Matching elements of two arrays in F# - arrays

Question

I have two sequences of stock data, and I'm trying to line up the dates and combine the data so that I can pass it to other functions that will run some statistics on it. Essentially, I want to pass two (or more) sequences that look like:
sequenceA = [(float,DateTime)]
sequenceB = [(float,DateTime)]
to a function, and have it return a single sequence where all the data is properly aligned by DateTime. Something like:
return = [(float,float,DateTime)]
where the floats are the close prices of the two sequences for that DateTime.
I've tried using a nested for loop, and I'm fairly certain that should work (though I've had some trouble with it), but it seems like F#'s match expression should also be able to handle this. I've looked up some documentation and examples of match expressions, but I'm running into a number of different issues that I haven't been able to get past.
This is my most recent attempt at a simplified version of what I'm trying to accomplish. As you can see, I'm just trying to see if the first element of the sequence 'x' has the date "1/11/2011". The problem is that 1) it always returns "Yes", and 2) I can't figure out how to get from here to the whole sequence, and then ultimately 2+ sequences.
let x = seq[(1.0,System.DateTime.Parse("1/8/2011"));(2.0,System.DateTime.Parse("1/9/2011"))]
type t = seq<float*DateTime>
let align (a:t) =
let testDate = System.DateTime.Parse("1/11/2011")
let b = Seq.head(a)
match snd b with
| testDate -> printfn "Yes"
| _ -> printfn "No"
align x
I'm relatively new to F#, but I'm fairly sure that this should be possible with a match expression. Any help would be much appreciated!

Answer 1

Your question has two parts:
As to the pattern matching, in the pattern that you have above, testDate is a name that will be bound to the second item in tuple b. Both patterns will match any date, but the since the first pattern matches, your example always prints 'yes'.
If you want to match on a specific value of date, you can use the 'when' keyword to in your pattern:
let dateValue = DateTime.Today
match dateValue with
| someDate when someDate = DateTime.Today -> "Today"
| _ -> "Not Today"
If I had to implement the align function, I probably wouldn't try to use pattern matching. You can use Seq.groupBy to collect all entries with the same date.
///Groups two sequences together by key
let align a b =
let simplifyEntry (key, values) =
let prices = [for value in values -> snd value]
key, prices
a
|> Seq.append b
|> Seq.groupBy fst
|> Seq.map simplifyEntry
|> Seq.toList
//Demonstrate alignment of two sequences
let s1 = [DateTime.Today, 1.0]
let s2 = [
DateTime.Today, 2.0
DateTime.Today.AddDays(2.0), 10.0]
let pricesByDate = align s1 s2
for day, prices in pricesByDate do
let pricesText =
prices
|> Seq.map string
|> String.concat ", "
printfn "%A %s" day pricesText

Answer 2

I happen to be working on a library for working with time series data and it has a function for doing this - it is actually a bit more general, because it returns DateTime * float option * float option to represent the case when one series has value for a specified date, but the other one does not.
The function assumes that the two series are already sorted - which means that it only needs to walk over them once (for not-sorted sequences, you need to do multiple iterations or build some temporary tables).
Also note that the arguments are swapped than in your example. You need to give it DateTime * float. The function is not particularly nice - it works in IEnumerable which means that it needs to use mutable enumerators (and ugly imperative stuff, in general). In general, pattern matching just does not work well with sequences - you can get the head, but you cannot get the tail - because that would be inefficient. You could write much nicer one for F# lists...
open System.Collections.Generic
let alignWithOrdering (seq1:seq<'T * 'TAddress>) (seq2:seq<'T * 'TAddress>) (comparer:IComparer<_>) = seq {
let withIndex seq = Seq.mapi (fun i v -> i, v) seq
use en1 = seq1.GetEnumerator()
use en2 = seq2.GetEnumerator()
let en1HasNext = ref (en1.MoveNext())
let en2HasNext = ref (en2.MoveNext())
let returnAll (en:IEnumerator<_>) hasNext f = seq {
if hasNext then
yield f en.Current
while en.MoveNext() do yield f en.Current }
let rec next () = seq {
if not en1HasNext.Value then yield! returnAll en2 en2HasNext.Value (fun (k, i) -> k, None, Some i)
elif not en2HasNext.Value then yield! returnAll en1 en1HasNext.Value (fun (k, i) -> k, Some i, None)
else
let en1Val, en2Val = fst en1.Current, fst en2.Current
let comparison = comparer.Compare(en1Val, en2Val)
if comparison = 0 then
yield en1Val, Some(snd en1.Current), Some(snd en2.Current)
en1HasNext := en1.MoveNext()
en2HasNext := en2.MoveNext()
yield! next()
elif comparison < 0 then
yield en1Val, Some(snd en1.Current), None
en1HasNext := en1.MoveNext()
yield! next ()
else
yield en2Val, None, Some(snd en2.Current)
en2HasNext := en2.MoveNext()
yield! next () }
yield! next () }
Assuming that we want to use strings as keys (rather than your DateTime), you can call it like this:
alignWithOrdering
[ ("b", 0); ("c", 1); ("d", 2) ]
[ ("a", 0); ("b", 1); ("c", 2) ] (Comparer<string>.Default) |> List.ofSeq
// Returns
[ ("a", None, Some 0); ("b", Some 0, Some 1);
("c", Some 1, Some 2); ("d", Some 2, None) ]
If you're interested in working with time series of stock data in F#, you might be interested in joining the F# for Data and Machine Learning working group of the F# Foundation. We're currently working on an open-source library with support for time series that makes this much nicer :-). If you're interested in looking at & contributing to the early preview, then you can do that via this working group.

Answer 3

open System
let x = seq[(1.0,System.DateTime.Parse("1/8/2011"));(2.0,DateTime.Parse("1/9/2011"))]
//type t = seq<float*DateTime>
let (|EqualDate|_|) str dt=
DateTime.TryParse str|>function
|true,x when x=dt->Some()
|_->None
let align a =
//let testDate = System.DateTime.Parse("1/11/2011")
let b = Seq.head(a)
match b with
|_,EqualDate "1/9/2011" -> printfn "Yes"
| _ -> printfn "No"
align x
x|>Seq.skip 1|>align