The author introduces Huohua, Two Sigma’s implementation of highly optimized time series operations in Spark.

1. www.twosigma.com
Huohua 火花
Distributed Time Series Analysis
Framework For Spark
August 28, 2017
Wenbo Zhao
Spark Summit 2016

2. About Me
August 28, 2017
 Software Engineer @
 Focus on analytics related tools, libraries and Systems

3. $0.0
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S&P 500
We view everything as a time series
August 28, 2017
 Stock market prices
 Temperatures
 Sensor logs
 Presidential polls
 …
50°F
55°F
60°F
65°F
70°F
75°F
80°F
85°F
90°F
95°F
100°F
New York
San Francisco

4. What is a time series?
August 28, 2017
 A sequence of observations obtained in successive time order
 Our goal is to forecast future values given past observations
$8.90
$8.95
$8.90
$9.06
$9.10
8:00 11:00 14:00 17:00 20:00
corn price
?

5. Multivariate time series
August 28, 2017
 We can forecast better by joining multiple time series
 Temporal join is a fundamental operation for time series analysis
 Huohua enables fast distributed temporal join of large scale unaligned time series
$8.90
$8.95
$8.90
$9.06
$9.10
8:00 11:00 14:00 17:00 20:00
corn price
75°F
72°F
71°F
72°F
68°F
67°F
65°F
temperature

6. What is temporal join?
August 28, 2017
 A particular join function defined by a matching criteria over time
 Examples of criteria
 look-backward – find the most recent observation in the past
 look-forward – find the closest observation in the future
time series 1 time series 2
look-forward
time series 1 time series 2
look-backward
observation

7. Temporal join with look-backward criteria
August 28, 2017
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time corn price
08:00 AM
11:00 AM
time weather corn price
08:00 AM
10:00 AM
12:00 AM

8. Temporal join with look-backward criteria
August 28, 2017
time weather
08:00 AM
10:00 AM
12:00 AM
time corn price
08:00 AM
11:00 AM
time weather corn price
08:00 AM 60 °F
10:00 AM
12:00 AM
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F

9. Temporal join with look-backward criteria
August 28, 2017
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time corn price
08:00 AM
11:00 AM
time weather corn price
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM

10. Temporal join with look-backward criteria
August 28, 2017
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time corn price
08:00 AM
11:00 AM
time weather corn price
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F

11. time corn price
08:00 AM
11:00 AM
time corn price
08:00 AM
11:00 AM
time corn price
08:00 AM
11:00 AM
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
Temporal join with look-backward criteria
August 28, 2017
time weather
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
time corn price
08:00 AM
11:00 AM
time weather corn price
08:00 AM 60 °F
10:00 AM 70 °F
12:00 AM 80 °F
…
…
Hundreds of thousands of data
sources with unaligned timestamps
Thousands of market data sets
We need fast and scalable distributed temporal join

12. Issues with existing solutions
August 28, 2017
 A single time series may not fit into a single machine
 Forecasting may involve hundreds of time series
 Existing packages don’t support temporal join or can’t handle large time series
 MatLab, R, SAS, Pandas
 Even Spark based solutions fall short
 PairRDDFunctions, DataFrame/Dataset, spark-ts

13. Huohua – a new time series library for Spark
August 28, 2017
 Goal
 provide a collection of functions to manipulate and analyze time series at scale
 group, temporal join, summarize, aggregate …
 How
 build a time series aware data structure
 extending RDD to TimeSeriesRDD
 optimize using temporal locality
 reduce shuffling
 reduce memory pressure by streaming

14. What is a TimeSeriesRDD in Huohua?
August 28, 2017
 TimeSeriesRDD extends RDD to represent time series data
 associates a time range to each partition
 tracks partitions’ time-ranges through operations
 preserves the temporal order
TimeSeriesRDD
operations
time series
functions

