12] Add newline

---
 pandas/core/window/rolling.py | 1 +
 1 file changed, 1 insertion(+)

diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index 19d448d23b90b..bf0ff66c36bd6 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -851,6 +851,7 @@ class Window(BaseWindow):
     closed : str, default None
         Make the interval closed on the 'right', 'left', 'both' or
         'neither' endpoints. Defaults to 'right'.
+
         .. versionchanged:: 1.2.0
         The closed parameter with fixed windows is now supported.
 

From 415a8104b09b1a967c2cea02b2531e3e8c99569d Mon Sep 17 00:00:00 2001
From: Matt Roeschke <mroeschke@housecanary.com>
Date: Tue, 20 Oct 2020 17:34:57 -0700
Subject: [PATCH 12/12] Add blank line

---
 pandas/core/window/rolling.py | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index bf0ff66c36bd6..9136f9398799b 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -853,7 +853,8 @@ class Window(BaseWindow):
         'neither' endpoints. Defaults to 'right'.
 
         .. versionchanged:: 1.2.0
-        The closed parameter with fixed windows is now supported.
+
+            The closed parameter with fixed windows is now supported.
 
     Returns
     -------