Memory Leak with rolling quantile

[fl4p-old]

Code Sample

import os
import psutil
import pandas as pd
import numpy as np

process = psutil.Process(os.getpid())
i = 0

def sink():
    global i
    i += 1
    if i % 100 == 0:
        mem = process.memory_info().rss / 1e6
        print("mem %fMB" % mem)

while True:
     s = pd.Series(np.random.randn(5e6))
     m = s.rolling(1e3).quantile(0.1) #  leaks (unexpected)
     # m = s.rolling(1e3).quantile(0) # no leak (expected)
     sink()

Problem description

Rolling quantile leaks memory with quantiles within (0,1)

Related Code

pandas/pandas/core/window.py

Line 1340 in 537b65c

return _window.roll_quantile(arg, window, minp, indexi,

pandas/pandas/_libs/window.pyx

Line 1376 in 8e51fd3

def roll_quantile(ndarray[float64_t, cast=True] input, int64_t win,

The leak should be in roll_quantile cython code. I could not trace it with objgraph.

I believe a free for skiplist is missing.

Program Output

Expected

mem 66.822144MB
mem 66.801664MB
mem 67.072000MB
mem 67.072000MB
mem 67.072000MB
mem 67.072000MB
mem 67.072000MB
mem 67.072000MB
mem 67.072000MB

Actual

mem 80.261120MB
mem 91.615232MB
mem 103.239680MB
mem 114.864128MB
mem 126.218240MB
mem 137.842688MB
mem 149.467136MB
mem 161.091584MB
mem 172.445696MB
mem 184.070144MB
mem 195.694592MB
mem 207.048704MB
mem 218.673152MB
mem 230.297600MB
mem 241.651712MB