Adds retime

.github/workflows/CI.yml

@@ -15,8 +15,7 @@ jobs:
       fail-fast: false
       matrix:
         version:
-          - "1.6.7" # LTS
-          - "1.6"
+          - "1.10.7" # LTS
           - "1" # Latest Release
         os:
           - ubuntu-latest

.gitignore

@@ -1,3 +1,4 @@
 .swp
 docs/build/
 Manifest.toml
+test/Manifest.toml

Project.toml

@@ -18,7 +18,6 @@ Tables = "bd369af6-aec1-5ad0-b16a-f7cc5008161c"
 [compat]
 DelimitedFiles = "1"
 DocStringExtensions = "0.8, 0.9"
-MarketData = "0.14"
 RecipesBase = "0.5, 0.7, 0.8, 1.0"
 Reexport = "1"
 Statistics = "1"
@@ -27,13 +26,3 @@ julia = "1.6"
 PrettyTables = "2"
 IteratorInterfaceExtensions = "1"
 TableTraits = "1"
-
-[extras]
-CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
-DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
-MarketData = "945b72a4-3b13-509d-9b46-1525bb5c06de"
-Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
-Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
-
-[targets]
-test = ["CSV", "DataFrames", "MarketData", "Random", "Test"]

docs/make.jl

@@ -20,6 +20,7 @@ makedocs(;
         "tables.md",
         "dotfile.md",
         "plotting.md",
+        "retime.md",
     ],
 )
 

docs/src/index.md

@@ -19,5 +19,6 @@ Pages = [
   "tables.md",
   "dotfile.md",
   "plotting.md",
+  "retime.md",
 ]
 ```

docs/src/plotting.md

@@ -17,10 +17,8 @@ ta = yahoo(:GOOG, YahooOpt(; period1=now() - Month(1)))
 
 ## Plotting as multiple series
 
-The recipe allows `TimeArray` objects to be passed as input to `plot`. The
-recipe will plot each variable as an individual line, aligning all
-variables to the same y axis.
-backend).
+The recipe allows `TimeArray` objects to be passed as input to `plot`. 
+The recipe will plot each variable as an individual line, aligning all variables to the same y axis.
 
 ```@example plot
 plot(ta[:Open, :High, :Low, :Close])

docs/src/retime.md

@@ -0,0 +1,90 @@
+# Retime
+
+The `retime` function allows you to retime, i.e. change the timestamps of a `TimeArray`, similar to what [Matlab's retime](https://www.mathworks.com/help/matlab/ref/timetable.retime.html) does.
+
+```@example retime
+using Plots, Dates, TimeSeries
+default(show = false)  # hide
+ENV["GKSwstype"] = "100" # hide
+gr()
+timestamps = range(DateTime(2020, 1, 1), length = 7*24, step = Hour(1))
+ta = TimeArray(timestamps, cumsum(randn(7*24)), [:a])
+```
+
+## Using a new time step
+```@example retime
+retime(ta, Minute(15))
+```
+
+## Using new timestep vector
+```@example retime
+new_timestamps = range(DateTime(2020, 1, 1), DateTime(2020, 1, 2), step = Minute(15))
+retime(ta, new_timestamps)
+```
+
+## Irregular timestamps
+You can perform retime on irregularly spaced timestamps, both using a `TimeArray` with irregular timestamps or using a vector of irregular timestamps. Depending on the timestamps `upsampling` or `downsampling` is used. 
+```@example retime
+new_timestamps = vcat(
+    range(DateTime(2020, 1, 1), DateTime(2020, 1, 2)-Minute(15), step = Minute(15)), 
+    range(DateTime(2020, 1, 2), DateTime(2020, 1, 3), step = Hour(1)),
+)
+retime(ta, new_timestamps)
+```
+
+## Upsampling
+
+Interpolation is done using the `upsample` argument. If no data is directly hit, the specified `upsample` method is used. Available `upsample` methods are:
+- `Linear()` or `:linear`
+- `Nearest()` or `:nearest`
+- `Previous()` or `:previous`
+- `Next()` or `:next`
+
+```@example retime
+ta_ = retime(ta, Minute(15), upsample=Linear())
+```
+
+```@example retime
+plot(ta)
+plot!(ta_)
+savefig("retime-upsampling.svg"); nothing # hide
+```
+![](retime-upsampling.svg)
+
+## Downsampling
+
+Downsampling or aggregation is done using the `downsample` argument. This applies a function to each interval not including the right-edge of the interval. If no data is present in the interval the specified `upsample` method is used.
+Available `downsample` methods are:
+- `Mean()` or `:mean`
+- `Min()` or `:min`
+- `Max()` or `:max`
+- `Count()` or `:count`
+- `Sum()` or `:sum`
+- `Median()` or `:median`
+- `First()` or `:first`
+- `Last()` or `:last`
+
+```@example retime
+ta_ = retime(ta, Hour(6), downsample=Mean())
+```
+
+```@example retime
+plot(ta)
+plot!(ta_)
+savefig("retime-downsample.svg"); nothing # hide
+```
+![](retime-downsample.svg)
+
+## Extrapolation
+
+Extrapolation at the beginning and end of the time series is done using the `extrapolate` argument. 
+Available `extrapolate` methods are:
+- `FillConstant(value)` or `:fillconstant`
+- `NearestExtrapolate()` or `:nearest`
+- `MissingExtrapolate()` or `:missing`
+- `NaNExtrapolate()` or `:nan`
+
+```@example retime
+new_timestamps = range(DateTime(2019, 12, 31), DateTime(2020, 1, 2), step = Minute(15))
+ta_ = retime(ta, new_timestamps, extrapolate=MissingExtrapolate())
+```

docs/src/split.md

@@ -124,3 +124,14 @@ using MarketData
 tail(cl)
 tail(cl, 3)
 ```
+
+## Splitting by period
+
+Splitting data by a given function, e.g. `Dates.day` into periods.
+
+```@repl
+using TimeSeries
+using MarketData
+
+split(cl, Dates.day)
+```

src/TimeSeries.jl

@@ -36,7 +36,24 @@ export TimeArray,
     merge,
     collapse,
     readtimearray,
-    writetimearray
+    writetimearray,
+    retime,
+    Linear,
+    Previous,
+    Next,
+    Nearest,
+    Mean,
+    Min,
+    Max,
+    Count,
+    Sum,
+    Median,
+    First,
+    Last,
+    FillConstant,
+    NearestExtrapolate,
+    MissingExtrapolate,
+    NaNExtrapolate
 
 # modify.jl
 export rename, rename!
@@ -58,5 +75,6 @@ include("modify.jl")
 include("basemisc.jl")
 include("deprecated.jl")
 include("plotrecipes.jl")
+include("retime.jl")
 
 end  # module TimeSeries