Use uniform step arithmetic in `slice_from_time()`
If we presume that time indexing using a uniform step we can calculate the exact index (using `//`) for the input time presuming the data set has zero gaps. This gives a massive speedup over `numpy` fancy indexing and (naive) `numba` iteration. Further in the case where time gaps are detected, we can use `numpy.searchsorted()` to binary search for the nearest expected index at lower latency. Deatz, - comment-disable the call to the naive `numba` scan impl. - add a optional `step: int` input (calced if not provided). - add todos for caching binary search results in the gap detection cases. - drop returning the "absolute buffer indexing" slice since the caller can always just use the read-relative slice to acquire it.pre_viz_calls
parent
32bac4fc93
commit
90ac9a8368
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@ -29,6 +29,7 @@ from numba import (
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# TODO: for ``numba`` typing..
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# from ._source import numba_ohlc_dtype
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from ._sharedmem import ShmArray
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from ._m4 import ds_m4
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from .._profile import (
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Profiler,
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@ -126,6 +127,7 @@ def path_arrays_from_ohlc(
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high = q['high']
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low = q['low']
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close = q['close']
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# index = float64(q['index'])
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index = float64(q['time'])
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# XXX: ``numba`` issue: https://github.com/numba/numba/issues/8622
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@ -276,11 +278,7 @@ def _slice_from_time(
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start_t: float,
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stop_t: float,
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) -> tuple[
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tuple[int, int],
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tuple[int, int],
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np.ndarray | None,
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]:
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) -> tuple[int, int]:
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'''
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Slice an input struct array to a time range and return the absolute
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and "readable" slices for that array as well as the indexing mask
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@ -305,14 +303,6 @@ def _slice_from_time(
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),
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)
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# TODO: if we can ensure each time field has a uniform
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# step we can instead do some arithmetic to determine
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# the equivalent index like we used to?
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# return array[
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# lbar - ifirst:
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# (rbar - ifirst) + 1
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# ]
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read_i_0: int = 0
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read_i_last: int = 0
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@ -328,62 +318,159 @@ def _slice_from_time(
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read_i_last = time
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break
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abs_i_0 = int(index[0]) + read_i_0
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abs_i_last = int(index[0]) + read_i_last
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if read_i_last == 0:
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read_i_last = times.shape[0]
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abs_slc = (
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int(abs_i_0),
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int(abs_i_last),
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)
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read_slc = (
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int(read_i_0),
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int(read_i_last),
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)
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# also return the readable data from the timerange
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return (
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abs_slc,
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read_slc,
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)
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return read_i_0, read_i_last
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def slice_from_time(
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arr: np.ndarray,
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start_t: float,
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stop_t: float,
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step: int | None = None,
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) -> tuple[
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slice,
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slice,
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np.ndarray | None,
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]:
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'''
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Calculate array indices mapped from a time range and return them in
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a slice.
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Given an input array with an epoch `'time'` series entry, calculate
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the indices which span the time range and return in a slice. Presume
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each `'time'` step increment is uniform and when the time stamp
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series contains gaps (the uniform presumption is untrue) use
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``np.searchsorted()`` binary search to look up the appropriate
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index.
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'''
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profiler = Profiler(
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msg='slice_from_time()',
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disabled=not pg_profile_enabled(),
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ms_threshold=ms_slower_then,
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)
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(
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abs_slc_tuple,
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read_slc_tuple,
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) = _slice_from_time(
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arr,
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start_t,
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stop_t,
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times = arr['time']
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t_first = round(times[0])
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t_last = round(times[-1])
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index = arr['index']
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i_first = index[0]
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read_i_max = arr.shape[0]
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if (
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start_t < t_first
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and stop_t > t_last
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):
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read_i_start = 0
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read_i_stop = read_i_max
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read_slc = slice(
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0,
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read_i_max,
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)
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return read_slc
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if step is None:
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step = round(times[-1] - times[-2])
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if step == 0:
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# XXX: HOW TF is this happening?
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step = 1
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# compute (presumed) uniform-time-step index offsets
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i_start_t = round(start_t)
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read_i_start = (i_start_t - t_first) // step
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i_stop_t = round(stop_t)
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read_i_stop = (i_stop_t - t_first) // step
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# always clip outputs to array support
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# for read start:
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# - never allow a start < the 0 index
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# - never allow an end index > the read array len
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read_i_start = min(
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max(0, read_i_start),
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read_i_max,
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)
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read_i_stop = max(
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0,
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min(read_i_stop, read_i_max),
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)
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# check for larger-then-latest calculated index for given start
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# time, in which case we do a binary search for the correct index.
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# NOTE: this is usually the result of a time series with time gaps
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# where it is expected that each index step maps to a uniform step
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# in the time stamp series.
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i_iv_start = index[read_i_start - 1]
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t_iv_start = times[read_i_start - 1]
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if (
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i_iv_start >= i_first
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and t_iv_start > i_start_t
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):
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# do a binary search for the best index mapping to ``start_t``
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# given we measured an overshoot using the uniform-time-step
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# calculation from above.
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# TODO: once we start caching these per source-array,
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# we can just overwrite ``read_i_start`` directly.
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new_read_i_start = np.searchsorted(
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times,
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i_start_t,
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side='left',
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)
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# TODO: minimize binary search work as much as possible:
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# - cache these remap values which compensate for gaps in the
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# uniform time step basis where we calc a later start
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# index for the given input ``start_t``.
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# - can we shorten the input search sequence by heuristic?
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# up_to_arith_start = index[:read_i_start]
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if (
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new_read_i_start < read_i_start
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):
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# t_diff = t_iv_start - start_t
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# print(
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# f"WE'RE CUTTING OUT TIME - STEP:{step}\n"
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# f'start_t:{start_t} -> 0index start_t:{t_iv_start}\n'
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# f'diff: {t_diff}\n'
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# f'REMAPPED START i: {read_i_start} -> {new_read_i_start}\n'
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# )
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read_i_start = new_read_i_start
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# old much slower non-bin-search ``numba`` approach..
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# (
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# read_i_start,
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# read_i_stop,
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# ) = _slice_from_time(
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# arr,
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# start_t,
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# stop_t,
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# )
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# abs_i_start = int(index[0]) + read_i_0
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# abs_i_stop = int(index[0]) + read_i_last
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# if read_i_stop == 0:
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# read_i_stop = times.shape[0]
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# read-relative indexes: gives a slice where `shm.array[read_slc]`
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# will be the data spanning the input time range `start_t` ->
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# `stop_t`
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read_slc = slice(
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int(read_i_start),
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int(read_i_stop),
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)
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abs_slc = slice(*abs_slc_tuple)
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read_slc = slice(*read_slc_tuple)
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profiler(
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'slicing complete'
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# f'{start_t} -> {abs_slc.start} | {read_slc.start}\n'
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# f'{stop_t} -> {abs_slc.stop} | {read_slc.stop}\n'
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)
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return (
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abs_slc,
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read_slc,
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)
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# NOTE: if caller needs absolute buffer indices they can
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# slice the buffer abs index like so:
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# abs_indx = index[read_slc]
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# abs_slc = slice(
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# int(abs_indx[0]),
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# int(abs_indx[-1]),
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# )
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return read_slc
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