PERF: Improve performance CustmBusinessDay

[bjonen]

Closes #8236

CustomBusinessDay is now fast with holiday calendar and incrementing in different ways.
import pandas as pd
import numpy as np
import datetime as dt

date = pd.Timestamp('20120101')
cbday = pd.offsets.CustomBusinessDay()
date + cbday
%timeit date + cbday
10000 loops, best of 3: 17.2 µs per loop

hdays = [dt.datetime(2013,1,1) for ele in range(1000)]
cbdayh = pd.offsets.CustomBusinessDay.from_various(holidays=hdays)
%timeit date + cbdayh
%timeit date + 2 * cbdayh
%timeit date - 1 * cbdayh
%timeit date - 10 * cbday

100000 loops, best of 3: 14.6 µs per loop
100000 loops, best of 3: 19.7 µs per loop
10000 loops, best of 3: 22.7 µs per loop
10000 loops, best of 3: 22.3 µs per loop

Please check whether you agree with the way I initialize custom offsets now (using classmethod).

[bjonen]

I see the tests on several python versions failing. Is there a way to run tox locally and quickly?

I tried using tox --develop -e py34 but I get errors related to hashtable. I guess then the c-extensions of the different python versions are in conflict.

[jreback]

why is this function needed? this completely changes the API.

[bjonen]

The reason increments >1 are slow is because a new instance of CustomBusinessDay is created when applying operators.
e.g.

    date + 2 * cbday

Before the constructor had to parse the holidays which is very costly. This new function does the heavy lifting when you initialize CustomBusinessDay. After that all computations are fast now because the constructor is very short.

Leaving the API unchanged would mean changing the logic behind DateOffset.

[jreback]

you can simply pass in an already created holidays instance I think. You can't change the API like this. Totally not intuitve and introducing a weird creation scheme. You might also be able to cache the holiday (in the class), might be the best option.

[bjonen]

Ok I agree that the proposed API is not intuitive. I can try if we can have np.busdaycalendar cached in kwds.

[jreback]

replaced by #8293