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feat(Data): resample exogenous/other datasource when their frequency is different (#234)

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* feat(Data): resample exogenous/other datasource when their frequency is different

* fix(Linter): ran

* fix(Data): resampling done properly
This commit is contained in:
Mark Aron Szulyovszky
2022-03-10 20:00:06 +01:00
committed by GitHub
parent 4a9f74d645
commit b656f790f5
10 changed files with 69 additions and 37 deletions
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utils/resample.py
+10 -4
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@@ -3,8 +3,14 @@ import pandas as pd
def resample_ohlc(df, period):
output = pd.DataFrame()
output["open"] = df.open.resample(period).first()
output["high"] = df.high.resample(period).max()
output["low"] = df.low.resample(period).min()
output["close"] = df.close.resample(period).last()
period = period.replace("m", "T")
if "open" in df.columns:
output["open"] = df.open.resample(period).first()
output["high"] = df.high.resample(period).max()
output["low"] = df.low.resample(period).min()
output["close"] = df.close.resample(period).last()
else:
output = df.resample(period).ffill()
return output