Yes win_type="freq" was an internally managed flag that we don't need anymore.

Also since we document in https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.rolling.html

If win_type=None, all points are evenly weighted; otherwise, win_type can accept a string of any scipy.signal window function.

I think its better for consistency that self.win_type is only a valid scipy.signal window function

OK, that makes sense.

Another change that I noticed is the value stored in Rolling.window:

In [5]: freq_roll = Series(range(2), index=date_range("2020", periods=2)).rolling("2s")

In [6]: pd.__version__
Out[6]: '1.2.0'

In [7]: freq_roll.win_type
Out[7]: 'freq'

In [8]: freq_roll.window
Out[8]: 2000000000

In [9]: freq_roll.win_freq
Out[9]: '2s'

vs master:

In [1]: freq_roll = Series(range(2), index=date_range("2020", periods=2)).rolling("2s")

In [2]: freq_roll.win_type

In [3]: freq_roll.window
Out[3]: '2s'

So Rolling.window changed from an int (nanoseconds I suppose?) to the freq string. A change that makes sense I think (because the nanoseconds are not really useful, you need it as a Timedelta / actual window or so anyway).

But, that also makes it hard to follow the suggestion of "Check the type of self.window instead." in the deprecation warning (since this changed as well, or at least that means you need an actual pandas version check to do something different based on the pandas version, so not insurmountable in the end ;))

The doc build is failing, we seem to be checking the win_type when its "freq", so might need to catch the warning there (didn't check how it is triggered):

>>>-------------------------------------------------------------------------
Warning in /home/runner/work/pandas/pandas/doc/source/user_guide/window.rst at block ending on line 215
Specify :okwarning: as an option in the ipython:: block to suppress this message
----------------------------------------------------------------------------
/home/runner/work/pandas/pandas/pandas/core/groupby/base.py:30: FutureWarning: win_type will no longer return 'freq' in a future version. Check the type of self.window instead.
  kwargs[attr] = getattr(self, attr)
<<<-------------------------------------------------------------------------

Yeah the warning is occurring when a _shallow_copy is called with a time-based window because win_type is an attribute that needs be copied.

Should I just be suppressing that warning in _shallow_copy?

Yeah, either catching/suppressing the warning, or either explicitly checking for the "win_type" attribute and in that case check the window and not include win_type if window is a time-based string? (if that's possible) Either is fine for me.

BTW, tested this branch with dask, and the tests are passing again (with warnings). And should be quite straightforward to update it to work on pandas master without warning as well.

thanks @mroeschke

Thanks @mroeschke !