multiple nested groupby in pandas

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Here is my pandas dataframe:

df = pd.DataFrame({'Date': {0: '2016-10-11', 1: '2016-10-11', 2: '2016-10-11', 3: '2016-10-11', 4: '2016-10-11',5: '2016-10-12',6: '2016-10-12',7: '2016-10-12',8: '2016-10-12',9: '2016-10-12'}, 'Stock': {0: 'A', 1: 'B', 2: 'C', 3: 'D', 4: 'E', 5: 'F', 6: 'G', 7: 'H',8: 'I', 9:'J'}, 'Sector': {0: 0,1: 0, 2: 1, 3: 1, 4: 1, 5: 0, 6:0, 7:0, 8:1, 9:1}, 'Segment': {0: 0, 1: 1, 2: 1, 3: 1, 4: 1, 5: 1, 6:2,7:2,8:3,9:3}, 'Range': {0: 5, 1: 0, 2: 1, 3: 0, 4: 2, 5: 6, 6:0, 7:23, 8:5, 9:5}})

Here is how it looks:

enter image description here

I want to add the following columns:

  • 'Date_Range_Avg': average of 'Range' grouped by Date
  • 'Date_Sector_Range_Avg': average of 'Range' grouped by Date and Sector
  • 'Date_Segment_Range_Avg': average of 'Range' grouped by Date and Segment

This would be the output:

res = pd.DataFrame({'Date': {0: '2016-10-11', 1: '2016-10-11', 2: '2016-10-11', 3: '2016-10-11', 4: '2016-10-11',5: '2016-10-12',6: '2016-10-12',7: '2016-10-12',8: '2016-10-12',9: '2016-10-12'}, 'Stock': {0: 'A', 1: 'B', 2: 'C', 3: 'D', 4: 'E', 5: 'F', 6: 'G', 7: 'H',8: 'I', 9:'J'}, 'Sector': {0: 0,1: 0, 2: 1, 3: 1, 4: 1, 5: 0, 6:0, 7:0, 8:1, 9:1}, 'Segment': {0: 0, 1: 1, 2: 1, 3: 1, 4: 1, 5: 1, 6:2,7:2,8:3,9:3}, 'Range': {0: 5, 1: 0, 2: 1, 3: 0, 4: 2, 5: 6, 6:0, 7:23, 8:5, 9:5}, 'Date_Range_Avg':{0: 1.6, 1: 1.6, 2: 1.6, 3: 1.6, 4: 1.6, 5: 7.8, 6: 7.8, 7: 7.8, 8:7.8, 9: 7.8}, 'Date_Sector_Range_Avg':{0: 2.5, 1: 2.5, 2: 1, 3: 1, 4: 1, 5: 9.67, 6: 9.67, 7: 9.67, 8: 9.67, 9: 9.67}, 'Date_Segment_Range_Avg':{0: 5, 1: 0.75, 2: 0.75, 3: 0.75, 4: 0.75, 5: 6, 6: 11.5, 7: 11.5, 8: 5, 9: 5}})

This is how it looks:

enter image description here

Note I have rounded some of the values - but this rounding is not essential for the question I have (please feel free to not round)

I'm aware that I can do each of these groupings separately but it strikes me as inefficient (my dataset contains millions of rows)

Essentially, I would like to first do a grouping by Date and then re-use it to do the two more fine-grained groupings by Date and Segment and by Date and Sector.

How to do this?

My initial hunch is to go like this:

day_groups = df.groupby("Date")
df['Date_Range_Avg'] = day_groups['Range'].transform('mean')

and then to re-use day_groups to do the 2 more fine-grained groupbys like this:

df['Date_Sector_Range_Avg'] = day_groups.groupby('Segment')[Range].transform('mean')

Which doesn't work as you get:

'AttributeError: 'DataFrameGroupBy' object has no attribute 'groupby''

pandas-groupby pandas
1 Answers

groupby runs really fast when the aggregate function is vectorized. If you are worried about performance, try it out first to see if it's the real bottleneck in your program.

You can create temporary data frames holding the result of each groupby, then successively merge them with df:

group_bys = {
    "Date_Range_Avg": ["Date"],
    "Date_Sector_Range_Avg": ["Date", "Sector"],
    "Date_Segment_Range_Avg": ["Date", "Segment"]
}

tmp = [
    df.groupby(columns)["Range"].mean().to_frame(key)
    for key, columns in group_bys.items()
]

result = df
for t in tmp:
    result = result.merge(t, left_on=t.index.names, right_index=True)

Result:

         Date Stock  Sector  Segment  Range  Date_Range_Avg  Date_Sector_Range_Avg  Date_Segment_Range_Avg
0  2016-10-11     A       0        0      5             1.6               2.500000                    5.00
1  2016-10-11     B       0        1      0             1.6               2.500000                    0.75
2  2016-10-11     C       1        1      1             1.6               1.000000                    0.75
3  2016-10-11     D       1        1      0             1.6               1.000000                    0.75
4  2016-10-11     E       1        1      2             1.6               1.000000                    0.75
5  2016-10-12     F       0        1      6             7.8               9.666667                    6.00
6  2016-10-12     G       0        2      0             7.8               9.666667                   11.50
7  2016-10-12     H       0        2     23             7.8               9.666667                   11.50
8  2016-10-12     I       1        3      5             7.8               5.000000                    5.00
9  2016-10-12     J       1        3      5             7.8               5.000000                    5.00

Another option is to use transform, and avoid the multiple merges:

# reusing your code
group_bys = {
         "Date_Range_Avg": ["Date"],
         "Date_Sector_Range_Avg": ["Date", "Sector"],
         "Date_Segment_Range_Avg": ["Date", "Segment"]
     }
    
     tmp = {key : df.groupby(columns)["Range"].transform('mean')
         for key, columns in group_bys.items()
     }

df.assign(**tmp)
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