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19 lines
623 B
Python
19 lines
623 B
Python
import datetime
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import pandas as pd
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from qlib.data.inst_processor import InstProcessor
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class Resample1minProcessor(InstProcessor):
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"""This processor tries to resample the data. It will reasmple the data from 1min freq to day freq by selecting a specific miniute"""
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def __init__(self, hour: int, minute: int, **kwargs):
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self.hour = hour
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self.minute = minute
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def __call__(self, df: pd.DataFrame, *args, **kwargs):
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df.index = pd.to_datetime(df.index)
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df = df.loc[df.index.time == datetime.time(self.hour, self.minute)]
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df.index = df.index.normalize()
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return df
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