import datetime import pandas as pd from qlib.data.inst_processor import InstProcessor class ResampleProcessor(InstProcessor): def __init__(self, freq: str, hour: int, minute: int): self.freq = freq self.hour = hour self.minute = minute def __call__(self, df: pd.DataFrame, *args, **kwargs): df = df.loc[df.index.time == datetime.time(self.hour, self.minute)] df.index = df.index.normalize() return df