15. TimeSeriesRDD– an RDD representing time series
August 28, 2017
time temperature
6:00 AM 60°F
6:01 AM 61°F
… …
7:00 AM 70°F
7:01 AM 71°F
… …
8:00 AM 80°F
8:01 AM 81°F
… …
(6:00 AM, 60°F)
(6:01 AM, 61°F)
…
RDD
(7:00 AM, 70°F)
(7:01 AM, 71°F)
…
(8:00 AM, 80°F)
(8:01 AM, 81°F)
…

16. TimeSeriesRDD– an RDD representing time series
August 28, 2017
range:
[06:00 AM, 07:00 AM)
range:
[07:00 AM, 8:00 AM)
range:
[8:00 AM, ∞)
TimeSeriesRDDtime temperature
6:00 AM 60°F
6:01 AM 61°F
… …
7:00 AM 70°F
7:01 AM 71°F
… …
8:00 AM 80°F
8:01 AM 81°F
… …
(6:00 AM, 60°F)
(6:01 AM, 61°F)
…
(7:00 AM, 70°F)
(7:01 AM, 71°F)
…
(8:00 AM, 80°F)
(8:01 AM, 81°F)
…

17. Group function
August 28, 2017
 A group function groups rows with exactly the same timestamps
time city temperature
1:00 PM New York 70°F
1:00 PM San Francisco 60°F
2:00 PM New York 71°F
2:00 PM San Francisco 61°F
3:00 PM New York 72°F
3:00 PM San Francisco 62°F
4:00 PM New York 73°F
4:00 PM San Francisco 63°F
group 1
group 2
group 3
group 4

18. Group function
August 28, 2017
 A group function groups rows with nearby timestamps
time city temperature
1:00 PM New York 70°F
1:00 PM San Francisco 60°F
2:00 PM New York 71°F
2:00 PM San Francisco 61°F
3:00 PM New York 72°F
3:00 PM San Francisco 62°F
4:00 PM New York 73°F
4:00 PM San Francisco 63°F
group 1
group 2

19. Group in Spark
August 28, 2017
 Groups rows with exactly the same timestamps
RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM

20.  Data is shuffled and materialized
Group in Spark
August 28, 2017
RDD
groupBy
RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM

21. Group in Spark
August 28, 2017
 Data is shuffled and materialized
RDD
groupBy
RDD
1:00PM 1:00PM
3:00PM 3:00PM
2:00PM
4:00PM
2:00PM
4:00PM

22. Group in Spark
August 28, 2017
 Data is shuffled and materialized
RDD
groupBy
RDD
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM

23. Group in Spark
August 28, 2017
 Temporal order is not preserved
RDD
groupBy
RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM

24. Group in Spark
August 28, 2017
 Another sort is required
RDD
groupBy sortBy
RDD RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM

25. Group in Spark
August 28, 2017
 Another sort is required
RDD
groupBy sortBy
RDD RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM
2:00PM 2:00PM
4:00PM 4:00PM
1:00PM 1:00PM
3:00PM 3:00PM

26. Group in Spark
August 28, 2017
 Back to correct temporal order
RDD
groupBy sortBy
RDD RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM

27. Group in Spark
August 28, 2017
 Back to temporal order
RDD
groupBy sortBy
RDD RDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM
1:00PM 1:00PM
2:00PM 2:00PM
3:00PM 3:00PM
4:00PM 4:00PM

28. Group in Huohua
August 28, 2017
 Data is grouped locally as streams
TimeSeriesRDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM

29. Group in Huohua
August 28, 2017
 Data is grouped locally as streams
TimeSeriesRDD
1:00PM
2:00PM
2:00PM
1:00PM
3:00PM
3:00PM
4:00PM
4:00PM

30. Group in Huohua
August 28, 2017
 Data is grouped locally as streams
TimeSeriesRDD
1:00PM
2:00PM
1:00PM
3:00PM 3:00PM
4:00PM
4:00PM
2:00PM

