DataFrame Documentation / Code Samples
This is a C++ analytical library that provides interface and functionality similar to packages/libraries in Python and R. For example, you could compare this to Pandas or R data.frame.
You could slice the data in many different ways. You could join, merge, group-by the data. You could run various statistical, summarization, financial, and ML algorithms on the data. You could add your custom algorithms easily. You could multi-column sort, custom pick and delete the data. And more …
DataFrame also includes a large collection of analytical algorithms in form of visitors. These are from basic stats such as Mean, Std Deviation, Return, … to more involved analysis such as Affinity Propagation, Polynomial Fit, Fast Fourier transform of arbitrary length … including a good collection of trading indicators. You could also easily add your own algorithms.
For basic operations to start you off, see Hello World. For a complete list of features with code samples, see documentation.
I have followed a few principles in this library:
- Support any type either built-in or user defined without needing new code
- Never chase pointers ala
pointer to base, ..., including
- Have all column data in continuous memory space. Also, be mindful of cache-line aliasing misses between multiple columns
- Never use more space than you need ala
- Avoid copying data as much as possible
- Use multi-threading but only when it makes sense
- Do not attempt to protect the user against
DateTime class included in this library is a very cool and handy object to manipulate date/time with nanosecond precision and multi timezone capability.
There is a test program dataframe_performance that should give you a sense of how this library performs. As a comparison, there is also a Pandas pandas_performance script that does exactly the same thing.
dataframe_performance.cc uses DataFrame async interface and is compiled with gcc (10.3.0) compiler with -O3 flag. pandas_performance.py is ran with Pandas 1.3.2, Numpy 1.21.2 and Python 3.7 on Xeon E5-2667 v2. What the test program roughly does:
- Generate ~1.6 billion timestamps (second resolution) and load them into the DataFrame/Pandas as index.
- Generate ~1.6 billion random numbers for 3 columns with normal, log normal, and exponential distributions and load them into the DataFrame/Pandas.
- Calculate the mean of each of the 3 columns.
$ python3 test/pandas_performance.py Starting ... 1629817655 All memory allocations are done. Calculating means ... 1629817883 6.166675403767268e-05, 1.6487168460770107, 0.9999539627671375 1629817894 ... Done real 5m51.598s user 3m3.485s sys 1m26.292s $ Release/bin/dataframe_performance Starting ... 1629818332 All memory allocations are done. Calculating means ... 1629818535 1, 1.64873, 1 1629818536 ... Done real 3m34.241s user 3m14.250s sys 0m25.983s
The Interesting Part:
- Pandas script, I believe, is entirely implemented in Numpy which is in C.
- In case of Pandas, allocating memory + random number generation takes almost the same amount of time as calculating means.
- In case of DataFrame ~90% of the time is spent in allocating memory + random number generation.
- You load data once, but calculate statistics many times. So DataFrame, in general, is about ~11x faster than parts of Pandas that are implemented in Numpy. I leave parts of Pandas that are purely in Python to imagination.
- Pandas process image at its peak is ~105GB. C++ DataFrame process image at its peak is ~56GB.
DataFrame Test File
DataFrame Test File 2
Heterogeneous Vectors Test File
Date/Time Test File
Installing using CMake
mkdir [Debug | Release] cd [Debug | Release] cmake -DCMAKE_BUILD_TYPE=[Debug | Release] .. make make install cd [Debug | Release] make uninstall
If you are using Conan to manage your dependencies, add
dataframe/x.y.z@ to your requires, where
x.y.z is the release version you want to use. Conan will acquire DataFrame, build it from source in your computer, and provide CMake integration support for your projects. See the Conan docs for more information.
[requires] dataframe/1.18.0@ [generators] cmake