Is your feature request related to a problem?

ASOF JOIN currently only supports matching equal or earlier timestamps between two tables. However, it is sometimes desirable to apply a limit to how far apart two timestamps can be when joining.

The solution provided here can only account for the tail ends of the table but not values in between in a sparse table.

Describe the solution you'd like.

Adding a tolerance parameter that takes a time value to limit the maximum amount of time allowed between timestamps would be very useful.

In addition, having the ability to match to a nearest timestamp instead of earlier/later timestamp would also be very useful. The functionality that pandas provides is a good example of the desired behavior.

Describe alternatives you've considered.

No response

Full Name:

Oliver Zhu

Affiliation:

BRG

Additional context

No response