31. Group in Huohua
August 28, 2017
 Data is grouped locally as streams
TimeSeriesRDD
1:00PM
2:00PM
1:00PM
3:00PM 3:00PM
4:00PM 4:00PM
2:00PM

32. Benchmark for group
August 28, 2017
 Running time of count after group
 16 executors (10G memory and 4 cores per executor)
 data is read from HDFS
0s
20s
40s
60s
80s
100s
20M 40M 60M 80M 100M
RDD DataFrame TimeseriesRDD

33. Temporal join
August 28, 2017
 A temporal join function is defined by a matching criteria over time
 A typical matching criteria has two parameters
 direction – whether it should look-backward or look-forward
 window - how much it should look-backward or look-forward
look-backward temporal join
window

34. Temporal join
August 28, 2017
 A temporal join function is defined by a matching criteria over time
 A typical matching criteria has two parameters
 direction – whether it should look-backward or look-forward
 window - how much it should look-backward or look-forward
look-backward temporal join
window

35. Temporal join
August 28, 2017
 Temporal join with criteria look-back and window of length 1
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM
time series time series

36. Temporal join
August 28, 2017
 Temporal join with criteria look-back and window of length 1
 How do we do temporal join in TimeSeriesRDD?
TimeSeriesRDD TimeSeriesRDD
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM

37. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window of length 1
 partition time space into disjoint intervals
TimeSeriesRDD TimeSeriesRDDjoined
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM

38. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window of length 1
 Build dependency graph for the joined TimeSeriesRDD
TimeSeriesRDD TimeSeriesRDDjoined
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM

39. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window 1
 Join data as streams per partition
1:00AM 1
TimeSeriesRDD TimeSeriesRDDjoined
1:00AM 1:00AM1:00AM
2:00AM
4:00AM
5:00AM
3:00AM
5:00AM

40. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window 1
 Join data as streams
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM
TimeSeriesRDD TimeSeriesRDDjoined
1:00AM 1:00AM1:00AM
2:00AM

41. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window 1
 Join data as streams
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM
TimeSeriesRDD TimeSeriesRDDjoined
1:00AM
1:00AM
1:00AM
2:00AM
4:00AM
3:00AM

42. Temporal join in Huohua
August 28, 2017
 Temporal join with criteria look-back and window 1
 Join data as streams
2:00AM
1:00AM
4:00AM
5:00AM
1:00AM
3:00AM
5:00AM
TimeSeriesRDD TimeSeriesRDDjoined
1:00AM
1:00AM
1:00AM
2:00AM
4:00AM 3:00AM
5:00AM 5:00AM

43. Benchmark for temporal join
August 28, 2017
 Running time of count after temporal join
 16 executors (10G memory and 4 cores per executor)
 data is read from HDFS
0s
20s
40s
60s
80s
100s
20M 40M 60M 80M 100M
RDD DataFrame TimeseriesRDD

44. Functions over TimeSeriesRDD
August 28, 2017
 group functions such as window, intervalization etc.
 temporal joins such as look-forward, look-backward etc.
 summarizers such as average, variance, z-score etc. over
 windows
 Intervals
 cycles

45. Open Source
August 28, 2017
 Not quite yet …
 https://github.com/twosigma

46. Future work
August 28, 2017
 Dataframe / Dataset integration
 Speed up
 Richer APIs
 Python bindings
 More summarizers

47. Key contributors
August 28, 2017
 Christopher Aycock
 Jonathan Coveney
 Jin Li
 David Medina
 David Palaitis
 Ris Sawyer
 Leif Walsh
 Wenbo Zhao

48. Thank you
August 28, 2017
 QA

49. This document is being distributed for informational and educational purposes only and is not an offer to sell or the solicitation of an offer to buy
any securities or other instruments. The information contained herein is not intended to provide, and should not be relied upon for investment
advice. The views expressed herein are not necessarily the views of Two Sigma Investments, LP or any of its affiliates (collectively, “Two Sigma”).
Such views reflect significant assumptions and subjective of the author(s) of the document and are subject to change without notice. The
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