Series.rank() doesn't handle small floats correctly

doc/source/release.rst

@@ -402,6 +402,7 @@ Bug Fixes
 - Bug in `DataFrame.plot` and `Series.plot` legend behave inconsistently when plotting to the same axes repeatedly (:issue:`6678`)
 - Internal tests for patching ``__finalize__`` / bug in merge not finalizing (:issue:`6923`, :issue:`6927`)
 - accept ``TextFileReader`` in ``concat``, which was affecting a common user idiom (:issue:`6583`)
+- Bug in ``Series.rank`` and ``DataFrame.rank`` that caused small floats (<1e-13) to all receive the same rank (:issue:`6886`)
 
 pandas 0.13.1
 -------------

pandas/algos.pyx

@@ -7,6 +7,7 @@ cimport cython
 import_array()
 
 cdef float64_t FP_ERR = 1e-13
+cdef float64_t REL_TOL = 1e-07
 
 cimport util
 
@@ -132,6 +133,18 @@ cdef _take_2d_object(ndarray[object, ndim=2] values,
     return result
 
 
+cdef inline bint float64_are_diff(float64_t left, float64_t right):
+    cdef double abs_diff, allowed
+    if right == MAXfloat64 or right == -MAXfloat64:
+        if left == right:
+            return False
+        else:
+            return True
+    else:
+        abs_diff = fabs(left - right)
+        allowed = REL_TOL * fabs(right)
+        return abs_diff > allowed
+
 def rank_1d_float64(object in_arr, ties_method='average', ascending=True,
                     na_option='keep', pct=False):
     """
@@ -186,7 +199,7 @@ def rank_1d_float64(object in_arr, ties_method='average', ascending=True,
             ranks[argsorted[i]] = nan
             continue
         count += 1.0
-        if i == n - 1 or fabs(sorted_data[i + 1] - val) > FP_ERR:
+        if i == n - 1 or float64_are_diff(sorted_data[i + 1], val):
             if tiebreak == TIEBREAK_AVERAGE:
                 for j in range(i - dups + 1, i + 1):
                     ranks[argsorted[j]] = sum_ranks / dups
@@ -345,7 +358,7 @@ def rank_2d_float64(object in_arr, axis=0, ties_method='average',
                 ranks[i, argsorted[i, j]] = nan
                 continue
             count += 1.0
-            if j == k - 1 or fabs(values[i, j + 1] - val) > FP_ERR:
+            if j == k - 1 or float64_are_diff(values[i, j + 1], val):
                 if tiebreak == TIEBREAK_AVERAGE:
                     for z in range(j - dups + 1, j + 1):
                         ranks[i, argsorted[i, z]] = sum_ranks / dups

pandas/tests/test_frame.py

@@ -11031,6 +11031,7 @@ def test_rank(self):
         exp = df.astype(float).rank(1)
         assert_frame_equal(result, exp)
 
+
     def test_rank2(self):
         from datetime import datetime
         df = DataFrame([[1, 3, 2], [1, 2, 3]])
@@ -11084,6 +11085,11 @@ def test_rank2(self):
         expected = self.mixed_frame.rank(1, numeric_only=True)
         assert_frame_equal(result, expected)
 
+        df = DataFrame({"a":[1e-20, -5, 1e-20+1e-40, 10, 1e60, 1e80, 1e-30]})
+        exp = DataFrame({"a":[ 3.5,  1. ,  3.5,  5. ,  6. ,  7. ,  2. ]})
+        assert_frame_equal(df.rank(), exp)
+
+
     def test_rank_na_option(self):
         from pandas.compat.scipy import rankdata
 

pandas/tests/test_series.py

@@ -4047,14 +4047,35 @@ def test_rank(self):
         exp = iseries / 4.0
         iranks = iseries.rank(pct=True)
         assert_series_equal(iranks, exp)
-        rng = date_range('1/1/1990', periods=5)
 
+        rng = date_range('1/1/1990', periods=5)
         iseries = Series(np.arange(5), rng) + 1
         iseries.ix[4] = np.nan
         exp = iseries / 4.0
         iranks = iseries.rank(pct=True)
         assert_series_equal(iranks, exp)
 
+        iseries = Series([1e-50, 1e-100, 1e-20, 1e-2, 1e-20+1e-30, 1e-1])
+        exp = Series([2, 1, 3.5, 5, 3.5, 6])
+        iranks = iseries.rank()
+        assert_series_equal(iranks, exp)
+
+        values = np.array([-50, -1, -1e-20, -1e-25, -1e-50, 0, 1e-40, 1e-20, 1e-10, 2, 40], dtype='float64')
+        random_order = np.random.permutation(len(values))
+        iseries = Series(values[random_order])
+        exp = Series(random_order + 1.0, dtype='float64')
+        iranks = iseries.rank()
+        assert_series_equal(iranks, exp)
+
+    def test_rank_inf(self):
+        raise nose.SkipTest('DataFrame.rank does not currently rank np.inf and -np.inf properly')
+
+        values = np.array([-np.inf, -50, -1, -1e-20, -1e-25, -1e-50, 0, 1e-40, 1e-20, 1e-10, 2, 40, np.inf], dtype='float64')
+        random_order = np.random.permutation(len(values))
+        iseries = Series(values[random_order])
+        exp = Series(random_order + 1.0, dtype='float64')
+        iranks = iseries.rank()
+        assert_series_equal(iranks, exp)
 
 
     def test_from_csv(self):