python - 重新采样分钟数据

Question

我有开放范围/第一个小时(美国东部标准时间上午 9:30-10:30)的基于分钟的 OHLCV 数据。我希望重新采样这些数据，以便获得一个 60 分钟的值，然后计算范围。

当我对数据调用 dataframe.resample() 函数时，我得到两行，第一行从上午 9:00 开始。我希望只有一排从上午 9:30 开始。

注意:初始数据从 9:30 开始。

编辑:添加代码:

# Extract data for regular trading hours (rth) from the 24 hour data set
rth = data.between_time(start_time = '09:30:00', end_time = '16:15:00', include_end = False)

# Extract data for extended trading hours (eth) from the 24 hour data set
eth = data.between_time(start_time = '16:30:00', end_time = '09:30:00', include_end = False)

# Extract data for initial balance (rth) from the 24 hour data set
initial_balance = data.between_time(start_time = '09:30:00', end_time = '10:30:00', include_end =      False)

卡住试图按个别日期分隔开盘范围并获取初始余额

conversion = {'Open' : 'first', 'High' : 'max', 'Low' : 'min', 'Close' : 'last', 'Volume' : 'sum'}
sample = data.between_time(start_time = '09:30:00', end_time = '10:30:00', include_end = False)
sample = sample.ix['2007-05-07']
sample.tail()

sample.resample('60Min', how = conversion) 

默认情况下，重新采样从整点开始。我希望它从数据开始的地方开始。

Answer 1

您可以使用 resample 的 base 参数:

sample.resample('60Min', how=conversion, base=30)

来自 the above docs-link :

base : int, default 0
    For frequencies that evenly subdivide 1 day, the “origin” of the aggregated intervals.
    For example, for ‘5min’ frequency, base could range from 0 through 4. Defaults to 0