pybind11

.github/workflows/build-docs.yaml

@@ -10,6 +10,9 @@ jobs:
     runs-on: ubuntu-latest
     steps:
       - uses: actions/checkout@692973e3d937129bcbf40652eb9f2f61becf3332 # v4.1.7
+        with:
+          submodules: "true"
+
       - uses: actions/setup-python@39cd14951b08e74b54015e9e001cdefcf80e669f # v5.1.1
         with:
           python-version: '3.10'

.github/workflows/ci.yaml

@@ -36,6 +36,8 @@ jobs:
 
     steps:
       - uses: actions/checkout@692973e3d937129bcbf40652eb9f2f61becf3332 # v4.1.7
+        with:
+          submodules: "true"
 
       - name: Set up QEMU
         if: matrix.platform-id == 'manylinux_aarch64'
@@ -70,6 +72,8 @@ jobs:
     steps:
       - name: Clone repo
         uses: actions/checkout@692973e3d937129bcbf40652eb9f2f61becf3332 # 4.1.7
+        with:
+          submodules: "true"
 
       - uses: actions/setup-python@39cd14951b08e74b54015e9e001cdefcf80e669f # 5.1.1
         with:
@@ -95,6 +99,8 @@ jobs:
     runs-on: ubuntu-latest
     steps:
       - uses: actions/checkout@692973e3d937129bcbf40652eb9f2f61becf3332 # 4.1.7
+        with:
+          submodules: "true"
 
       - uses: actions/setup-python@39cd14951b08e74b54015e9e001cdefcf80e669f # 5.1.1
         with:

.gitignore

@@ -37,3 +37,6 @@ __pycache__
 
 # CMake
 build
+
+# jupyter
+.ipynb_checkpoints

.gitmodules

@@ -0,0 +1,6 @@
+[submodule "external/skiplist"]
+	path = external/skiplist
+	url = https://github.com/paulross/skiplist.git
+[submodule "external/stl-cpp"]
+	path = external/stl-cpp
+	url = https://github.com/jmoralez/stl-cpp.git

.vscode/c_cpp_properties.json

@@ -6,6 +6,7 @@
                 "${workspaceFolder}/include",
                 "${workspaceFolder}/build/_deps/**/include",
                 "${workspaceFolder}/build/_deps/**/cpp",
+                "${workspaceFolder}/.venv/lib/python3.10/site-packages/pybind11/include"
             ]
         }
     ],

CMakeLists.txt

@@ -1,62 +1,27 @@
 cmake_minimum_required(VERSION 3.25)
-project(coreforecast)
-
-include(FetchContent)
-
-if(NOT CMAKE_BUILD_TYPE)
-    set(CMAKE_BUILD_TYPE Release)
-endif()
+project(_lib LANGUAGES CXX)
 
+set(CMAKE_BUILD_TYPE Release)
 set(CMAKE_CXX_STANDARD 17)
 set(CMAKE_EXPORT_COMPILE_COMMANDS ON)
 
-if(APPLE)
-    set(CMAKE_SHARED_LIBRARY_SUFFIX ".so")
-endif()
-
-if(UNIX)
-    set(CMAKE_CXX_FLAGS_DEBUG "${CMAKE_CXX_FLAGS_DEBUG} -fPIC -O0 -g -Wall -Wextra -Wpedantic")
-    set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_RELEASE} -fPIC -O3 -Wall -Wextra -Wpedantic")
-    set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -Wno-unknown-pragmas")
-else()
-    set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_RELEASE} /O2 /Ob2 /Ot /Oy /W4")
-    set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} /wd4068")
-endif()
-
 if(SKBUILD)
-    set(LIBRARY_OUTPUT_PATH ${SKBUILD_PLATLIB_DIR}/coreforecast/lib)
+  set(LIBRARY_OUTPUT_PATH ${SKBUILD_PLATLIB_DIR}/coreforecast)
 else()
-    set(LIBRARY_OUTPUT_PATH ${PROJECT_SOURCE_DIR}/python/coreforecast/lib)
+  set(LIBRARY_OUTPUT_PATH ${PROJECT_SOURCE_DIR}/python/coreforecast)
 endif()
 
-include_directories(include)
-FetchContent_Declare(
-    stl-cpp
-    GIT_REPOSITORY https://github.com/jmoralez/stl-cpp.git
-    GIT_TAG 13d26c0d0653ddcdbf853de3f92f56faa831a330
-)
-FetchContent_GetProperties(stl-cpp)
-
-if(NOT stl-cpp_POPULATED)
-    FetchContent_Populate(stl-cpp)
-    include_directories(${stl-cpp_SOURCE_DIR}/include)
-endif()
-
-FetchContent_Declare(
-    skiplist
-    GIT_REPOSITORY https://github.com/paulross/skiplist.git
-    GIT_TAG aace571a8564067820ff7a5e34ba68d0a9782153
-)
-FetchContent_GetProperties(skiplist)
-
-if(NOT skiplist_POPULATED)
-    FetchContent_Populate(skiplist)
-    include_directories(${skiplist_SOURCE_DIR}/src/cpp)
-endif()
-
-file(GLOB SOURCES src/*.cpp ${skiplist_SOURCE_DIR}/src/cpp/SkipList.cpp)
-add_library(coreforecast SHARED ${SOURCES})
-
-if(MSVC)
-    set_target_properties(coreforecast PROPERTIES OUTPUT_NAME "libcoreforecast")
-endif()
+find_package(Python 3.8 COMPONENTS Interpreter Development.Module REQUIRED)
+set(PYBIND11_FINDPYTHON ON)
+execute_process(
+  COMMAND "${Python_EXECUTABLE}" -m pybind11 --cmakedir
+  OUTPUT_STRIP_TRAILING_WHITESPACE OUTPUT_VARIABLE pybind11_DIR)
+find_package(pybind11 CONFIG REQUIRED)
+execute_process(
+  COMMAND "${Python_EXECUTABLE}" -m pybind11 --includes
+  OUTPUT_STRIP_TRAILING_WHITESPACE OUTPUT_VARIABLE pybind11_INCLUDES)
+
+include_directories(include external/skiplist/src/cpp external/stl-cpp/include ${pybind11_INCLUDES})
+file(GLOB SOURCES src/*.cpp external/skiplist/src/cpp/SkipList.cpp)
+pybind11_add_module(_lib ${SOURCES})
+install(TARGETS _lib DESTINATION .)

include/common.h

@@ -0,0 +1,31 @@
+#pragma once
+
+#include <cstdint>
+
+#include <pybind11/numpy.h>
+#include <pybind11/pybind11.h>
+
+using indptr_t = int32_t;
+namespace py = pybind11;
+
+template <typename T>
+inline indptr_t FirstNotNaN(const T *data, indptr_t n)
+{
+    indptr_t i = 0;
+    while (std::isnan(data[i]) && i < n)
+    {
+        ++i;
+    }
+    return i;
+}
+
+template <typename T>
+inline indptr_t FirstNotNaN(const T *data, indptr_t n, T *out)
+{
+    indptr_t i = 0;
+    while (std::isnan(data[i]) && i < n)
+    {
+        out[i++] = std::numeric_limits<T>::quiet_NaN();
+    }
+    return i;
+}