Conversion of Daily pandas dataframe to minute frequency

Question

I have a dataframe as defined below (df) with daily frequency and I would like to convert this to minute frequency, starting at 8:30 and ending at 16:00.

import          


        

Answer 1

I believe you need reshape by DataFrame.unstack for DatetimeIndex, then set minute frequency by DataFrame.asfreq, filter times by DataFrame.between_time and last use DataFrame.stack for MultiIndex:

df1 = df.unstack().asfreq('Min', method='ffill').between_time('8:30','16:00').stack()
print (df1.head(10))

                           returns
date                ticker        
2016-11-28 08:30:00 aapl       0.2
                    amzn       0.2
                    fb         0.2
                    ge         0.2
                    jpm        0.2
                    msft       0.2
2016-11-28 08:31:00 aapl       0.2
                    amzn       0.2
                    fb         0.2
                    ge         0.2