scalatimeserieslib
Lightweight, functional and exact time series library for scala
See the microsite for more information and documentation.
TL;DR
// https://mvnrepository.com/artifact/io.sqooba.oss/scalatimeserieslib
libraryDependencies += "io.sqooba.oss" %% "scalatimeserieslib" % "1.1.0"
or, if you want to cook your own, local, HEADSNAPSHOT
release, just
make releaselocal
Alternatively, if you want to set a specific version when installing locally:
make e VERSION=1.0.0 releaselocal
Usage
In essence, a TimeSeries
is just an ordered map of [Long,T]
. In most use cases the key represents the time
since the epoch in milliseconds, but the implementation makes no assumption about the time unit of the key.
Defining a TimeSeries
The TimeSeries
trait has a default implementation: VectorTimeSeries[T]
, referring to the underlying collection holding the data.
There are other implementations as well.
val ts = TimeSeries(Seq(
TSEntry(1000L, "One", 1000L), // String 'One' lives at 1000 on the timeline and is valid for 1000.
TSEntry(2000L, "Two", 1000L),
TSEntry(4000L, "Four", 1000L)
))
ts
now defines a time series of String
that is defined on the interval [1000,5000[
, with a hole at [3000,4000[
The TimeSeries.apply
contstructor is quite expensive because it sorts the entries to ensure a sane series.
Usually, the input is already sorted. In that case there are two other constructors:

TimeSeries.ofOrderedEntriesSafe
: This checks whether the entries are in correct order and trims them so as to not overlap. It can optionally compress the entries. 
TimeSeries.ofOrderedEntriesUnsafe
: This doesn't do any checks, trims or compression on the data and just wraps them in a time series. 
TimeSeries.newBuilder
: returns a builder to incrementally build a new time series.
Querying
The simplest function exposed by a time series is at(t: Long): Option[T]
. With ts
defined as above, calling at()
yields the following results:
ts.at(999) // None
ts.at(1000) // Some("One")
ts.at(1999) // Some("One")
ts.at(2000) // Some("Two")
ts.at(3000) // None
ts.at(3999) // None
ts.at(4000) // Some("Four")
ts.at(4999) // Some("Four")
ts.at(5000) // None
Basic Operations
TimeSeries
of any Numeric
type come with basic operators you might expect for such cases:
val tsa = TimeSeries(Seq(
TSEntry(0L, 1.0, 10L),
TSEntry(10L, 2.0, 10L)
)
val tsb = TimeSeries(Seq(
TSEntry(0L, 3.0, 10L),
TSEntry(10L, 4.0, 10L)
)
tsa + tsb // (TSEntry(0, 4.0, 10L), TSEntry(10, 6.0, 10L))
tsa * tsb // (TSEntry(0, 3.0, 10L), TSEntry(10, 8.0, 10L))
Note that there are a few quirks to be aware of when a TimeSeries has discontinuities:
please refer to function comments in
NumericTimeSeries.scala
for more details.
Custom Operators: time series Merging
For nonnumeric time series, or for any particular needs, a TimeSeries
can be merged using an
arbitrary merge operator: op: (Option[A], Option[B]) => Option[C]
. For example (this method is already defined
for you in the interface, no need to rewrite it):
def plus(aO: Option[Double], bO: Option[Double]) =
(aO, bO) match {
// Wherever both time series share a defined domain, return the sum of the values
case (Some(a), Some(b)) => Some(a+b)
// Wherever only a single time series is defined, return the defined value
case (Some(a), None) => aO
case (None, Some(b)) => bO
// Where none of the time series are defined, the result remains undefined.
case _ => None
}
For a complete view of what you can do with a TimeSeries
,
the best is to have a look at the TimeSeries.scala
interface.
Under the hood
While a TimeSeries[T]
looks a lot like an ordered Map[Long,T]
, it should more be considered like an ordered
collection of triples of the form (timestamp: Long, value: T, validity: Long)
(called a TSEntry[T]
internally),
representing small, constant, time series chunks.
Essentially, it's a step function.
Notes on Performance
The original goal was to provide abstractions that are easy to use and to understand.
While we still strive to keep the library simple to use, we are also shifting to more intensive applications: performance is thus becoming more of a priority.
Details
As suggested by its name, VectorTimeSeries
is backed by a Vector
and uses dichotomic search for lookups.
The following performances can thus be expected (using the denomination
found here):
Log
for random lookups, left/right trimming and slicing within the definition boundseC
(effectively constant time) for the rest (appending, prepending, head, last, ...)
Each data point is however represented by an object, which hurts memory usage. Therefore there is a second
implementation: ColumnTimeSeries
which represents its entries with a columnstore of three vectors
(Vector[Long], Vector[T], Vector[Long])
. This should save space for primitive types.
You can create a ColumnTimeSeries
with its builder ColumnTimeSeries.newBuilder
.
Misc
Why
I've had to handle time series like data in Java in the past, which turned out to be slightly really frustrating.
Having some spare time and wanting to see what I could come up with in Scala, I decided to build a small time series library. Additional reasons are:
 It's fun
 There seems to be no library doing something like that out there
 I wanted to write some Scala again.
Since then, we began using this for smaller projects at Sqooba and maintenance has officially been taken over in May 2019.
TODOS
 stream/lazycollections implementation
 more tests for nontrivial merge operators
 benchmarks to actually compare various implementations
 make it easy to use from Java
 consider https://scalacheck.org/ for propertybased testing?
 interoperability with something like Apache Arrow?
Publish the microsite
You need write access on the Github repo to push the microsite. The site is built
entirely with sbt
plugins and lives on the ghpages
branch. You can edit it in
/docs
. Scaladoc is automatically created.
In order to build the site locally you need sbt
version 1.3.3+
and jekyll
version 3.8.5+
(the installation on
macOS is a bit tricky because
or ruby.)
Once you have this, you can
sbt makeMicrosite && jekyll serve s target/site
You can now visit the site under http://localhost:4000/scalatimeserieslib. To publish, just
sbt publishMicrosite
If you are having trouble with an error like this: fatal: not a git repository
,
check that.
Contributions
First and foremost: contributions are more than welcome!
We manage this library on an internal repository, which gets synced to github. However, we are able to support the classic github PR workflow, so you should normally be able to ignore our setup's particularities.
Contributors
 Shastick  Maintainer
 fdevillard
 nsanglar
 yannbolliger
Changelog
Please refer to the CHANGELOG