How to resample pandas df tick data to 5 min OHLC data

Question

I have a pandas df \'instr_bar\' with tick data as follows:

time
2016-07-29 16:07:24     5.72
2016-07-29 16:07:24     5.72
2016-07-29 16:07:24     5.72
2016-07-2         


        

Answer 1

try bfill():

instr_bar = instr_bar.resample('5T').ohlc().bfill()

or ffill():

instr_bar = instr_bar.resample('5T').ohlc().ffill()

depending on what do you want to achieve

if you want to filter rows by time you can use between_time() method:

instr_bar.between_time('09:00', '16:30')

altogether:

instr_bar = instr_bar.resample('5T').ohlc().ffill().between_time('09:00', '16:30')