I have problem with resample function it's work with some timeframes and doesn't work with others
it doesn't work with 5h or 10h intervals, it's start okay and then it's changed to wrong datetime
d = {'Open': 'first', 'High': 'max', 'Low': 'min', 'Close': 'last'}
df = read.resample('5H').agg(d)
df
output:
Open High Low Close
Date
2024-01-21 00:00:00 317.3 319.5 316.1 317.4
2024-01-21 05:00:00 317.4 319.4 317.2 319.0
2024-01-21 10:00:00 319.0 319.6 318.0 319.1
2024-01-21 15:00:00 319.1 321.6 317.5 320.6
2024-01-21 20:00:00 320.6 321.7 318.2 319.5
2024-01-22 01:00:00 319.5 320.1 314.1 317.2
2024-01-22 06:00:00 317.2 318.6 310.7 312.8
2024-01-22 11:00:00 312.8 315.3 308.4 311.1
2024-01-22 16:00:00 311.2 312.5 303.6 308.5
2024-01-22 21:00:00 308.5 308.7 304.8 308.2
2024-01-23 02:00:00 308.1 311.7 308.1 309.9
2024-01-23 07:00:00 310.0 310.2 291.7 295.9
It's start okay until the next day 2024-01-22
and it's work correctly with 2h or 3h or 4h or 6h intervals
d = {'Open': 'first', 'High': 'max', 'Low': 'min', 'Close': 'last'}
df = read.resample('4H').agg(d)
df
output:
2024-01-21 00:00:00 317.3 319.5 316.1 318.5
2024-01-21 04:00:00 318.5 318.9 317.2 317.5
2024-01-21 08:00:00 317.5 319.6 317.3 319.3
2024-01-21 12:00:00 319.3 319.6 317.5 318.9
2024-01-21 16:00:00 318.9 321.6 317.9 320.6
2024-01-21 20:00:00 320.6 321.7 318.2 318.6
2024-01-22 00:00:00 318.7 320.3 315.3 316.7
2024-01-22 04:00:00 316.7 318.6 314.1 317.8
2024-01-22 08:00:00 317.9 317.9 310.7 313.5
2024-01-22 12:00:00 313.4 315.3 308.4 311.1
2024-01-22 16:00:00 311.2 312.5 303.6 306.6
If you want to resample with 5h periods except the last one, so that it always starts at midnight, you should normalize your dates and use them as grouper for groupby.resample:
N = 1000
df = pd.DataFrame(np.random.random((N, 4)),
columns=['Open', 'High', 'Low', 'Close'],
index=pd.date_range('2024-01-21', periods=N, freq='10min')
.rename('Date')
)
d = {'Open': 'first', 'High': 'max', 'Low': 'min', 'Close': 'last'}
out = (df.groupby(df.index.normalize(), group_keys=False)
.resample('5h', origin='start_day').agg(d)
)
Example output:
Open High Low Close
Date
2024-01-21 00:00:00 0.854852 0.991030 0.001056 0.434836
2024-01-21 05:00:00 0.423933 0.993614 0.024808 0.970102
2024-01-21 10:00:00 0.114825 0.992917 0.000970 0.423687
2024-01-21 15:00:00 0.368081 0.934378 0.019684 0.474279
2024-01-21 20:00:00 0.618224 0.991313 0.004855 0.828402
2024-01-22 00:00:00 0.314505 0.981417 0.015882 0.672777
2024-01-22 05:00:00 0.637003 0.928499 0.018432 0.081630
2024-01-22 10:00:00 0.798733 0.939966 0.002545 0.779787
2024-01-22 15:00:00 0.786353 0.980841 0.007235 0.622986
2024-01-22 20:00:00 0.455437 0.985423 0.207164 0.492761
2024-01-23 00:00:00 0.759215 0.943299 0.012884 0.610557
2024-01-23 05:00:00 0.491669 0.907216 0.022135 0.204769
2024-01-23 10:00:00 0.035259 0.950254 0.020136 0.533030
2024-01-23 15:00:00 0.977045 0.958560 0.000002 0.791182
2024-01-23 20:00:00 0.327000 0.953044 0.021118 0.559102
2024-01-24 00:00:00 0.730636 0.935785 0.004056 0.338256
2024-01-24 05:00:00 0.539044 0.903956 0.053925 0.022443
2024-01-24 10:00:00 0.315928 0.939252 0.004503 0.738087
2024-01-24 15:00:00 0.455187 0.946352 0.084940 0.370417
2024-01-24 20:00:00 0.373350 0.992475 0.003233 0.813431
2024-01-25 00:00:00 0.937217 0.975881 0.013434 0.394555
2024-01-25 05:00:00 0.805051 0.971622 0.066913 0.249198
2024-01-25 10:00:00 0.271297 0.908170 0.028149 0.002023
2024-01-25 15:00:00 0.136134 0.946287 0.014009 0.918888
2024-01-25 20:00:00 0.128861 0.940258 0.004101 0.783039
2024-01-26 00:00:00 0.663781 0.967509 0.015381 0.151662
2024-01-26 05:00:00 0.697951 0.914169 0.056867 0.594478
2024-01-26 10:00:00 0.919909 0.976555 0.038070 0.161614
2024-01-26 15:00:00 0.149704 0.974648 0.047376 0.664060
2024-01-26 20:00:00 0.879085 0.996539 0.077073 0.580693
2024-01-27 00:00:00 0.172167 0.953116 0.012676 0.821176
2024-01-27 05:00:00 0.966948 0.964718 0.042488 0.130513
2024-01-27 10:00:00 0.720802 0.932359 0.013581 0.640035
2024-01-27 15:00:00 0.864662 0.981908 0.021083 0.640291
2024-01-27 20:00:00 0.090283 0.912008 0.014249 0.558703